(Address of Principal Executive Offices) (Zip Code)
(Name and Address of Agent for Service)
TRANSAMERICA PARTNERS VARIABLE FUNDS TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS |
Semi-Annual Report |
June 30, 2009 |
![(IMAGE)](https://capedge.com/proxy/N-CSRS/0000950123-09-039902/y78585y7858501.gif)
1
John K. Carter President & Chief Executive Officer Transamerica Asset Allocation Variable Funds | Christopher A. Staples Vice President & Chief Investment Officer Transamerica Asset Allocation Variable Funds |
2
AN EXPLANATION OF FUND EXPENSES
(Unaudited)
Expenses Paid | Expenses Paid | |||||||||||||||||||||||||||||
Beginning Account | Ending Account | During the Period | Ending Account | During the Period | Annualized | |||||||||||||||||||||||||
Value | Value | January 1, 2009- | Value | January 1, 2009- | Expense | |||||||||||||||||||||||||
Subaccount | January 1, 2009 | June 30, 2009(1) | June 30, 2009(1)(2)(3) | June 30, 2009 (4) | June 30, 2009(2)(3)(4) | Ratio(2) | ||||||||||||||||||||||||
Short Horizon | $ | 1,000 | $ | 1,067.53 | $ | 1.03 | $ | 1,023.80 | $ | 1.00 | 0.20 | % | ||||||||||||||||||
Intermediate Horizon | 1,000 | 1,054.23 | 1.02 | 1,023.80 | 1.00 | 0.20 | ||||||||||||||||||||||||
Intermediate/ Long Horizon | 1,000 | 1,044.22 | 1.01 | 1,023.80 | 1.00 | 0.20 | ||||||||||||||||||||||||
(1) | Based on actual returns and expenses. | |
(2) | These figures exclude fees and expenses of the underlying investments in TPVF. | |
(3) | Expenses are equal to each Fund’s annualized expense ratio multiplied by the average account value over the period, divided by 365, multiplied by 181 (to reflect the one-half year period). | |
(4) | Based on hypothetical 5% annual returns before actual expenses. |
3
SHORT HORIZON
(Unaudited)
June 30, 2009
ASSETS: | ||||
Investments in affiliates, at value (Notes 1 and 2) | $ | 9,439,933 | ||
Cash | — | |||
Receivable for units sold | 10,656 | |||
Receivable for securities sold | — | |||
Total assets | 9,450,589 | |||
LIABILITIES: | ||||
Due to Custodian | — | |||
Payable for units redeemed | 1,608 | |||
Payable for securities purchased | 9,048 | |||
Accrued investment advisory fees | 1,643 | |||
Total liabilities | 12,299 | |||
Net assets | $ | 9,438,290 | ||
Net assets consist of: | ||||
Cost of accumulation units | $ | 7,164,417 | ||
Undistributed (accumulated) net investment income (loss) | (174,283 | ) | ||
Undistributed (accumulated) net realized gains (losses) | 2,264,392 | |||
Net unrealized appreciaton (depreciation) on investments | 183,764 | |||
Net assets | $ | 9,438,290 | ||
Accumulation units | 603,160 | |||
Unit value | $ | 15.65 | ||
Investments in affiliates, at cost | $ | 9,256,169 | ||
Investment advisory fees (Note 3) | $ | (9,196 | ) | |
Realized and unrealized gains (losses) on investments in affiliates (Note 2): | ||||
Net realized gains (losses) on investments in affiliates | 32,047 | |||
Change in net unrealized appreciation (depreciation) on investments in affiliates | 577,462 | |||
Net realized and unrealized gains (losses) on investments in affiliates | 609,509 | |||
Net increase (decrease) in net assets resulting from operations | $ | 600,313 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Investment advisory fees | $ | (9,196 | ) | $ | (21,681 | ) | ||
Net realized gains (losses) on investments in affiliates | 32,047 | 592,873 | ||||||
Change in net unrealized appreciation (depreciation) on investments in affiliates | 577,462 | (1,723,348 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 600,313 | (1,152,156 | ) | |||||
From unit transactions: | ||||||||
Units sold | 800,546 | 4,786,093 | ||||||
Units redeemed | (1,412,704 | ) | (5,280,703 | ) | ||||
Net increase (decrease) in net assets resulting from unit transactions | (612,158 | ) | (494,610 | ) | ||||
Total increase (decrease) in net assets | (11,845 | ) | (1,646,766 | ) | ||||
Net assets: | ||||||||
Beginning of period/year | 9,450,135 | 11,096,901 | ||||||
End of period/year | $ | 9,438,290 | $ | 9,450,135 | ||||
Units outstanding beginning of period/year | 644,661 | 681,662 | ||||||
Units sold | 54,162 | 302,679 | ||||||
Units redeemed | (95,663 | ) | (339,680 | ) | ||||
Units outstanding end of period/year | 603,160 | 644,661 | ||||||
4
INTERMEDIATE HORIZON
(Unaudited)
ASSETS: | ||||
Investments in affiliates, at value (Notes 1 and 2) | $ | 21,736,357 | ||
Cash | — | |||
Receivable for units sold | 17,842 | |||
Receivable for securities sold | 491 | |||
Total assets | 21,754,690 | |||
LIABILITIES: | ||||
Due to Custodian | — | |||
Payable for units redeemed | 18,333 | |||
Payable for securities purchased | — | |||
Accrued investment advisory fee | 3,804 | |||
Total liabilities | 22,137 | |||
Net assets | $ | 21,732,553 | ||
Net assets consist of: | ||||
Cost of accumulation units | $ | 19,282,158 | ||
Undistributed (accumulated) net investment income (loss) | (509,466 | ) | ||
Undistributed (accumulated) net realized gains (losses) | 5,162,763 | |||
Net unrealized appreciaton (depreciation) on investments | (2,202,902 | ) | ||
Net assets | $ | 21,732,553 | ||
Accumulation units | 1,531,894 | |||
Unit value | $ | 14.19 | ||
Investments in affiliates, at cost | $ | 23,939,259 | ||
Investment advisory fees (Note 3) | $ | (20,720 | ) | |
Realized and unrealized gains (losses) on investments in affiliates (Note 2): | ||||
Net realized gains (losses) on investments in affiliates | (10,253 | ) | ||
Change in net unrealized appreciation (depreciation) on investments in affiliates | 1,079,460 | |||
Net realized and unrealized gains (losses) on investments in affiliates | 1,069,207 | |||
Net increase (decrease) in net assets resulting from operations | $ | 1,048,487 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Investment advisory fees | $ | (20,720 | ) | $ | (56,271 | ) | ||
Net realized gains (losses) on investments in affiliates | (10,253 | ) | 2,214,327 | |||||
Change in net unrealized appreciation (depreciation) on investments in affiliates | 1,079,460 | (10,272,210 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,048,487 | (8,114,154 | ) | |||||
From unit transactions: | ||||||||
Units sold | 1,748,536 | 6,324,573 | ||||||
Units redeemed | (3,054,377 | ) | (8,803,875 | ) | ||||
Net increase (decrease) in net assets resulting from unit transactions | (1,305,841 | ) | (2,479,302 | ) | ||||
Total increase (decrease) in net assets | (257,354 | ) | (10,593,456 | ) | ||||
Net assets: | ||||||||
Beginning of period/year | 21,989,907 | 32,583,363 | ||||||
End of period/year | $ | 21,732,553 | $ | 21,989,907 | ||||
Units outstanding beginning of period/year | 1,633,325 | 1,794,207 | ||||||
Units sold | 133,138 | 389,711 | ||||||
Units redeemed | (234,569 | ) | (550,593 | ) | ||||
Units outstanding end of period/year | 1,531,894 | 1,633,325 | ||||||
5
INTERMEDIATE/LONG HORIZON
(Unaudited)
ASSETS: | ||||
Investments in affiliates, at value (Notes 1 and 2) | $ | 26,578,300 | ||
Cash | — | |||
Receivable for units sold | 17,384 | |||
Receivable for securities sold | — | |||
Total assets | 26,595,684 | |||
LIABILITIES: | ||||
Due to custodian | — | |||
Payable for units redeemed | 1,012 | |||
Payable for securities purchased | 16,372 | |||
Accrued investment advisory fees | 4,666 | |||
Total liabilities | 22,050 | |||
Net assets | $ | 26,573,634 | ||
Net assets consist of: | ||||
Cost of accumulation units | $ | 27,652,210 | ||
Undistributed (accumulated) net investment income (loss) | (722,305 | ) | ||
Undistributed (accumulated) net realized gains (losses) | 5,429,231 | |||
Net unrealized appreciaton (depreciation) on investments | (5,785,502 | ) | ||
Net assets | $ | 26,573,634 | ||
Accumulation units | 1,974,534 | |||
Unit value | $ | 13.46 | ||
Investments in affiliates, at cost | $ | 32,363,802 | ||
Investment advisory fees (Note 3) | $ | (29,308 | ) | |
Realized and unrealized gains (losses) on investments in affiliates (Note 2): | ||||
Net realized gains (losses) on investments in affiliates | (999,282 | ) | ||
Change in net unrealized appreciation (depreciation) on investments in affiliates | 2,229,625 | |||
Net realized and unrealized gains (losses) on investments in affiliates | 1,230,343 | |||
Net increase (decrease) in net assets resulting from operations | $ | 1,201,035 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Investment advisory fees | $ | (29,308 | ) | $ | (87,849 | ) | ||
Net realized gains (losses) on investments in affiliates | (999,282 | ) | 2,836,963 | |||||
Change in net unrealized appreciation (depreciation) on investments in affiliates | 2,229,625 | (19,435,674 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,201,035 | (16,686,560 | ) | |||||
From unit transactions: | ||||||||
Units sold | 2,413,902 | 7,759,794 | ||||||
Units redeemed | (10,494,067 | ) | (10,324,144 | ) | ||||
Net increase (decrease) in net assets resulting from unit transactions | (8,080,165 | ) | (2,564,350 | ) | ||||
Total increase (decrease) in net assets | (6,879,130 | ) | (19,250,910 | ) | ||||
Net assets: | ||||||||
Beginning of period/year | 33,452,764 | 52,703,674 | ||||||
End of period/year | $ | 26,573,634 | $ | 33,452,764 | ||||
Units outstanding beginning of period/year | 2,596,241 | 2,731,348 | ||||||
Units sold | 195,641 | 486,824 | ||||||
Units redeemed | (817,348 | ) | (621,931 | ) | ||||
Units outstanding end of period/year | 1,974,534 | 2,596,241 | ||||||
6
SHORT HORIZON
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Investments | ||||||||
129,077 | Transamerica Partners Variable Funds — Core Bond | $ | 4,408,049 | |||||
97,146 | Transamerica Partners Variable Funds — High Quality Bond | 1,581,113 | ||||||
58,525 | Transamerica Partners Variable Funds — High Yield Bond | 1,005,382 | ||||||
61,238 | Transamerica Partners Variable Funds — Inflation-Protected Securities | 1,379,910 | ||||||
13,297 | Transamerica Partners Variable Funds — International Equity | 202,162 | ||||||
7,927 | Transamerica Partners Variable Funds — Large Growth | 289,375 | ||||||
8,484 | Transamerica Partners Variable Funds — Large Value | 283,699 | ||||||
4,288 | Transamerica Partners Variable Funds — Money Market | 90,453 | ||||||
8,284 | Transamerica Partners Variable Funds — Small Core | 199,790 | ||||||
Total Investments — 100.0% (Cost $9,256,169) | 9,439,933 | |||||||
Liabilities less other assets — (0.0)%* | (1,643 | ) | ||||||
Net Assets — 100.0% | $ | 9,438,290 | ||||||
Gross unrealized appreciation | $ | 479,806 | ||
Gross unrealized depreciation | (296,042 | ) | ||
Net unrealized appreciation | $ | 183,764 | ||
* | Amount rounds to less than (0.05)%. |
7
INTERMEDIATE HORIZON
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Investments | ||||||||
146,578 | Transamerica Partners Variable Funds — Core Bond | $ | 5,005,701 | |||||
102,657 | Transamerica Partners Variable Funds — High Quality Bond | 1,670,807 | ||||||
78,722 | Transamerica Partners Variable Funds — High Yield Bond | 1,352,342 | ||||||
93,644 | Transamerica Partners Variable Funds — Inflation-Protected Securities | 2,110,138 | ||||||
178,154 | Transamerica Partners Variable Funds — International Equity | 2,708,498 | ||||||
88,328 | Transamerica Partners Variable Funds — Large Growth | 3,224,353 | ||||||
90,890 | Transamerica Partners Variable Funds — Large Value | 3,039,250 | ||||||
18,950 | Transamerica Partners Variable Funds — Money Market | 399,715 | ||||||
92,278 | Transamerica Partners Variable Funds — Small Core | 2,225,553 | ||||||
Total Investments — 100.0% (Cost $23,939,259) | 21,736,357 | |||||||
Liabilities less other assets — (0.0)%* | (3,804 | ) | ||||||
Net Assets — 100.0% | $ | 21,732,553 | ||||||
Gross unrealized appreciation | $ | 616,342 | ||
Gross unrealized depreciation | (2,819,244 | ) | ||
Net unrealized depreciation | $ | (2,202,902 | ) | |
* | Amount rounds to less than (0.05)%. |
8
INTERMEDIATE/LONG HORIZON
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Investments | ||||||||
113,124 | Transamerica Partners Variable Funds — Core Bond | $ | 3,863,234 | |||||
31,366 | Transamerica Partners Variable Funds — High Quality Bond | 510,501 | ||||||
65,691 | Transamerica Partners Variable Funds — High Yield Bond | 1,128,478 | ||||||
81,758 | Transamerica Partners Variable Funds — Inflation-Protected Securities | 1,842,304 | ||||||
324,493 | Transamerica Partners Variable Funds — International Equity | 4,933,302 | ||||||
147,290 | Transamerica Partners Variable Funds — Large Growth | 5,376,716 | ||||||
145,857 | Transamerica Partners Variable Funds — Large Value | 4,877,269 | ||||||
15,479 | Transamerica Partners Variable Funds — Money Market | 326,500 | ||||||
154,241 | Transamerica Partners Variable Funds — Small Core | 3,719,996 | ||||||
Total Investments — 100.0% (Cost $32,363,802) | 26,578,300 | |||||||
Liabilities less other assets — (0.0)%* | (4,666 | ) | ||||||
Net Assets — 100.0% | $ | 26,573,634 | ||||||
Gross unrealized appreciation | $ | 362,978 | ||
Gross unrealized depreciation | (6,148,480 | ) | ||
Net unrealized depreciation | $ | (5,785,502 | ) | |
* | Amount rounds to less than (0.05)%. |
9
PORTFOLIO COMPOSTION
June 30, 2009
(Unaudited)
Short Horizon | ||||
Money Market Fund | 1.0 | % | ||
Fixed Income Funds | 88.7 | |||
Domestic Equity Funds | 8.2 | |||
International Equity Fund | 2.1 | |||
Liabilities less other assets | (0.0 | )* | ||
100.0 | % | |||
Intermediate Horizon | ||||
Money Market Fund | 1.8 | % | ||
Fixed Income Funds | 46.6 | |||
Domestic Equity Funds | 39.1 | |||
International Equity Fund | 12.5 | |||
Liabilities less other assets | (0.0 | )* | ||
100.0 | % | |||
Intermediate/Long Horizon | ||||
Money Market Fund | 1.2 | % | ||
Fixed Income Funds | 27.6 | |||
Domestic Equity Funds | 52.6 | |||
International Equity Fund | 18.6 | |||
Liabilities less other assets | (0.0 | )* | ||
100.0 | % | |||
* | Amount rounds to less than (0.05)%. |
10
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
11
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Investment Companies | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Money Market Fund | $ | — | $ | 90,453 | $ | — | $ | 90,453 | ||||||||
Fixed Income Funds | — | 8,374,454 | — | 8,374,454 | ||||||||||||
Domestic Equity Funds | — | 772,864 | — | 772,864 | ||||||||||||
International Equity Fund | — | 202,162 | — | 202,162 | ||||||||||||
Total | $ | — | $ | 9,439,933 | $ | — | $ | 9,439,933 | ||||||||
Investment Companies | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Money Market Fund | $ | — | $ | 399,715 | $ | — | $ | 399,715 | ||||||||
Fixed Income Funds | — | 10,138,988 | — | 10,138,988 | ||||||||||||
Domestic Equity Funds | — | 8,489,156 | — | 8,489,156 | ||||||||||||
International Equity Fund | — | 2,708,498 | — | 2,708,498 | ||||||||||||
Total | $ | — | $ | 21,736,357 | $ | — | $ | 21,736,357 | ||||||||
Investment Companies | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Money Market Fund | $ | — | $ | 326,500 | $ | — | $ | 326,500 | ||||||||
Fixed Income Funds | — | 7,344,517 | — | 7,344,517 | ||||||||||||
Domestic Equity Funds | — | 13,973,981 | — | 13,973,981 | ||||||||||||
International Equity Fund | — | 4,933,302 | — | 4,933,302 | ||||||||||||
Total | $ | — | $ | 26,578,300 | $ | — | $ | 26,578,300 | ||||||||
12
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
13
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Cost of | Proceeds | |||||||
Purchases | from Sales | |||||||
Short Horizon | $ | 1,080,584 | $ | 1,701,968 | ||||
Intermediate Horizon | 4,605,253 | 5,931,870 | ||||||
Intermediate/Long Horizon | 13,077,262 | 21,187,835 |
Income (Loss) from | Ratios to Average | |||||||||||||||||||||||||||||||||||||||
Investment Operations | Net Assets | |||||||||||||||||||||||||||||||||||||||
Unit | Net | Net Realized | Total | Unit | Net | Net | ||||||||||||||||||||||||||||||||||
For the | Value, | Investment | and Unrealized | Income (Loss) | Value, | Assets, | Investment | |||||||||||||||||||||||||||||||||
Period/Year | Beginning of | Income | Gains (Losses) | from Investment | End of | Total | End of | Income | Portfolio | |||||||||||||||||||||||||||||||
Ended | Period/Year | (Loss)(a) | on Investments | Operations | Period/Year | Return | Period/Year | Expenses | (Loss) | Turnover | ||||||||||||||||||||||||||||||
Short Horizon | ||||||||||||||||||||||||||||||||||||||||
06/30/2009 | $ | 14.66 | $ | (0.01 | ) | $ | 1.00 | $ | 0.99 | $ | 15.65 | 6.75 | % | $ | 9,438,290 | 0.20 | %* | (0.20 | )%* | 12 | % | |||||||||||||||||||
12/31/2008 | 16.28 | (0.03 | ) | (1.59 | ) | (1.62 | ) | 14.66 | (9.95 | ) | 9,450,135 | 0.20 | (0.20 | ) | 125 | |||||||||||||||||||||||||
12/31/2007 | 15.59 | (0.03 | ) | 0.72 | 0.69 | 16.28 | 4.43 | 11,096,901 | 0.20 | (0.20 | ) | 55 | ||||||||||||||||||||||||||||
12/31/2006 | 14.91 | (0.03 | ) | 0.71 | 0.68 | 15.59 | 4.56 | 10,204,912 | 0.20 | (0.20 | ) | 86 | ||||||||||||||||||||||||||||
12/31/2005 | 14.68 | (0.03 | ) | 0.26 | 0.23 | 14.91 | 1.57 | 11,574,072 | 0.20 | (0.20 | ) | 46 | ||||||||||||||||||||||||||||
12/31/2004 | 14.14 | (0.03 | ) | 0.57 | 0.54 | 14.68 | 3.82 | 10,191,299 | 0.20 | (0.20 | ) | 50 | ||||||||||||||||||||||||||||
Intermediate Horizon | ||||||||||||||||||||||||||||||||||||||||
06/30/2009 | 13.46 | (0.01 | ) | 0.74 | 0.73 | 14.19 | 5.42 | 21,732,553 | 0.20 | * | (0.20 | )* | 22 | |||||||||||||||||||||||||||
12/31/2008 | 18.16 | (0.03 | ) | (4.67 | ) | (4.70 | ) | 13.46 | (25.88 | ) | 21,989,907 | 0.20 | (0.20 | ) | 111 | |||||||||||||||||||||||||
12/31/2007 | 17.44 | (0.04 | ) | 0.76 | 0.72 | 18.16 | 4.13 | 32,583,363 | 0.20 | (0.20 | ) | 18 | ||||||||||||||||||||||||||||
12/31/2006 | 16.11 | (0.03 | ) | 1.36 | 1.33 | 17.44 | 8.26 | 29,956,207 | 0.20 | (0.20 | ) | 55 | ||||||||||||||||||||||||||||
12/31/2005 | 15.50 | (0.03 | ) | 0.64 | 0.61 | 16.11 | 3.94 | 29,281,323 | 0.20 | (0.20 | ) | 29 | ||||||||||||||||||||||||||||
12/31/2004 | 14.52 | (0.03 | ) | 1.01 | 0.98 | 15.50 | 6.75 | 28,720,023 | 0.20 | (0.20 | ) | 28 | ||||||||||||||||||||||||||||
Intermediate/Long Horizon | ||||||||||||||||||||||||||||||||||||||||
06/30/2009 | 12.89 | (0.01 | ) | 0.58 | 0.57 | 13.46 | 4.42 | 26,573,634 | 0.20 | * | (0.20 | )* | 44 | |||||||||||||||||||||||||||
12/31/2008 | 19.30 | (0.03 | ) | (6.38 | ) | (6.41 | ) | 12.89 | (33.21 | ) | 33,452,764 | 0.20 | (0.20 | ) | 105 | |||||||||||||||||||||||||
12/31/2007 | 18.56 | (0.04 | ) | 0.78 | 0.74 | 19.30 | 3.99 | 52,703,674 | 0.20 | (0.20 | ) | 21 | ||||||||||||||||||||||||||||
12/31/2006 | 16.87 | (0.03 | ) | 1.72 | 1.69 | 18.56 | 10.02 | 47,293,477 | 0.20 | (0.20 | ) | 63 | ||||||||||||||||||||||||||||
12/31/2005 | 16.06 | (0.03 | ) | 0.84 | 0.81 | 16.87 | 5.04 | 45,441,180 | 0.20 | (0.20 | ) | 25 | ||||||||||||||||||||||||||||
12/31/2004 | 14.83 | (0.03 | ) | 1.26 | 1.23 | 16.06 | 8.29 | 40,122,473 | 0.20 | (0.20 | ) | 34 |
(a) | Calculated based upon average units outstanding. | |
* | Annualized. |
14
INVESTMENT ADVISORY AGREEMENT — CONTRACT RENEWAL
June 30, 2009
(Unaudited)
15
INVESTMENT ADVISORY AGREEMENT — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
16
INVESTMENT ADVISORY AGREEMENT — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
17
INVESTMENT ADVISORY AGREEMENT — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
18
INVESTMENT ADVISORY AGREEMENT — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
19
MONEY MARKET
(Unaudited)
ASSETS: | ||||
Securities, at value (Note 2) | $ | 1,233,598,296 | ||
Repurchase agreements (cost equals market value) | 28,836,884 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | — | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 2,163,592 | |||
Dividends receivable | — | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | — | |||
Total assets | 1,264,598,772 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | 30,848,153 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 274,444 | |||
Accrued expenses | 58,050 | |||
Total liabilities | 31,180,647 | |||
Net assets | $ | 1,233,418,125 | ||
Securities, at cost | $ | 1,233,598,296 | ||
Investment income (Note 2): | ||||
Interest income | $ | 5,761,524 | ||
Securities lending income (net) | — | |||
Dividend income | — | |||
Less: foreign withholding taxes | — | |||
Total income | 5,761,524 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 1,603,333 | |||
Custody fees | 53,736 | |||
Audit fees | 13,987 | |||
Legal fees | 26,888 | |||
Reports to shareholders | 8,819 | |||
Other fees | 25,712 | |||
Total expenses | 1,732,475 | |||
Expenses reimbursed by the Advisor | — | |||
Net expenses | 1,732,475 | |||
Net investment income (loss) | 4,029,049 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | 39,491 | |||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
39,491 | ||||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | — | |||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
— | ||||
Net realized and unrealized gains (losses) on investments | 39,491 | |||
Net increase (decrease) in net assets resulting from operations | $ | 4,068,540 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 4,029,049 | $ | 29,394,341 | ||||
Net realized gains (losses) on investments | 39,491 | (546,399 | ) | |||||
Change in net unrealized appreciation (depreciation) on investments | — | — | ||||||
Net increase (decrease) in net assets resulting from operations | 4,068,540 | 28,847,942 | ||||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 716,222,526 | 4,260,151,227 | ||||||
Withdrawals | (812,674,690 | ) | (4,013,993,525 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (96,452,164 | ) | 246,157,702 | |||||
Net increase (decrease) in net assets | (92,383,624 | ) | 275,005,644 | |||||
Net assets: | ||||||||
Beginning of period/year | 1,325,801,749 | 1,050,796,105 | ||||||
End of period/year | $ | 1,233,418,125 | $ | 1,325,801,749 | ||||
1
HIGH QUALITY BOND
(Unaudited)
ASSETS: | ||||
Securities, at value (Note 2) | $ | 394,501,962 | ||
Repurchase agreements (cost equals market value) | 4,604,867 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | — | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 2,393,516 | |||
Dividends receivable | — | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | — | |||
Total assets | 401,500,345 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | — | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 122,531 | |||
Accrued expenses | 59,511 | |||
Total liabilities | 182,042 | |||
Net assets | $ | 401,318,303 | ||
Securities, at cost | $ | 396,574,548 | ||
Investment income (Note 2): | ||||
Interest income | $ | 8,807,928 | ||
Securities lending income (net) | 16,755 | |||
Dividend income | — | |||
Less: foreign withholding taxes | — | |||
Total income | 8,824,683 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 692,322 | |||
Custody fees | 37,197 | |||
Audit fees | 15,057 | |||
Legal fees | 6,185 | |||
Reports to shareholders | 2,877 | |||
Other fees | 8,296 | |||
Total expenses | 761,934 | |||
Expenses reimbursed by the Advisor | — | |||
Net expenses | 761,934 | |||
Net investment income (loss) | 8,062,749 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (3,105,334 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(3,105,334 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | 16,546,707 | |||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
16,546,707 | ||||
Net realized and unrealized gains (losses) on investments | 13,441,373 | |||
Net increase (decrease) in net assets resulting from operations | $ | 21,504,122 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 8,062,749 | $ | 22,266,407 | ||||
Net realized gains (losses) on investments | (3,105,334 | ) | 3,031,998 | |||||
Change in net unrealized appreciation (depreciation) on investments | 16,546,707 | (20,430,574 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 21,504,122 | 4,867,831 | ||||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 81,284,104 | 202,813,678 | ||||||
Withdrawals | (122,701,426 | ) | (619,741,245 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (41,417,322 | ) | (416,927,567 | ) | ||||
Net increase (decrease) in net assets | (19,913,200 | ) | (412,059,736 | ) | ||||
Net assets: | ||||||||
Beginning of period/year | 421,231,503 | 833,291,239 | ||||||
End of period/year | $ | 401,318,303 | $ | 421,231,503 | ||||
2
INFLATION-PROTECTED SECURITIES
(Unaudited)
ASSETS: | ||||
Securities, at value (Note 2) | $ | 330,637,349 | ||
Repurchase agreements (cost equals market value) | 24,097,428 | |||
Cash at broker | — | |||
Foreign currency holdings, at value (cost $17,058) | 17,025 | |||
Receivable for securities sold | 5,555,404 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | 80,168 | |||
Swap contracts, at value | 332,816 | |||
Variation margin receivable | — | |||
Interest receivable | 2,863,598 | |||
Dividends receivable | — | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | — | |||
Total assets | 363,583,788 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | — | |||
Securities sold short, at value | — | |||
Written options, at value ($1,480,290) | 1,470,294 | |||
Swap contracts, at value | 238,969 | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | 3,470 | |||
Variation margin payable | 38,611 | |||
Accrued investment advisory fees | 112,029 | |||
Accrued expenses | 45,904 | |||
Total liabilities | 1,909,277 | |||
Net assets | $ | 361,674,511 | ||
Securities, at cost | $ | 333,418,262 | ||
Investment income (Note 2): | ||||
Interest income | $ | 15,567 | ||
Securities lending income (net) | — | |||
Dividend income | — | |||
Less: foreign withholding taxes | — | |||
Total income | 15,567 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 638,008 | |||
Custody fees | 31,035 | |||
Audit fees | 15,057 | |||
Legal fees | 8,284 | |||
Reports to shareholders | 2,721 | |||
Other fees | 7,871 | |||
Total expenses | 702,976 | |||
Expenses reimbursed by the Advisor | — | |||
Net expenses | 702,976 | |||
Net investment income (loss) | (687,409 | ) | ||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (1,329,793 | ) | ||
Swap contracts | (49,656 | ) | ||
Futures | (704,889 | ) | ||
Written options | 24,207 | |||
Foreign currency transactions | (37,344 | ) | ||
(2,097,475 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | 18,192,299 | |||
Futures | 578,686 | |||
Written options | 9,996 | |||
Short sales | — | |||
Swap contracts | 93,847 | |||
Foreign currency translations | 77,410 | |||
18,952,238 | ||||
Net realized and unrealized gains (losses) on investments | 16,854,763 | |||
Net increase (decrease) in net assets resulting from operations | $ | 16,167,354 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | (687,409 | ) | $ | 23,136,350 | |||
Net realized gains (losses) on investments | (2,097,475 | ) | (10,343,716 | ) | ||||
Change in net unrealized appreciation (depreciation) on investments | 18,952,238 | (28,629,135 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 16,167,354 | (15,836,501 | ) | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 40,149,348 | 509,258,026 | ||||||
Withdrawals | (83,840,065 | ) | (253,237,047 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (43,690,717 | ) | 256,020,979 | |||||
Net increase (decrease) in net assets | (27,523,363 | ) | 240,184,478 | |||||
Net assets: | ||||||||
Beginning of period/year | 389,197,874 | 149,013,396 | ||||||
End of period/year | $ | 361,674,511 | $ | 389,197,874 | ||||
3
CORE BOND
(Unaudited)
ASSETS: | ||||
Securities, at value (Note 2) | $ | 1,776,954,261 | ||
Repurchase agreements (cost equals market value) | 99,090,576 | |||
Cash at broker | — | |||
Foreign currency holdings, at value (cost $94,260) | 93,706 | |||
Receivable for securities sold | 808,271,242 | |||
Receivable for principal paydowns | 266,150 | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | 12,420,074 | |||
Variation margin receivable | — | |||
Interest receivable | 11,511,241 | |||
Dividends receivable | — | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | — | |||
Total assets | 2,708,607,250 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | 929,277,572 | |||
Securities sold short, at value (proceeds $267,456,508) | 267,965,436 | |||
Written options, at value (premium $29,682,250) | 30,456,348 | |||
Swap contracts, at value | 5,729,546 | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | 430,511 | |||
Variation margin payable | 330,078 | |||
Accrued investment advisory fees | 454,565 | |||
Accrued expenses | 156,758 | |||
Total liabilities | 1,234,800,814 | |||
Net assets | $ | 1,473,806,436 | ||
Securities, at cost | $ | 1,831,294,844 | ||
Investment income (Note 2): | ||||
Interest income | $ | 39,367,460 | ||
Securities lending income (net) | 6,728 | |||
Dividend income | — | |||
Less: foreign withholding taxes | — | |||
Total income | 39,374,188 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 2,637,208 | |||
Custody fees | 144,275 | |||
Audit fees | 16,727 | |||
Legal fees | 25,594 | |||
Reports to shareholders | 11,357 | |||
Other fees | 32,747 | |||
Total expenses | 2,867,908 | |||
Expenses reimbursed by the Advisor | — | |||
Net expenses | 2,867,908 | |||
Net investment income (loss) | 36,506,280 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (57,989,946 | ) | ||
Swap contracts | 15,758,712 | |||
Futures | 1,688,122 | |||
Written options | 190,265 | |||
Foreign currency transactions | 481,001 | |||
(39,871,846 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | 93,160,131 | |||
Futures | (1,293,227 | ) | ||
Written options | 4,776,945 | |||
Short sales | 1,476,568 | |||
Swap contracts | (13,190,301 | ) | ||
Foreign currency translations | (541,152 | ) | ||
84,388,964 | ||||
Net realized and unrealized gains (losses) on investments | 44,517,118 | |||
Net increase (decrease) in net assets resulting from operations | $ | 81,023,398 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 36,506,280 | $ | 99,859,649 | ||||
Net realized gains (losses) on investments | (39,871,846 | ) | 32,472,517 | |||||
Change in net unrealized appreciation (depreciation) on investments | 84,388,964 | (171,050,113 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 81,023,398 | (38,717,947 | ) | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 150,037,359 | 611,898,545 | ||||||
Withdrawals | (424,567,006 | ) | (1,154,747,429 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (274,529,647 | ) | (542,848,884 | ) | ||||
Net increase (decrease) in net assets | (193,506,249 | ) | (581,566,831 | ) | ||||
Net assets: | ||||||||
Beginning of period/year | 1,667,312,685 | 2,248,879,516 | ||||||
End of period/year | $ | 1,473,806,436 | $ | 1,667,312,685 | ||||
4
TOTAL RETURN BOND
(Unaudited)
ASSETS: | ||||
Securities, at value (Note 2) | $ | 275,668,544 | ||
Repurchase agreements (cost equals market value) | 1,416,448 | |||
Cash at broker | 1,992,027 | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 2,224,151 | |||
Receivable for principal paydowns | 98,824 | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | 187,369 | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 2,780,690 | |||
Dividends receivable | — | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | 2,847 | |||
Receivable from securities lending (net) | — | |||
Total assets | 284,370,900 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Payable for written options | — | |||
Collateral for securities out on loan | — | |||
Payable for securities and options purchased | 26,732,552 | |||
Securities sold short, at value | — | |||
Written options, at value (premium $162,219) | 73,081 | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | 283,451 | |||
Variation margin payable | 342,229 | |||
Accrued investment advisory fees | 81,430 | |||
Accrued expenses | 61,075 | |||
Total liabilities | 27,573,818 | |||
Net assets | $ | 256,797,082 | ||
Securities, at cost | $ | 327,448,615 | ||
Investment income (Note 2): | ||||
Interest income | $ | 8,283,308 | ||
Securities lending income (net) | 448 | |||
Dividend income | 9,255 | |||
Less: foreign withholding taxes | — | |||
Total income | 8,293,011 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 465,591 | |||
Custody fees | 54,127 | |||
Audit fees | 16,749 | |||
Legal fees | 4,669 | |||
Reports to shareholders | 2,051 | |||
Other fees | 5,906 | |||
Total expenses | 549,093 | |||
Expenses reimbursed by the Advisor | (16,989 | ) | ||
Net expenses | 532,104 | |||
Net investment income (loss) | 7,760,907 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (1,787,815 | ) | ||
Swap contracts | — | |||
Futures | (2,064,286 | ) | ||
Written options | 720,011 | |||
Foreign currency transactions | 224,203 | |||
(2,907,887 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | 14,140,283 | |||
Futures | (1,421,448 | ) | ||
Written options | 1,131,764 | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | (197,574 | ) | ||
13,653,025 | ||||
Net realized and unrealized gains (losses) on investments | 10,745,138 | |||
Net increase (decrease) in net assets | ||||
resulting from operations | $ | 18,506,045 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 7,760,907 | $ | 19,128,952 | ||||
Net realized gains (losses) on investments | (2,907,887 | ) | 4,762,016 | |||||
Change in net unrealized appreciation (depreciation) on investments | 13,653,025 | (59,224,787 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 18,506,045 | (35,333,819 | ) | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 36,555,972 | 156,252,922 | ||||||
Withdrawals | (98,677,935 | ) | (210,793,599 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (62,121,963 | ) | (54,540,677 | ) | ||||
Net increase (decrease) in net assets | (43,615,918 | ) | (89,874,496 | ) | ||||
Net assets: | ||||||||
Beginning of period/year | 300,413,000 | 390,287,496 | ||||||
End of period/year | $ | 256,797,082 | $ | 300,413,000 | ||||
5
HIGH YIELD BOND
(Unaudited)
ASSETS: | ||||
Securities, at value (Note 2) | $ | 520,856,700 | ||
Repurchase agreements (cost equals market value) | 2,968,343 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 8,866,563 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 12,064,686 | |||
Dividends receivable | — | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | — | |||
Total assets | 544,756,292 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | 14,428,957 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 258,007 | |||
Accrued expenses | 59,899 | |||
Total liabilities | 14,746,863 | |||
Net assets | $ | 530,009,429 | ||
Securities, at cost | $ | 598,662,753 | ||
Investment income (Note 2): | ||||
Interest income | $ | 27,366,884 | ||
Securities lending income (net) | — | |||
Dividend income | 84,155 | |||
Less: foreign withholding taxes | — | |||
Total income | 27,451,039 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 1,286,725 | |||
Custody fees | 46,965 | |||
Audit fees | 15,057 | |||
Legal fees | 7,124 | |||
Reports to shareholders | 2,930 | |||
Other fees | 10,300 | |||
Total expenses | 1,369,101 | |||
Expenses reimbursed by the Advisor | — | |||
Net expenses | 1,369,101 | |||
Net investment income (loss) | 26,081,938 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (24,421,613 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(24,421,613 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | 122,526,809 | |||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
122,526,809 | ||||
Net realized and unrealized gains (losses) on investments | 98,105,196 | |||
Net increase (decrease) in net assets resulting from operations | $ | 124,187,134 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 26,081,938 | $ | 52,310,795 | ||||
Net realized gains (losses) on investments | (24,421,613 | ) | (47,659,274 | ) | ||||
Change in net unrealized appreciation (depreciation) on investments | 122,526,809 | (177,504,943 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 124,187,134 | (172,853,422 | ) | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 52,905,257 | 263,465,864 | ||||||
Withdrawals | (86,946,416 | ) | (189,476,006 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (34,041,159 | ) | 73,989,858 | |||||
Net increase (decrease) in net assets | 90,145,975 | (98,863,564 | ) | |||||
Net assets: | ||||||||
Beginning of period/year | 439,863,454 | 538,727,018 | ||||||
End of period/year | $ | 530,009,429 | $ | 439,863,454 | ||||
6
BALANCED
(Unaudited)
ASSETS: | ||||
Securities, at value (Note 2) | $ | 146,608,307 | ||
Repurchase agreements (cost equals market value) | 8,313,730 | |||
Cash at broker | 800,004 | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 3,114,576 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | 104,927 | |||
Swap contracts, at value | — | |||
Variation margin receivable | 214 | |||
Interest receivable | 724,790 | |||
Dividends receivable | 92,537 | |||
Foreign tax reclaim receivable | 56 | |||
Receivable from Advisor | 8,520 | |||
Receivable from securities lending (net) | — | |||
Total assets | 159,767,661 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Payable for written options | — | |||
Foreign currency holdings, at value | — | |||
Payable for securities and options purchased | 11,720,239 | |||
Securities sold short, at value | — | |||
Written options, at value (premium $29,076) | 36,044 | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | 127,207 | |||
Variation margin payable | 84,049 | |||
Accrued investment advisory fees | 58,577 | |||
Accrued expenses | 84,564 | |||
Total liabilities | 12,110,680 | |||
Net assets | $ | 147,656,981 | ||
Securities, at cost | $ | 178,043,923 | ||
Investment income (Note 2): | ||||
Interest income | $ | 1,758,751 | ||
Securities lending income (net) | 2,250 | |||
Dividend income | 1,144,645 | |||
Less: foreign withholding taxes | (2,134 | ) | ||
Total income | 2,903,512 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 323,533 | |||
Custody fees | 67,972 | |||
Audit fees | 15,642 | |||
Legal fees | 2,099 | |||
Reports to shareholders | 1,803 | |||
Other fees | 3,228 | |||
Total expenses | 414,277 | |||
Expenses reimbursed by the Advisor | (54,796 | ) | ||
Net expenses | 359,481 | |||
Net investment income (loss) | 2,544,031 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (15,600,161 | ) | ||
Swap contracts | — | |||
Futures | (253,910 | ) | ||
Written options | 177,470 | |||
Foreign currency transactions | 167,557 | |||
(15,509,044 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | 19,830,872 | |||
Futures | (558,074 | ) | ||
Written options | 273,128 | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | (121,345 | ) | ||
19,424,581 | ||||
Net realized and unrealized gains (losses) on investments | 3,915,537 | |||
Net increase (decrease) in net assets resulting from operations | $ | 6,459,568 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 2,544,031 | $ | 8,396,624 | ||||
Net realized gains (losses) on investments | (15,509,044 | ) | (18,537,242 | ) | ||||
Change in net unrealized appreciation (depreciation) on investments | 19,424,581 | (61,189,120 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 6,459,568 | (71,329,738 | ) | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 7,970,551 | 40,381,517 | ||||||
Withdrawals | (35,703,248 | ) | (118,756,852 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (27,732,697 | ) | (78,375,335 | ) | ||||
Net increase (decrease) in net assets | (21,273,129 | ) | (149,705,073 | ) | ||||
Net assets: | ||||||||
Beginning of period/year | 168,930,110 | 318,635,183 | ||||||
End of period/year | $ | 147,656,981 | $ | 168,930,110 | ||||
7
LARGE VALUE
(Unaudited)
ASSETS: | ||||
Securities, at value (Note 2) | $ | 1,177,918,647 | ||
Repurchase agreements (cost equals market value) | 26,800,488 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 17,272,187 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | — | |||
Dividends receivable | 1,261,009 | |||
Foreign tax reclaim receivable | 1,552 | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | — | |||
Total assets | 1,223,253,883 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | 21,546,883 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 484,717 | |||
Accrued expenses | 128,275 | |||
Total liabilities | 22,159,875 | |||
Net assets | $ | 1,201,094,008 | ||
Securities, at cost | $ | 1,248,620,124 | ||
Investment income (Note 2): | ||||
Interest income | $ | — | ||
Securities lending income (net) | — | |||
Dividend income | 18,751,955 | |||
Less: foreign withholding taxes | (96,220 | ) | ||
Total income | 18,655,735 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 2,715,832 | |||
Custody fees | 108,544 | |||
Audit fees | 16,732 | |||
Legal fees | 28,859 | |||
Reports to shareholders | 15,519 | |||
Other fees | 25,254 | |||
Total expenses | 2,910,740 | |||
Expenses reimbursed by the Advisor | — | |||
Net expenses | 2,910,740 | |||
Net investment income (loss) | 15,744,995 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (709,615,398 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(709,615,398 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities Futures | 630,455,358 | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
630,455,358 | ||||
Net realized and unrealized gains (losses) on investments | (79,160,040 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (63,415,045 | ) | |
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 15,744,995 | $ | 58,283,183 | ||||
Net realized gains (losses) on investments | (709,615,398 | ) | (202,203,330 | ) | ||||
Change in net unrealized appreciation (depreciation) on investments | 630,455,358 | (1,044,249,653 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (63,415,045 | ) | (1,188,169,800 | ) | ||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 81,374,359 | 536,264,110 | ||||||
Withdrawals | (267,835,453 | ) | (1,062,148,938 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (186,461,094 | ) | (525,884,828 | ) | ||||
Net increase (decrease) in net assets | (249,876,139 | ) | (1,714,054,628 | ) | ||||
Net assets: | ||||||||
Beginning of period/year | 1,450,970,147 | 3,165,024,775 | ||||||
End of period/year | $ | 1,201,094,008 | $ | 1,450,970,147 | ||||
8
VALUE
(Unaudited)
ASSETS: | ||||
Securities, at value (Note 2) | $ | 45,594,329 | ||
Repurchase agreements (cost equals market value) | 883,119 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | — | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | — | |||
Dividends receivable | 104,471 | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | 2,311 | |||
Receivable from securities lending (net) | — | |||
Total assets | 46,584,230 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | 182,037 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 23,359 | |||
Accrued expenses | 23,233 | |||
Total liabilities | 228,629 | |||
Net assets | $ | 46,355,601 | ||
Securities, at cost | $ | 50,170,550 | ||
Investment income (Note 2): | ||||
Interest income | $ | 315 | ||
Securities lending income (net) | 365 | |||
Dividend income | 803,949 | |||
Less: foreign withholding taxes | — | |||
Total income | 804,629 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 128,630 | |||
Custody fees | 7,357 | |||
Audit fees | 16,749 | |||
Legal fees | 924 | |||
Reports to shareholders | 650 | |||
Other fees | 1,059 | |||
Total expenses | 155,369 | |||
Expenses reimbursed by the Advisor | (13,876 | ) | ||
Net expenses | 141,493 | |||
Net investment income (loss) | 663,136 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (22,268,011 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(22,268,011 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | 26,487,849 | |||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
26,487,849 | ||||
Net realized and unrealized gains (losses) on investments | 4,219,838 | |||
Net increase (decrease) in net assets resulting from operations | $ | 4,882,974 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 663,136 | $ | 2,674,426 | ||||
Net realized gains (losses) on investments | (22,268,011 | ) | (56,111,388 | ) | ||||
Change in net unrealized appreciation (depreciation) on investments | 26,487,849 | (5,216,768 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 4,882,974 | (58,653,730 | ) | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 9,497,318 | 49,620,283 | ||||||
Withdrawals | (28,728,255 | ) | (71,828,915 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (19,230,937 | ) | (22,208,632 | ) | ||||
Net increase (decrease) in net assets | (14,347,963 | ) | (80,862,362 | ) | ||||
Net assets: | ||||||||
Beginning of period/year | 60,703,564 | 141,565,926 | ||||||
End of period/year | $ | 46,355,601 | $ | 60,703,564 | ||||
9
LARGE CORE
(Unaudited)
ASSETS: | ||||
Securities, at value (Note 2) | $ | 246,431,650 | ||
Repurchase agreements (cost equals market value) | 3,343,117 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 17,519,486 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | — | |||
Dividends receivable | 243,338 | |||
Foreign tax reclaim receivable | 563 | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | — | |||
Total assets | 267,538,154 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | 17,591,082 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | 1,950 | |||
Accrued investment advisory fees | 132,487 | |||
Accrued expenses | 85,270 | |||
Total liabilities | 17,810,789 | |||
Net assets | $ | 249,727,365 | ||
Securities, at cost | $ | 274,841,081 | ||
Investment income (Note 2): | ||||
Interest income | $ | — | ||
Securities lending income (net) | 7,195 | |||
Dividend income | 2,750,476 | |||
Less: foreign withholding taxes | (3,722 | ) | ||
Total income | 2,753,949 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 720,394 | |||
Custody fees | 486 | |||
Audit fees | 15,639 | |||
Legal fees | 2,953 | |||
Reports to shareholders | 3,059 | |||
Other fees | 5,503 | |||
Total expenses | 748,034 | |||
Expenses reimbursed by the Advisor | — | |||
Net expenses | 748,034 | |||
Net investment income (loss) | 2,005,915 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (52,119,901 | ) | ||
Swap contracts | — | |||
Futures | (8,056 | ) | ||
Written options | — | |||
Foreign currency transactions | 212 | |||
(52,127,745 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | 54,509,260 | |||
Futures | (37,921 | ) | ||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
54,471,339 | ||||
Net realized and unrealized gains (losses) on investments | 2,343,594 | |||
Net increase (decrease) in net assets | ||||
resulting from operations | $ | 4,349,509 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 2,005,915 | $ | 6,019,563 | ||||
Net realized gains (losses) on investments | (52,127,745 | ) | (72,555,667 | ) | ||||
Change in net unrealized appreciation (depreciation) on investments | 54,471,339 | (138,992,098 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 4,349,509 | (205,528,202 | ) | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 15,837,451 | 90,488,196 | ||||||
Withdrawals | (52,233,576 | ) | (506,447,834 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (36,396,125 | ) | (415,959,638 | ) | ||||
Net increase (decrease) in net assets | (32,046,616 | ) | (621,487,840 | ) | ||||
Net assets: | ||||||||
Beginning of period/year | 281,773,981 | 903,261,821 | ||||||
End of period/year | $ | 249,727,365 | $ | 281,773,981 | ||||
10
LARGE GROWTH
(Unaudited)
June 30, 2009
ASSETS: | ||||
Securities, at value (Note 2) | $ | 1,085,089,774 | ||
Repurchase agreements (cost equals market value) | 29,407,920 | |||
Cash at broker | — | |||
Foreign currency holdings, at value (cost $2,912) | 2,978 | |||
Receivable for securities sold | 10,382,718 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 8 | |||
Dividends receivable | 1,563,414 | |||
Foreign tax reclaim receivable | 242,161 | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | — | |||
Total assets | 1,126,688,973 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | 7,715,210 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 616,177 | |||
Accrued expenses | 138,240 | |||
Total liabilities | 8,469,627 | |||
Net assets | $ | 1,118,219,346 | ||
Securities, at cost | $ | 1,130,608,991 | ||
Investment income (Note 2): | ||||
Interest income | $ | 4,929 | ||
Securities lending income (net) | 89,743 | |||
Dividend income | 9,873,406 | |||
Less: foreign withholding taxes | (23,102 | ) | ||
Total income | 9,944,976 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 3,247,286 | |||
Custody fees | 90,293 | |||
Audit fees | 16,727 | |||
Legal fees | 17,697 | |||
Reports to shareholders | 12,241 | |||
Other fees | 19,530 | |||
Total expenses | 3,403,774 | |||
Expenses reimbursed by the Advisor | (4,067 | ) | ||
Net expenses | 3,399,707 | |||
Net investment income (loss) | 6,545,269 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (146,965,332 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | 718 | |||
(146,964,614 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | 228,987,905 | |||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | 66 | |||
228,987,971 | ||||
Net realized and unrealized gains (losses) on investments | 82,023,357 | |||
Net increase (decrease) in net assets resulting from operations | $ | 88,568,626 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 6,545,269 | $ | 16,251,364 | ||||
Net realized gains (losses) on investments | (146,964,614 | ) | (312,720,453 | ) | ||||
Change in net unrealized appreciation (depreciation) on investments | 228,987,971 | (519,838,009 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 88,568,626 | (816,307,098 | ) | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 66,266,342 | 359,020,573 | ||||||
Withdrawals | (167,398,375 | ) | (856,691,575 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (101,132,033 | ) | (497,671,002 | ) | ||||
Net increase (decrease) in net assets | (12,563,407 | ) | (1,313,978,100 | ) | ||||
Net assets: | ||||||||
Beginning of period/year | 1,130,782,753 | 2,444,760,853 | ||||||
End of period/year | $ | 1,118,219,346 | $ | 1,130,782,753 | ||||
11
GROWTH
(Unaudited)
ASSETS: | ||||
Securities, at value (Note 2) | $ | 182,672,389 | ||
Repurchase agreements (cost equals market value) | 307,387 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 2,410,787 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | — | |||
Dividends receivable | 77,708 | |||
Foreign tax reclaim receivable | 15,799 | |||
Receivable from Advisor | 2,081 | |||
Receivable from securities lending (net) | — | |||
Total assets | 185,486,151 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | 1,168,579 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 128,902 | |||
Accrued expenses | 45,247 | |||
Total liabilities | 1,342,728 | |||
Net assets | $ | 184,143,423 | ||
Securities, at cost | $ | 176,242,010 | ||
Investment income (Note 2): | ||||
Interest income | $ | — | ||
Securities lending income (net) | 7,510 | |||
Dividend income | 892,075 | |||
Less: foreign withholding taxes | (6,503 | ) | ||
Total income | 893,082 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 677,428 | |||
Custody fees | 22,988 | |||
Audit fees | 14,518 | |||
Legal fees | 2,891 | |||
Reports to shareholders | 2,016 | |||
Other fees | 3,594 | |||
Total expenses | 723,435 | |||
Expenses reimbursed by the Advisor | (19,612 | ) | ||
Net expenses | 703,823 | |||
Net investment income (loss) | 189,259 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (26,020,563 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(26,020,563 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | 49,877,344 | |||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
49,877,344 | ||||
Net realized and unrealized gains (losses) on investments | 23,856,781 | |||
Net increase (decrease) in net assets resulting from operations | $ | 24,046,040 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 189,259 | $ | 48,215 | ||||
Net realized gains (losses) on investments | (26,020,563 | ) | (68,303,731 | ) | ||||
Change in net unrealized appreciation (depreciation) on investments | 49,877,344 | (132,858,969 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 24,046,040 | (201,114,485 | ) | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 14,733,171 | 100,062,106 | ||||||
Withdrawals | (37,163,596 | ) | (143,792,807 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (22,430,425 | ) | (43,730,701 | ) | ||||
Net increase (decrease) in net assets | 1,615,615 | (244,845,186 | ) | |||||
Net assets: | ||||||||
Beginning of period/year | 182,527,808 | 427,372,994 | ||||||
End of period/year | $ | 184,143,423 | $ | 182,527,808 | ||||
12
MID VALUE
(Unaudited)
ASSETS: | ||||
Securities, at value (Note 2) | $ | 641,855,442 | ||
Repurchase agreements (cost equals market value) | 17,340,169 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 4,354,095 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 1,214 | |||
Dividends receivable | 793,301 | |||
Foreign tax reclaim receivable | 6,124 | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | — | |||
Total assets | 664,350,345 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | 3,057,904 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 392,642 | |||
Accrued expenses | 86,733 | |||
Contingent liability (Note 6) | — | |||
Total liabilities | 3,537,279 | |||
Net assets | $ | 660,813,066 | ||
Securities, at cost | $ | 784,181,795 | ||
Investment income (Note 2): | ||||
Interest income | $ | 7,881 | ||
Securities lending income (net) | 25,694 | |||
Dividend income | 7,203,382 | |||
Less: foreign withholding taxes | (15,309 | ) | ||
Total income | 7,221,648 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 2,010,837 | |||
Custody fees | 45,577 | |||
Audit fees | 12,826 | |||
Legal fees | 10,170 | |||
Reports to shareholders | 6,717 | |||
Other fees | 12,103 | |||
Total expenses | 2,098,230 | |||
Expenses reimbursed by the Advisor | (274 | ) | ||
Net expenses | 2,097,956 | |||
Net investment income (loss) | 5,123,692 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (128,017,058 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(128,017,058 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | 163,898,265 | |||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
163,898,265 | ||||
Net realized and unrealized gains (losses) on investments | 35,881,207 | |||
Net increase (decrease) in net assets resulting from operations | $ | 41,004,899 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 5,123,692 | $ | 14,250,595 | ||||
Net realized gains (losses) on investments | (128,017,058 | ) | (84,755,112 | ) | ||||
Change in net unrealized appreciation (depreciation) on investments | 163,898,265 | (307,127,354 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 41,004,899 | (377,631,871 | ) | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 50,238,477 | 281,951,760 | ||||||
Withdrawals | (60,679,794 | ) | (262,247,615 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (10,441,317 | ) | 19,704,145 | |||||
Net increase (decrease) in net assets | 30,563,582 | (357,927,726 | ) | |||||
Net assets: | ||||||||
Beginning of period/year | 630,249,484 | 988,177,210 | ||||||
End of period/year | $ | 660,813,066 | $ | 630,249,484 | ||||
13
MID GROWTH
(Unaudited)
ASSETS: | ||||
Securities, at value (Note 2) | $ | 218,709,180 | ||
Repurchase agreements (cost equals market value) | 5,939,419 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | — | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | — | |||
Dividends receivable | 24,011 | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | 1,008 | |||
Receivable from securities lending (net) | — | |||
Total assets | 224,673,618 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | 1,149,696 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 142,991 | |||
Accrued expenses | 47,446 | |||
Total liabilities | 1,340,133 | |||
Net assets | $ | 223,333,485 | ||
Securities, at cost | $ | 204,200,246 | ||
Investment income (Note 2): | ||||
Interest income | $ | 1,206 | ||
Securities lending income (net) | 25,581 | |||
Dividend income | 476,996 | |||
Less: foreign withholding taxes | (3,461 | ) | ||
Total income | 500,322 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 781,762 | |||
Custody fees | 18,899 | |||
Audit fees | 12,819 | |||
Legal fees | 3,762 | |||
Reports to shareholders | 2,508 | |||
Other fees | 4,491 | |||
Total expenses | 824,241 | |||
Expenses reimbursed by the Advisor | (9,965 | ) | ||
Net expenses | 814,276 | |||
Net investment income (loss) | (313,954 | ) | ||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (70,610,819 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(70,610,819 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | 74,422,336 | |||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
74,422,336 | ||||
Net realized and unrealized gains (losses) on investments | 3,811,517 | |||
Net increase (decrease) in net assets resulting from operations | $ | 3,497,563 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | (313,954 | ) | $ | (58,309 | ) | ||
Net realized gains (losses) on investments | (70,610,819 | ) | (28,806,028 | ) | ||||
Change in net unrealized appreciation (depreciation) on investments | 74,422,336 | (127,522,362 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 3,497,563 | (156,386,699 | ) | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 16,328,699 | 152,813,962 | ||||||
Withdrawals | (25,458,680 | ) | (104,650,264 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (9,129,981 | ) | 48,163,698 | |||||
Net increase (decrease) in net assets | (5,632,418 | ) | (108,223,001 | ) | ||||
Net assets: | ||||||||
Beginning of period/year | 228,965,903 | 337,188,904 | ||||||
End of period/year | $ | 223,333,485 | $ | 228,965,903 | ||||
14
SMALL VALUE
(Unaudited)
ASSETS: | ||||
Securities, at value (Note 2) | $ | 135,389,136 | ||
Repurchase agreements (cost equals market value) | 4,796,774 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 178,880 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | — | |||
Dividends receivable | 191,848 | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | 3,172 | |||
Receivable from securities lending (net) | — | |||
Total assets | 140,559,810 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | 931,968 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 103,094 | |||
Accrued expenses | 45,922 | |||
Total liabilities | 1,080,984 | |||
Net assets | $ | 139,478,826 | ||
Securities, at cost | $ | 162,138,834 | ||
Investment income (Note 2): | ||||
Interest income | $ | 3,032 | ||
Securities lending income (net) | 43,718 | |||
Dividend income | 1,635,938 | |||
Less: foreign withholding taxes | — | |||
Total income | 1,682,688 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 547,168 | |||
Custody fees | 27,662 | |||
Audit fees | 12,848 | |||
Legal fees | 2,324 | |||
Reports to shareholders | 1,661 | |||
Other fees | 2,979 | |||
Total expenses | 594,642 | |||
Expenses reimbursed by the Advisor | (27,455 | ) | ||
Net expenses | 567,187 | |||
Net investment income (loss) | 1,115,501 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (18,552,842 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(18,552,842 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | 10,865,252 | |||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
10,865,252 | ||||
Net realized and unrealized gains (losses) on investments | (7,687,590 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (6,572,089 | ) | |
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 1,115,501 | $ | 4,063,695 | ||||
Net realized gains (losses) on investments | (18,552,842 | ) | (36,930,139 | ) | ||||
Change in net unrealized appreciation (depreciation) on investments | 10,865,252 | (19,172,892 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (6,572,089 | ) | (52,039,336 | ) | ||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 7,403,952 | 131,998,850 | ||||||
Withdrawals | (17,981,220 | ) | (108,467,936 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (10,577,268 | ) | 23,530,914 | |||||
Net increase (decrease) in net assets | (17,149,357 | ) | (28,508,422 | ) | ||||
Net assets: | ||||||||
Beginning of period/year | 156,628,183 | 185,136,605 | ||||||
End of period/year | $ | 139,478,826 | $ | 156,628,183 | ||||
15
SMALL CORE
(Unaudited)
ASSETS: | ||||
Securities, at value (Note 2) | $ | 307,961,984 | ||
Repurchase agreements (cost equals market value) | 3,217,403 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 12,063,942 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | — | |||
Dividends receivable | 329,546 | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | 2,857 | |||
Receivable from securities lending (net) | — | |||
Total assets | 323,575,732 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | 255,405 | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | 8,974,369 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | 2,404 | |||
Accrued investment advisory fees | 224,757 | |||
Accrued expenses | 93,133 | |||
Total liabilities | 9,550,068 | |||
Net assets | $ | 314,025,664 | ||
Securities, at cost | $ | 315,927,838 | ||
Investment income (Note 2): | ||||
Interest income | $ | 9,023 | ||
Securities lending income (net) | 69,960 | |||
Dividend income | 2,467,907 | |||
Less: foreign withholding taxes | (1,326 | ) | ||
Total income | 2,545,564 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 1,252,803 | |||
Custody fees | 55,687 | |||
Audit fees | 16,727 | |||
Legal fees | 5,618 | |||
Reports to shareholders | 4,149 | |||
Other fees | 7,414 | |||
Total expenses | 1,342,398 | |||
Expenses reimbursed by the Advisor | (11,130 | ) | ||
Net expenses | 1,331,268 | |||
Net investment income (loss) | 1,214,296 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (122,154,966 | ) | ||
Swap contracts | — | |||
Futures | (47,611 | ) | ||
Written options | — | |||
Foreign currency transactions | — | |||
(122,202,577 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | 126,218,044 | |||
Futures | (82,550 | ) | ||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
126,135,494 | ||||
Net realized and unrealized gains (losses) on investments | 3,932,917 | |||
Net increase (decrease) in net assets resulting from operations | $ | 5,147,213 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 1,214,296 | $ | 5,961,479 | ||||
Net realized gains (losses) on investments | (122,202,577 | ) | (151,927,373 | ) | ||||
Change in net unrealized appreciation (depreciation) on investments | 126,135,494 | (115,574,221 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 5,147,213 | (261,540,115 | ) | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 21,812,406 | 160,448,103 | ||||||
Withdrawals | (102,596,418 | ) | (459,442,988 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (80,784,012 | ) | (298,994,885 | ) | ||||
Net increase (decrease) in net assets | (75,636,799 | ) | (560,535,000 | ) | ||||
Net assets: | ||||||||
Beginning of period/year | 389,662,463 | 950,197,463 | ||||||
End of period/year | $ | 314,025,664 | $ | 389,662,463 | ||||
16
SMALL GROWTH
(Unaudited)
June 30, 2009
ASSETS: | ||||
Securities, at value (Note 2) | $ | 154,110,553 | ||
Repurchase agreements (cost equals market value) | 1,800,577 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 1,948,330 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | — | |||
Dividends receivable | 20,374 | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | 3,038 | |||
Receivable from securities lending (net) | — | |||
Total assets | 157,882,872 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | 1,382,793 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 123,717 | |||
Accrued expenses | 39,866 | |||
Total liabilities | 1,546,376 | |||
Net assets | $ | 156,336,496 | ||
Securities, at cost | $ | 158,484,682 | ||
Investment income (Note 2): | ||||
Interest income | $ | 1,816 | ||
Securities lending income (net) | 37,718 | |||
Dividend income | 299,884 | |||
Less: foreign withholding taxes | (377 | ) | ||
Total income | 339,041 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 628,720 | |||
Custody fees | 26,124 | |||
Audit fees | 12,719 | |||
Legal fees | 2,511 | |||
Reports to shareholders | 1,642 | |||
Other fees | 2,956 | |||
Total expenses | 674,672 | |||
Expenses reimbursed by the Advisor | (24,272 | ) | ||
Net expenses | 650,400 | |||
Net investment income (loss) | (311,359 | ) | ||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (26,434,302 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(26,434,302 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | 45,484,678 | |||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
45,484,678 | ||||
Net realized and unrealized gains (losses) on investments | 19,050,376 | |||
Net increase (decrease) in net assets resulting from operations | $ | 18,739,017 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | (311,359 | ) | $ | (384,137 | ) | ||
Net realized gains (losses) on investments | (26,434,302 | ) | (24,788,914 | ) | ||||
Change in net unrealized appreciation (depreciation) on investments | 45,484,678 | (59,829,205 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 18,739,017 | (85,002,256 | ) | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 7,705,529 | 132,973,836 | ||||||
Withdrawals | (22,620,909 | ) | (62,276,042 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (14,915,380 | ) | 70,697,794 | |||||
Net increase (decrease) in net assets | 3,823,637 | (14,304,462 | ) | |||||
Net assets: | ||||||||
Beginning of period/year | 152,512,859 | 166,817,321 | ||||||
End of period/year | $ | 156,336,496 | $ | 152,512,859 | ||||
17
INTERNATIONAL EQUITY
(Unaudited)
ASSETS: | ||||
Securities, at value (Note 2) | $ | 988,293,129 | ||
Repurchase agreements (cost equals market value) | 12,209,573 | |||
Cash at broker | — | |||
Foreign currency holdings, at value (cost $483,797) | 485,509 | |||
Receivable for securities sold | — | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | — | |||
Dividends receivable | 3,239,972 | |||
Foreign tax reclaim receivable | 1,897,475 | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | — | |||
Total assets | 1,006,125,658 | |||
LIABILITIES: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | 4,402,123 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | 110,737 | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 674,265 | |||
Accrued expenses | 695,522 | |||
Total liabilities | 5,882,647 | |||
Net assets | $ | 1,000,243,011 | ||
Securities, at cost | $ | 918,053,417 | ||
Investment income (Note 2): | ||||
Interest income | $ | 1,731 | ||
Securities lending income (net) | — | |||
Dividend income | 20,222,500 | |||
Less: foreign withholding taxes | (3,615,675 | ) | ||
Total income | 16,608,556 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 3,521,493 | |||
Custody fees | 595,974 | |||
Audit fees | 17,957 | |||
Legal fees | 17,534 | |||
Reports to shareholders | 11,963 | |||
Other fees | 21,572 | |||
Total expenses | 4,186,493 | |||
Expenses reimbursed by the Advisor | (12,894 | ) | ||
Net expenses | 4,173,599 | |||
Net investment income (loss) | 12,434,957 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (463,946,837 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | (8,268,678 | ) | ||
(472,215,515 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | 496,416,795 | |||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | 101,579 | |||
496,518,374 | ||||
Net realized and unrealized gains (losses) on investments | 24,302,859 | |||
Net increase (decrease) in net assets | ||||
resulting from operations | $ | 36,737,816 | ||
For the period | For the year | |||||||
ended 06/30/09 | ended 12/31/08 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 12,434,957 | $ | 51,093,825 | ||||
Net realized gains (losses) on investments | (472,215,515 | ) | (380,232,998 | ) | ||||
Change in net unrealized appreciation (depreciation) on investments | 496,518,374 | (815,787,805 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 36,737,816 | (1,144,926,978 | ) | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 66,904,232 | 764,741,276 | ||||||
Withdrawals | (203,458,681 | ) | (783,816,168 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (136,554,449 | ) | (19,074,892 | ) | ||||
Net increase (decrease) in net assets | (99,816,633 | ) | (1,164,001,870 | ) | ||||
Net assets: | ||||||||
Beginning of period/year | 1,100,059,644 | 2,264,061,514 | ||||||
End of period/year | $ | 1,000,243,011 | $ | 1,100,059,644 | ||||
18
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Principal | Value | |||||||
US Treasury Securities — 2.3% | ||||||||
US Treasury Note | ||||||||
$ | 28,350,000 | 4.88%, 08/15/09 (Cost $28,514,603) | $ | 28,514,603 | ||||
Commercial Paper — 28.5% | ||||||||
25,160,000 | Australia & New Zealand — 144A, 0.52%, 07/06/09 | 25,158,182 | ||||||
10,280,000 | Australia & New Zealand, 0.33%, 08/11/09 | 10,276,135 | ||||||
36,840,000 | CBA (DE) Finance, Inc., 0.54%, 07/21/09 | 36,828,947 | ||||||
22,570,000 | ConocoPhilips, 0.25%, 07/01/09 | 22,570,000 | ||||||
24,480,000 | Danske Corp., 1.14%, 07/15/09 | 24,469,147 | ||||||
28,850,000 | Danske Corp., 0.37%, 08/19/09 | 28,835,471 | ||||||
22,890,000 | Eksportfinans A/S, 0.25%, 08/03/09 | 22,884,755 | ||||||
11,700,000 | Her Majesty RGT Canada, 0.19%, 08/20/09 | 11,696,913 | ||||||
25,140,000 | JPMorgan Chase Funding, Inc., 0.25%, 07/08/09 | 25,138,778 | ||||||
7,890,000 | National Australia Funding, 0.23%, 07/06/09 | 7,889,748 | ||||||
14,300,000 | National Australia Funding, 0.44%, 08/05/09 | 14,293,883 | ||||||
24,000,000 | Nordea North America, Inc., 1.00%, 07/13/09 | 23,992,000 | ||||||
11,400,000 | Societe Generale North America, 0.16%, 07/01/09 | 11,400,000 | ||||||
13,900,000 | Societe Generale North America, 0.52%, 11/18/09 | 13,871,891 | ||||||
28,490,000 | Wells Fargo & Company, 0.06%, 07/01/09 | 28,490,000 | ||||||
21,550,000 | Westpac Banking Corp., 0.63%, 08/06/09 | 21,536,424 | ||||||
22,580,000 | Westpac Banking Corp. — 144A, 0.47%, 11/23/09 | 22,537,255 | ||||||
Total Commercial Paper (Cost $351,869,529) | 351,869,529 | |||||||
Yankee Certificates of Deposit — 34.3% | ||||||||
25,610,000 | Bank of Montreal, 0.24%, 07/09/09 | 25,609,659 | ||||||
17,500,000 | Bank of Nova Scotia, 0.53%, 12/09/09 | 17,500,000 | ||||||
26,510,000 | Bank of Nova Scotia, 1.28%, 01/15/10 | 26,510,000 | ||||||
28,040,000 | Barclays Bank PLC, 0.83%, 09/14/09 | 28,040,000 | ||||||
22,940,000 | Barclays Bank PLC, 1.00%, 10/30/09 | 22,940,000 | ||||||
16,790,000 | BNP Paribas — New York Branch, 1.08%, 09/01/09 | 16,790,000 | ||||||
19,780,000 | BNP Paribas — New York Branch, 0.50%, 11/25/09 | 19,780,000 | ||||||
27,500,000 | Calyon — New York Branch, 1.15%, 07/01/09 | 27,500,000 | ||||||
8,940,000 | Calyon — New York Branch, 0.68%, 02/26/10 | 8,928,568 | ||||||
9,240,000 | National Australia Bank, Ltd. — 144A, 0.36%, 09/01/09 | 9,240,079 | ||||||
20,710,000 | Nordea Bank Finland, PLC, 1.30%, 10/13/09 | 20,736,636 | ||||||
33,490,000 | Rabobank Nederland, 0.82%, 08/03/09 | 33,490,000 | ||||||
17,730,000 | Rabobank Nederland, 1.20%, 04/26/10 | 17,730,000 | ||||||
48,760,000 | Royal Bank of Canada, 1.17%, 01/26/10 | 48,760,000 | ||||||
29,940,000 | Societe Generale — New York Branch, 0.29%, 07/27/09 | 29,940,000 | ||||||
40,170,000 | Svenska Handelsbanken AB, 0.70%, 07/17/09 | 40,177,184 | ||||||
29,070,000 | Toronto Dominion Bank, 1.62%, 08/10/09 | 29,070,000 | ||||||
Total Yankee Certificates of Deposit (Cost $422,742,126) | 422,742,126 | |||||||
Short Term US Government Agency Securities — 16.6% | ||||||||
Fannie Mae — 4.9% | ||||||||
14,170,000 | 0.42%, 07/20/09 | 14,166,859 | ||||||
21,240,000 | 0.42%, 07/22/09 | 21,234,796 | ||||||
10,270,000 | 0.01%, 08/20/09 | 10,267,147 | ||||||
14,590,000 | 0.88%, 02/12/10 | 14,613,720 | ||||||
60,282,522 | ||||||||
Federal Home Loan Bank — 3.7% | ||||||||
24,430,000 | 0.01%, 08/19/09 | 24,423,350 | ||||||
20,500,000 | 0.01%, 10/30/09 | 20,481,396 | ||||||
44,904,746 | ||||||||
Freddie Mac — 8.0% | ||||||||
12,660,000 | 0.01%, 08/24/09 | 12,648,606 | ||||||
33,840,000 | 0.01%, 11/09/09 | 33,804,107 | ||||||
46,350,000 | 0.88%, 02/04/10 | 46,350,000 | ||||||
6,080,000 | 4.88%, 02/09/10 | 6,242,013 | ||||||
99,044,726 | ||||||||
Total Short Term US Government Agency Securities (Cost $204,231,994) | 204,231,994 | |||||||
19
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Short Term Corporate Notes — 14.3% | ||||||||
$ | 7,000,000 | Abbey National Treasury Services, LLC, Series YCD, Floating Rate, 1.02%, 08/28/09(2) | $ | 7,000,332 | ||||
31,780,000 | Abbey National Treasury Services, LLC, Series YCD, Floating Rate, 1.06%, 02/25/10(2) | 31,780,000 | ||||||
38,260,000 | Bank of America Corp. NA — 144A, 0.28%, 08/11/09 | 38,260,000 | ||||||
3,040,000 | Credit Agricole — London Branch — 144A, Floating Rate, 0.71%, 05/28/10(2) | 3,030,317 | ||||||
8,830,000 | IBM International Group Capital, LLC, Floating Rate, 1.39%, 07/29/09(2) | 8,837,705 | ||||||
18,910,000 | KFW, 4.50%, 09/21/09 | 19,076,267 | ||||||
14,470,000 | KFW International Finance, Inc., Floating Rate, 1.15%, 01/21/10(2) | 14,501,809 | ||||||
7,150,000 | Procter & Gamble International Funding, Floating Rate, 1.00%, 05/07/10(2) | 7,150,000 | ||||||
35,870,000 | Toyota Motor Credit Corp., Series MTN, Floating Rate, 0.34%, 09/15/09(3) | 35,870,000 | ||||||
7,950,000 | Wachovia Bank NA, Series BKNT, Floating Rate, 0.89%, 08/21/09(2) | 7,954,333 | ||||||
2,910,000 | Wal-Mart Stores, Inc. 6.88% 08/10/09 | 2,929,281 | ||||||
Total Short Term Corporate Notes (Cost $176,390,044) | 176,390,044 | |||||||
Time Deposit — 4.0% | ||||||||
49,850,000 | Bank of Ireland — Dublin Branch, 0.25%, 07/01/09 (Cost $49,850,000) | 49,850,000 | ||||||
Total Securities (Cost $1,233,598,296) | 1,233,598,296 | |||||||
Repurchase Agreements — 2.3% | ||||||||
13,200,000 | With Barclays Bank PLC, dated 06/30/09, 0.08%, due 07/01/09, repurchase proceeds at maturity $13,200,029 (Collateralized by various US Government Agency Securities, zero coupon - 6.88%, due 08/21/09 - 06/15/35, with a total value of $13,464,366) | 13,200,000 | ||||||
10,600,000 | With Deutsche Bank, dated 06/30/09, 0.08%, due 07/01/09, repurchase proceeds at maturity $10,600,024 (Collateralized by Federal Home Loan Bank, 4.88%, due 05/17/17, with a value of $10,406,205 and Freddie Mac, 5.50%, due 08/23/17, with a value of $410,392) | 10,600,000 | ||||||
2,330,000 | With HSBC Securities, Inc., dated 06/30/09, 0.05%, due 07/01/09, repurchase proceeds at maturity $2,330,003 (Collateralized by Freddie Mac Discount Note, zero coupon, due 08/18/09, with a value of $2,379,524) | 2,330,000 | ||||||
2,700,000 | With JPMorgan Chase Bank, dated 06/30/09, 0.05%, due 07/01/09, repurchase proceeds at maturity $2,700,004 (Collateralized by Fannie Mae, 3.32%, due 12/23/13, with a value of $2,754,619) | 2,700,000 | ||||||
6,884 | With State Street Bank & Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $6,884 (Collateralized by US Treasury Bill, 0.31%, due 12/10/09, with a value of $9,986) | 6,884 | ||||||
Total Repurchase Agreements (Cost $28,836,884) | 28,836,884 | |||||||
Total Investments — 102.3% (Cost $1,262,435,180) | 1,262,435,180 | |||||||
Liabilities less other assets — (2.3%) | (29,017,055 | ) | ||||||
Net Assets — 100.0% | $ | 1,233,418,125 | ||||||
20
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Principal | Value | |||||||
US Treasury Securities — 7.1% | ||||||||
US Treasury Notes | ||||||||
$ | 3,000,000 | 0.88%, 04/30/11 | $ | 2,991,210 | ||||
12,000,000 | 0.88%, 05/31/11 | 11,956,920 | ||||||
1,500,000 | 4.63%, 10/31/11 | 1,615,079 | ||||||
2,430,000 | 1.38%, 03/15/12 | 2,425,254 | ||||||
6,000,000 | 3.13%, 08/31/13 | 6,216,096 | ||||||
3,500,000 | 1.88%, 04/30/14 | 3,396,365 | ||||||
Total US Treasury Securities (Cost $28,491,474) | 28,600,924 | |||||||
US Government Agency Securities — 22.4% | ||||||||
Asset Backed: Mortgage and Home Equity — 12.8% | ||||||||
727,797 | Fannie Mae, Series 2003-32, Class PE, 4.00%, 03/25/26 | 728,533 | ||||||
968,510 | Fannie Mae, Series 2003-62, Class OD, 3.50%, 04/25/26 | 975,085 | ||||||
166,666 | Fannie Mae, Series 2003-63, Class GU, 4.00%, 07/25/33 | 170,283 | ||||||
1,999,844 | Fannie Mae, Series 2004-70, Class DN, 4.00%, 12/25/29 | 2,023,573 | ||||||
2,078,755 | Fannie Mae, Series 2004-80, Class LG, 4.00%, 10/25/16 | 2,120,691 | ||||||
3,227,240 | Federal Home Loan Bank, Series 1Y-9009, Class A, 4.06%, 08/25/09 | 3,243,376 | ||||||
1,673,467 | Federal Home Loan Bank, Series 3Q-9009, Class 1, 3.92%, 09/25/09 | 1,677,523 | ||||||
3,383,897 | Federal Home Loan Bank, Series 6T-9009, Class I | 3,413,525 | ||||||
4,005,408 | Freddie Mac, Series 2416, Class PE, 6.00%, 10/15/21 | 4,221,515 | ||||||
41,267 | Freddie Mac, Series 2454, Class BG, 6.50%, 08/15/31 | 41,280 | ||||||
2,572,085 | Freddie Mac, Series 2627, Class KP, 2.87%, 12/15/16 | 2,597,212 | ||||||
3,032,279 | Freddie Mac, Series 2630, Class HC, 4.00%, 01/15/17 | 3,117,652 | ||||||
2,848,095 | Freddie Mac, Series 2631, Class CD, 4.00%, 10/15/26 | 2,878,012 | ||||||
3,626,392 | Freddie Mac, Series 2637, Class A, 3.38%, 03/15/18 | 3,686,097 | ||||||
2,417,165 | Freddie Mac, Series 2672, Class HA, 4.00%, 09/15/16 | 2,485,394 | ||||||
1,180,537 | Freddie Mac, Series 2782, Class HE, 4.00%, 09/15/17 | 1,215,109 | ||||||
1,272,863 | Freddie Mac, Series 3056, Class AP, 5.50%, 01/15/27 | 1,296,347 | ||||||
7,206,295 | Government National Mortgage Association, Series 2005-29, Class A, 4.02%, 07/16/27 | 7,372,441 | ||||||
5,161,056 | Government National Mortgage Association, Series 2007-15, Class A, 4.51%, 10/16/28 | 5,288,107 | ||||||
2,815,304 | Government National Mortgage Association, Series 2007-34, Class A, 4.27%, 11/16/26 | 2,877,713 | ||||||
51,429,468 | ||||||||
Fannie Mae — 7.4% | ||||||||
5,500,000 | 5.13%, 04/15/11 | 5,889,719 | ||||||
3,050,000 | 6.00%, 05/15/11 | 3,314,944 | ||||||
6,000,000 | 3.25%, 04/09/13 | 6,229,752 | ||||||
6,250,000 | 2.75%, 03/13/14 | 6,236,625 | ||||||
206,000 | PL# 254062, 6.00%, 10/01/11 | 211,902 | ||||||
830,754 | PL# 254754, 4.50%, 05/01/10 | 852,654 | ||||||
1,074,139 | PL# 254758, 4.50%, 06/01/13 | 1,100,861 | ||||||
1,030,453 | PL# 254807, 5.00%, 07/01/13 | 1,062,599 | ||||||
2,092,564 | PL# 254914, 4.50%, 09/01/13 | 2,145,726 | ||||||
291,105 | PL# 323743, 5.00%, 04/01/14 | 299,240 | ||||||
139,060 | PL# 429168, 6.00%, 05/01/13 | 147,916 | ||||||
199,989 | PL# 517699, 6.00%, 07/01/14 | 212,726 | ||||||
486,138 | PL# 545038, 6.00%, 09/01/14 | 516,187 | ||||||
1,558,767 | PL# 555154, 5.50%, 12/01/22 | 1,623,057 | ||||||
29,843,908 | ||||||||
Freddie Mac — 1.0% | ||||||||
3,500,000 | 5.00%, 07/15/14 | 3,835,608 | ||||||
Freddie Mac Gold — 0.9% | ||||||||
54,365 | PL# E00532, 6.50%, 02/01/13 | 57,167 | ||||||
96,297 | PL# E00542, 6.50%, 04/01/13 | 101,249 | ||||||
277,923 | PL# E00676, 5.50%, 06/01/14 | 289,483 | ||||||
570,152 | PL# E89557, 5.50%, 04/01/17 | 602,366 | ||||||
187,468 | PL# G40426, 5.50%, 03/01/11 | 189,969 | ||||||
2,394,300 | PL# M80812, 4.50%, 04/01/10 | 2,429,946 | ||||||
3,670,180 | ||||||||
21
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Government National Mortgage Association — 0.3% | ||||||||
$ | 1,066,991 | PL# 436708, 5.75%, 12/15/22 | $ | 1,117,976 | ||||
Total US Government Agency Securities (Cost $87,478,421) | 89,897,140 | |||||||
Corporate Bonds and Notes — 68.8% | ||||||||
Banks and Financial Services — 16.6% | ||||||||
2,500,000 | Bank of America Corp., 2.38%, 06/22/12 | 2,525,005 | ||||||
935,000 | Bank of America Corp., Series MTNL, 7.38%, 05/15/14 | 965,870 | ||||||
3,980,000 | Bank of New York Mellon Corp., 4.30%, 05/15/14 | 4,044,166 | ||||||
1,500,000 | Caterpillar Financial Services Corp., 4.30%, 06/01/10 | 1,538,681 | ||||||
3,475,000 | Citigroup, Inc., 5.10%, 09/29/11 | 3,402,904 | ||||||
2,275,000 | CME Group, Inc., 5.40%, 08/01/13 | 2,390,224 | ||||||
4,230,000 | Credit Suisse First Boston USA, Inc., 6.13%, 11/15/11 | 4,528,816 | ||||||
3,150,000 | Fifth Third Bank, Series BKNT, 4.20%, 02/23/10 | 3,147,694 | ||||||
5,750,000 | General Electric Capital Corp., 5.00%, 11/15/11 | 5,920,308 | ||||||
4,700,000 | GMAC LLC, 2.20%, 12/19/12 | 4,681,054 | ||||||
2,800,000 | Goldman Sachs Group, Inc. (The), 6.88%, 01/15/11 | 2,960,182 | ||||||
1,000,000 | Goldman Sachs Group, Inc. (The), 1.70%, 03/15/11 | 1,009,106 | ||||||
4,000,000 | Goldman Sachs Group, Inc. (The), Series MTNB, Floating Rate, 1.56%, 10/07/11(2) | 3,840,456 | ||||||
5,610,000 | JPMorgan Chase & Company, 4.65%, 06/01/14 | 5,595,201 | ||||||
3,265,000 | Morgan Stanley, 6.75%, 04/15/11 | 3,420,310 | ||||||
2,860,000 | Morgan Stanley, 6.00%, 05/13/14 | 2,895,658 | ||||||
3,670,000 | NYSE Euronext, 4.80%, 06/28/13 | 3,799,063 | ||||||
2,000,000 | SLM Corp., Series MTNA, 4.50%, 07/26/10 | 1,890,000 | ||||||
4,500,000 | Wells Fargo & Company, Floating Rate, 0.67%, 03/23/10(2) | 4,485,915 | ||||||
3,000,000 | Wells Fargo Bank, NA, Series BKNT, 6.45%, 02/01/11 | 3,136,689 | ||||||
66,177,302 | ||||||||
Chemicals — 0.5% | ||||||||
1,855,000 | Praxair, Inc., 3.95%, 06/01/13 | 1,889,802 | ||||||
Consumer Goods and Services — 0.9% | ||||||||
3,455,000 | Clorox Company, 4.20%, 01/15/10 | 3,504,082 | ||||||
Equipment Rental and Leasing — 1.1% | ||||||||
5,420,000 | International Lease Finance Corp., Series MTNQ, 5.75%, 06/15/11 | 4,494,600 | ||||||
Insurance — 2.3% | ||||||||
6,000,000 | Met Life Global Funding I — 144A, Series MTN, 5.75%, 07/25/11 | 6,156,582 | ||||||
3,115,000 | Principal Life Income Funding Trust, Series MTN, 5.20%, 11/15/10 | 3,132,942 | ||||||
9,289,524 | ||||||||
Machinery — 0.4% | ||||||||
1,390,000 | Caterpillar, Inc., 7.25%, 09/15/09 | 1,405,721 | ||||||
Office Equipment, Supplies, and Services — 0.7% | ||||||||
3,005,000 | Xerox Corp., 5.50%, 05/15/12 | 2,996,775 | ||||||
Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 11.5% | ||||||||
1,806,109 | Bay View Auto Trust, Series 2005-LJ1, Class A4, 4.09%, 05/25/12 | 1,829,047 | ||||||
3,000,000 | BMW Vehicle Lease Trust, Series 2009-1, Class A3, 2.91%, 08/15/11 | 3,019,090 | ||||||
2,500,000 | BMW Vehicle Owner Trust, Series 2006-A, Class A4, 5.07%, 08/25/11 | 2,543,954 | ||||||
3,000,000 | Capital One Prime Auto Receivables Trust, Series 2007-1, Class B1, 5.76%, 12/15/13 | 2,273,035 | ||||||
983,420 | Carmax Auto Owner Trust, Series 2005-2, Class A4, 4.34%, 09/15/10 | 991,422 | ||||||
322,248 | Chase Manhattan Auto Owner Trust, Series 2006-A, Class CTFS, 5.47%, 01/15/13 | 323,747 |
22
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs (continued) | ||||||||
$ | 3,200,000 | Chase Manhattan Auto Owner Trust, Series 2006-B, Class A4, 5.11%, 04/15/14 | $ | 3,297,494 | ||||
1,000,000 | Ford Credit Auto Owner Trust, Series 2007-A, Class B, 5.60%, 10/15/12 | 887,344 | ||||||
2,000,000 | Hertz Vehicle Financing, LLC — 144A, Series 2005-2A, Class A4, 5.01%, 02/25/11 | 2,009,235 | ||||||
1,250,000 | Honda Auto Receivables Owner Trust, Series 2009-2, Class A3, 2.79%, 01/16/12 | 1,256,806 | ||||||
2,650,000 | Honda Auto Receivables Owner Trust, Series 2009-2, Class A4, 4.43%, 08/15/12 | 2,696,651 | ||||||
5,500,000 | Huntington Auto Trust — 144A, Series 2008-1A, Class A3A, 4.81%, 04/16/12 | 5,645,336 | ||||||
2,495,300 | Hyundai Auto Receivables Trust, Series 2006-B, Class B, 5.19%, 05/15/13 | 2,502,871 | ||||||
3,500,000 | Hyundai Auto Receivables Trust, Series 2008-A, Class A3, 4.93%, 12/17/12 | 3,643,473 | ||||||
1,250,000 | Susquehanna Auto Lease Trust — 144A, Series 2007-1, Class B, 5.31%, 07/14/10 | 1,244,462 | ||||||
5,400,000 | USAA Auto Owner Trust, Series 2007-2, Class A4, 5.07%, 06/15/13 | 5,645,950 | ||||||
1,750,000 | Volkswagen Auto Lease Trust, Series 2009-A, Class A3, 3.41%, 08/15/11 | 1,768,541 | ||||||
4,550,000 | World Omni Auto Receivables Trust, Series 2006-B, Class A4, 5.12%, 06/15/12 | 4,652,463 | ||||||
46,230,921 | ||||||||
Private Asset Backed: Banks and Financial Services — 3.1% | ||||||||
696,407 | Bear Stearns Asset Backed Securities, Inc., Series 2003-AC3, Class A1, Floating Rate, 4.00%, 07/25/33(3) | 543,869 | ||||||
3,000,000 | Caterpillar Financial Asset Trust, Series 2006-A, Class B, 5.71%, 06/25/12 | 2,795,995 | ||||||
1,304,302 | Community Program Loan Trust, Series 1987-A, Class A4, 4.50%, 10/01/18 | 1,303,861 | ||||||
2,345,626 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A2, 4.31%, 08/10/42 | 2,290,032 | ||||||
1,940,498 | Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A1, 4.79%, 04/10/37 | 1,946,002 | ||||||
2,660,320 | Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A1, 5.74%, 07/10/38 | 2,690,340 | ||||||
1,039,176 | Morgan Stanley Capital I, Series 2005-HQ6, Class A1, 4.65%, 08/13/42 | 1,043,147 | ||||||
12,613,246 | ||||||||
Private Asset Backed: Credit Cards — 7.1% | ||||||||
3,000,000 | Cabela’s Master Credit Card Trust — 144A, Series 2006-3A, Class A1, 5.26%, 10/15/14 | 3,026,043 | ||||||
3,000,000 | Capital One Multi-Asset Execution Trust, Series 2006-A6, Class A6, 5.30%, 02/18/14 | 3,143,117 | ||||||
1,500,000 | Capital One Multi-Asset Execution Trust, Series 2009-A2, Class A2, 3.20%, 04/15/14 | 1,510,782 | ||||||
4,500,000 | Chase Issuance Trust, Series 2009-A3, Class A3, 2.40%, 06/17/13 | 4,467,816 | ||||||
1,200,000 | Citibank Credit Card Issuance Trust, Series 2005-A7, Class A7, 4.75%, 10/22/12 | 1,241,759 | ||||||
4,000,000 | Citibank Credit Card Issuance Trust, Series 2006-A4, Class A4, 5.45%, 05/10/13 | 4,215,568 | ||||||
2,850,000 | Citibank Omni Master Trust-144A, Series 2009-A8, Class A8, Floating Rate, 2.45%, 05/15/16(3) | 2,882,063 | ||||||
4,940,000 | GE Capital Credit Card Master Note Trust, Series 2006-1, Class A, 5.08%, 09/15/12 | 4,959,932 | ||||||
3,000,000 | GE Capital Credit Card Master Note Trust, Series 2007-3, Class B, 5.49%, 06/15/13 | 2,862,110 | ||||||
28,309,190 | ||||||||
23
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity — 10.8% | ||||||||
$ | 147,473 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2001-TOP4, Class A1, 5.06%, 11/15/16 | $ | 148,869 | ||||
766,329 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2002-PBW1, Class A1, 3.97%, 11/11/35 | 760,886 | ||||||
580,024 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR9, Class A1, 4.50%, 09/11/42 | 581,341 | ||||||
1,632,288 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2006-T22, Class A1, 5.42%, 04/12/38 | 1,646,862 | ||||||
7,000,000 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-PW15, Class A2, 5.21%, 02/11/44 | 6,449,352 | ||||||
2,713,827 | Chase Funding Mortgage Loan Asset-Backed, Series 2003-4, Class 1A6, 4.43%, 10/25/14 | 2,126,920 | ||||||
3,017,162 | Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A1, 5.27%, 10/15/49 | 3,057,274 | ||||||
2,120,139 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class A1, 5.05%, 07/15/44 | 2,124,824 | ||||||
3,193,890 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C5, Class A2, 4.18%, 11/15/37 | 3,124,423 | ||||||
633,898 | DLJ Commercial Mortgage Corp., Series 1999-CG3, Class A1B, 7.34%, 10/10/32 | 633,203 | ||||||
205,701 | GE Capital Commercial Mortgage Corp., Series 2001-3, Class A1, 5.56%, 06/10/38 | 211,218 | ||||||
1,411,162 | GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A2, 5.99%, 12/10/35 | 1,432,717 | ||||||
175,047 | GMAC Mortgage Corp. Loan Trust, Series 2004-GH1, Class A2, 4.39%, 12/25/25 | 166,456 | ||||||
291,976 | Interstar Millennium Trust, Series 2003-3G, Class A2 (Australia), Floating Rate, 1.10%, 09/27/35(2) | 185,496 | ||||||
583,457 | Interstar Millennium Trust, Series 2004-2G, Class A (Australia), Floating Rate, 1.03%, 03/14/36(2) (14) | 527,846 | ||||||
405,142 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class A1, 4.33%, 12/12/34 | 404,550 | ||||||
1,648,282 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A1, 5.04%, 12/15/44 | 1,660,141 | ||||||
3,800,179 | JPMorgan Mortgage Trust, Series 2006-S2, Class 1A17, 6.00%, 07/25/36 | 2,444,427 | ||||||
4,550,000 | LB-UBS Commercial Mortgage Trust, Series 2003-C7, Class A3, 4.56%, 09/15/27 | 4,418,741 | ||||||
1,992,267 | Popular ABS Mortgage Pass-Through Trust, Series 2005-3, Class AF3, 4.44%, 07/25/35 | 1,805,793 | ||||||
1,777,553 | Salomon Brothers Mortgage Securities VII, Inc., Series 2000-C1, Class A2, 7.52%, 12/18/09 | 1,788,444 | ||||||
1,954,245 | Salomon Brothers Mortgage Securities VII, Inc., Series 2000-C2, Class A2, 7.46%, 07/18/33 | 1,982,924 | ||||||
3,309,085 | Wachovia Bank Commercial Mortgage Trust, Series 2003-C5, Class A1, 2.99%, 06/15/35 | 3,225,283 | ||||||
2,444,088 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-9, Class 1A1, 4.75%, 10/25/35 | 2,307,579 | ||||||
43,215,569 | ||||||||
Private Asset Backed: Other — 5.9% | ||||||||
2,155,172 | ALG Student Loan Trust — 144A, Series 2006-1A, Class A1, Floating Rate, 1.08%, 10/28/18(2) | 2,148,774 | ||||||
4,064,485 | Brazos Texas Higher Education Authority, Inc. Series 2005-A, Class A5, 4.91%, 12/01/40 (14) | 3,800,294 | ||||||
3,000,000 | CNH Equipment Trust, Series 2006-B, Class B, 5.36%, 06/17/13 | 2,459,894 | ||||||
2,000,000 | CNH Equipment Trust, Series 2007-A, Class B, 5.09%, 06/16/14 | 1,544,450 | ||||||
3,083,712 | CNH Equipment Trust, Series 2007-B, Class A3A, 5.40%, 10/17/11 | 3,125,580 |
24
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Other (continued) | ||||||||
$ | 737,206 | Crusade Global Trust, Series 2004-2, Class A1 (Australia), Floating Rate, 0.96%, 11/19/37(2) | $ | 644,454 | ||||
869,764 | Goal Capital Funding Trust, Series 2006-1, Class A1, Floating Rate, 0.66%, 08/25/20(2) | 867,263 | ||||||
150,795 | Great America Leasing Receivables — 144A, Series 2006-1, Class A3, 5.34%, 01/15/10 | 151,006 | ||||||
4,000,000 | John Deere Owner Trust, Series 2007-A, Class A4, 5.07%, 04/15/14 | 4,087,532 | ||||||
2,984,388 | Marlin Leasing Receivables LLC — 144A, Series 2006-1A, Class A4, 5.33%, 09/15/13 | 2,974,840 | ||||||
1,995,638 | Massachusetts RRB Special Purpose Trust, Series 1999-1, Class A5, 7.03%, 03/15/12 | 2,050,287 | ||||||
23,854,374 | ||||||||
Private Asset Backed: Transportation — 1.0% | ||||||||
960,235 | E-Trade RV and Marine Trust, Series 2004-1, Class A3, 3.62%, 10/08/18 | 935,309 | ||||||
3,097,510 | Railcar Leasing, LLC — 144A, Series 1, Class A2, 7.13%, 01/15/13 | 3,267,511 | ||||||
4,202,820 | ||||||||
Real Estate Investment Trusts — 0.8% | ||||||||
3,190,000 | Boston Properties LP, 6.25%, 01/15/13 | 3,175,205 | ||||||
Retail — 1.9% | ||||||||
4,475,000 | CVS Caremark Corp., Floating Rate, 2.15%, 09/10/10(2) | 4,486,935 | ||||||
2,895,000 | Target Corp., 10.00%, 01/01/11 | 3,166,733 | ||||||
7,653,668 | ||||||||
Telecommunications Equipment and Services — 2.3% | ||||||||
5,925,000 | BellSouth Corp., 6.00%, 10/15/11 | 6,330,170 | ||||||
2,825,000 | Verizon Wireless Capital -144A, 3.75%, 05/20/11 | 2,882,836 | ||||||
9,213,006 | ||||||||
Transportation — 0.2% | ||||||||
950,000 | United Parcel Service, Inc., 3.88%, 04/01/14 | 979,621 | ||||||
Utilities — 1.7% | ||||||||
6,420,000 | Exelon Generation Company, LLC, 6.95%, 06/15/11 | 6,798,472 | ||||||
Total Corporate Bonds and Notes (Cost $280,604,653) | 276,003,898 | |||||||
Total Securities (Cost $396,574,548) | 394,501,962 | |||||||
Repurchase Agreements — 1.1% | ||||||||
4,604,867 | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $4,604,868 (Collateralized by US Treasury Bill, 0.31%, due 12/10/09, with a value of $4,698,413) (Cost $4,604,867) | 4,604,867 | ||||||
Total Investments — 99.4% (Cost $401,179,415) | 399,106,829 | |||||||
Other assets less liabilities — 0.6% | 2,211,474 | |||||||
Net Assets — 100.0% | $ | 401,318,303 | ||||||
Gross unrealized appreciation | $ | 5,935,125 | ||
Gross unrealized depreciation | (8,007,711 | ) | ||
Net unrealized depreciation | $ | (2,072,586 | ) | |
25
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Principal | Value | |||||||
US Treasury Securities — 90.5% | ||||||||
US Treasury Inflation Index — 89.1% | ||||||||
$ | 2,627,840 | 3.50%, 01/15/11 | $ | 2,741,988 | ||||
7,048,813 | 3.38%, 01/15/12 | 7,491,563 | ||||||
13,980,362 | 2.00%, 04/15/12 | 14,377,935 | ||||||
5,383,941 | 3.00%, 07/15/12 | 5,703,612 | ||||||
5,331,402 | 0.63%, 04/15/13 | 5,268,092 | ||||||
19,190,173 | 1.88%, 07/15/13 | 19,681,921 | ||||||
24,313,937 | 2.00%, 01/15/14 | 24,868,587 | ||||||
5,873,783 | 1.25%, 04/15/14 | 5,897,643 | ||||||
30,541,590 | 2.00%, 07/15/14 | 31,257,424 | ||||||
1,111,087 | 1.63%, 01/15/15 | 1,105,878 | ||||||
10,441,305 | 1.88%, 07/15/15 | 10,555,512 | ||||||
8,035,689 | 2.00%, 01/15/16 | 8,156,225 | ||||||
6,656,882 | 2.50%, 07/15/16(5) | 6,987,649 | ||||||
12,777,591 | 2.38%, 01/15/17 | 13,332,624 | ||||||
2,325,065 | 2.63%, 07/15/17 | 2,477,648 | ||||||
13,343,096 | 1.63%, 01/15/18 | 13,213,828 | ||||||
19,281,405 | 1.38%, 07/15/18 | 18,690,912 | ||||||
13,347,533 | 2.13%, 01/15/19 | 13,785,492 | ||||||
33,816,327 | 2.38%, 01/15/25 | 34,756,827 | ||||||
21,646,944 | 2.00%, 01/15/26 | 21,193,700 | ||||||
12,449,825 | 2.38%, 01/15/27 | 12,889,453 | ||||||
14,019,920 | 1.75%, 01/15/28 | 13,231,299 | ||||||
3,770,338 | 3.63%, 04/15/28 | 4,588,030 | ||||||
4,722,286 | 2.50%, 01/15/29 | 5,017,428 | ||||||
18,884,757 | 3.88%, 04/15/29 | 23,960,035 | ||||||
894,931 | 3.38%, 04/15/32 | 1,123,139 | ||||||
322,354,444 | ||||||||
US Treasury Notes — 0.8% | ||||||||
2,885,000 | 4.00%, 08/15/18 | 2,992,512 | ||||||
US Treasury Strips — 0.6% | ||||||||
4,740,000 | 6.13%, 11/15/27 | 2,074,347 | ||||||
Total US Treasury Securities (Cost $328,796,771) | 327,421,303 | |||||||
US Government Agency Securities — 0.2% | ||||||||
Freddie Mac | ||||||||
890,000 | Series MTN, 5.00%, 12/14/18 (Cost $864,010) | 844,967 | ||||||
Corporate Bonds and Notes — 0.7% | ||||||||
Banks and Financial Services — 0.5% | ||||||||
649,000 | Bear Stearns Companies, Inc. (The), Series CPI, Floating Rate, 1.42%, 03/10/14(3) | 579,291 | ||||||
315,000 | International Bank for Reconstruction & Development, Series CPI (Supra National), Floating Rate, zero coupon, 12/10/13(3) | 290,351 | ||||||
1,243,000 | Lehman Brothers Holdings, Inc., Series MTNG, Floating Rate, 6.29%, 06/02/09(3)(9)(13) | 183,343 | ||||||
900,000 | SLM Corp., Series CPI, Floating Rate, 1.74%, 01/31/14(3) | 546,363 | ||||||
1,599,348 | ||||||||
Private Asset Backed: Mortgage and Home Equity — 0.2% | ||||||||
166,645 | Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC3, Class A2A, Floating Rate, 0.42%, 03/25/37(3) | 115,127 | ||||||
695,000 | GMAC Commercial Mortgage Securities, Inc., Series 2004-C3, Class A4, 4.55%, 12/10/41 | 656,604 | ||||||
771,731 | ||||||||
Total Corporate Bonds and Notes (Cost $3,757,481) | 2,371,079 | |||||||
Total Securities (Cost $333,418,262) | 330,637,349 | |||||||
Repurchase Agreements — 6.7% | ||||||||
24,097,428 | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $24,097,435 (Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $24,580,468) (Cost $24,097,428) | 24,097,428 | ||||||
Total Investments before Call and Put Options Written — 98.1% (Cost $357,515,690) | 354,734,777 | |||||||
Contracts | ||||||||
Call Options Written — (0.2)% | ||||||||
(14,700,000 | ) | Expiring 6/25/10. If exercised the Series receives floating 3 month LIBOR, and pays 4.19%, expiring 6/29/20, European Style (Premium $740,145) | (731,472 | ) | ||||
26
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Contracts | Value | |||||||
Put Options Written — (0.2)% | ||||||||
(14,700,000 | ) | Expiring 6/25/10. If exercised the Series receives 4.19%, and pays floating 3 month LIBOR, expiring 6/29/20, European Style (Premium $740,145) | $ | (738,822 | ) | |||
Total Investments net of Call and Put Options Written — 97.7% (Cost $356,035,400) | 353,264,483 | |||||||
Other assets less liabilities — 2.3% | 8,410,028 | |||||||
Net Assets — 100.0% | $ | 361,674,511 | ||||||
Gross unrealized appreciation | $ | 3,065,885 | ||
Gross unrealized depreciation | (5,846,798 | ) | ||
Net unrealized depreciation | $ | (2,780,913 | ) | |
27
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Principal | Value | |||||||
US Treasury Securities — 10.8% | ||||||||
US Treasury Bonds — 3.4% | ||||||||
$ | 5,900,000 | 7.25%, 08/15/22 | $ | 7,751,125 | ||||
49,150,000 | 3.50%, 02/15/39(5) | 42,499,514 | ||||||
50,250,639 | ||||||||
US Treasury Notes — 7.4% | ||||||||
74,065,000 | 1.13%, 06/30/11 | 74,076,569 | ||||||
23,275,000 | 1.88%, 06/15/12(5) | 23,444,209 | ||||||
10,710,000 | 2.63%, 06/30/14 | 10,743,522 | ||||||
108,264,300 | ||||||||
Total US Treasury Securities (Cost $159,066,907) | 158,514,939 | |||||||
US Government Agency Securities — 51.3% | ||||||||
Asset Backed: Mortgage and Home Equity — 0.3% | ||||||||
4,544,740 | Freddie Mac, Series 2825, Class VP, 5.50%, 06/15/15 | 4,870,463 | ||||||
Asset Backed: US Government Agencies — 0.1% | ||||||||
689,281 | Small Business Administration, Series 2002-P10B, Class 1, 5.20%, 08/10/12 | 713,658 | ||||||
1,022,802 | Small Business Administration, Series 2004-P10A, Class 1, 4.50%, 02/10/14 | 1,044,011 | ||||||
1,757,669 | ||||||||
Fannie Mae — 29.7% | ||||||||
4,100,000 | 5.25%, 08/01/12 | 4,260,310 | ||||||
10,200,000 | 4.63%, 05/01/13 | 10,354,938 | ||||||
3,508,905 | PL# 190346, 5.50%, 12/01/33 | 3,641,003 | ||||||
18,407 | PL# 253990, 7.00%, 09/01/16 | 19,562 | ||||||
420,009 | PL# 323842, 5.50%, 07/01/14 | 443,215 | ||||||
19,196 | PL# 535103, 7.00%, 01/01/15 | 20,279 | ||||||
220,013 | PL# 535675, 7.00%, 01/01/16 | 233,214 | ||||||
68,806 | PL# 545249, 5.50%, 10/01/16 | 72,607 | ||||||
370,468 | PL# 545298, 5.50%, 11/01/16 | 390,936 | ||||||
3,798 | PL# 545363, 5.50%, 11/01/16 | 4,008 | ||||||
1,373,929 | PL# 545411, 5.50%, 01/01/17 | 1,449,839 | ||||||
20,239 | PL# 545477, 7.00%, 03/01/32 | 22,153 | ||||||
19,814 | PL# 549659, 7.00%, 02/01/16 | 21,057 | ||||||
4,442 | PL# 550440, 7.00%, 02/01/16 | 4,721 | ||||||
168,026 | PL# 555114, 5.50%, 12/01/17 | 177,572 | ||||||
65,808 | PL# 555880, 5.50%, 11/01/33 | 68,286 | ||||||
45,440 | PL# 572453, 5.50%, 04/01/16 | 47,951 | ||||||
244,939 | PL# 580165, 5.50%, 09/01/16 | 258,472 | ||||||
8,906 | PL# 580179, 7.00%, 10/01/16 | 9,464 | ||||||
34,677 | PL# 580515, 5.50%, 04/01/16 | 36,593 | ||||||
121,291 | PL# 589120, 5.50%, 11/01/16 | 127,993 | ||||||
5,611 | PL# 589893, 7.00%, 06/01/31 | 6,147 | ||||||
6,796 | PL# 598125, 7.00%, 09/01/16 | 7,222 | ||||||
6,217 | PL# 602148, 5.50%, 09/01/16 | 6,561 | ||||||
46,485 | PL# 604517, 5.50%, 11/01/16 | 49,053 | ||||||
30,203 | PL# 607386, 5.50%, 11/01/16 | 31,872 | ||||||
45,270 | PL# 607493, 5.50%, 11/01/16 | 47,771 | ||||||
15,041 | PL# 610128, 7.00%, 10/01/31 | 16,478 | ||||||
159,222 | PL# 610579, 5.50%, 12/01/16 | 168,019 | ||||||
7,321 | PL# 611323, 7.00%, 10/01/16 | 7,781 | ||||||
18,481 | PL# 612071, 5.50%, 11/01/16 | 19,502 | ||||||
114,548 | PL# 614506, 5.50%, 11/01/16 | 120,876 | ||||||
1,121,040 | PL# 619054, 5.50%, 02/01/17 | 1,184,729 | ||||||
422,491 | PL# 631321, 5.50%, 02/01/17 | 446,494 | ||||||
24,272 | PL# 631606, 5.50%, 03/01/17 | 25,651 | ||||||
34,545 | PL# 632269, 7.00%, 05/01/32 | 37,846 | ||||||
124,930 | PL# 650206, 5.50%, 01/01/18 | 132,027 | ||||||
25,841 | PL# 664188, 5.50%, 09/01/17 | 27,309 | ||||||
34,932 | PL# 664194, 5.50%, 09/01/17 | 36,917 | ||||||
131,325 | PL# 675314, 5.50%, 12/01/17 | 138,786 | ||||||
206,964 | PL# 676800, 5.50%, 01/01/18 | 218,722 | ||||||
299,663 | PL# 679631, 5.50%, 02/01/18 | 316,501 | ||||||
5,918 | PL# 681343, 5.50%, 02/01/18 | 6,250 | ||||||
248,676 | PL# 683199, 5.50%, 02/01/18 | 262,648 | ||||||
5,941 | PL# 701236, 5.50%, 05/01/18 | 6,275 | ||||||
4,907,242 | PL# 704038, 5.50%, 05/01/33 | 5,091,983 | ||||||
5,131,902 | PL# 720097, 5.50%, 07/01/33 | 5,325,100 | ||||||
5,726,104 | PL# 725162, 6.00%, 02/01/34 | 6,030,415 | ||||||
8,086 | PL# 725269, 5.50%, 03/01/19 | 8,545 | ||||||
6,651,964 | PL# 725423, 5.50%, 05/01/34 | 6,902,387 | ||||||
4,131,451 | PL# 725425, 5.50%, 04/01/34 | 4,281,467 | ||||||
3,648,900 | PL# 725704, 6.00%, 08/01/34(6) | 3,842,819 | ||||||
2,803,247 | PL# 735454, 5.50%, 11/01/18 | 2,962,507 | ||||||
19,397,262 | PL# 735504, 6.00%, 04/01/35(6) | 20,452,367 | ||||||
763,805 | PL# 735611, 5.50%, 03/01/20 | 807,199 | ||||||
7,023,548 | PL# 735989, 5.50%, 02/01/35 | 7,294,545 | ||||||
4,397,292 | PL# 739741, 5.50%, 12/01/33 | 4,562,835 | ||||||
4,285,954 | PL# 747371, 5.50%, 10/01/33 | 4,443,609 | ||||||
5,553,379 | PL# 755365, 5.50%, 12/01/33 | 5,762,444 | ||||||
24,511 | PL# 761808, 5.50%, 05/01/18 | 25,904 | ||||||
139,719 | PL# 781889, 5.50%, 03/01/17 | 147,438 | ||||||
930,781 | PL# 826273, 6.00%, 07/01/20 | 987,878 | ||||||
3,524,271 | PL# 826976, 6.00%, 06/01/35 | 3,697,249 | ||||||
436,322 | PL# 827756, 6.00%, 06/01/35 | 457,738 | ||||||
4,915,709 | PL# 845421, 6.00%, 02/01/36 | 5,149,302 | ||||||
7,134,765 | PL# 850867, Variable Rate, 5.60%, 01/01/36(1) | 7,478,854 | ||||||
1,741,327 | PL# 889255, 5.00%, 03/01/23 | 1,805,430 | ||||||
4,294,530 | PL# 889641, 5.50%, 08/01/37 | 4,453,520 |
28
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Fannie Mae (continued) | ||||||||
$ | 1,804,505 | PL# 899447, 5.00%, 06/01/22 | $ | 1,870,933 | ||||
5,510,245 | PL# 915614, 5.00%, 05/01/22 | 5,713,091 | ||||||
15,713,864 | PL# 917051, 6.00%, 05/01/37(6) | 16,445,848 | ||||||
1,607,058 | PL# 918320, 5.00%, 05/01/22 | 1,666,218 | ||||||
913,597 | PL# 928548, 5.00%, 08/01/22 | 947,229 | ||||||
575,000 | PL# 931324, 4.50%, 06/01/39 | 573,652 | ||||||
3,751,722 | PL# 936928, 6.00%, 05/01/37 | 3,926,484 | ||||||
1,704,560 | PL# 941247, 5.00%, 06/01/22 | 1,767,309 | ||||||
6,966,519 | PL# 944116, 6.00%, 07/01/37 | 7,291,033 | ||||||
1,190,696 | PL# 945869, 6.00%, 08/01/37 | 1,246,162 | ||||||
3,485,195 | PL# 949330, 5.00%, 08/01/22 | 3,613,494 | ||||||
6,018,774 | PL# 952204, 6.00%, 11/01/37 | 6,299,140 | ||||||
8,081,098 | PL# 962130, 6.00%, 03/01/38 | 8,455,814 | ||||||
1,774,840 | PL# 972027, 5.00%, 02/01/23 | 1,839,244 | ||||||
80,405 | PL# 974642, 6.00%, 03/01/38 | 84,133 | ||||||
2,434,152 | PL# 993056, 5.00%, 12/01/38 | 2,482,223 | ||||||
5,148,025 | PL# AA1010, 5.50%, 11/01/33 | 5,346,657 | ||||||
991,324 | PL# AA4410, 5.00%, 03/01/39 | 1,010,802 | ||||||
119,144 | PL# AA5308, 4.50%, 04/01/39 | 119,049 | ||||||
151,754 | PL# AA5718, 5.00%, 04/01/39 | 154,736 | ||||||
3,134,116 | PL# AA6655, 4.50%, 06/01/39 | 3,131,637 | ||||||
285,000 | PL# AA7071, 4.50%, 06/01/39 | 284,775 | ||||||
770,000 | PL# AA8165, 4.50%, 06/01/39 | 769,391 | ||||||
5,510,884 | PL# AA8747, 4.50%, 07/01/39 | 5,506,525 | ||||||
2,700,000 | TBA, 4.50%, 07/01/24 | 2,757,375 | ||||||
1,900,000 | TBA, 5.00%, 07/01/24 | 1,965,907 | ||||||
12,000,000 | TBA, 5.50%, 07/01/24 | 12,555,000 | ||||||
2,900,000 | TBA, 6.00%, 08/01/24 | 3,060,405 | ||||||
7,300,000 | TBA, 4.00%, 07/01/39 | 7,078,719 | ||||||
35,745,000 | TBA, 4.50%, 07/01/39 | 35,666,789 | ||||||
55,300,000 | TBA, 5.00%, 07/01/39 | 56,302,312 | ||||||
10,500,000 | TBA, 5.50%, 07/01/39 | 10,798,599 | ||||||
64,400,000 | TBA, 6.00%, 07/01/39 | 67,297,999 | ||||||
30,600,000 | TBA, 6.50%, 07/01/39 | 32,589,000 | ||||||
437,574,829 | ||||||||
Federal Agricultural Mortgage Corporation — 4.7% | ||||||||
20,230,000 | 3.88%, 08/19/11 | 21,275,527 | ||||||
45,175,000 | 144A, 5.50%, 07/15/11 | 48,191,335 | ||||||
69,466,862 | ||||||||
Federal Home Loan Bank — 1.4% | ||||||||
9,195,000 | 5.63%, 06/13/16 | 8,852,882 | ||||||
10,865,000 | 5.38%, 05/15/19 | 11,730,277 | ||||||
20,583,159 | ||||||||
Freddie Mac — 3.6% | ||||||||
5,700,000 | 1.75%, 06/15/12 | 5,679,275 | ||||||
16,800,000 | 4.75%, 06/28/12 | 18,187,462 | ||||||
6,365,000 | 3.00%, 07/28/14 | 6,377,895 | ||||||
9,800,000 | 5.75%, 06/27/16(5) | 9,976,145 | ||||||
2,790,935 | PL# 1B2853, Variable Rate, 4.34%, 04/01/35(1) | 2,880,099 | ||||||
9,168,173 | PL# 1G1119, Variable Rate, 4.75%, 09/01/35(1) | 9,339,272 | ||||||
52,440,148 | ||||||||
Freddie Mac Gold — 3.6% | ||||||||
191,389 | PL# A32037, 5.00%, 03/01/35 | 195,418 | ||||||
21,229 | PL# A38585, 5.50%, 10/01/35 | 21,989 | ||||||
2,112,665 | PL# A68438, 5.50%, 11/01/37 | 2,183,947 | ||||||
99,671 | PL# A84925, 5.00%, 03/01/39 | 101,505 | ||||||
5,597,058 | PL# A85071, 5.00%, 03/01/39 | 5,700,034 | ||||||
13,801,974 | PL# A85720, 5.00%, 04/01/39 | 14,055,908 | ||||||
2,172,438 | PL# C57150, 6.00%, 05/01/31 | 2,287,213 | ||||||
2,749 | PL# C67653, 7.00%, 06/01/32 | 2,976 | ||||||
39,438 | PL# C67868, 7.00%, 06/01/32 | 42,703 | ||||||
8,792 | PL# C67999, 7.00%, 06/01/32 | 9,519 | ||||||
61,282 | PL# C68001, 7.00%, 06/01/32 | 66,356 | ||||||
9,279 | PL# E00570, 6.00%, 09/01/13 | 9,738 | ||||||
201,266 | PL# E00592, 6.00%, 12/01/13 | 211,066 | ||||||
10,374 | PL# E00720, 6.00%, 07/01/14 | 10,895 | ||||||
11,600 | PL# E01007, 6.00%, 08/01/16 | 12,237 | ||||||
39,084 | PL# E01095, 6.00%, 01/01/17 | 41,248 |
29
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Freddie Mac Gold (continued) | ||||||||
$ | 8,005 | PL# E69171, 6.00%, 02/01/13 | $ | 8,490 | ||||
4,134 | PL# E73319, 6.00%, 11/01/13 | 4,384 | ||||||
16,010 | PL# E73769, 6.00%, 12/01/13 | 16,980 | ||||||
8,104 | PL# E75990, 6.00%, 04/01/14 | 8,503 | ||||||
14,763 | PL# E76341, 6.00%, 04/01/14 | 15,671 | ||||||
21,415 | PL# E76730, 6.00%, 05/01/14 | 22,732 | ||||||
15,032 | PL# E76731, 6.00%, 05/01/14 | 15,957 | ||||||
12,748 | PL# E78995, 6.00%, 11/01/14 | 13,532 | ||||||
137,189 | PL# E84191, 6.00%, 07/01/16 | 146,098 | ||||||
2,133 | PL# E84758, 5.50%, 07/01/16 | 2,248 | ||||||
10,060 | PL# E85885, 6.00%, 11/01/16 | 10,714 | ||||||
138,766 | PL# E86502, 5.50%, 12/01/16 | 146,259 | ||||||
3,306 | PL# E86565, 5.50%, 12/01/16 | 3,485 | ||||||
136,355 | PL# E87961, 6.00%, 02/01/17 | 145,210 | ||||||
207,783 | PL# E88001, 6.00%, 02/01/17 | 221,146 | ||||||
35,551 | PL# E88452, 6.00%, 03/01/17 | 37,837 | ||||||
139,605 | PL# E88749, 6.00%, 03/01/17 | 148,670 | ||||||
212,131 | PL# E88789, 6.00%, 04/01/17 | 225,774 | ||||||
85,260 | PL# E88979, 5.50%, 04/01/17 | 90,078 | ||||||
156,310 | PL# E89282, 6.00%, 04/01/17 | 166,362 | ||||||
381,832 | PL# E89336, 6.00%, 05/01/17 | 406,388 | ||||||
12,962 | PL# E89653, 6.00%, 04/01/17 | 13,804 | ||||||
258,718 | PL# E89913, 6.00%, 05/01/17 | 275,357 | ||||||
492,570 | PL# E91644, 5.50%, 10/01/17 | 520,401 | ||||||
127,074 | PL# E91754, 5.50%, 10/01/17 | 134,254 | ||||||
198,398 | PL# E91774, 5.50%, 10/01/17 | 209,607 | ||||||
96,084 | PL# E91968, 5.50%, 10/01/17 | 101,513 | ||||||
178,572 | PL# E92113, 5.50%, 10/01/17 | 188,662 | ||||||
869,361 | PL# G01391, 7.00%, 04/01/32 | 943,710 | ||||||
2,246,009 | PL# G03358, 5.50%, 08/01/37 | 2,321,790 | ||||||
1,175,454 | PL# G04333, 5.00%, 04/01/38 | 1,197,264 | ||||||
8,393 | PL# Glllll, 6.00%, 04/01/16 | 8,917 | ||||||
5,266,729 | PL# G12814, 5.00%, 10/01/22 | 5,457,319 | ||||||
5,547,250 | PL# G12840, 5.00%, 11/01/22 | 5,747,991 | ||||||
1,662,517 | PL# M80813, 4.00%, 04/01/10 | 1,685,829 | ||||||
4,000,000 | TBA, 5.00%, 07/01/24 | 4,135,000 | ||||||
200,000 | TBA, 5.00%, 07/01/39 | 203,375 | ||||||
100,000 | TBA, 6.00%, 07/01/39 | 104,344 | ||||||
1,900,000 | TBA, 6.00%, 07/01/39 | 2,006,578 | ||||||
600,000 | TBA, 6.50%, 07/01/39 | 637,500 | ||||||
52,702,485 | ||||||||
Government National Mortgage Association — 7.8% | ||||||||
74,119 | PL# 3173, 6.50%, 12/20/31 | 79,757 | ||||||
53,100,000 | TBA, 5.50%, 07/01/39 | 54,543,789 | ||||||
25,200,000 | TBA, 6.00%, 07/01/39 | 26,247,362 | ||||||
21,500,000 | TBA, 5.00%, 08/01/39 | 21,829,208 | ||||||
12,500,000 | TBA, 6.00%, 08/01/39 | 12,988,313 | ||||||
115,688,429 | ||||||||
Resolution Funding Strips — 0.1% | ||||||||
1,200,000 | Zero coupon, 07/15/18(8) | 817,627 | ||||||
1,200,000 | Zero coupon, 10/15/18(8) | 806,983 | ||||||
1,624,610 | ||||||||
Total US Government Agency Securities (Cost $745,033,886) | 756,708,654 | |||||||
Corporate Bonds and Notes — 52.8% | ||||||||
Automobile: Rental — 0.0% | ||||||||
675,000 | Hertz Corp., 8.88%, 01/01/14 | 621,000 | ||||||
Banks and Financial Services — 12.2% | ||||||||
2,130,000 | Bank of America Corp., 6.00%, 09/01/17 | 1,936,605 | ||||||
1,000,000 | Bear Stearns Companies, Inc. (The), Series MTNB, 4.55%, 06/23/10 | 1,020,562 | ||||||
6,755,000 | BP Capital Markets PLC (United Kingdom), 3.13%, 03/10/12 | 6,890,796 |
30
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
$ | 6,710,000 | Citigroup Funding, Inc., 2.13%, 07/12/12 | $ | 6,710,926 | ||||
2,135,000 | Citigroup, Inc., 4.13%, 02/22/10 | 2,135,523 | ||||||
6,390,000 | Danske Bank A/S — 144A Series EMTN (Denmark), 2.50%, 05/10/12 | 6,413,132 | ||||||
5,165,000 | Dexia Credit Local — 144A (France), 2.38%, 09/23/11 | 5,109,001 | ||||||
5,075,000 | Eksportfinans A/S (Norway), 5.50%, 05/25/16 | 5,299,082 | ||||||
14,675,000 | General Electric Capital Corp., 5.00%, 11/15/11 | 15,109,659 | ||||||
5,250,000 | General Electric Capital Corp., 2.13%, 12/21/12 | 5,213,875 | ||||||
3,230,000 | Goldman Sachs Capital II, Variable Rate, 5.79%, perpetual(1) | 1,968,524 | ||||||
4,315,000 | Goldman Sachs Group, Inc., 5.25%, 10/15/13 | 4,403,867 | ||||||
300,000 | Icahn Enterprises Finance Corp., 8.13%, 06/01/12 | 276,000 | ||||||
4,045,000 | Icahn Enterprises Finance Corp., 7.13%, 02/15/13 | 3,650,613 | ||||||
1,100,000 | JPMorgan Chase & Company, 7.00%, 11/15/09 | 1,117,218 | ||||||
12,600,000 | JPMorgan Chase & Company, 2.20%, 06/15/12 | 12,663,769 | ||||||
7,750,000 | JPMorgan Chase Bank NA, Series BKNT, 6.00%, 07/05/17 | 7,548,849 | ||||||
1,945,000 | JPMorgan Chase Bank NA, Series BKNT, 6.00%, 10/01/17 | 1,893,142 | ||||||
14,875,000 | Kreditanstalt fur Wiederaufbau (Germany), 3.50%, 03/10/14 | 15,157,789 | ||||||
8,600,000 | Leaseplan Corp. NV — 144A (the Netherlands), 3.00%, 05/07/12 | 8,663,067 | ||||||
2,250,000 | Lehman Brothers Holdings, Inc., 6.50%, 07/19/17(9) | 225 | ||||||
2,005,000 | Lehman Brothers Holdings, Inc., Series MTN, 6.75%, 12/28/17(9) | 201 | ||||||
425,000 | Morgan Stanley, 6.75%, 04/15/11 | 445,216 | ||||||
19,360,000 | Morgan Stanley, Floating Rate, 1.40%, 01/09/12(2) | 17,451,239 | ||||||
565,000 | Morgan Stanley, Series MTN, 6.25%, 08/28/17 | 546,687 | ||||||
18,175,000 | Private Expert Funding Corp., Series Y, 3.55%, 04/15/13 | 18,854,635 | ||||||
3,365,000 | SLM Corp., Series MTN, 5.40%, 10/25/11 | 3,026,447 | ||||||
2,370,000 | SLM Corp., Series MTNA, 4.00%, 01/15/10 | 2,295,591 | ||||||
7,500,000 | Societe de Financement de L’ Economie Francaise (France) — 144A, 3.38%, 05/05/14 | 7,515,662 | ||||||
9,715,000 | UBS AG Stamford Branch, Series DPNT (Switzerland), 5.88%, 12/20/17 | 9,047,191 | ||||||
5,900,000 | UBS AG Stamford Branch, Series MTN (Switzerland), 5.75%, 04/25/18 | 5,373,342 | ||||||
177,738,435 | ||||||||
Broadcast Services/Media — 1.7% | ||||||||
5,279,000 | Comcast Cable Communications Holdings, 8.38%, 03/15/13 | 6,018,060 | ||||||
1,800,000 | Comcast Cable Communications, Inc., 6.75%, 01/30/11 | 1,901,905 | ||||||
965,000 | Comcast Corp., 7.05%, 03/15/33 | 1,027,007 | ||||||
2,935,000 | Comcast Corp., 6.95%, 08/15/37 | 3,060,263 | ||||||
465,000 | Cox Communications, Inc., 7.75%, 11/01/10 | 484,063 | ||||||
3,525,000 | Cox Communications, Inc. — 144A, 8.38%, 03/01/39 | 3,930,315 | ||||||
1,070,000 | News America Holdings, 7.63%, 11/30/28 | 1,024,690 | ||||||
260,000 | News America, Inc., 7.28%, 06/30/28 | 239,269 | ||||||
1,675,000 | TCI Communications, Inc., 7.13%, 02/15/28 | 1,708,693 | ||||||
4,030,000 | Time Warner Cable, Inc., 6.20%, 07/01/13 | 4,246,185 | ||||||
1,910,000 | Time Warner, Inc., 7.57%, 02/01/24 | 1,869,877 | ||||||
25,510,327 | ||||||||
Business Services and Supplies — 0.0% | ||||||||
750,000 | First Data Corp., 9.88%, 09/24/15 | 532,500 | ||||||
Chemicals — 0.3% | ||||||||
2,815,000 | Huntsman International LLC, 7.88%, 11/15/14 | 2,230,888 | ||||||
755,000 | Huntsman International LLC, 7.38%, 01/01/15 | 592,675 | ||||||
230,000 | Nova Chemicals Corp. (Canada), 6.50%, 01/15/12 | 216,200 |
31
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Chemicals (continued) | ||||||||
$ | 1,400,000 | Nova Chemicals Corp. (Canada), Floating Rate, 4.54%, 11/15/13(11) | $ | 1,158,500 | ||||
4,198,263 | ||||||||
Computer Equipment, Software and Services — 0.2% | ||||||||
2,980,000 | Oracle Corp., 5.75%, 04/15/18 | 3,143,432 | ||||||
Construction Services and Supplies — 0.1% | ||||||||
2,875,000 | Belvoir Land LLC — 144A, 5.40%, 12/15/47 | 1,838,016 | ||||||
Education — 0.1% | ||||||||
2,190,000 | Stanford University, 4.25%, 05/01/16 | 2,147,952 | ||||||
Electronics — 0.0% | ||||||||
470,000 | L-3 Communications Corp., 5.88%, 01/15/15 | 417,125 | ||||||
155,000 | L-3 Communications Corp., Series B, 6.38%, 10/15/15 | 140,663 | ||||||
557,788 | ||||||||
Entertainment, Leisure and Recreation — 0.0% | ||||||||
808,000 | Harrah’s Operating Company, Inc. — 144A, 10.00%, 12/15/18 | 464,600 | ||||||
Environmental Waste Management and Recycling Services — 0.0% | ||||||||
560,000 | Aleris International, Inc., 9.00%, 12/15/14(9)(12) | 6,300 | ||||||
Food and Beverage — 0.6% | ||||||||
4,792,000 | Kraft Foods, Inc., 6.50%, 08/11/17 | 5,047,069 | ||||||
4,375,000 | Kraft Foods, Inc., 6.13%, 02/01/18 | 4,523,413 | ||||||
9,570,482 | ||||||||
Insurance — 0.8% | ||||||||
1,591,000 | American International Group, Series A-6, 8.18%, 05/15/68 | 453,810 | ||||||
5,355,000 | Hartford Life Global Funding, Series MTN, Floating Rate, 0.80%, 09/15/09(2) | 5,333,243 | ||||||
6,550,000 | MetLife Global Funding I — 144A, 5.13%, 04/10/13 | 6,661,854 | ||||||
12,448,907 | ||||||||
Internet Services — 0.4% | ||||||||
5,565,000 | Expedia, Inc., 7.46%, 08/15/18 | 5,286,750 | ||||||
Machinery — 0.1% | ||||||||
2,150,000 | Atlantic Marine, Inc. — 144A, 5.34%, 12/01/50 | 1,400,145 | ||||||
Medical Equipment, Supplies, and Services — 1.1% | ||||||||
4,805,000 | Merck & Company, Inc., 4.00%, 06/30/15 | 4,889,544 | ||||||
1,575,000 | Roche Holdings, Inc. — 144A, Floating Rate, 2.66%, 02/25/11(2) | 1,592,451 | ||||||
7,050,000 | Roche Holdings, Inc. — 144A, 5.00%, 03/01/14 | 7,373,630 | ||||||
3,600,000 | WellPoint, Inc., 5.95%, 12/15/34 | 2,897,921 | ||||||
16,753,546 | ||||||||
Metals and Mining — 0.1% | ||||||||
1,999,000 | Ispat Inland ULC (Canada), 9.75%, 04/01/14 | 2,094,432 | ||||||
Oil, Coal and Gas — 2.0% | ||||||||
2,965,000 | Arch Western Finance, 6.75%, 07/01/13 | 2,705,563 | ||||||
2,000,000 | Canadian National Resources (Canada), 6.25%, 03/15/38 | 1,996,328 | ||||||
8,395,000 | ConocoPhillips, 4.60%, 01/15/15 | 8,627,079 | ||||||
1,425,000 | Consolidated Natural Gas, Series A, 5.00%, 03/01/14 | 1,451,055 | ||||||
365,000 | El Paso Natural Gas, 8.63%, 01/15/22 | 394,228 | ||||||
2,600,000 | Enterprise Products Operating LP, 4.95%, 06/01/10 | 2,638,384 | ||||||
920,000 | Knight, Inc., 6.50%, 09/01/12 | 899,300 | ||||||
7,700,000 | Shell International Finance BV (the Netherlands), 4.00%, 03/21/14 | 7,906,560 | ||||||
665,000 | Tennessee Gas Pipeline Company, 7.00%, 10/15/28 | 633,688 | ||||||
1,700,000 | XTO Energy, Inc., 6.75%, 08/01/37 | 1,774,720 | ||||||
29,026,905 | ||||||||
Paper and Forest Products — 0.3% | ||||||||
400,000 | Catalyst Paper Corp., Series D (Canada), 8.63%, 06/15/11 | 240,000 | ||||||
3,435,000 | MeadWestvaco Corp., 6.85%, 04/01/12 | 3,522,799 | ||||||
3,762,799 | ||||||||
32
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Pharmaceuticals/Research and Development — 0.9% | ||||||||
$ | 530,000 | Bio-Rad Laboratories, Inc., 6.13%, 12/15/14 | $ | 482,300 | ||||
600,000 | Bristol-Myers Squibb, 6.88%, 08/01/97 | 623,936 | ||||||
3,235,000 | Eli Lilly & Company, 3.55%, 03/06/12 | 3,351,399 | ||||||
6,710,000 | Pfizer, Inc., 5.35%, 03/15/15 | 7,210,565 | ||||||
1,580,000 | Wyeth, 6.00%, 02/15/36 | 1,675,865 | ||||||
13,344,065 | ||||||||
Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.7% | ||||||||
621,049 | Daimler Chrysler Auto Trust, Series 2006-B, Class A3, 5.33%, 08/08/10 | 622,364 | ||||||
14,501,248 | Nissan Auto Receivables Owner Trust, Series 2006-B, Class A4, 5.22%, 11/15/11 | 14,769,715 | ||||||
8,995,000 | Nissan Auto Receivables Owner Trust, Series 2009-A, Class A2, 2.94%, 07/15/11 | 9,114,296 | ||||||
24,506,375 | ||||||||
Private Asset Backed: Banks and Financial Services — 3.2% | ||||||||
2,871,572 | Banc of America Alternative Loan Trust, Series 2004-7, Class 4A1, 5.00%, 08/25/19 | 2,540,444 | ||||||
4,185,000 | SLM Student Loan Trust, Series 2005-4, Class A2, Floating Rate, 1.17%, 04/26/21(2) | 4,107,567 | ||||||
171,738 | SLM Student Loan Trust, Series 2005-5, Class A1, Floating Rate, 1.09%, 01/25/18(2) | 171,751 | ||||||
18,210,000 | SLM Student Loan Trust, Series 2008-5, Class A2, Floating Rate, 2.19%, 10/25/16(2) | 18,266,973 | ||||||
4,600,000 | SLM Student Loan Trust, Series 2008-5, Class A3, Floating Rate, 2.39%, 01/25/18(2) | 4,614,798 | ||||||
12,410,000 | SLM Student Loan Trust, Series 2008-5, Class A4, Floating Rate, 2.79%, 07/25/23(2) | 12,443,929 | ||||||
5,540,326 | Washington Mutual Asset Securities Corp. — 144A, Series 2005-C1A, Class A2, 5.15%, 05/25/36 | 5,463,652 | ||||||
47,609,114 | ||||||||
Private Asset Backed: Mortgage and Home Equity — 21.5% | ||||||||
6,374,329 | Banc of America Commercial Mortgage, Inc., Series 2000-1, Class A2A, 7.33%, 11/15/31 | 6,394,683 | ||||||
7,050,441 | Banc of America Commercial Mortgage, Inc., Series 2001-1, Class A2, 6.50%, 04/15/36 | 7,172,783 | ||||||
16,715,000 | Banc of America Commercial Mortgage, Inc., Series 2002-2, Class A3, 5.12%, 07/11/43 | 16,584,820 | ||||||
11,170,000 | Banc of America Commercial Mortgage, Inc., Series 2002-PB2, Class A4, 6.19%, 06/11/35 | 11,446,157 | ||||||
3,997,220 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 14A1, Floating Rate, 5.47%, 11/25/34(3) | 2,830,289 | ||||||
4,211,035 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-1, Class 4A1, Floating Rate, 5.35%, 03/25/35(3) | 2,712,391 | ||||||
168,682 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2001, Class A1, 6.08%, 02/15/35 | 169,932 | ||||||
2,545,000 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR8, Class A4, 4.67%, 06/11/41 | 2,191,977 | ||||||
3,049,837 | Chase Commercial Mortgage Securities Corp., Series 2000-3, Class A2, 7.32%, 10/15/32 | 3,113,494 | ||||||
1,585,000 | Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.43%, 10/15/49 | 1,267,685 | ||||||
11,112,094 | Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, Floating Rate, 5.34%, 08/25/35(3) | 9,164,660 | ||||||
2,481,157 | Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC3, Class A2A, Floating Rate, 0.42%, 03/25/37(3) | 1,714,119 |
33
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 1,037,500 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.32%, 12/11/49 | $ | 765,537 | ||||
5,776,939 | Countrywide Alternative Loan Trust, Series 2005-50CB, Class 1A1, 5.50%, 11/25/35 | 3,652,109 | ||||||
5,459,654 | Countrywide Alternative Loan Trust, Series 2006-OA21, Class A1, Floating Rate, 0.51%, 03/20/47(3) | 2,153,111 | ||||||
5,364,329 | Countrywide Alternative Loan Trust, Series 2007-5CB, Class 1A31, 5.50%, 04/25/37 | 3,503,433 | ||||||
2,318,585 | Countrywide Home Loans, Series 2006-OA5, Class 2A1, Floating Rate, 0.51%, 04/25/36(3) | 986,242 | ||||||
7,515,692 | Countrywide Home Loans, Series 2007-16, Class A1, 6.50%, 10/25/37 | 5,522,860 | ||||||
10,280,000 | Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CKS4, Class A2, 5.18%, 11/15/36 | 10,092,397 | ||||||
14,005,000 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-C3, Class A5, 3.94%, 05/15/38 | 12,642,507 | ||||||
3,806,899 | Deutsche Alt-A Securities, Inc., Mortgage Loan Trust, Series 2006-OA1, Class A1, Floating Rate, 0.51%, 02/25/47(3) | 1,599,447 | ||||||
4,006,769 | DLJ Commercial Mortgage Corp., Series 2000-CKP1, Class A1B, 7.18%, 11/10/33 | 4,085,927 | ||||||
12,090,258 | First Union National Bank Commercial Mortgage, Series 2001-C2, Class A2, 6.66%, 01/12/43 | 12,449,465 | ||||||
10,380,000 | GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A3, 6.27%, 12/10/35 | 10,582,000 | ||||||
11,875,000 | GE Capital Commercial Mortgage Corp., Series 2002-2A, Class A3, 5.35%, 08/11/36 | 11,872,940 | ||||||
3,330,000 | Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A4, 4.76%, 06/10/36 | 3,343,395 | ||||||
11,200,000 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3, 4.57%, 01/10/12 | 10,099,757 | ||||||
3,175,000 | GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.75%, 07/10/39 | 2,695,452 | ||||||
2,301,187 | GSR Mortgage Loan Trust, Series 2004-9, Class 3A1, Floating Rate, 3.97%, 08/25/34(3) | 1,888,941 | ||||||
2,668,649 | GSR Mortgage Loan Trust, Series 2005-AR1, Class 2A1, Floating Rate, 4.92%, 01/25/35(3) | 1,840,518 | ||||||
7,751,414 | GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1, 5.25%, 07/25/35 | 5,679,194 | ||||||
614,822 | Harborview Mortgage Loan Trust, Series 2005-8, Class 1A2A, Floating Rate, 0.64%, 09/19/35(3) | 263,801 | ||||||
8,340,933 | Harborview Mortgage Loan Trust, Series 2006-11, Class A1A, Floating Rate, 0.48%, 12/19/36(3) | 3,438,288 | ||||||
4,051,553 | IndyMac INDA Mortgage Loan Trust, Series 2006-AR2, Class 4A1, Floating Rate, 5.89%, 09/25/36(3) | 2,229,095 | ||||||
1,732,594 | JPMorgan Chase Commercial Mortgage Securities Corp. — 144A, Series 2004-CB8, Class A1A, 4.16%, 01/12/39 | 1,442,411 | ||||||
10,490,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-C1, Class A3, 5.86%, 10/12/35 | 10,346,550 | ||||||
6,650,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB2, Class A3, 6.43%, 04/15/35 | 6,770,775 | ||||||
8,593,282 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIBC, Class A3, 6.26%, 03/15/33 | 8,777,637 | ||||||
9,350,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4, 4.90%, 09/12/37 | 7,968,054 | ||||||
454,505 | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1, Floating Rate, 4.08%, 08/25/34(3) | 394,351 |
34
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 1,416,794 | JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2, 5.88%, 07/25/36 | $ | 1,216,229 | ||||
4,332,165 | JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 08/25/36 | 3,203,553 | ||||||
1,164,897 | JPMorgan Mortgage Trust, Series 2007-S1, Class 1A2, 5.50%, 03/25/22 | 986,158 | ||||||
3,668,393 | JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.75%, 03/25/37 | 2,749,990 | ||||||
4,375,948 | JPMorgan Mortgage Trust, Series 2007-S2, Class 1A15, 6.75%, 06/25/37 | 3,303,841 | ||||||
11,662,123 | LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A2, 7.95%, 05/15/25 | 11,851,767 | ||||||
5,723,006 | LB-UBS Commercial Mortgage Trust, Series 2000-C4, Class A2, 7.37%, 08/15/26 | 5,859,530 | ||||||
7,395,000 | LB-UBS Commercial Mortgage Trust, Series 2003-C7, Class A3, 4.56%, 09/15/27 | 7,181,668 | ||||||
9,100,000 | LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A4, 4.51%, 12/15/29 | 8,042,683 | ||||||
9,658,000 | LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.43%, 02/15/40 | 6,980,643 | ||||||
11,842,000 | LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A2, 5.59%, 09/15/45 | 10,874,816 | ||||||
8,385,286 | Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 3A1, Floating Rate, 5.82%, 05/25/36(3) | 4,045,552 | ||||||
2,547,706 | Popular ABS Mortgage Pass-Through Trust, Series 2006-D, Class A1, Floating Rate, 0.37%, 11/25/46(3) | 2,352,147 | ||||||
6,454,959 | Residential Asset Securitization Trust, Series 2005-A14, Class A4, 5.50%, 12/25/35 | 5,754,987 | ||||||
8,323,015 | Salomon Brothers Mortgage Securities VII, Series 2001-C2, Class A3, 6.50%, 10/13/11 | 8,542,292 | ||||||
4,543,524 | Structured Adjustable Rate Mortgage Loan, Series 2007-3, Class 3A1, Floating Rate, 5.70%, 04/25/37(3) | 2,437,153 | ||||||
12,475,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, Floating Rate, 6.10%, 02/15/51(3) | 9,184,088 | ||||||
6,245,997 | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY1, Class 1A1, Floating Rate, 5.69%, 02/25/37(3) | 3,485,962 | ||||||
2,754,482 | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, Floating Rate, 2.11%, 05/25/47(3) | 1,050,370 | ||||||
4,454,515 | Wells Fargo Mortgage Backed Securities Trust, Series 2006-3, Class A9, 5.50%, 03/25/36 | 3,810,302 | ||||||
400,000 | Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR4, Class 2A4, Floating Rate, 5.77%, 04/25/36(3) | 270,391 | ||||||
315,033,306 | ||||||||
Private Asset Backed: Other — 0.2% | ||||||||
3,482,802 | Structured Asset Securities Corp. — 144A, Series 2003-AL2, Class A, 3.36%, 01/25/31 | 2,884,622 | ||||||
Private Asset Backed: Utilities — 0.5% | ||||||||
8,000,000 | Peco Energy Transition Trust, Series 2000-A, Class A4, 7.65%, 03/01/10 | 8,091,076 | ||||||
Real Estate Investment Trusts — 0.0% | ||||||||
1,250,000 | IStar Financial, Inc., 5.65%, 09/15/11 | 725,000 | ||||||
Retail — 0.1% | ||||||||
725,000 | Macy’s Retail Holdings, Inc., 5.35%, 03/15/12 | 659,904 | ||||||
730,000 | Macy’s Retail Holdings, Inc., 5.75%, 07/15/14 | 620,677 | ||||||
1,280,581 | ||||||||
35
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Telecommunications Equipment and Services — 3.7% | ||||||||
$ | 625,000 | America Movil SA de CV (Mexico), 6.38%, 03/01/35 | $ | 592,677 | ||||
10,025,000 | AT&T, Inc., 6.50%, 09/01/37 | 9,943,275 | ||||||
810,000 | Cincinnati Bell, Inc., 7.25%, 07/15/13 | 741,150 | ||||||
800,000 | Citizens Communications Company, 6.25%, 01/15/13 | 736,000 | ||||||
2,350,000 | New England Telephone & Telegraph, 7.88%, 11/15/29 | 2,412,855 | ||||||
970,000 | New Jersey Bell Telephone, 7.85%, 11/15/29 | 1,008,842 | ||||||
1,375,000 | Qwest Communications International, Inc., 7.50%, 02/15/14 | 1,254,688 | ||||||
375,000 | Qwest Communications International, Inc., Series B, 7.50%, 02/15/14 | 342,188 | ||||||
675,000 | Qwest Corp., Floating Rate, 3.88%, 06/15/13(2) | 603,281 | ||||||
890,000 | Rogers Wireless, Inc. (Canada), 7.50%, 03/15/15 | 968,138 | ||||||
1,725,000 | Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15 | 1,665,206 | ||||||
4,850,000 | Telefonica Emisiones SAU (Spain), 4.95%, 01/15/15 | 4,929,802 | ||||||
75,000 | Telefonica Emisiones SAU (Spain), 6.42%, 06/20/16 | 80,191 | ||||||
850,000 | Telefonica Europe BV (the Netherlands), 7.75%, 09/15/10 | 896,645 | ||||||
6,700,000 | Verizon Communications, Inc., 8.75%, 11/01/18 | 7,936,009 | ||||||
215,000 | Verizon Maryland, Inc., Series B, 5.13%, 06/15/33 | 159,290 | ||||||
14,580,000 | Verizon Wireless Capital — 144A, 3.75%, 05/20/11 | 14,878,495 | ||||||
1,470,000 | Vodafone Group PLC (United Kingdom), 5.00%, 12/16/13 | 1,524,552 | ||||||
500,000 | Vodafone Group PLC (United Kingdom), 5.00%, 09/15/15 | 502,051 | ||||||
1,375,000 | Windstream Corp., 8.13%, 08/01/13 | 1,330,313 | ||||||
1,220,000 | Windstream Corp., 8.63%, 08/01/16 | 1,168,150 | ||||||
53,673,798 | ||||||||
Transportation — 0.4% | ||||||||
3,350,000 | United Parcel Service, Inc., 3.88%, 04/01/14 | 3,454,453 | ||||||
2,495,000 | United Parcel Service, Inc., 6.20%, 01/15/38 | 2,729,652 | ||||||
6,184,105 | ||||||||
Utilities — 0.6% | ||||||||
315,248 | AES Ironwood LLC, 8.86%, 11/30/25 | 272,690 | ||||||
235,000 | AES Red Oak LLC, Series B, 9.20%, 11/30/29 | 198,575 | ||||||
2,735,000 | Centerpoint Energy, Inc., Series B, 7.25%, 09/01/10 | 2,779,194 | ||||||
250,682 | Elwood Energy LLC, 8.16%, 07/05/26 | 208,394 | ||||||
1,000,000 | Florida Power & Light Company, 5.63%, 04/01/34 | 1,021,742 | ||||||
1,700,000 | Florida Power Corp., 6.40%, 06/15/38 | 1,890,259 | ||||||
81,813 | Homer City Funding LLC, 8.73%, 10/01/26 | 72,813 | ||||||
560,000 | NRG Energy, Inc., 7.38%, 02/01/16 | 529,900 | ||||||
2,487,000 | Texas Company Electric Holdings LLC, Series B, 10.25%, 11/01/15 | 1,548,158 | ||||||
8,521,725 | ||||||||
Total Corporate Bonds and Notes (Cost $831,889,468) | 778,956,346 | |||||||
Preferred Corporate Bonds and Notes — 2.5% | ||||||||
Banks and Financial Services — 1.5% | ||||||||
2,245,000 | Barclays Bank PLC — 144A (United Kingdom), Variable Rate, 7.43%, perpetual(1) | 1,504,150 | ||||||
6,885,000 | Credit Suisse (Switzerland), Variable Rate, 5.86%, perpetual(1) | 4,475,250 | ||||||
5,375,000 | General Electric Capital Corp., Variable Rate, 6.38%, 11/15/67(1) | 3,586,313 | ||||||
5,655,000 | JPMorgan Chase & Company, Series 1, Variable Rate, 7.90%, perpetual(1) | 4,948,691 | ||||||
5,795,000 | JPMorgan Chase Capital XXV, 6.80%, 10/01/37 | 4,983,705 |
36
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Preferred Corporate Bonds and Notes (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
$ | 1,015,000 | Lehman Brothers Capital Trust VII, Series MTN, Variable Rate, 5.86%, perpetual(1)(9) | $ | 102 | ||||
2,895,000 | ZFS Finance USA Trust V — 144A, Variable Rate, 6.50%, 05/09/37(1) | 2,084,400 | ||||||
21,582,611 | ||||||||
Insurance — 1.0% | ||||||||
3,800,000 | Chubb Corp., Variable Rate, 6.38%, 03/29/67(1) | 3,040,000 | ||||||
2,350,000 | Lincoln National Corp., Variable Rate, 7.00%, 05/17/66(1) | 1,480,500 | ||||||
4,455,000 | MetLife, Inc., 6.40%, 12/15/36 | 3,185,325 | ||||||
3,595,000 | Progressive Corp., Variable Rate, 6.70%, 06/15/37(1) | 2,534,856 | ||||||
2,150,000 | Reinsurance Group of America, Inc., Variable Rate, 6.75%, 12/15/65(1) | 1,215,460 | ||||||
4,125,000 | Travelers Companies, Inc. (The), Variable Rate, 6.25%, 03/15/67(1) | 3,324,601 | ||||||
14,780,742 | ||||||||
Total Preferred Corporate Bonds and Notes (Cost $50,381,222) | 36,363,353 | |||||||
Municipal Bonds — 1.1% | ||||||||
California — 0.7 % | ||||||||
11,550,000 | California, General Obligation Bond, 5.45%, 04/01/15 | 11,287,815 | ||||||
New York — 0.4% | ||||||||
3,135,000 | Metropolitan Transportation Authority Dedicated Tax Funding Build America Bonds, Revenue Bonds, 7.34%, 11/15/39 | 3,694,942 | ||||||
1,825,000 | Port Authority of New York and New Jersey, Revenue Bonds, 6.04%, 12/01/29 | 1,889,295 | ||||||
5,584,237 | ||||||||
Total Municipal Bonds (Cost $16,579,560) | 16,872,052 | |||||||
Foreign Government Obligations — 1.7% | ||||||||
9,700,000 | AID-Israel (Israel), 5.50%, 09/18/23 | 10,370,822 | ||||||
1,155,000 | Bundesrepublik Deutschland, Series 05 (Germany), 4.00%, 01/04/37(10) | 1,558,558 | ||||||
2,975,000 | Bundesrepublik Deutschland, Series 07 (Germany), 4.25%, 07/04/39(10) | 4,215,295 | ||||||
4,175,000 | Japan Finance Corp. (Japan), 2.00%, 06/24/11 | 4,215,267 | ||||||
2,645,000 | United Kingdom Treasury Bond (United Kingdom), 4.25%, 12/07/49(4) | 4,248,421 | ||||||
Total Foreign Government Obligations (Cost $23,693,571) | 24,608,363 | |||||||
Contracts | ||||||||
Purchased Call Options — 0.1% | ||||||||
39,500,000 | Expiring 04/08/10. If exercised the Series receives 3.40%, and pays floating 3 month LIBOR, expiring 04/12/20, European Style | 799,560 | ||||||
41,500,000 | Expiring 11/09/09. If exercised the Series receives 2.75%, and pays floating 3 month LIBOR, expiring 11/12/19, European Style | 174,881 | ||||||
34,100,000 | Expiring 11/16/09. If exercised the Series receives 2.37%, and pays floating 3 month LIBOR, expiring 11/18/19, European Style | 45,387 | ||||||
78,800,000 | Expiring 11/30/09. If exercised the Series receives 2.75%, and pays floating 3 month LIBOR, expiring 12/02/16, European Style | 479,340 | ||||||
60,000,000 | Expiring 12/17/09. If exercised the Series receives 2.75%, and pays floating 3 month LIBOR, expiring 12/21/16, European Style | 369,780 | ||||||
Total Purchased Call Options (Cost $3,052,060) | 1,868,948 | |||||||
Purchased Put Options — 0.2% | ||||||||
39,500,000 | Expiring 04/08/10. If exercised the Series receives floating 3 month LIBOR, and pays 3.40%, expiring 04/12/20, European Style (Cost $1,598,170) | 3,061,606 | ||||||
Total Securities (Cost $1,831,294,844) | 1,776,954,261 | |||||||
37
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Repurchase Agreements — 6.7% | ||||||||
$ | 99,090,576 | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $99,090,603 (Collateralized by various US Treasury Bills, 0.28% — 0.31%, due 11/27/09 – 12/10/09, with a total value of $101,075,889) (Cost $99,090,576) | $ | 99,090,576 | ||||
Total Investments before Call and Put Options Written and Securities Sold Short — 127.2% (Cost $1,930,385,420) | 1,876,044,837 | |||||||
Contracts | ||||||||
Call Options Written — (1.1)% | ||||||||
(35,000,000 | ) | Expiring 04/01/10. If exercised the Series receives floating 3 month LIBOR, and pays 3.14%, expiring 04/07/20, European Style | (462,245 | ) | ||||
(35,600,000 | ) | Expiring 05/04/10. If exercised the Series receives floating 3 month LIBOR, and pays 4.88%, expiring 05/06/20, European Style | (3,112,650 | ) | ||||
(100,000,000 | ) | Expiring 05/28/10. If exercised the Series receives floating 3 month LIBOR, and pays 4.14%, expiring 06/02/20, European Style | (4,755,500 | ) | ||||
(49,300,000 | ) | Expiring 06/01/10. If exercised the Series receives floating 3 month LIBOR, and pays 4.35%, expiring 06/03/20, European Style | (2,858,513 | ) | ||||
(25,000,000 | ) | Expiring 06/03/10. If exercised the Series receives floating 3 month LIBOR, and pays 4.31%, expiring 06/07/20, European Style | (1,394,475 | ) | ||||
(35,000,000 | ) | Expiring 06/03/10. If exercised the Series receives floating 3 month LIBOR, and pays 4.35%, expiring 06/07/20, European Style | (2,021,145 | ) | ||||
(25,200,000 | ) | Expiring 06/11/10. If exercised the Series receives floating 3 month LIBOR, and pays 4.80%, expiring 06/15/20, European Style | (2,055,791 | ) | ||||
Total Call Options Written (Premium $14,727,245) | (16,660,319 | ) | ||||||
Put Options Written — (0.9)% | ||||||||
(35,000,000 | ) | Expiring 04/01/10. If exercised the Series receives 3.14%, and pays floating 3 month LIBOR, expiring 04/07/20, European Style | (3,199,000 | ) | ||||
(35,600,000 | ) | Expiring 05/04/10. If exercised the Series receives 4.88%, and pays floating 3 month LIBOR, expiring 05/06/20, European Style | (1,000,752 | ) | ||||
(100,000,000 | ) | Expiring 05/28/10. If exercised the Series receives 4.14%, and pays floating 3 month LIBOR, expiring 06/02/20, European Style | (5,036,500 | ) | ||||
(49,300,000 | ) | Expiring 06/01/10. If exercised the Series receives 4.35%, and pays floating 3 month LIBOR, expiring 06/03/20, European Style | (2,148,494 | ) | ||||
(25,000,000 | ) | Expiring 06/03/10. If exercised the Series receives 4.31%, and pays floating 3 month LIBOR, expiring 06/07/20, European Style | (11,241 | ) | ||||
(35,000,000 | ) | Expiring 06/03/10. If exercised the Series receives 4.35%, and pays floating 3 month LIBOR, expiring 06/07/20, European Style | (1,529,990 | ) | ||||
(25,200,000 | ) | Expiring 06/11/10. If exercised the Series receives 4.80%, and pays floating 3 month LIBOR, expiring 06/15/20, European Style | (809,021 | ) | ||||
(126 | ) | US Treasury Bonds (30 year) September Future, expiring August 2009 @ 110 | (61,031 | ) | ||||
Total Put Options Written (Premium $14,955,005) | (13,796,029 | ) | ||||||
Principal | ||||||||
Securities Sold Short — (18.2)% | ||||||||
$ | (2,700,000 | ) | Fannie Mae, TBA, 4.50%, 07/01/24 | (2,757,375 | ) | |||
(18,500,000 | ) | Fannie Mae, TBA, 5.00%, 07/01/24 | (19,141,728 | ) | ||||
(21,600,000 | ) | Fannie Mae, TBA, 5.50%, 07/01/24 | (22,599,000 | ) | ||||
(10,200,000 | ) | Fannie Mae, TBA, 4.50%, 07/01/39 | (10,177,682 | ) | ||||
(79,400,000 | ) | Fannie Mae, TBA, 6.00%, 07/01/39 | (82,973,000 | ) | ||||
(30,700,000 | ) | Fannie Mae, TBA, 6.00%, 08/01/39 | (31,975,953 | ) | ||||
(10,800,000 | ) | Freddie Mac Gold, TBA, 5.00%, 07/01/24 | (11,164,500 | ) | ||||
(1,900,000 | ) | Freddie Mac Gold, TBA, 6.00%, 07/01/24 | (2,006,875 | ) |
38
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Securities Sold Short (continued) | ||||||||
$ | (1,900,000 | ) | Freddie Mac Gold, TBA, 6.00%, 08/01/24 | $ | (2,002,718 | ) | ||
(21,000,000 | ) | Freddie Mac Gold, TBA, 5.00%, 07/01/39 | (21,354,375 | ) | ||||
(4,200,000 | ) | Freddie Mac Gold, TBA, 5.50%, 07/01/39 | (4,335,190 | ) | ||||
(2,200,000 | ) | Freddie Mac Gold, TBA, 6.00%, 07/01/39 | (2,295,564 | ) | ||||
(600,000 | ) | Freddie Mac Gold, TBA, 6.50%, 07/01/39 | (637,687 | ) | ||||
(53,100,000 | ) | Government National Mortgage Association, TBA, 5.50%, 07/01/39 | (54,543,789 | ) | ||||
Total Securities Sold Short (Proceeds $267,456,508) | (267,965,436 | ) | ||||||
Total Investments net of Call and Put Options Written and Securities Sold Short — 107.0% | ||||||||
(Cost $1,633,246,662) | 1,577,623,053 | |||||||
Liabilities less other assets — (7.0)% | (103,816,617 | ) | ||||||
Net Assets — 100.0% | $ | 1,473,806,436 | ||||||
Gross unrealized appreciation | $ | 27,525,575 | ||
Gross unrealized depreciation | (81,866,158 | ) | ||
Net unrealized depreciation | $ | (54,340,583 | ) | |
39
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Principal | Value | |||||||
US Treasury Securities — 3.8% | ||||||||
US Treasury Bonds — 0.1% | ||||||||
$ | 252,000 | 3.50%, 02/15/39 | $ | 217,902 | ||||
US Treasury Inflation Index — 2.9% | ||||||||
203,611 | 2.38%, 01/15/25 | 209,273 | ||||||
85,943 | 2.00%, 01/15/26 | 84,144 | ||||||
1,776,281 | 2.38%, 01/15/27 | 1,839,005 | ||||||
3,409,563 | 1.75%, 01/15/28 | 3,217,776 | ||||||
1,956,446 | 2.50%, 01/15/29 | 2,078,724 | ||||||
7,428,922 | ||||||||
US Treasury Notes — 0.8% | ||||||||
1,740,000 | 3.25%, 05/31/16 | 1,747,612 | ||||||
305,000 | 2.75%, 02/15/19 | 285,651 | ||||||
6,000 | 3.13%, 05/15/19 | 5,803 | ||||||
2,039,066 | ||||||||
Total US Treasury Securities (Cost $9,164,688) | 9,685,890 | |||||||
US Government Agency Securities — 44.1% | ||||||||
Fannie Mae — 20.9% | ||||||||
940,000 | 5.25%, 08/01/12 | 976,754 | ||||||
1,075,346 | PL# 256219, 5.50%, 04/01/36 | 1,107,428 | ||||||
1,909,645 | PL# 256552, 5.50%, 01/01/37 | 1,975,270 | ||||||
2,501,208 | PL# 735580, 5.00%, 06/01/35 | 2,556,996 | ||||||
240,540 | PL# 735809, Variable Rate, 4.44%, 08/01/35(1) | 247,914 | ||||||
3,854,468 | PL# 745275, 5.00%, 02/01/36 | 3,938,032 | ||||||
1,723,418 | PL# 745959, 5.50%, 11/01/36 | 1,782,644 | ||||||
27,141 | PL# 759626, 6.00%, 02/01/34 | 28,530 | ||||||
40,308 | PL# 795774, 6.00%, 10/01/34 | 42,387 | ||||||
182,127 | PL# 796050, 6.00%, 08/01/34 | 191,522 | ||||||
1,095,304 | PL# 796278, 6.00%, 12/01/34 | 1,151,802 | ||||||
36,442 | PL# 801516, IO, Variable Rate, 4.41%, 08/01/34(1) | 37,353 | ||||||
434,476 | PL# 809169, 6.00%, 01/01/35 | 456,888 | ||||||
80,229 | PL# 810896, IO, Variable Rate, 4.83%, 01/01/35(1) | 81,995 | ||||||
17,143 | PL# 820426, 6.00%, 03/01/35 | 17,984 | ||||||
365,292 | PL# 852523, 5.50%, 02/01/36 | 377,845 | ||||||
949,284 | PL# 888022, 5.00%, 02/01/36 | 969,864 | ||||||
769,709 | PL# 888893, 5.50%, 08/01/37 | 797,483 | ||||||
86,052 | PL# 889745, 5.50%, 06/01/36 | 89,292 | ||||||
315,178 | PL# 893681, 6.00%, 10/01/36 | 330,155 | ||||||
602,045 | PL# 893923, 6.00%, 10/01/36 | 630,654 | ||||||
814,363 | PL# 894005, 6.00%, 10/01/36 | 853,061 | ||||||
1,054,516 | PL# 904000, 6.00%, 01/01/37 | 1,104,626 | ||||||
2,695,747 | PL# 916397, 6.50%, 05/01/37 | 2,874,815 | ||||||
1,310,680 | PL# 918653, 6.00%, 06/01/37 | 1,371,734 | ||||||
100,717 | PL# 929774, 5.50%, 07/01/38 | 104,109 | ||||||
350,618 | PL# 934327, 6.00%, 07/01/38 | 366,876 | ||||||
80,036 | PL# 950385, IO, Variable Rate, 5.85%, 08/01/37(1) | 84,624 | ||||||
4,370,438 | PL# 950694, 6.00%, 10/01/37 | 4,574,022 | ||||||
736,351 | PL# 975639, 5.00%, 07/01/38 | 750,893 | ||||||
2,628,976 | PL# 981034, 5.00%, 04/01/38 | 2,680,895 | ||||||
657,017 | PL# 983897, 5.50%, 06/01/38 | 679,148 | ||||||
295,889 | PL# 985143, 5.00%, 09/01/38 | 301,732 | ||||||
4,136,721 | PL# 985730, 5.50%, 06/01/38 | 4,276,062 | ||||||
943,930 | PL# 987420, 5.00%, 07/01/38 | 962,571 | ||||||
1,100,000 | TBA, 5.50%, 07/01/24 | 1,150,875 | ||||||
4,800,000 | TBA, 6.00%, 07/01/24 | 5,080,501 | ||||||
8,700,000 | TBA, 5.00%, 07/01/39 | 8,857,687 | ||||||
53,863,023 | ||||||||
Federal Agricultural Mortgage Corp. — 0.4% | ||||||||
900,000 | 144A, 5.13%, 04/19/17(5) | 953,397 | ||||||
Federal Home Loan Bank — 4.2% | ||||||||
10,400,000 | Zero coupon, 01/06/10 | 10,381,987 | ||||||
490,000 | 5.50%, 07/15/36 | 499,694 | ||||||
10,881,681 | ||||||||
Freddie Mac — 2.9% | ||||||||
77,731 | PL# 1B2694, Variable Rate, 4.38%, 12/01/34(1)(5) | 80,122 | ||||||
718,534 | PL# 1G2201, HB, Variable Rate, 6.09%, 09/01/37(1) | 753,475 | ||||||
3,261,443 | PL# 1G2403, HB, Variable Rate, 5.56%, 01/01/38(1) | 3,414,547 | ||||||
280,831 | PL# 1N1447, HB, Variable Rate, 5.75%, 02/01/37(1) | 295,333 | ||||||
1,549,323 | PL# 1N1454, HB, Variable Rate, 5.90%, 04/01/37(1) | 1,633,685 | ||||||
543,474 | PL# 1N1463, HB, Variable Rate, 5.87%, 05/01/37(1) | 570,919 | ||||||
741,215 | PL# 1N1582, HB, Variable Rate, 5.92%, 05/01/37(1) | 780,879 | ||||||
7,528,960 | ||||||||
Freddie Mac Gold — 10.9% | ||||||||
735,185 | PL# A39644, 5.50%, 11/01/35 | 761,483 | ||||||
696,307 | PL# A39756, 5.00%, 11/01/35 | 710,968 | ||||||
7,880,137 | PL# G02427, 5.50%, 12/01/36(5) | 8,149,709 | ||||||
814,918 | PL# G03092, 5.50%, 07/01/37(5) | 842,413 | ||||||
3,692,271 | PL# G03695, 5.50%, 11/01/37 | 3,818,580 | ||||||
6,846,979 | PL# G03696, 5.50%, 01/01/38 | 7,077,997 | ||||||
4,803,907 | PL# G04222, 5.50%, 04/01/38 | 4,965,992 | ||||||
1,500,000 | TBA, 5.00%, 07/01/24 | 1,550,625 | ||||||
27,877,767 | ||||||||
40
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Government National Mortgage Association — 4.6% | ||||||||
$ | 492,154 | PL# 605617, 5.00%, 07/15/34 | $ | 504,535 | ||||
1,138,861 | PL# 612902, 5.00%, 07/15/33 | 1,168,578 | ||||||
532,344 | PL# 636084, 5.00%, 01/15/35 | 545,237 | ||||||
1,431,588 | PL# 644631, 5.00%, 09/15/35 | 1,466,259 | ||||||
4,500,000 | TBA, 5.00%, 07/01/39 | 4,581,287 | ||||||
3,400,000 | TBA, 5.50%, 07/01/39 | 3,500,980 | ||||||
11,766,876 | ||||||||
Tennessee Valley Authority — 0.2% | ||||||||
440,000 | 5.98%, 04/01/36 | 468,007 | ||||||
Total US Government Agency Securities | ||||||||
(Cost $109,810,140) | 113,339,711 | |||||||
Corporate Bonds and Notes — 56.8% | ||||||||
Advertising — 0.0% | ||||||||
20,000 | Lamar Media Corp., Series B, 6.63%, 08/15/15 | 16,900 | ||||||
Airlines — 0.2% | ||||||||
300,000 | Continental Airlines, Inc., Series 2007-1A, 5.98%, 04/19/22(5) | 247,500 | ||||||
62,115 | Delta Air Lines, Inc., Series 2001-1, Class A-1, 6.62%, 03/18/11(5) | 59,009 | ||||||
363,024 | Delta Air Lines, Inc., Series 2007-1, Class A, 6.82%, 08/10/22(5) | 301,310 | ||||||
607,819 | ||||||||
Apparel: Manufacturing and Retail — 0.0% | ||||||||
200,000 | Neiman Marcus Group, Inc., 7.13%, 06/01/28 | 121,000 | ||||||
Automobile: Rental — 0.0% | ||||||||
75,000 | Hertz Corp., 8.88%, 01/01/14 | 69,000 | ||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.3% | ||||||||
600,000 | Daimler Chrysler NA Holding, 5.88%, 03/15/11(5) | 609,974 | ||||||
840,000 | General Motors Corp., 8.25%, 07/15/23(9) | 102,900 | ||||||
150,000 | General Motors Corp., 8.38%, 07/15/33(9) | 19,125 | ||||||
731,999 | ||||||||
Banks and Financial Services — 11.7% | ||||||||
100,000 | AGFC Capital Trust I — 144A, Variable Rate, 6.00%, 01/15/67(1) | 21,000 | ||||||
420,000 | Aiful Corp. — 144A (Japan), 5.00%, 08/10/10(5) | 256,200 | ||||||
560,000 | American Express Company, 8.13%, 05/20/19(5) | 581,128 | ||||||
420,000 | American Express Company, Variable Rate, 6.80%, 09/01/66(l)(5) | 302,400 | ||||||
220,000 | American Express Credit Company, Series MTNC, 5.88%, 05/02/13(5) | 218,453 | ||||||
220,000 | American General Finance Corp. Series MTNJ, 6.90%, 12/15/17(5) | 119,126 | ||||||
30,000 | BAC Capital Trust XIV, Variable Rate, 5.63%, perpetual(1) | 15,000 | ||||||
100,000 | Bank of Scotland PLC — 144A (United Kingdom), 5.25%, 02/21/17 | 82,750 | ||||||
800,000 | Bear Stearns Companies, Inc. (The), 7.25%, 02/01/18(5) | 843,191 | ||||||
860,000 | Caterpillar Financial Service Corp., Series MTNF, 6.20%, 09/30/13(5) | 910,531 | ||||||
1,160,000 | Citigroup, Inc., 6.50%, 08/19/13(5) | 1,126,798 | ||||||
1,260,000 | Citigroup, Inc., 5.00%, 09/15/14(5) | 1,056,281 | ||||||
1,030,000 | Citigroup, Inc., 6.88%, 03/05/38(5) | 909,661 | ||||||
2,440,000 | Countrywide Financial Corp., Series MTNA, 4.50%, 06/15/10 | 2,415,633 | ||||||
720,000 | Ford Motor Credit Company LLC, 7.38%, 10/28/09 | 713,828 | ||||||
1,110,000 | Ford Motor Credit Company LLC, 12.00%, 05/15/15 | 1,038,024 | ||||||
2,130,000 | General Electric Capital Corp., Series MTNA, 6.88%, 01/10/39 | 1,917,241 | ||||||
290,000 | Glitnir Banki HF — 144A (Iceland), 6.33%, 07/28/11(8)(9) | 47,125 | ||||||
800,000 | Glitnir Banki HF — 144A (Iceland), Variable Rate, 6.69%, 06/15/16(1)(8)(9) | 80 | ||||||
1,184,000 | GMAC LLC — 144A, 6.63%, 05/15/12 | 988,640 | ||||||
295,000 | GMAC LLC — 144A, 7.50%, 12/31/13 | 228,625 | ||||||
256,000 | GMAC LLC — 144A, 8.00%, 12/31/18 | 162,560 | ||||||
362,000 | GMAC LLC — 144A, 8.00%, 11/01/31 | 253,400 | ||||||
40,000 | Goldman Sachs Capital II, Variable Rate, 5.79%, perpetual(1) | 24,378 | ||||||
380,000 | Goldman Sachs Group, Inc. (The), 4.50%, 06/15/10 | 389,390 |
41
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
$ | 140,000 | Goldman Sachs Group, Inc. (The), 5.45%, 11/01/12 | $ | 144,759 | ||||
490,000 | Goldman Sachs Group, Inc. (The), 7.50%, 02/15/19 | 524,678 | ||||||
960,000 | HSBC Finance Corp., 4.63%, 09/15/10 | 967,813 | ||||||
170,000 | ICICI Bank, Ltd. — 144A (India), Variable Rate, 6.38%, 04/30/22(1) | 132,576 | ||||||
920,000 | ICICI Bank, Ltd. — REG S (India), Variable Rate, 6.38%, 04/30/22(1) | 718,590 | ||||||
920,000 | JPMorgan Chase & Company, 5.13%, 09/15/14 | 915,546 | ||||||
1,100,000 | JPMorgan Chase & Company, 5.15%, 10/01/15 | 1,084,292 | ||||||
950,000 | JPMorgan Chase & Company, 6.13%, 06/27/17 | 938,637 | ||||||
80,000 | JPMorgan Chase & Company, Series 2, 2.13%, 06/22/12 | 80,297 | ||||||
200,000 | Kaupthing Bank hf — 144A (Iceland), 7.13%, 05/19/16(8)(9) | 20 | ||||||
2,400,000 | Kaupthing Bank hf — 144A, Series 1 (Iceland), 7.63%, 02/28/15(8)(9)(14) | 186,000 | ||||||
320,000 | Landisbanki Islands hf — 144A (Iceland), 6.10%, 08/25/11(8)(9) | 9,600 | ||||||
410,000 | Lehman Brothers E — Capital Trust I, Floating Rate, 3.59%, 08/19/65(2)(9) | 41 | ||||||
480,000 | Lehman Brothers Holdings, Inc., Series MTN, 5.25%, 02/06/12(9) | 70,800 | ||||||
970,000 | Lehman Brothers Holdings, Inc., Series MTN, 6.75%, 12/28/17(9) | 97 | ||||||
1,420,000 | Merrill Lynch & Company, Inc., Series MTN, 6.88%, 04/25/18 | 1,314,290 | ||||||
350,000 | Mitsubishi UFJ Financial Group Capital Financial I, Ltd. (Cayman Islands), Variable Rate, 6.35%, perpetual(l) | 306,394 | ||||||
610,000 | Morgan Stanley, Series MTN, 5.63%, 01/09/12 | 624,278 | ||||||
200,000 | Morgan Stanley, Series MTNF, Floating Rate, 1.56%, 10/18/16(2) | 161,763 | ||||||
490,000 | Resona Preferred Global Securities — 144A (Cayman Islands), Variable Rate, 7.19%, perpetual(l) | 357,700 | ||||||
780,000 | RSHB Capital — 144A (Luxembourg), 6.30%, 05/15/17 | 670,800 | ||||||
220,000 | Santander Issuances — 144A (Spain), Variable Rate, 5.81%, 06/20/16(1) | 176,964 | ||||||
120,000 | SLM Corp., Series MTN, 5.05%, 11/14/14 | 92,844 | ||||||
675,000 | SLM Corp., Series MTNA, 5.00%, 10/01/13 | 545,978 | ||||||
1,005,000 | SLM Corp., Series MTNA, 5.38%, 05/15/14 | 807,729 | ||||||
40,000 | SLM Corp., Series MTNA, 5.00%, 04/15/15 | 30,470 | ||||||
105,000 | SLM Corp., Series MTNA, 5.63%, 08/01/33 | 64,646 | ||||||
270,000 | TNK-BP Finance SA — 144A (Luxembourg), 7.50%, 07/18/16 | 230,175 | ||||||
100,000 | TNK-BP Finance SA — 144A, (Luxembourg), 6.63%, 03/20/17 | 79,000 | ||||||
108,000 | TNK-BP Finance SA, REG S, Series 2 (Luxembourg), 7.50%, 07/18/16 | 93,960 | ||||||
510,000 | TNK-BP Finance SA, Series 6 — 144A, (Luxembourg), 7.88%, 03/13/18 | 420,750 | ||||||
1,300,000 | UBS AG Stamford Branch, Series MTN (Switzerland), 5.75%, 04/25/18 | 1,183,957 | ||||||
1,150,000 | Wachovia Corp., 5.25%, 08/01/14 | 1,125,358 | ||||||
940,000 | Wachovia Corp., Series MTNG, 5.50%, 05/01/13 | 971,024 | ||||||
340,000 | Wells Fargo Capital X, 5.95%, 12/15/36 | 251,600 | ||||||
29,904,869 | ||||||||
Broadcast Services/Media — 1.7% | ||||||||
130,000 | CCH I, LLC/CCH I Capital Corp., 11.00%, 10/01/15(8)(9) | 15,600 | ||||||
320,000 | Comcast Cable Communications, 8.88%, 05/01/17(5) | 376,248 | ||||||
730,000 | Comcast Corp., 6.50%, 01/15/15(5) | 774,299 | ||||||
50,000 | Comcast Corp., 6.50%, 01/15/17(5) | 53,043 | ||||||
210,000 | Comcast Corp., 5.88%, 02/15/18(5) | 212,872 | ||||||
235,000 | CSC Holdings, Inc., Series B, 7.63%, 04/01/11 | 232,650 | ||||||
110,000 | DIRECTV Holdings LLC/DIRECTV Financing Company, Inc., 8.38%, 03/15/13 | 110,275 | ||||||
115,000 | Dish DBS Corp., 7.00%, 10/01/13 | 109,250 | ||||||
145,000 | Dish DBS Corp., 7.75%, 05/31/15 | 138,113 |
42
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Broadcast Services/Media (continued) | ||||||||
$ | 20,000 | News America, Inc., 6.20%, 12/15/34 | $ | 17,074 | ||||
40,000 | News America, Inc., 6.65%, 11/15/37 | 35,981 | ||||||
60,000 | Rogers Cable, Inc. (Canada), 6.75%, 03/15/15 | 63,553 | ||||||
450,000 | Time Warner Cable, Inc., 5.85%, 05/01/17 | 449,370 | ||||||
160,000 | Time Warner Cable, Inc., 8.75%, 02/14/19 | 186,391 | ||||||
560,000 | Time Warner Cable, Inc., 8.25%, 04/01/19 | 635,386 | ||||||
240,000 | Time Warner Cable, Inc., 6.75%, 06/15/39 | 233,590 | ||||||
180,000 | Time Warner Entertainment, 8.38%, 07/15/33 | 201,479 | ||||||
510,000 | Time Warner, Inc., 6.88%, 05/01/12(5) | 545,570 | ||||||
4,390,744 | ||||||||
Chemicals — 0.5% | ||||||||
1,020,000 | Dow Chemical Company, 5.70%, 05/15/18(5) | 901,398 | ||||||
400,000 | PPG Industries, Inc., 6.65%, 03/15/18 | 425,256 | ||||||
44,000 | Westlake Chemical Corp., 6.63%, 01/15/16 | 38,500 | ||||||
1,365,154 | ||||||||
Computer Equipment, Software and Services — 0.1% | ||||||||
240,000 | Sungard Data Systems, Inc., 10.25%, 08/15/15 | 221,700 | ||||||
Consumer Goods and Services — 0.1% | ||||||||
110,000 | Reynolds American, Inc., 7.63%, 06/01/16 | 110,330 | ||||||
190,000 | Reynolds American, Inc., 6.75%, 06/15/17 | 177,403 | ||||||
287,733 | ||||||||
Entertainment, Leisure and Recreation — 0.1% | ||||||||
10,000 | AMC Entertainment, Inc. — 144A, 8.75%, 06/01/19 | 9,400 | ||||||
15,000 | Boyd Gaming Corp., 6.75%, 04/15/14 | 12,150 | ||||||
40,000 | Boyd Gaming Corp., 7.13%, 02/01/16 | 29,650 | ||||||
60,000 | Inn of The Mountain Gods, 12.00%, 11/15/10(9) | 24,000 | ||||||
135,000 | MGM MIRAGE, Inc., 7.63%, 01/15/17 | 87,412 | ||||||
25,000 | MGM MIRAGE, Inc. — 144A, 10.38%, 05/15/14 | 25,938 | ||||||
60,000 | MGM MIRAGE, Inc. — 144A, 11.13%, 11/15/17 | 63,600 | ||||||
30,000 | River Rock Entertainment Authority, 9.75%, 11/01/11 | 22,500 | ||||||
140,000 | Station Casinos, Inc., 7.75%, 08/15/16(8)(9) | 48,300 | ||||||
322,950 | ||||||||
Environmental Waste Management and Recycling Services — 0.2% | ||||||||
600,000 | Waste Management, Inc., 6.38%, 11/15/12 | 637,131 | ||||||
Equipment Rental and Leasing — 0.5% | ||||||||
3,330,000 | International Lease Finance Corp. E-Capital Trust I — 144A, Variable Rate, 5.90%, 12/21/65(1) | 1,232,100 | ||||||
440,000 | International Lease Finance Corp. E-Capital Trust II — 144A, Variable Rate, 6.25%, 12/21/65(1) | 162,800 | ||||||
1,394,900 | ||||||||
Food and Beverage — 0.9% | ||||||||
1,290,000 | Diageo Capital PLC (United Kingdom), 7.38%, 01/15/14(5) | 1,459,577 | ||||||
600,000 | Pepsico, Inc., 7.90%, 11/01/18 | 729,962 | ||||||
2,189,539 | ||||||||
Funeral Services — 0.0% | ||||||||
50,000 | Service Corp. International, 7.63%, 10/01/18 | 46,375 | ||||||
55,000 | Service Corp. International, 7.50%, 04/01/27 | 43,175 | ||||||
89,550 | ||||||||
Insurance — 0.8% | ||||||||
130,000 | American International Group, Inc., Series MTNG, 5.85%, 01/16/18(5) | 68,776 | ||||||
20,000 | ASIF Global Financing XIX — 144A, 4.90%, 01/17/13(5) | 17,015 | ||||||
825,000 | Chubb Corp., 5.75%, 05/15/18(5) | 855,719 | ||||||
220,000 | Humana, Inc., 7.20%, 06/15/18 | 198,251 | ||||||
600,000 | Merna Reinsurance, Ltd., Series B — 144A (Bermuda), Floating Rate, 2.35%, 07/07/10(2) | 558,840 | ||||||
360,000 | MetLife, Inc., 6.75%, 06/01/16 | 366,500 | ||||||
2,065,101 | ||||||||
43
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Machinery — 0.0% | ||||||||
$ | 60,000 | Terex Corp., 7.38%, 01/15/14 | $ | 54,900 | ||||
Manufacturing — 0.2% | ||||||||
120,000 | Tyco International Group SA (Luxembourg), 6.38%, 10/15/11 | 126,448 | ||||||
440,000 | Tyco International Group SA (Luxembourg), 6.00%, 11/15/13 | 447,400 | ||||||
573,848 | ||||||||
Medical Equipment, Supplies, and Services — 0.9% | ||||||||
190,000 | Community Health Systems, Inc., 8.88%, 07/15/15 | 186,200 | ||||||
230,000 | DaVita, Inc., 6.63%, 03/15/13 | 216,775 | ||||||
3,000 | HCA, Inc., 6.30%, 10/01/12 | 2,753 | ||||||
56,000 | HCA, Inc., 6.25%, 02/15/13 | 49,000 | ||||||
110,000 | HCA, Inc., 6.75%, 07/15/13 | 96,800 | ||||||
50,000 | HCA, Inc., 9.13%, 11/15/14 | 49,500 | ||||||
100,000 | HCA, Inc., 9.25%, 11/15/16 | 98,500 | ||||||
743,000 | HCA, Inc., 9.63%, 11/15/16(12) | 735,570 | ||||||
350,000 | Roche Holdings, Inc. — 144A, 6.00%, 03/01/19 | 373,198 | ||||||
558,000 | Tenet Healthcare Corp. — 144A, 8.88%, 07/01/19 | 560,790 | ||||||
50,000 | WellPoint, Inc., 5.88%, 06/15/17 | 48,935 | ||||||
2,418,021 | ||||||||
Metals and Mining — 1.5% | ||||||||
730,000 | Alcoa, Inc., 6.00%, 07/15/13(5) | 713,214 | ||||||
880,000 | Evraz Group SA — 144A (Luxembourg), 8.88%, 04/24/13 | 721,600 | ||||||
320,000 | Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17 | 322,400 | ||||||
870,000 | Rio Tinto Finance USA, Ltd. (Australia), 6.50%, 07/15/18 | 870,508 | ||||||
155,000 | Steel Dynamics, Inc., 7.38%, 11/01/12 | 146,863 | ||||||
105,000 | Steel Dynamics, Inc., 6.75%, 04/01/15 | 93,450 | ||||||
25,000 | Teck Resources, Ltd. — 144A (Canada), 9.75%, 05/15/14 | 25,875 | ||||||
20,000 | Teck Resources, Ltd. — 144A (Canada), 10.25%, 05/15/16 | 20,950 | ||||||
45,000 | Teck Resources, Ltd. — 144A (Canada), 10.75%, 05/15/19 | 48,375 | ||||||
484,000 | Vale Overseas, Ltd. (Cayman Islands), 6.88%, 11/21/36 | 459,560 | ||||||
520,000 | Vedanta Resources PLC — 144A (United Kingdom), 8.75%, 01/15/14 | 473,200 | ||||||
3,895,995 | ||||||||
Office Equipment, Supplies, and Services — 0.0% | ||||||||
30,000 | Xerox Corp., 6.75%, 02/01/17 | 27,300 | ||||||
Oil, Coal and Gas — 7.5% | ||||||||
740,000 | Anadarko Finance Company, Series B (Canada), 7.50%, 05/01/31(5) | 722,069 | ||||||
1,250,000 | Anadarko Petroleum Corp., 6.45%, 09/15/36(5) | 1,123,645 | ||||||
240,000 | Apache Corp., 5.25%, 04/15/13(5) | 252,106 | ||||||
950,000 | Apache Corp., 5.63%, 01/15/17(5) | 996,663 | ||||||
800,000 | Baker Hughes, Inc., 7.50%, 11/15/18(5) | 936,848 | ||||||
60,000 | Chesapeake Energy Corp., 6.38%, 06/15/15 | 53,400 | ||||||
140,000 | Chesapeake Energy Corp., 6.25%, 01/15/18 | 116,200 | ||||||
135,000 | Chesapeake Energy Corp., 7.25%, 12/15/18 | 117,450 | ||||||
195,000 | Complete Production Services, Inc., 8.00%, 12/15/16 | 166,725 | ||||||
210,000 | Conoco, Inc., 6.95%, 04/15/29(5) | 226,278 | ||||||
900,000 | ConocoPhillips, 6.50%, 02/01/39(5) | 957,990 | ||||||
305,000 | Dynegy Holdings, Inc., 7.75%, 06/01/19 | 237,519 | ||||||
1,420,000 | El Paso Corp., 7.00%, 06/15/17 | 1,293,271 | ||||||
19,000 | El Paso Corp., Series MTN, 7.80%, 08/01/31 | 15,498 | ||||||
92,000 | El Paso Corp., Series MTN, 7.75%, 01/15/32 | 74,890 | ||||||
110,000 | El Paso Natural Gas, 8.38%, 06/15/32(5) | 119,651 | ||||||
770,000 | Gaz Capital (Gazprom) — 144A (Luxembourg), 6.51%, 03/07/22 | 577,500 | ||||||
850,000 | Hess Corp., 8.13%, 02/15/19 | 967,686 |
44
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Oil, Coal and Gas (continued) | ||||||||
$ | 80,000 | Hess Corp., 7.88%, 10/01/29(5) | $ | 86,772 | ||||
440,000 | Hess Corp., 7.30%, 08/15/31(5) | 454,187 | ||||||
460,000 | Intergas Finance BV — 144A (the Netherlands), 6.38%, 05/14/17 | 349,600 | ||||||
440,000 | KazMunaiGaz Finance Sub BV — 144A (the Netherlands), 8.38%, 07/02/13 | 405,900 | ||||||
200,000 | Kerr-McGee Corp., 6.95%, 07/01/24 | 185,575 | ||||||
295,000 | Kerr-McGee Corp., 7.88%, 09/15/31 | 287,862 | ||||||
310,000 | Key Energy Services, Inc., 8.38%, 12/01/14 | 273,575 | ||||||
470,000 | Kinder Morgan Energy Partners LP, 6.75%, 03/15/11 | 492,597 | ||||||
130,000 | Kinder Morgan Energy Partners LP, 5.85%, 09/15/12 | 135,528 | ||||||
260,000 | Kinder Morgan Energy Partners LP, 6.00%, 02/01/17 | 257,937 | ||||||
1,030,000 | Kinder Morgan Energy Partners LP, Series MTN, 6.95%, 01/15/38 | 997,752 | ||||||
1,060,000 | Occidental Petroleum Corp., 7.00%, 11/01/13 | 1,213,568 | ||||||
160,000 | OPTI Canada, Inc. (Canada), 7.88%, 12/15/14 | 103,600 | ||||||
120,000 | OPTI Canada, Inc. (Canada), 8.25%, 12/15/14 | 79,200 | ||||||
45,000 | Peabody Energy Corp., Series B, 6.88%, 03/15/13 | 44,550 | ||||||
1,170,000 | Pemex Project Funding Master Trust, 6.63%, 06/15/35 | 1,058,185 | ||||||
411,000 | Petrobas International Finance Company (Cayman Islands), 6.13%, 10/06/16 | 421,275 | ||||||
215,000 | Sandridge Energy, Inc — 144A, 9.88%, 05/15/16 | 207,475 | ||||||
125,000 | Semgroup LP — 144A, 8.75%, 11/15/15(8)(9) | 5,000 | ||||||
5,000 | Southern Natural Gas, 8.00%, 03/01/32 | 5,291 | ||||||
60,000 | Southern Natural Gas — 144A, 5.90%, 04/01/17 | 58,110 | ||||||
65,000 | Suburban Propane Partners, 6.88%, 12/15/13 | 59,800 | ||||||
20,000 | Tennessee Gas Pipeline, 7.63%, 04/01/37 | 20,256 | ||||||
120,000 | Transocean, Inc. (Cayman Islands), 5.25%, 03/15/13 | 124,434 | ||||||
370,000 | Williams Companies, Inc., 7.88%, 09/01/21 | 364,450 | ||||||
380,000 | Williams Companies, Inc., 7.75%, 06/15/31 | 342,000 | ||||||
130,000 | Williams Companies, Inc., 8.75%, 03/15/32 | 130,650 | ||||||
840,000 | Williams Companies, Inc., Series A, 7.50%, 01/15/31 | 739,200 | ||||||
550,000 | XTO Energy, Inc., 7.50%, 04/15/12 | 609,261 | ||||||
340,000 | XTO Energy, Inc., 5.65%, 04/01/16 | 344,212 | ||||||
10,000 | XTO Energy, Inc., 6.25%, 08/01/17 | 10,523 | ||||||
270,000 | XTO Energy, Inc., 5.50%, 06/15/18 | 270,556 | ||||||
70,000 | XTO Energy, Inc., 6.75%, 08/01/37 | 73,077 | ||||||
19,167,347 | ||||||||
Paper and Forest Products — 0.3% | ||||||||
820,000 | Weyerhaeuser Company, 6.75%, 03/15/12 | 820,295 | ||||||
Pharmaceuticals/Research and Development — 0.4% | ||||||||
200,000 | Abbott Laboratories, 5.60%, 11/30/17(5) | 214,227 | ||||||
280,000 | FMC Finance III SA (Luxembourg), 6.88%, 07/15/17 | 260,400 | ||||||
470,000 | Wyeth, 5.95%, 04/01/37 | 486,228 | ||||||
960,855 | ||||||||
Printing and Publishing — 0.2% | ||||||||
360,000 | Reed Elsevier Capital, 8.63%, 01/15/19 | 409,023 | ||||||
40,000 | Sun Media Corp. (Canada), 7.63%, 02/15/13 | 26,300 | ||||||
80,000 | TL Acquisitions, Inc. — 144A, 10.50%, 01/15/15 | 64,800 | ||||||
500,123 | ||||||||
Private Asset Backed: Banks and Financial Services — 1.7% | ||||||||
2,106,698 | Conseco Finance Securitizations Corp., Series 2002-1, Class A, 6.68%, 12/01/33(5) | 1,795,728 | ||||||
2,296,652 | Conseco Finance Securitizations Corp., Series 2002-2, Class A2, 6.03%, 03/01/33(5) | 1,913,446 | ||||||
�� | 140,000 | Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.99%, 08/13/42 | 119,607 |
45
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Banks and Financial Services (continued) | ||||||||
$ | 430,000 | Morgan Stanley Capital I, Series 2006-IQ12, Class A4, 5.33%, 12/15/43 | $ | 321,563 | ||||
159,580 | Nomura Asset Acceptance Corp. — 144A, Series 2004-R1, Class A1, 6.50%, 03/25/34 | 135,113 | ||||||
214,620 | Nomura Asset Acceptance Corp. — 144A, Series 2004-R2, Class A1, 6.50%, 10/25/34 | 178,790 | ||||||
4,464,247 | ||||||||
Private Asset Backed: Credit Cards — 0.6% | ||||||||
1,530,000 | Washington Mutual Master Note Trust — 144A, Series 2006-A3A, Class A3, Floating Rate, 0.35%, 09/15/13(3) | 1,527,654 | ||||||
Private Asset Backed: Mortgage and Home Equity — 16.8% | ||||||||
365,569 | AAMES Mortgage Investment Trust — 144A, Series 2005-3, Class A1, Floating Rate, 0.46%, 08/25/35(3) | 346,140 | ||||||
106,408 | Accredited Mortgage Loan Trust, Series 2005-3, Class A1, Floating Rate, 0.55%, 09/25/35(3) | 76,216 | ||||||
48,672 | Adjustable Rate Mortgage Trust, Series 2004-2, Class 7A2, Floating Rate, 0.73%, 02/25/35(3)(5) | 26,237 | ||||||
16,004 | Adjustable Rate Mortgage Trust, Series 2004-5, Class 7A2, Floating Rate, 0.69%, 04/25/35(3) | 13,008 | ||||||
1,542,784 | American Home Mortgage Assets Trust, Series 2006-2, Class 2A1, Floating Rate, 0.50%, 09/25/46(3)(5) | 647,577 | ||||||
261,397 | American Home Mortgage Investment Trust, Series 2005-4, Class 1A1, Floating Rate, 0.60%, 11/25/45(3)(5) | 115,207 | ||||||
470,904 | Amortizing Residential Collateral Trust, Series 2002-BC5, Class Ml, Floating Rate, 1.35%, 07/25/32(3) | 290,464 | ||||||
1,214,000 | Banc of America Commercial Mortgage, Inc., Series 2005-3, Class A4, 4.67%, 07/10/43(5) | 1,044,582 | ||||||
280,000 | Banc of America Commercial Mortgage, Inc., Series 2007-3, Class A3, Floating Rate, 5.66%, 07/10/14(3)(5) | 213,794 | ||||||
704,569 | Banc of America Funding Corp., Series 2005-E, Class 4A1, Floating Rate, 4.43%, 03/20/35(3) | 444,563 | ||||||
445,227 | Banc of America Mortgage Securities, Series 2005-A, Class 2A1, Floating Rate, 4.45%, 02/25/35(3)(5) | 294,102 | ||||||
197,103 | Bear Stearns ALT-A Trust, Series 2004-11, Class 2A2, Floating Rate, 5.20%, 11/25/34(3)(5) | 119,090 | ||||||
897,126 | Bear Stearns Mortgage Funding Trust, Series 2006-AR1, Class 2A2, Floating Rate, 0.57%, 08/25/36(3) | 174,518 | ||||||
1,475,088 | Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 1A2, Floating Rate, 0.52%, 12/25/36(3) | 239,276 | ||||||
1,276,719 | Bear Stearns Second Lien Trust — 144A, Series 2007-SV1A, Class A3, Floating Rate, 0.56%, 12/25/36(3)(5) | 267,865 | ||||||
1,150,000 | Chase Funding Mortgage Loan Asset-Backed, Series 2003-4, Class 1A5, 5.42%, 05/25/33(5) | 613,275 | ||||||
2,394,727 | Countrywide Alternative Loan Trust, Series 2005-36, Class 2A1A, Floating Rate, 0.62%, 08/25/35(3)(5) | 1,024,331 | ||||||
280,036 | Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1, Floating Rate, 4.85%, 08/25/35(3)(5) | 181,082 | ||||||
652,087 | Countrywide Alternative Loan Trust, Series 2005-38, Class A3, Floating Rate, 0.66%, 09/25/35(3)(5) | 296,649 | ||||||
144,720 | Countrywide Alternative Loan Trust, Series 2005-44, Class 1A1, Floating Rate, 0.64%, 10/25/35(3)(5) | 62,221 | ||||||
2,056,946 | Countrywide Alternative Loan Trust, Series 2005-51, Class 3A3A, Floating Rate, 0.64%, 11/20/35(3) | 923,746 |
46
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 312,928 | Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, Floating Rate, 0.64%, 11/20/35(3)(5) | $ | 141,333 | ||||
658,026 | Countrywide Alternative Loan Trust, Series 2005-72, Class Al, Floating Rate, 0.58%, 01/25/36(3)(5) | 287,434 | ||||||
829,974 | Countrywide Alternative Loan Trust, Series 2005-J12, Class 2A1, Floating Rate, 0.58%, 08/25/35(3) | 376,015 | ||||||
909,751 | Countrywide Alternative Loan Trust, Series 2006-OA2, Class A5, Floating Rate, 0.55%, 05/20/46(3) | 347,186 | ||||||
399,998 | Countrywide Alternative Loan Trust, Series 2006-OA6, Class 1A1A, Floating Rate, 0.52%, 07/25/46(3) | 156,706 | ||||||
49,518 | Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, 4.46%, 10/25/35 | 45,098 | ||||||
414,981 | Countrywide Home Equity Loan Trust — 144A, Series 2006-RES, Class 4Q1B, Floating Rate, 0.62%, 12/15/33(3)(5) | 66,476 | ||||||
145,358 | Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, Floating Rate, 0.55%, 12/15/35(3) | 56,047 | ||||||
109,591 | Countrywide Home Loans — 144A, Series 2004-R2, Class 1AF1, Floating Rate, 0.73%, 11/25/34(3) | 75,687 | ||||||
170,585 | Countrywide Home Loans — 144A, Series 2005-R1, Class 1AF1, Floating Rate, 0.67%, 03/25/35(3) | 120,359 | ||||||
293,155 | Countrywide Home Loans — 144A, Series 2005-R3, Class AF, Floating Rate, 0.71%, 09/25/35(3)(5) | 197,997 | ||||||
334,702 | Countrywide Home Loans, Series 2003-60, Class 1A1, Floating Rate, 5.53%, 02/25/34(3) | 274,123 | ||||||
160,006 | Countrywide Home Loans, Series 2004-23, Class A, Floating Rate, 2.62%, 11/25/34(3)(5) | 86,014 | ||||||
446,171 | Countrywide Home Loans, Series 2005-3, Class 1A2, Floating Rate, 0.60%, 04/25/35(3)(5) | 200,145 | ||||||
250,000 | Credit Suisse Mortgage Capital Certificates — 144A, Series 2006-CF2, Class A1, Floating Rate, 0.57%, 05/25/36(3) | 163,384 | ||||||
1,860,000 | Credit Suisse Mortgage Capital Certificates, Series 2006-C4, Class A3, 5.47%, 09/15/39(5) | 1,301,507 | ||||||
756,636 | CS First Boston Mortgage Securities Corp., Series 2004-AR5, Class 7A2, Floating Rate, 3.64%, 06/25/34(3) | 632,553 | ||||||
1,270,000 | Deutsche Mortgage Securities, Inc. — 144A, Series 2005-WF1, Class 1A3, Floating Rate, 5.12%, 06/26/35(3)(5) | 821,546 | ||||||
673,149 | First Horizon Alternative Mortgage Securities, Series 2006-FA8, Class 1A8, Floating Rate, 0.68%, 02/25/37(3) | 297,982 | ||||||
310,000 | GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4, Floating Rate, 5.33%, 11/10/45(3) | 260,884 | ||||||
1,000,000 | GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class A4, 5.24%, 11/10/45 | 828,223 | ||||||
53,720 | GMAC Mortgage Corp. Loan Trust, Series 2003-AR2, Class 1A1, Floating Rate, 5.63%, 12/19/33(3) | 46,577 | ||||||
222,456 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.63%, 03/18/35(3) | 130,586 | ||||||
287,424 | Greenpoint Mortgage Funding Trust, Series 2006-AR4, Class A1A, Floating Rate, 0.41%, 09/25/46(3) | 230,874 | ||||||
1,169,690 | Greenpoint Mortgage Funding Trust, Series 2007-AR1, Class 1A1A, Floating Rate, 0.39%, 02/25/47(3) | 580,709 | ||||||
200,000 | GS Mortgage Securities Corp. II, Series 2005-GG4, Class AABA, 4.68%, 07/10/39 | 192,536 | ||||||
254,045 | GSMPS Mortgage Loan Trust — 144A, Series 2005-RP3, Class 1AF, Floating Rate, 0.66%, 09/25/35(3) | 174,921 |
47
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 2,302,643 | Harborview Mortgage Loan Trust, Series 2006-10, Class 2A1A, Floating Rate, 0.49%, 11/19/36(3) | $ | 915,581 | ||||
97,920 | Impac CMB Trust, Series 2004-6, Class 1A1, Floating Rate, 1.11%, 10/25/34(3) | 43,550 | ||||||
1,244,639 | IndyMac INDA Mortgage Loan Trust, Series 2007-AR7, Class 1A1, Floating Rate, 6.14%, 09/25/37(3) | 811,937 | ||||||
2,269,651 | IndyMac Index Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, Floating Rate, 0.61%, 07/25/35(3) | 1,027,155 | ||||||
96,694 | IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 5.10%, 09/25/35 | 59,781 | ||||||
1,997,235 | IndyMac Index Mortgage Loan Trust, Series 2007-AR15, Class 2A1, Floating Rate, 5.69%, 08/25/37(3) | 905,663 | ||||||
1,100,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A3, Floating Rate, 5.80%, 06/15/49(3) | 818,825 | ||||||
1,590,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, Floating Rate, 5.80%, 06/15/49(3) | 1,214,179 | ||||||
833,748 | JPMorgan Mortgage Trust, Series 2004-A1, Class 1A1, Floating Rate, 4.81%, 02/25/34(3) | 751,038 | ||||||
176,762 | JPMorgan Mortgage Trust, Series 2004-A3, Class 1A1, Floating Rate, 3.86%, 07/25/34(3) | 154,953 | ||||||
396,238 | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A1, Floating Rate, 5.10%, 11/25/33(3) | 346,309 | ||||||
900,000 | LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.74%, 07/15/30 | 770,099 | ||||||
100,000 | LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class AAB, 4.66%, 07/15/30 | 96,127 | ||||||
200,000 | LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A4, 4.95%, 09/15/30 | 171,363 | ||||||
184,855 | Lehman XS Trust, Series 2005-5N, Class 1A1, Floating Rate, 0.61%, 11/25/35(3) | 77,325 | ||||||
1,107,773 | Lehman XS Trust, Series 2005-5N, Class 3A1A, Floating Rate, 0.61%, 11/25/35(3) | 472,658 | ||||||
147,759 | Lehman XS Trust, Series 2005-7N, Class 1A1B, Floating Rate, 0.61%, 12/25/35(3) | 36,222 | ||||||
245,361 | Lehman XS Trust, Series 2006-GP4, Class 3A1A, Floating Rate, 0.38%, 08/25/46(3) | 198,820 | ||||||
835,065 | Lehman XS Trust, Series 2007-2N, Class 3A1, Floating Rate, 0.40%, 02/25/37(3) | 489,235 | ||||||
1,122,492 | Master Adjustable Rate Mortgages Trust — 144A, Series 2007-R5, Class A1, Floating Rate, 5.64%, 11/25/35(3) | 491,979 | ||||||
1,372,364 | Master Adjustable Rate Mortgages Trust, Series 2006-OA2, Class 1A1, Floating Rate, 2.14%, 12/25/46(3) | 333,253 | ||||||
693,003 | Merrill Lynch Mortgage Investors Trust, Series 2004-A1, Class 2A1, Floating Rate, 4.56%, 02/25/34(3) | 590,562 | ||||||
770,135 | Merrill Lynch Mortgage Investors Trust, Series 2004-A3, Class 4A3, Floating Rate, 5.03%, 05/25/34(3) | 683,558 | ||||||
126,059 | Merrill Lynch Mortgage Investors Trust, Series 2005-A3, Class A1, Floating Rate, 0.58%, 04/25/35(3) | 73,017 | ||||||
1,610,404 | Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1, Floating Rate, 0.76%, 02/25/47(3) | 850,879 | ||||||
500,000 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 2A2, 4.46%, 07/25/35 | 314,412 |
48
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 400,000 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35 | $ | 195,983 | ||||
42,500 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, Floating Rate, 5.66%, 05/12/39(3) | 34,602 | ||||||
123,776 | MLCC Mortgage Investors, Inc., Series 2003-F, Class A1, Floating Rate, 0.63%, 10/25/28(3) | 93,717 | ||||||
483,210 | Morgan Stanley Mortgage Loan Trust, Series 2004-8AR, Class 4A2, Floating Rate, 5.27%, 10/25/34(3) | 371,055 | ||||||
1,084,677 | Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 2A3, Floating Rate, 5.51%, 03/25/36(3) | 555,179 | ||||||
374,007 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A1, 5.50%, 05/25/35 | 354,021 | ||||||
173,975 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A2, 6.00%, 05/25/35 | 166,744 | ||||||
1,008,964 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 2A1, 5.50%, 05/25/35 | 719,379 | ||||||
839,006 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 2A2, 6.00%, 05/25/35 | 582,978 | ||||||
1,876,923 | RAAC — 144A, Series 2007-RP4, Class A, Floating Rate, 0.66%, 06/25/37(3) | 1,094,865 | ||||||
1,137,638 | RBSGC Mortgage Pass Through Certificates, Series 2007-B, Class 1A4, Floating Rate, 0.76%, 01/25/37(3) | 443,627 | ||||||
1,500,000 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF6, 5.88%, 06/25/37 | 527,865 | ||||||
986,013 | Residential Accredited Loans, Inc., Series 2006-QO10, Class A1, Floating Rate, 0.47%, 01/25/37(3) | 396,737 | ||||||
1,170,643 | Residential Accredited Loans, Inc., Series 2007-QO1, Class A1, Floating Rate, 0.46%, 02/25/47(3) | 466,325 | ||||||
2,229,774 | Residential Accredited Loans, Inc., Series 2007-QO4, Class A1A, Floating Rate, 0.50%, 05/25/47(3) | 846,530 | ||||||
1,261,376 | Residential Accredited Loans, Inc., Series 2007-QS1, Class 2A2, Floating Rate, 0.67%, 01/25/37(3) | 619,744 | ||||||
2,700,000 | Securitized Asset Backed Receivables LLC, Series 2007-BR3, Class A2B, Floating Rate, 0.53%, 04/25/37(3) | 653,071 | ||||||
835,893 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 3A1, Floating Rate, 5.33%, 01/25/35(3) | 561,014 | ||||||
1,257,001 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 1A1, 5.06%, 07/25/35 | 861,570 | ||||||
507,521 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-16XS, Class Al, Floating Rate, 0.65%, 08/25/35(3) | 268,736 | ||||||
673,183 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1, Floating Rate, 0.63%, 10/25/35(3) | 303,199 | ||||||
120,516 | Structured Asset Mortgage Investments, Inc., Series 2003-AR4, Class Al, Floating Rate, 0.66%, 01/19/34(3) | 59,939 | ||||||
399,518 | Structured Asset Mortgage Investments, Inc., Series 2006-AR6, Class 1A3, Floating Rate, 0.50%, 07/25/46(3) | 139,906 | ||||||
430,635 | Structured Asset Securities Corp. — 144A, Series 2005-RF3, Class 1A, Floating Rate, 0.66%, 06/25/35(3) | 237,218 | ||||||
2,243,487 | Structured Asset Securities Corp. — 144A, Series 2007-TC1, Class A, Floating Rate, 0.61%, 04/25/31(3) | 1,252,780 | ||||||
220,716 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1, Floating Rate, 0.60%, 10/25/45(3) | 115,470 | ||||||
245,770 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A2, Floating Rate, 0.59%, 11/25/45(3) | 111,729 |
49
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 145,233 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A, Floating Rate, 0.60%, 07/25/45(3) | $ | 66,485 | ||||
2,848,776 | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A, Floating Rate, 2.31%, 05/25/46(3) | 1,101,959 | ||||||
1,750,236 | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, Floating Rate, 2.30%, 08/25/46(3) | 696,775 | ||||||
590,221 | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY4, Class 4A1, 5.50%, 09/25/36 | 356,769 | ||||||
2,676,138 | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA6, Class 1A1B, Floating Rate, 2.15%, 07/25/47(3) | 503,233 | ||||||
42,964,529 | ||||||||
Private Asset Backed: Student Loans — 0.5% | ||||||||
780,000 | Nelnet Student Loan Trust, Series 2008-4, Class A4, Floating Rate, 2.57%, 04/25/17(2) | 768,518 | ||||||
400,000 | SLC Student Loan Trust, Series 2008-1, Class A4A, Floating Rate, 2.23%, 12/15/32(2) | 388,464 | ||||||
137,215 | SLM Student Loan Trust, Series 2006-5, Class A2, Floating Rate, 1.08%, 07/25/17(2) | 137,126 | ||||||
1,294,108 | ||||||||
Real Estate Development and Services — 0.1% | ||||||||
35,000 | Forest City Enterprises, Inc., 7.63%, 06/01/15 | 22,050 | ||||||
30,000 | Forest City Enterprises, Inc., 6.50%, 02/01/17 | 16,500 | ||||||
520,000 | Realogy Corp., 12.38%, 04/15/15 | 145,600 | ||||||
184,150 | ||||||||
Real Estate Investment Trusts — 0.0% | ||||||||
40,000 | Host Hotels & Resorts LP, Series Q, 6.75%, 06/01/16 | 34,700 | ||||||
10,000 | Ventas Realty LP/Ventas Capital Corp., 9.00%, 05/01/12 | 10,300 | ||||||
30,000 | Ventas Realty LP/Ventas Capital Corp., 6.50%, 06/01/16 | 26,850 | ||||||
71,850 | ||||||||
Retail — 0.3% | ||||||||
757,871 | CVS Caremark Corp. — 144A, 6.94%, 01/10/30(5) | 685,745 | ||||||
Scientific and Technical Instruments — 0.1% | ||||||||
100,000 | Cie Generale de Geophysique (France), 7.50%, 05/15/15 | 91,750 | ||||||
105,000 | Cie Generale de Geophysique (France), 7.75%, 05/15/17 | 95,550 | ||||||
187,300 | ||||||||
Semiconductors — 0.1% | ||||||||
260,000 | Freescale Semiconductor, Inc., 8.88%, 12/15/14 | 131,300 | ||||||
20,000 | Freescale Semiconductor, Inc., 10.13%, 12/15/16 | 6,800 | ||||||
138,100 | ||||||||
Telecommunications Equipment and Services — 3.8% | ||||||||
220,000 | America Movil SAB de CV (Mexico), 5.63%, 11/15/17(5) | 215,029 | ||||||
410,000 | AT&T, Inc., 5.10%, 09/15/14 | 425,903 | ||||||
380,000 | AT&T, Inc., 5.50%, 02/01/18(5) | 379,444 | ||||||
80,000 | AT&T, Inc., 5.80%, 02/15/19(5) | 81,225 | ||||||
810,000 | AT&T, Inc., 6.55%, 02/15/39(5) | 808,560 | ||||||
10,000 | Bellsouth Corp., 4.75%, 11/15/12(5) | 10,353 | ||||||
75,000 | Citizens Communications Company, 7.13%, 03/15/19 | 63,938 | ||||||
210,000 | Cricket Communications I — 144A, 7.75%, 05/15/16 | 202,125 | ||||||
375,000 | Deutsche Telecom International Finance BV (the Netherlands), 5.75%, 03/23/16(5) | 383,949 | ||||||
1,290,000 | Embarq Corp., 6.74%, 06/01/13(5) | 1,302,178 | ||||||
235,000 | Intelsat Jackson Holdings — 144A (Bermuda), 9.50%, 06/15/16 | 236,175 | ||||||
40,000 | Intelsat Jackson Holdings (Bermuda), 11.25%, 06/15/16 | 40,800 |
50
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Telecommunications Equipment and Services (continued) | ||||||||
$ | 320,000 | Koninklijke KPN NV (the Netherlands), 8.00%, 10/01/10 | $ | 335,769 | ||||
445,000 | Koninklijke KPN NV (the Netherlands), 8.38%, 10/01/30 | 508,651 | ||||||
170,000 | Level 3 Financing, Inc., 9.25%, 11/01/14 | 139,400 | ||||||
300,000 | Nextel Communications, Inc., Series E, 6.88%, 10/31/13 | 248,250 | ||||||
360,000 | Qwest Communications International, Inc., Series B, 7.50%, 02/15/14 | 328,500 | ||||||
80,000 | Rogers Communications (Canada), 6.80%, 08/15/18 | 85,762 | ||||||
150,000 | Sprint Capital Corp., 8.38%, 03/15/12 | 147,750 | ||||||
540,000 | Sprint Capital Corp., 6.90%, 05/01/19 | 446,850 | ||||||
80,000 | Sprint Capital Corp., 8.75%, 03/15/32 | 64,400 | ||||||
390,000 | Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15 | 376,481 | ||||||
650,000 | Telecom Italia Capital (Luxembourg), 7.00%, 06/04/18 | 657,576 | ||||||
990,000 | Verizon Communications, Inc., 6.90%, 04/15/38 | 1,032,771 | ||||||
210,000 | Verizon Communications, Inc., 8.95%, 03/01/39 | 265,192 | ||||||
160,000 | Verizon Global Funding Corp., 7.38%, 09/01/12 | 178,995 | ||||||
560,000 | Verizon New York, Inc., Series A, 6.88%, 04/01/12 | 593,503 | ||||||
165,000 | Windstream Corp., 8.63%, 08/01/16 | 157,988 | ||||||
9,717,517 | ||||||||
Transportation — 0.3% | ||||||||
40,000 | Gulfmark Offshore, Inc., 7.75%, 07/15/14 | 36,600 | ||||||
200,000 | Kansas City Southern de Mexico, SA de CV — 144A (Mexico), 12.50%, 04/01/16 | 203,000 | ||||||
340,000 | RailAmerica, Inc. — 144A, 9.25%, 07/01/17 | 328,100 | ||||||
130,000 | Teekay Shipping Corp. (Marshall Islands), 8.88%, 07/15/11 | 129,025 | ||||||
180,000 | Union Pacific Corp., 5.38%, 05/01/14 | 184,744 | ||||||
881,469 | ||||||||
Utilities—4.4% | ||||||||
67,000 | AES Corp., 7.75%, 03/01/14 | 63,483 | ||||||
210,000 | AES Corp., 7.75%, 10/15/15 | 195,300 | ||||||
1,130,000 | AES Corp., 8.00%, 10/15/17 | 1,050,899 | ||||||
1,590,000 | AES Corp., 8.00%, 06/01/20 | 1,427,024 | ||||||
240,000 | Calpine Construction Finance Company, LP/CCFC Finance Corp. — 144A, 8.00%, 06/01/16 | 229,800 | ||||||
30,000 | Dominion Resources, Inc., 4.75%, 12/15/10(5) | 30,833 | ||||||
580,000 | Dominion Resources, Inc., 5.70%, 09/17/12(5) | 616,945 | ||||||
560,000 | Dominion Resources, Inc., Series D, 8.88%, 01/15/19(5) | 667,823 | ||||||
590,000 | Duke Energy Carolinas, 5.63%, 11/30/12(5) | 632,343 | ||||||
60,000 | Edison Mission Energy, 7.75%, 06/15/16 | 48,900 | ||||||
50,000 | Edison Mission Energy, 7.00%, 05/15/17 | 38,375 | ||||||
140,000 | Edison Mission Energy, 7.20%, 05/15/19 | 104,300 | ||||||
50,000 | Edison Mission Energy, 7.63%, 05/15/27 | 32,000 | ||||||
10,000 | Energy Future Holdings Corp., 10.88%, 11/01/17 | 7,300 | ||||||
3,794,800 | Energy Future Holdings Corp., 11.25%, 11/01/17(12) | 2,314,827 | ||||||
370,000 | Exelon Corp., 5.63%, 06/15/35(5) | 297,829 | ||||||
650,000 | FirstEnergy Corp., Series B, 6.45%, 11/15/11 | 678,444 | ||||||
515,000 | FirstEnergy Corp., Series C, 7.38%, 11/15/31 | 486,087 | ||||||
311,774 | Mirant Mid-Atlantic Trust LLC, Series C, 10.06%, 12/30/28 | 299,693 | ||||||
75,000 | NRG Energy, Inc., 7.25%, 02/01/14 | 72,750 | ||||||
170,000 | NRG Energy, Inc., 7.38%, 02/01/16 | 160,863 | ||||||
45,000 | NRG Energy, Inc., 7.38%, 01/15/17 | 42,413 |
51
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Utilities (continued) | ||||||||
$ | 620,000 | Pacific Gas & Electric Company, 5.63%, 11/30/17 | $ | 656,261 | ||||
210,000 | Pacific Gas & Electric Company, 6.05%, 03/01/34 | 217,862 | ||||||
140,000 | Pacific Gas & Electric Company, 5.80%, 03/01/37 | 140,700 | ||||||
440,000 | TXU Corp., Series P, 5.55%, 11/15/14 | 277,825 | ||||||
200,000 | TXU Corp., Series Q, 6.50%, 11/15/24 | 100,216 | ||||||
635,000 | TXU Corp., Series R, 6.55%, 11/15/34 | 305,282 | ||||||
11,196,377 | ||||||||
Total Corporate Bonds and Notes (Cost $197,556,985) | 146,147,819 | |||||||
Preferred Corporate Bonds and Notes — 2.0% | ||||||||
Banks and Financial Services — 1.5% | ||||||||
610,000 | Bank of America Corp., Series K, Variable Rate, 8.00%, perpetual(1) | 509,448 | ||||||
90,000 | Bank of America Corp., Series M, Variable Rate, 8.13%, perpetual(1) | 75,167 | ||||||
160,000 | Credit Suisse (Switzerland), Variable Rate, 5.86%, perpetual (1)(5) | 104,000 | ||||||
1,190,000 | General Electric Capital Corp., Variable Rate, 6.38%, 11/15/67(1) | 793,993 | ||||||
930,000 | Lehman Brothers Capital Trust VII, Series MTN, Variable Rate, 5.86%, perpetual(1)(9) | 93 | ||||||
280,000 | Rabobank Nederland — 144A (the Netherlands), Variable Rate, 11.00%, perpetual(1) | 311,500 | ||||||
200,000 | Royal Bank of Scotland Group PLC, Series MTNU (United Kingdom), Variable Rate, 7.64%, perpetual(1) | 81,000 | ||||||
610,000 | Shinsei Financial, Ltd. — 144A (Cayman Islands), Variable Rate, 6.42%, perpetual(1) | 244,000 | ||||||
150,000 | SunTrust Capital VIII, Variable Rate, 6.10%, 12/15/36(1) | 97,437 | ||||||
460,000 | Wachovia Capital Trust III, Variable Rate, 5.80%, perpetual(1) | 276,000 | ||||||
1,300,000 | Wells Fargo Capital XV, Variable Rate, 9.75%, perpetual(1) | 1,257,750 | ||||||
3,750,388 | ||||||||
Insurance — 0.5% | ||||||||
1,140,000 | MetLife, Inc., 6.40%, 12/15/36 | 815,100 | ||||||
670,000 | Travelers Companies, Inc. (The), Variable Rate, 6.25%, 03/15/37(1) | 539,996 | ||||||
1,355,096 | ||||||||
Total Preferred Corporate Bonds and Notes | ||||||||
(Cost $7,691,313) | 5,105,484 | |||||||
Shares | ||||||||
Preferred Stocks — 0.1% | ||||||||
Banks and Financial Services | ||||||||
1,300 | Fannie Mae, Series O, Floating Rate, 7.00%(2) | 2,015 | ||||||
31,175 | Fannie Mae, Series S, Variable Rate, 8.25%(1) | 41,463 | ||||||
43,300 | Freddie Mac, Series Z, Variable Rate, 8.38%(1) | 52,826 | ||||||
341 | Preferred Blocker, Inc. — 144A, 7.00% | 146,651 | ||||||
Total Preferred Stocks | ||||||||
(Cost $1,988,323) | 242,955 | |||||||
Principal | ||||||||
Municipal Bonds — 0.2% | ||||||||
Virginia | ||||||||
$ | 449,107 | Virginia State Housing Development Authority, Series C, Revenue Bond, 6.00%, 06/25/34 (Cost $442,005) | 439,208 | |||||
Foreign Government Obligations — 0.3% | ||||||||
710,400 | Russia Foreign Bond-REG S (Russia), 7.50%, 03/31/30 | 699,389 | ||||||
8,000 | United Mexican States (Mexico), 5.63%, 01/15/17 | 8,088 | ||||||
Total Foreign Government Obligations | ||||||||
(Cost $795,161) | 707,477 | |||||||
Total Securities | ||||||||
(Cost $327,448,615) | 275,668,544 | |||||||
52
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Repurchase Agreements — 0.6% | ||||||||
$ | 1,416,448 | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $1,416,448 (Collateralized by US Treasury Bill, 0.31%, due 12/10/09, with a value of $1,447,970) (Cost $1,416,448) | $ | 1,416,448 | ||||
Total Investments before Call and Put Options Written — 107.9% (Cost $328,865,063) | 277,084,992 | |||||||
Contracts | ||||||||
Call Options Written — (0.0)% | ||||||||
(74 | ) | US Treasury Note (10 Year) August Future, Expiring July 2009 @ 119.50 (Premium $40,136) | (1,156 | ) | ||||
Put Options Written — (0.0)% | ||||||||
(137 | ) | Eurodollar Future, expiring March 2010 @ 98.38 (Premium $122,083) | (71,925 | ) | ||||
Total Investments net of Call and Put Options Written — 107.9% (Cost $328,702,844) | 277,011,911 | |||||||
Liabilities less other assets —(7.9)% | (20,214,829 | ) | ||||||
Net Assets — 100.0% | $ | 256,797,082 | ||||||
Gross unrealized appreciation | $ | 6,590,539 | ||
Gross unrealized depreciation | (58,370,610 | ) | ||
Net unrealized depreciation | $ | (51,780,071 | ) | |
53
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes — 87.7% | ||||||||
Advertising — 0.8% | ||||||||
$ | 470,000 | Affinion Group, Inc., 10.13%, 10/15/13 | $ | 434,750 | ||||
1,685,000 | Affinion Group, Inc., 11.50%, 10/15/15 | 1,440,675 | ||||||
2,310,000 | Interpublic Group of Companies — 144A, 10.00%, 07/15/17 | 2,327,325 | ||||||
4,202,750 | ||||||||
Aerospace and Defense — 0.8% | ||||||||
480,000 | Hawker Beechcraft Acquisition Company LLC, 8.50%, 04/01/15 | 247,200 | ||||||
2,335,000 | Hawker Beechcraft Acquisition Company LLC, 9.75%, 04/01/17 | 980,700 | ||||||
2,535,000 | Transdigm, Inc., 7.75%, 07/15/14 | 2,408,250 | ||||||
905,000 | Vought Aircraft Industries, Inc., 8.00%, 07/15/11 | 565,625 | ||||||
4,201,775 | ||||||||
Airlines — 0.1% | ||||||||
415,164 | Continental Airlines, Inc., Series 2001-1, 7.03%, 06/15/11 | 315,524 | ||||||
Apparel: Manufacturing and Retail—2.6% | ||||||||
1,620,000 | Levi Strauss & Company, 8.88%, 04/01/16 | 1,567,350 | ||||||
3,350,000 | Limited Brands, Inc. — 144A, 8.50%, 06/15/19 | 3,209,598 | ||||||
2,005,000 | Oxford Industries, Inc., 8.88%, 06/01/11 | 2,005,000 | ||||||
1,720,000 | Oxford Industries, Inc. — 144A, 11.38%, 07/15/15 | 1,702,800 | ||||||
4,700,000 | Perry Ellis International, Inc., Series B, 8.88%, 09/15/13 | 3,830,500 | ||||||
205,000 | Phillips Van-Heusen Corp., 8.13%, 05/01/13 | 201,413 | ||||||
2,305,000 | Quiksilver, Inc., 6.88%, 04/15/15 | 1,221,650 | ||||||
13,738,311 | ||||||||
Automobile: Rental—1.7% | ||||||||
3,435,000 | Hertz Corp., 8.88%, 01/01/14 | 3,160,200 | ||||||
1,430,000 | Hertz Corp., 10.50%, 01/01/16 | 1,272,700 | ||||||
2,485,000 | RSC Equipment Rental, Inc., 9.50%, 12/01/14 | 1,994,213 | ||||||
2,420,000 | RSC Equipment Rental, Inc. — 144A, 10.00%, 07/15/17 | 2,423,781 | ||||||
8,850,894 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs—0.7% | ||||||||
530,000 | Allison Transmission, Inc. — 144A, 11.00%, 11/01/15 | 418,700 | ||||||
2,160,000 | Allison Transmission, Inc. — 144A, 11.25%, 11/01/15(12) | 1,512,000 | ||||||
395,000 | Commercial Vehicle Group, 8.00%, 07/01/13 | 225,150 | ||||||
1,255,000 | KAR Holdings, Inc., 8.75%, 05/01/14 | 1,076,163 | ||||||
480,000 | Tenneco, Inc., 8.13%, 11/15/15 | 379,200 | ||||||
3,611,213 | ||||||||
Banks and Financial Services—1.6% | ||||||||
1,220,000 | Ford Motor Credit Company LLC, 7.88%, 06/15/10 | 1,158,835 | ||||||
2,300,000 | Ford Motor Credit Company LLC, 7.80%, 06/01/12 | 1,978,968 | ||||||
625,000 | Ford Motor Credit Company LLC, 12.00%, 05/15/15 | 584,473 | ||||||
4,745,000 | Ford Motor Credit Company LLC, 8.00%, 12/15/16 | 3,627,691 | ||||||
1,400,000 | Nuveen Investments, Inc. — 144A, 10.50%, 11/15/15 | 966,000 | ||||||
8,315,967 | ||||||||
Broadcast Services/Media—2.0% | ||||||||
1,995,000 | CCO Holdings LLC/Capital Corp., 8.75%, 11/15/13 | 1,895,250 | ||||||
3,535,000 | Charter Communications Operating LLC/Capital Corp. — 144A, 10.38%, 04/30/14(9) | 3,384,762 | ||||||
2,010,000 | Kabel Deutschland GMBH (Germany), 10.63%, 07/01/14 | 2,072,813 | ||||||
570,000 | LBI Media, Inc., 11.00%, 10/15/13 | 262,913 | ||||||
860,000 | LBI Media, Inc. — 144A, 8.50%, 08/01/17 | 452,575 | ||||||
605,000 | Rainbow National Services LLC — 144A, 10.38%, 09/01/14 | 626,931 | ||||||
1,730,000 | XM Satellite Radio, Inc. — 144A, 11.25%, 06/15/13 | 1,717,025 | ||||||
10,412,269 | ||||||||
Business Services and Supplies—1.0% | ||||||||
2,030,000 | Aramark Corp., 8.50%, 02/01/15 | 1,969,100 | ||||||
485,000 | Catalina Marketing Corp. — 144A, 10.50%, 10/01/15(12) | 400,125 | ||||||
1,848,000 | Catalina Marketing Corp. — 144A, 11.63%, 10/01/17(8) | 1,339,800 | ||||||
2,050,000 | CEVA Group PLC — 144A (United Kingdom), 10.00%, 09/01/14 | 1,394,000 | ||||||
5,103,025 | ||||||||
54
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Chemicals — 1.8% | ||||||||
$ | 1,760,000 | Ashland, Inc. — 144A, 9.13%, 06/01/17 | $ | 1,830,400 | ||||
3,600,000 | Dow Chemical Company (The), 8.55%, 05/15/19 | 3,606,408 | ||||||
2,570,000 | Ineos Group Holdings PLC — 144A (United Kingdom), 8.50%, 02/15/16 | 796,700 | ||||||
1,445,000 | Nalco Company — 144A, 8.25%, 05/15/17 | 1,452,225 | ||||||
830,000 | Nova Chemicals Corp. (Canada), Floating Rate, 4.54%, 11/15/13(11) | 686,825 | ||||||
3,900,000 | Reichhold Industries, Inc. — 144A, 9.00%, 08/15/14(8) | 1,365,000 | ||||||
9,737,558 | ||||||||
Commercial Services—1.0% | ||||||||
3,880,000 | Ceridian Corp., 11.25%, 11/15/15 | 3,244,650 | ||||||
2,065,000 | Ticketmaster — 144A, 10.75%, 07/28/16 | 1,837,850 | ||||||
5,082,500 | ||||||||
Computer Equipment, Software and Services—1.4% | ||||||||
1,790,000 | Sungard Data Systems, Inc., 9.13%, 08/15/13 | 1,691,550 | ||||||
5,985,000 | Sungard Data Systems, Inc. — 144A, 10.63%, 05/15/15 | 5,865,300 | ||||||
7,556,850 | ||||||||
Construction Services and Supplies—0.6% | ||||||||
775,000 | ESCO Corp. — 144A, Floating Rate, 4.50%, 12/15/13(2)(8) | 605,469 | ||||||
775,000 | ESCO Corp. — 144A, 8.63%, 12/15/13 | 670,375 | ||||||
545,000 | Interline Brands, Inc., 8.13%, 06/15/14 | 536,825 | ||||||
3,025,000 | Panolam Industries International, 10.75%, 10/01/13(9) | 151,250 | ||||||
1,260,000 | Texas Industries, Inc. — 144A, 7.25%, 07/15/13 | 1,140,300 | ||||||
3,104,219 | ||||||||
Consumer Goods and Services—2.1% | ||||||||
3,365,000 | Amscan Holdings, Inc., 8.75%, 05/01/14 | 2,843,425 | ||||||
720,000 | Whirlpool Corp., 8.60%, 05/01/14 | 752,400 | ||||||
8,490,000 | Yankee Acquisition Corp., Series B, 8.50%, 02/15/15 | 7,152,825 | ||||||
585,000 | Yankee Acquisition Corp., Series B, 9.75%, 02/15/17 | 456,300 | ||||||
11,204,950 | ||||||||
Containers and Packaging—0.6% | ||||||||
230,000 | Graphic Packaging International — 144A, 9.50%, 06/15/17 | 226,550 | ||||||
1,055,000 | Intertape Polymer US, Inc., 8.50%, 08/01/14 | 465,519 | ||||||
1,246,577 | Pliant Corp., 11.85%, 06/15/09(9)(13) | 832,090 | ||||||
1,770,000 | Smurfit-Stone Container Corp., 8.00%, 03/15/17(9) | 654,900 | ||||||
1,145,000 | Solo Cup Company — 144A, 10.50%, 11/01/13 | 1,147,862 | ||||||
3,326,921 | ||||||||
Distribution—1.4% | ||||||||
7,490,000 | Sally Holdings LLC, 10.50%, 11/15/16 | 7,415,100 | ||||||
Education—3.5% | ||||||||
1,375,000 | Education Management LLC, 8.75%, 06/01/14 | 1,333,750 | ||||||
7,395,000 | Education Management LLC, 10.25%, 06/01/16 | 7,228,613 | ||||||
5,165,000 | Laureate Education, Inc. — 144A, 10.00%, 08/15/15 | 4,338,600 | ||||||
5,320,244 | Laureate Education, Inc. — 144A, 10.25%, 08/15/15(12)(14) | 3,823,925 | ||||||
2,160,000 | Laureate Education, Inc. — 144A, 11.75%, 08/15/17 | 1,706,400 | ||||||
18,431,288 | ||||||||
Electronics — 0.0% | ||||||||
550,000 | Muzak LLC, 10.00%, 02/15/09(9)(13) | 233,750 | ||||||
Engineering—0.1 % | ||||||||
740,000 | Alion Science & Technology Corp., 10.25%, 02/01/15 | 292,300 | ||||||
Entertainment, Leisure and Recreation—12.4% | ||||||||
2,505,000 | AMC Entertainment, Inc., 8.00%, 03/01/14 | 2,135,513 | ||||||
6,780,000 | AMC Entertainment, Inc., 11.00%, 02/01/16 | 6,559,649 | ||||||
1,185,000 | Ameristar Casinos, Inc. — 144A, 9.25%, 06/01/14 | 1,208,700 | ||||||
3,095,000 | Buffalo Thunder Development Authority — 144A, 9.38%, 12/15/14(9) | 433,300 | ||||||
3,935,000 | Caesars Entertainment, Inc., 7.88%, 03/15/10 | 3,600,524 | ||||||
2,075,000 | CCM Merger, Inc. — 144A, 8.00%, 08/01/13 | 1,431,750 | ||||||
935,000 | Chukchansi Economic Development Authority — 144A, Floating Rate, 4.91%, 11/15/12(8)(11) | 607,750 | ||||||
126,058 | Eldorado Casino Shreveport, 10.00%, 08/01/12 | 103,998 | ||||||
5,645,000 | Fontainebleau Las Vegas — 144A, Variable Rate, 11.00%, 06/15/15(1)(9) | 211,688 |
55
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Entertainment, Leisure and Recreation (continued) | ||||||||
$ | 240,000 | Galaxy Entertainment Finance — 144A (British Virgin Islands), Floating Rate, 6.22%, 12/15/10(11) | $ | 218,400 | ||||
3,255,000 | Galaxy Entertainment Finance — 144A (British Virgin Islands), 9.88%, 12/15/12 | 2,734,200 | ||||||
1,495,000 | GreekTown Holdings — 144A, 10.75%, 12/01/13(9) | 93,438 | ||||||
1,395,000 | Harrah’s Operating Escrow — 144A, 11.25%, 06/01/17 | 1,318,275 | ||||||
1,336,966 | HRP Myrtle Beach Holdings/CA — 144A, 14.50%, 04/01/14(9)(12) | 1,671 | ||||||
1,730,000 | HRP Myrtle Beach Operations/CA — 144A, Floating Rate, 8.58%, 04/01/12(8)(9)(l1) | 17,300 | ||||||
945,000 | HRP Myrtle Beach Operations/CA — 144A, 12.50%, 04/01/13(9) | 1,181 | ||||||
1,590,000 | Indianapolis Downs Capital LLC & Capital Corp. — 144A, 11.00%, 11/01/12 | 1,232,250 | ||||||
2,060,000 | Inn of The Mountain Gods, 12.00%, 11/15/10(9) | 824,000 | ||||||
890,000 | Majestic Holdco LLC — 144A, 12.50%, 10/15/11(8)(9) | 6,675 | ||||||
2,710,000 | Marquee Holdings, Inc., 9.51%, 08/15/14 | 2,086,700 | ||||||
210,000 | MGM MIRAGE, Inc., 7.50%, 06/01/16 | 136,238 | ||||||
1,175,000 | MGM MIRAGE, Inc. — 144A, 10.38%, 05/15/14 | 1,219,063 | ||||||
1,175,000 | MGM MIRAGE, Inc. — 144A, 11.13%, 11/15/17 | 1,245,500 | ||||||
2,860,000 | Mohegan Tribal Gaming Authority, 6.38%, 07/15/09 | 2,788,500 | ||||||
2,050,000 | Mohegan Tribal Gaming Authority, 8.00%, 04/01/12 | 1,558,000 | ||||||
2,225,000 | Mohegan Tribal Gaming Authority, 7.13%, 08/15/14 | 1,513,000 | ||||||
2,340,000 | Mohegan Tribal Gaming Authority, 6.88%, 02/15/15 | 1,521,000 | ||||||
2,275,000 | OED Corp./Diamond JO, 8.75%, 04/15/12 | 2,036,125 | ||||||
240,000 | Pinnacle Entertainment, Inc., 8.25%, 03/15/12 | 238,800 | ||||||
1,605,000 | Pinnacle Entertainment, Inc., 7.50%, 06/15/15 | 1,372,275 | ||||||
555,000 | Pokagon Gaming Authority — 144A, 10.38%, 06/15/14 | 543,900 | ||||||
240,000 | Royal Caribbean Cruises, Ltd. (Liberia), 8.75%, 02/02/11 | 229,200 | ||||||
1,605,000 | Royal Caribbean Cruises, Ltd. (Liberia), 7.00%, 06/15/13 | 1,402,369 | ||||||
1,005,000 | Royal Caribbean Cruises, Ltd. (Liberia), 6.88%, 12/01/13 | 839,175 | ||||||
250,000 | Royal Caribbean Cruises, Ltd. (Liberia), 7.25%, 06/15/16 | 197,500 | ||||||
510,000 | Royal Caribbean Cruises, Ltd. (Liberia), 7.25%, 03/15/18 | 402,900 | ||||||
475,000 | San Pasqual Casino — 144A, 8.00%, 09/15/13(8) | 384,750 | ||||||
985,000 | Scientific Games International — 144A, 9.25%, 06/15/19 | 985,000 | ||||||
995,000 | Seminole Hard Rock Entertainment — 144A, Floating Rate, 3.13%, 03/15/14(2) | 686,550 | ||||||
660,000 | Sheraton Holding Corp., 7.38%, 11/15/15 | 607,200 | ||||||
360,000 | Starwood Hotels & Resorts, 6.75%, 05/15/18 | 308,700 | ||||||
2,435,000 | Tunica-Biloxi Gaming Authority — 144A, 9.00%, 11/15/15(8) | 2,142,800 | ||||||
5,825,000 | Universal City Development Partners, Ltd., 11.75%, 04/01/10 | 5,548,312 | ||||||
6,495,000 | Universal City Florida, Floating Rate, 5.78%, 05/01/10(2) | 5,309,662 | ||||||
3,239,000 | Waterford Gaming LLC/Waterford Gaming Finance — 144A, 8.63%, 09/15/14(8) | 2,153,935 | ||||||
475,000 | WMG Acquisition Corp., 7.38%, 04/15/14 | 401,969 | ||||||
2,935,000 | WMG Acquisition Corp. — 144A, 9.50%, 06/15/16 | 2,920,324 | ||||||
1,915,000 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.63%, 12/01/14 | 1,685,200 | ||||||
65,204,909 | ||||||||
Environmental Waste Management and Recycling Services—0.3% | ||||||||
1,800,000 | Waste Services, Inc., 9.50%, 04/15/14 | 1,696,500 | ||||||
Equipment Rental and Leasing—0.4% | ||||||||
2,095,000 | United Rentals North America — 144A, 10.88%, 06/15/16 | 2,011,200 | ||||||
Food and Beverage—1.4% | ||||||||
3,865,000 | ASG Consolidated LLC/ASG Finance, Inc., 11.50%, 11/01/11 | 3,536,475 | ||||||
250,000 | Dole Foods Company, Inc., 7.25%, 06/15/10 | 246,250 | ||||||
2,490,000 | Dole Foods Company, Inc. — 144A, 13.88%, 03/15/14 | 2,739,000 |
56
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Food and Beverage (continued) | ||||||||
$ | 1,140,000 | Smithfield Foods, Inc. — 144A, 10.00%, 07/15/14 | $ | 1,125,750 | ||||
7,647,475 | ||||||||
Insurance—1.0% | ||||||||
1,120,000 | Alliant Holdings I, Inc. — 144A, 11.00%, 05/01/15 | 942,200 | ||||||
1,340,000 | Hub International Holdings — 144A, 9.00%, 12/15/14 | 1,093,775 | ||||||
2,825,000 | Multiplan, Inc. — 144A, 10.38%, 04/15/16 | 2,719,063 | ||||||
980,000 | USI Holdings Corp. — 144A, Floating Rate, 4.76%, 11/15/14(2) | 637,000 | ||||||
5,392,038 | ||||||||
Internet Services—0.5% | ||||||||
2,565,000 | Expedia, Inc. — 144A, 8.50%, 07/01/16 | 2,462,400 | ||||||
Machinery—1.5% | ||||||||
1,680,000 | Altra Industrial Motion, Inc., 9.00%, 12/01/11 | 1,617,000 | ||||||
850,000 | Chart Industries, Inc., 9.13%, 10/15/15 | 790,500 | ||||||
2,750,000 | Stewart & Stevenson LLC, 10.00%, 07/15/14 | 2,310,000 | ||||||
2,420,000 | Terex Corp., 10.88%, 06/01/16 | 2,420,000 | ||||||
720,000 | Terex Corp., 8.00%, 11/15/17 | 553,500 | ||||||
7,691,000 | ||||||||
Manufacturing—0.7% | ||||||||
1,000,000 | American Railcar Industries, Inc., 7.50%, 03/01/14 | 872,500 | ||||||
1,535,000 | Bombardier, Inc. — 144A (Canada), 8.00%, 11/15/14 | 1,444,818 | ||||||
285,000 | Harland Clarke Holdings, 9.50%, 05/15/15 | 220,163 | ||||||
870,000 | RBS Global & Rexnord Corp., 11.75%, 08/01/16 | 641,625 | ||||||
892,000 | RBS Global & Rexnord Corp. — 144A, 9.50%, 08/01/14 | 762,660 | ||||||
720,000 | Venture Holdings Trust, Series B, 9.50%, 07/01/05(9)(13)(14) | 72 | ||||||
3,941,838 | ||||||||
Medical Equipment, Supplies, and Services—7.0% | ||||||||
2,035,000 | Accellent, Inc., 10.50%, 12/01/13 | 1,724,663 | ||||||
2,995,000 | AMR Holding Company/Emcare Holding Company, 10.00%, 02/15/15 | 3,039,925 | ||||||
1,985,000 | Biomet, Inc, 10.38%, 10/15/17(12) | 1,920,488 | ||||||
6,895,000 | Biomet, Inc., 11.63%, 10/15/17 | 6,757,099 | ||||||
2,490,000 | Bio-Rad Laboratories — 144A, 8.00%, 09/15/16 | 2,465,100 | ||||||
3,465,000 | DJO Finance LLC/DJO Finance Corp., 10.88%, 11/15/14 | 3,031,875 | ||||||
1,285,000 | Fresenius US Finance II — 144A, 9.00%, 07/15/15 | 1,339,613 | ||||||
5,270,000 | HCA, Inc., 9.25%, 11/15/16 | 5,190,949 | ||||||
2,990,000 | Inverness Medical Innovations, 9.00%, 05/15/16 | 2,892,825 | ||||||
1,930,000 | National Mentor Holdings, Inc., 11.25%, 07/01/14 | 1,669,450 | ||||||
1,590,000 | Res-Care, Inc., 7.75%, 10/15/13 | 1,486,650 | ||||||
535,000 | Universal Hospital Services, Inc., Floating Rate, 4.64%, 06/01/15(11) | 430,675 | ||||||
1,775,000 | US Oncology, Inc., 10.75%, 08/15/14 | 1,757,250 | ||||||
2,905,000 | US Oncology, Inc. — 144A, 9.13%, 08/15/17 | 2,883,213 | ||||||
719,000 | Viant Holdings, Inc. — 144A, 10.13%, 07/15/17(8) | 564,415 | ||||||
37,154,190 | ||||||||
Metals and Mining—2.7% | ||||||||
1,630,000 | CII Carbon LLC — 144A, 11.13%, 11/15/15 | 1,175,638 | ||||||
300,000 | FMG Finance Property, Ltd. — 144A (Australia), Floating Rate, 4.67%, 09/01/11(2) | 286,500 | ||||||
1,500,000 | FMG Finance Property, Ltd. — 144A (Australia), 10.63%, 09/01/16 | 1,440,000 | ||||||
2,145,000 | RathGibson, Inc., 11.25%, 02/15/14 | 772,200 | ||||||
535,000 | Steel Dynamics, Inc., 7.38%, 11/01/12 | 506,913 | ||||||
2,375,000 | Teck Resources, Ltd. — 144A (Canada), 9.75%, 05/15/14 | 2,458,125 | ||||||
1,785,000 | Teck Resources, Ltd. — 144A (Canada), 10.25%, 05/15/16 | 1,869,788 | ||||||
5,375,000 | Teck Resources, Ltd. — 144A (Canada), 10.75%, 05/15/19 | 5,778,124 | ||||||
14,287,288 | ||||||||
57
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Office Equipment, Supplies, and Services—0.1% | ||||||||
$ | 170,000 | Interface, Inc., 9.50%, 02/01/14 | $ | 156,400 | ||||
580,000 | Interface, Inc. — 144A, 11.38%, 11/01/13 | 600,300 | ||||||
756,700 | ||||||||
Oil, Coal and Gas — 8.2% | ||||||||
1,380,000 | Allis-Chalmers Energy, Inc., 9.00%, 01/15/14 | 979,800 | ||||||
1,050,000 | Berry Petroleum Company, 10.25%, 06/01/14 | 1,060,500 | ||||||
340,000 | Bill Barrett Corp., 9.88%, 07/15/16 | 323,585 | ||||||
3,250,000 | Chesapeake Energy Corp., 9.50%, 02/15/15 | 3,274,375 | ||||||
1,195,000 | Clayton William Energy, 7.75%, 08/01/13 | 866,375 | ||||||
2,020,000 | Compton Petroleum Finance Corp. (Canada), 7.63%, 12/01/13 | 1,121,100 | ||||||
1,200,000 | Denbury Resources, Inc., 7.50%, 12/15/15 | 1,140,000 | ||||||
2,685,000 | Denbury Resources, Inc., 9.75%, 03/01/16 | 2,758,838 | ||||||
1,550,000 | Dynegy Holdings, Inc., 7.63%, 10/15/26 | 961,000 | ||||||
1,405,000 | El Paso Corp., 9.63%, 05/15/12 | 1,414,846 | ||||||
685,000 | Encore Acquisition Corp., 7.25%, 12/01/17 | 587,388 | ||||||
3,120,000 | Forbes Energy Services, 11.00%, 02/15/15 | 2,308,800 | ||||||
1,735,000 | Holly Corp. — 144A, 9.88%, 06/15/17 | 1,682,950 | ||||||
1,075,000 | OPTI Canada, Inc. (Canada), 7.88%, 12/15/14 | 696,063 | ||||||
970,000 | OPTI Canada, Inc. (Canada), 8.25%, 12/15/14 | 640,200 | ||||||
525,000 | Parker Drilling Company, 9.63%, 10/01/13 | 485,625 | ||||||
1,960,000 | Petrohawk Energy Corp., 9.13%, 07/15/13 | 1,950,200 | ||||||
1,170,000 | Petroleum Development Company, 12.00%, 02/15/18 | 982,800 | ||||||
255,000 | Petroplus Finance, Ltd. — 144A (Bermuda), 6.75%, 05/01/14 | 219,300 | ||||||
5,255,000 | Petroplus Finance, Ltd. — 144A (Bermuda), 7.00%, 05/01/17 | 4,361,649 | ||||||
2,415,000 | Quicksilver Resources, Inc., 11.75%, 01/01/16 | 2,499,525 | ||||||
2,480,000 | Quicksilver Resources, Inc., 7.13%, 04/01/16 | 1,934,400 | ||||||
3,040,000 | Sandridge Energy, Inc., 8.63%, 04/01/15(12) | 2,728,400 | ||||||
1,990,000 | Sandridge Energy, Inc. — 144A, 8.00%, 06/01/18 | 1,701,450 | ||||||
2,985,000 | Semgroup LP — 144A, 8.75%, 11/15/15(8)(9) | 119,400 | ||||||
290,000 | SESI LLC, 6.88%, 06/01/14 | 263,175 | ||||||
440,000 | Tennessee Gas Pipeline Company, 8.00%, 02/01/16 | 460,900 | ||||||
580,000 | Tesoro Corp., 9.75%, 06/01/19 | 572,750 | ||||||
5,970,000 | United Refining Company, 10.50%, 08/15/12 | 4,656,599 | ||||||
885,000 | Williams Companies, Inc. — 144A, 8.75%, 01/15/20 | 922,613 | ||||||
43,674,606 | ||||||||
Paper and Forest Products—2.5% | ||||||||
1,795,000 | Domtar Corp., 10.75%, 06/01/17 | 1,723,200 | ||||||
745,000 | Georgia-Pacific LLC — 144A, 7.13%, 01/15/17 | 692,850 | ||||||
290,000 | International Paper Company, 7.95%, 06/15/18 | 279,775 | ||||||
6,045,000 | International Paper Company, 9.38%, 05/15/19 | 6,162,025 | ||||||
665,000 | NewPage Corp., Floating Rate, 7.28%, 05/01/12(2) | 325,850 | ||||||
5,805,000 | NewPage Corp., 10.00%, 05/01/12 | 2,786,400 | ||||||
1,445,000 | NewPage Corp., 12.00%, 05/01/13 | 404,600 | ||||||
425,000 | Verso Paper Holdings LLC, Series B, Floating Rate, 4.78%, 08/01/14(2) | 199,750 | ||||||
3,160,000 | Verso Paper Holdings LLC, Series B, 11.38%, 08/01/16 | 884,800 | ||||||
13,459,250 | ||||||||
Pharmaceuticals/Research and Development—0.4% | ||||||||
925,000 | Elan Finance PLC/Elan Finance Corp. (Ireland), 8.88%, 12/01/13 | 846,375 | ||||||
1,230,000 | Valeant Pharmaceuticals — 144A, 8.38%, 06/15/16 | 1,220,775 | ||||||
2,067,150 | ||||||||
Printing and Publishing—1.8% | ||||||||
1,266,000 | Dex Media West Finance Company, Series B, 9.88%, 08/15/13(9) | 193,065 | ||||||
445,000 | Local Insight Regatta Holdings, 11.00%, 12/01/17 | 117,925 | ||||||
1,365,000 | Medimedia USA, Inc. — 144A, 11.38%, 11/15/14(8) | 819,000 | ||||||
4,850,000 | Nielsen Finance LLC/Nielsen Finance Company, 10.00%, 08/01/14 | 4,589,312 | ||||||
1,365,000 | Nielsen Finance LLC/Nielsen Finance Company, zero coupon, 08/01/16(7) | 877,013 |
58
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Printing and Publishing (continued) | ||||||||
$ | 225,000 | Nielsen Finance LLC/Nielsen Finance Company — 144A, 11.63%, 02/01/14 | $ | 223,313 | ||||
2,390,000 | Nielsen Finance LLC/Nielsen Finance Company — 144A, 11.50%, 05/01/16 | 2,324,275 | ||||||
4,115,000 | Reader’s Digest Association, 9.00%, 02/15/17 | 185,175 | ||||||
9,329,078 | ||||||||
Real Estate Development and Services—0.2% | ||||||||
1,160,000 | CB Richard Ellis Services, Inc. — 144A, 11.63%, 06/15/17 | 1,138,250 | ||||||
Real Estate Investment Trusts—0.5% | ||||||||
3,180,000 | Host Hotels & Resorts LP, Series Q, 6.75%, 06/01/16 | 2,758,650 | ||||||
Retail — 3.7% | ||||||||
5,695,000 | General Nutrition Centers, Inc., Floating Rate, 6.40%, 03/15/14(11)(12) | 4,556,000 | ||||||
2,150,000 | General Nutrition Centers, Inc., 10.75%, 03/15/15 | 1,827,500 | ||||||
5,699,184 | Neiman Marcus Group, Inc., 9.75%, 10/15/15(12) | 3,362,519 | ||||||
8,060,000 | Neiman Marcus Group, Inc., 10.38%, 10/15/15(12) | 4,715,100 | ||||||
2,025,000 | Rite Aid Corp. — 144A, 9.75%, 06/12/16 | 2,025,000 | ||||||
360,000 | Sealy Mattress Corp. — 144A, 10.88%, 04/15/16 | 377,100 | ||||||
1,840,000 | Toys “R” Us, Inc., 7.63%, 08/01/11 | 1,702,000 | ||||||
1,410,000 | Toys “R” Us, Inc., 7.88%, 04/15/13 | 1,177,350 | ||||||
19,742,569 | ||||||||
Retail: Restaurants—0.7% | ||||||||
1,720,000 | El Pollo Loco, Inc., 11.75%, 11/15/13 | 1,376,000 | ||||||
2,670,000 | NPC International, Inc., 9.50%, 05/01/14 | 2,429,700 | ||||||
3,805,700 | ||||||||
Retail: Supermarkets—0.5% | ||||||||
3,000,000 | SUPERVALU, Inc., 8.00%, 05/01/16 | 2,910,000 | ||||||
Rubber Products — 0.3% | ||||||||
1,795,000 | Goodyear Tire & Rubber Company, 10.50%, 05/15/16 | 1,812,950 | ||||||
Semiconductors—2.4% | ||||||||
2,335,000 | Advanced Micro Devices, Inc., 7.75%, 11/01/12 | 1,552,775 | ||||||
510,000 | Amkor Technologies, Inc., 7.75%, 05/15/13 | 467,925 | ||||||
7,445,000 | Amkor Technologies, Inc., 9.25%, 06/01/16 | 6,895,931 | ||||||
825,000 | Avago Technologies Finance Pte., Ltd., 10.13%, 12/01/13 | 841,500 | ||||||
3,030,000 | Avago Technologies Finance Pte., Ltd., 11.88%, 12/01/15 | 3,022,425 | ||||||
12,780,556 | ||||||||
Telecommunications Equipment and Services—9.9% | ||||||||
2,065,000 | Avaya, Inc. — 144A, 9.75%, 11/01/15 | 1,486,800 | ||||||
1,005,000 | Digicel Group, Ltd. — 144A (Bermuda), 12.00%, 04/01/14 | 994,950 | ||||||
4,862,000 | Digicel Group, Ltd. — 144A (Bermuda), 9.13%, 01/15/15 | 4,035,460 | ||||||
3,375,000 | Digicel, Ltd. — 144A (Bermuda), 9.25%, 09/01/12 | 3,273,750 | ||||||
3,070,000 | Intelsat Corp. — 144A, 9.25%, 08/15/14 | 2,970,225 | ||||||
635,000 | Intelsat Corp. — 144A, 9.25%, 06/15/16 | 608,013 | ||||||
6,030,000 | Intelsat Jackson Holdings — 144A (Bermuda), 9.50%, 06/15/16 | 6,060,149 | ||||||
5,730,000 | Intelsat Jackson Holdings (Bermuda), 11.25%, 06/15/16 | 5,844,599 | ||||||
1,365,000 | Qwest Communications International, Inc., Series B, 7.50%, 02/15/14 | 1,245,563 | ||||||
420,000 | Qwest Corp., 7.50%, 10/01/14 | 400,575 | ||||||
470,000 | Qwest Corp., 7.63%, 06/15/15 | 441,800 | ||||||
380,000 | Qwest Corp. — 144A, 8.38%, 05/01/16 | 366,700 | ||||||
3,050,000 | Sprint Capital Corp., 6.88%, 11/15/28 | 2,165,500 | ||||||
8,050,000 | Telesat (Canada) — 144A, 11.00%, 11/01/15 | 8,251,249 | ||||||
3,375,000 | Telesat (Canada) — 144A, 12.50%, 11/01/17 | 3,324,375 | ||||||
375,000 | Virgin Media Finance PLC (United Kingdom), 8.75%, 04/15/14 | 365,625 | ||||||
3,450,000 | Virgin Media Finance PLC (United Kingdom), 9.13%, 08/15/16 | 3,320,625 | ||||||
785,000 | Virgin Media Finance PLC, (United Kingdom), Series 1, 9.50%, 08/15/16 | 773,225 | ||||||
5,070,000 | West Corp., 9.50%, 10/15/14 | 4,436,250 |
59
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Telecommunications Equipment and Services (continued) | ||||||||
$ | 575,000 | Windstream Corp., 8.63%, 08/01/16 | $ | 550,563 | ||||
2,230,000 | XM Satellite Radio Holdings — 144A, 13.00%, 08/01/13 | 1,814,663 | ||||||
52,730,659 | ||||||||
Transportation—1.1% | ||||||||
1,590,000 | Greenbrier Companies, Inc., 8.38%, 05/15/15 | 890,400 | ||||||
2,655,000 | Kansas City Southern de Mexico, SA de CV (Mexico), 7.63%, 12/01/13 | 2,283,300 | ||||||
805,000 | Kansas City Southern de Mexico, SA de CV (Mexico), 7.38%, 06/01/14 | 676,200 | ||||||
1,945,000 | Kansas City Southern Railway, 8.00%, 06/01/15 | 1,808,850 | ||||||
400,000 | TFM, SA de CV (Mexico), 9.38%, 05/01/12 | 380,000 | ||||||
6,038,750 | ||||||||
Utilities — 3.7% | ||||||||
1,500,000 | AES Corp., 8.00%, 10/15/17 | 1,395,000 | ||||||
182,000 | AES Corp. — 144A, 8.75%, 05/15/13 | 184,730 | ||||||
417,070 | AES Eastern Energy, Series 99-A, 9.00%, 01/02/17 | 387,875 | ||||||
1,520,000 | Calpine Construction Finance Company, LP/CCFC Finance Corp. — 144A, 8.00%, 06/01/16 | 1,455,400 | ||||||
1,040,000 | Edison Mission Energy, 7.50%, 06/15/13 | 930,800 | ||||||
4,510,000 | Edison Mission Energy, 7.00%, 05/15/17 | 3,461,425 | ||||||
760,000 | Edison Mission Energy, 7.20%, 05/15/19 | 566,200 | ||||||
555,000 | NRG Energy, Inc., 7.25%, 02/01/14 | 538,350 | ||||||
1,105,000 | NRG Energy, Inc., 7.38%, 02/01/16 | 1,045,606 | ||||||
4,460,000 | NRG Energy, Inc., 7.38%, 01/15/17 | 4,203,551 | ||||||
2,555,000 | NRG Energy, Inc., 8.50%, 06/15/19 | 2,475,156 | ||||||
210,000 | RRI Energy, Inc., 7.63%, 06/15/14 | 192,150 | ||||||
3,235,000 | RRI Energy, Inc., 7.88%, 06/15/17 | 2,895,325 | ||||||
19,731,568 | ||||||||
Total Corporate Bonds and Notes (Cost $533,960,879) | 465,362,438 | |||||||
Loan Participations—9.3% | ||||||||
1,867,474 | ADESA, Inc. Term Loan B, Variable Rate, 2.56%, 10/18/13(1) | 1,654,582 | ||||||
862,400 | AMSCAN Holdings, Inc., Term Loan, Variable Rate, 2.91%, 05/25/13(1) | 758,912 | ||||||
2,010,000 | BLB Worldwide Holdings, 2nd Lien Term Loan, Variable Rate, 5.69%, 07/18/12(1)(9) | 150,750 | ||||||
860,000 | Cannery Casino Resorts LLC, 2nd Lien Term Loan, Variable Rate, 4.57%, 05/16/14(1) | 621,350 | ||||||
255,304 | Ceva Sante Animale, Letter of Credit, Variable Rate, 3.60%, 08/02/15(1) | 182,542 | ||||||
764,786 | Ceva Sante Animale, Term Loan, Variable Rate, 3.32%, 06/29/15(1) | 546,822 | ||||||
434,687 | Dole Food Company, Inc. (Bermuda), Term Loan C, Variable Rate, 8.00%, 04/12/13(1) | 436,316 | ||||||
66,279 | Dole Food Company, Inc., Credit Link, Variable Rate, 1.14%, 04/12/13(1) | 66,527 | ||||||
116,666 | Dole Food Company, Inc., Term Loan B, Variable Rate, 8.00%, 04/12/13(1) | 117,103 | ||||||
4,489,662 | Ford Motor Company, Term Loan, Variable Rate, 3.59%, 12/16/13(1) | 3,265,107 | ||||||
2,164,412 | Freescale Semiconductor, Inc., Term Loan B, Variable Rate, 2.07%, 11/29/13(1) | 1,594,089 | ||||||
3,226,419 | General Nutrition Centers, Inc., Term Loan B, Variable Rate, 3.02%, 09/16/13(1) | 2,868,287 | ||||||
1,710,019 | Great Lakes Entertainment, LLC, Term Loan, Variable Rate, 9.00%, 08/15/12(1) | 1,624,518 | ||||||
305,168 | Hawker Beechcraft Acquisition Company, LLC, Letter of Credit, Variable Rate, 2.60%, 03/26/14(1) | 209,612 | ||||||
5,183,791 | Hawker Beechcraft Acquisition Company, LLC, Term Loan, Variable Rate, 2.41%, 03/26/14(1) | 3,560,617 | ||||||
3,260,000 | Hit Entertainment, Inc., Tranche LN227528, 2nd Lien Term Loan, Variable Rate, 6.51%, 02/05/13(1) | 1,108,400 | ||||||
750,000 | Neff Rental, Inc., 2nd Lien Term Loan, Variable Rate, 3.82%, 11/20/14(1) | 146,250 | ||||||
3,083,800 | NewPage Corp., 1st Lien Term Loan, Variable Rate, 4.06%, 12/21/14(1) | 2,678,622 | ||||||
1,328,052 | Nielsen Finance, LLC, Term Loan, Variable Rate, 2.32%, 08/09/13(1) | 1,198,567 |
60
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Loan Participations (continued) | ||||||||
$ | 2,250,000 | Panolam Industries, Term Loan, Variable Rate, 5.00%, 09/30/12(1) | $ | 1,755,000 | ||||
2,047,674 | Rental Services Corp., 2nd Lien Term Loan, Variable Rate, 4.48%, 11/30/13(1) | 1,576,709 | ||||||
2,580,000 | Rite Aid Corp., Tranche 4, Term Loan, Variable Rate, 9.50%, 05/06/15(1) | 2,575,699 | ||||||
3,095,406 | Sabre, Inc., Term Loan B, Variable Rate, 3.00%, 09/30/14(1) | 2,230,903 | ||||||
191,393 | Smurfit-Stone Container Corp., CAD Revolver, Variable Rate, 3.11%, 11/01/09(1) | 174,168 | ||||||
224,044 | Smurfit-Stone Container Corp., Offering Credit Link, Variable Rate, 4.50%, 11/01/10(1) | 205,374 | ||||||
577,156 | Smurfit-Stone Container Corp., Revolver, Variable Rate, 3.27%, 11/02/09(1) | 525,212 | ||||||
677,043 | Smurfit-Stone Container Corp., Term Loan C, Variable Rate, 2.63%, 11/01/11(1) | 620,341 | ||||||
175,282 | Smurfit-Stone Container Corp., Term Loan Cl, Variable Rate, 2.63%, 11/01/11(1) | 160,602 | ||||||
346,511 | Smurift-Stone Container Corp., Term Loan B, Variable Rate, 2.63%, 11/01/11(1) | 317,635 | ||||||
5,073,555 | Texas Competitive Electric Holdings, Term Loan B2, Variable Rate, 3.82%, 10/10/14(1) | 3,638,059 | ||||||
5,110,000 | Toys “R” Us-Delaware, Inc., Term Loan B, Variable Rate, 4.57%, 07/19/12(1) | 4,709,188 | ||||||
3,681,506 | Travelport LLC, Dollar Term Loan, Variable Rate, 2.91%, 08/23/13(1) | 2,905,323 | ||||||
668,494 | Travelport LLC, Letter of Credit, Variable Rate, 3.10%, 08/23/13(1) | 527,553 | ||||||
2,210,000 | Travelport LLC, Term Loan C, Variable Rate, 10.50%, 08/23/13(1) | 2,150,606 | ||||||
1,440,000 | Veyance Technologies, Inc., 2nd Lien Term Loan, Variable Rate, 6.07%, 07/13/15(1) | 378,000 | ||||||
1,684,480 | Viant Holdings, Inc., Term Loan B, Variable Rate, 2.85%, 06/25/14(1) | 1,448,653 | ||||||
460,931 | Yankee Candle Company, Inc. (The), Term Loan B, Variable Rate, 2.31%, 02/06/14(1) | 413,916 | ||||||
Total Loan Participations (Cost $51,828,602) | 49,101,914 | |||||||
Shares | Value | |||||||
Common Stocks — 0.0% | ||||||||
Airlines — 0.0% | ||||||||
12,233 | Delta Air Lines, Inc. * | $ | 70,829 | |||||
500,000 | Delta Air Lines, Inc. (Escrow Certificates)* | 3,500 | ||||||
74,329 | ||||||||
Banks and Financial Services—0.0% | ||||||||
2,697,805 | Adelphia Contingent Value Vehicle CVV, Series Acc — 1* | 67,445 | ||||||
Broadcast Services/Media—0.0% | ||||||||
840,000 | Adelphia Communications (Escrow Certificates)* | 15,750 | ||||||
620,000 | Adelphia Communications (Escrow Certificates)* | 11,625 | ||||||
1,305,000 | Adelphia Communications, Series B (Escrow Certificates)* | 24,469 | ||||||
51,844 | ||||||||
Entertainment, Leisure and Recreation—0.0% | ||||||||
970 | HRP — Class B*(14) | — | ||||||
889 | Shreveport Gaming Holdings, Inc.(14) | 12,055 | ||||||
Real Estate Development and Services—0.0% | ||||||||
10,080 | Ashton Woods USA LLC, — Class B — 144A* | — | ||||||
Utilities — 0.0% | ||||||||
550,000 | Mirant Corp. (Escrow Certificates)*(14) | 55 | ||||||
1,220,000 | Mirant Corp. (Escrow Certificates)*(14) | 1 | ||||||
56 | ||||||||
Total Common Stocks (Cost $3,189,643) | 205,729 | |||||||
Preferred Stocks — 0.1% | ||||||||
Entertainment, Leisure and Recreation | ||||||||
3,709,670 | Fontainebleau Resorts — 144A, 12.50%(12)(14) (Cost $3,641,694) | 402,128 | ||||||
Convertible Preferred Stocks — 0.4% | ||||||||
Oil, Coal and Gas — 0.2% | ||||||||
2,304 | Chesapeake Energy Corp. — 144A, 5.00% | 153,792 | ||||||
19,142 | Chesapeake Energy Corp., 4.50% | 1,208,339 | ||||||
1,362,131 | ||||||||
Telecommunications Equipment and Services—0.2% | ||||||||
18,825 | Crown Castle International Corp., 6.25%* | 893,011 | ||||||
Total Convertible Preferred Stocks (Cost $3,003,505) | 2,255,142 | |||||||
61
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Convertible Bonds — 0.7% | ||||||||
Machinery—0.2% | ||||||||
$ | 1,080,000 | Terex Corp., 4.00%, 06/01/15 | $ | 1,057,050 | ||||
Medical Equipment, Supplies, and Services—0.3% | ||||||||
1,750,000 | LifePoint Hospitals, Inc., 3.25%, 08/15/25 | 1,400,000 | ||||||
Oil, Coal and Gas — 0.1% | ||||||||
800,000 | Petroplus Finance, Ltd., Series PPHN — 144A (Bermuda), 3.38%, 03/26/13 | 677,049 | ||||||
Telecommunications Equipment and Services—0.1% | ||||||||
510,000 | Virgin Media, Inc., (United Kingdom) — 144A, 6.50%, 11/15/16 | 395,250 | ||||||
Total Convertible Bonds (Cost $3,038,430) | 3,529,349 | |||||||
Total Securities (Cost $598,662,753) | 520,856,700 | |||||||
Repurchase Agreements—0.6% | ||||||||
2,968,343 | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $2,968,344 (Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $3,031,358) (Cost $2,968,343) | 2,968,343 | ||||||
Total Investments — 98.8% (Cost $601,631,096) | 523,825,043 | |||||||
Other assets less liabilities — 1.2% | 6,184,386 | |||||||
Net Assets—100.0% | $ | 530,009,429 | ||||||
Gross unrealized appreciation | $ | 18,585,868 | ||
Gross unrealized depreciation | (96,391,921 | ) | ||
Net unrealized depreciation | $ | (77,806,053 | ) | |
62
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks — 60.0% | ||||||||
Aerospace and Defense — 1.6% | ||||||||
2,533 | Boeing Company (The) | $ | 107,653 | |||||
527 | L-3 Communications Holdings, Inc. | 36,563 | ||||||
7,288 | Lockheed Martin Corp. | 587,777 | ||||||
12,563 | Northrop Grumman Corp. | 573,878 | ||||||
1,652 | Raytheon Company | 73,398 | ||||||
2,854 | Rockwell Collins, Inc. | 119,097 | ||||||
16,581 | United Technologies Corp. | 861,549 | ||||||
2,359,915 | ||||||||
Agriculture — 0.8% | ||||||||
16,305 | Archer-Daniels-Midland Company | 436,484 | ||||||
3,811 | Bunge, Ltd. (Bermuda) | 229,613 | ||||||
1,097 | CF Industries Holdings, Inc. | 81,332 | ||||||
5,653 | Monsanto Company | 420,244 | ||||||
1,167,673 | ||||||||
Apparel: Manufacturing and Retail — 0.5% | ||||||||
1,593 | Aeropostale, Inc.* | 54,592 | ||||||
2,264 | Chico’s FAS, Inc.* | 22,029 | ||||||
3,372 | Foot Locker, Inc. | 35,305 | ||||||
5,621 | Gap, Inc. (The) | 92,184 | ||||||
3,330 | Jones Apparel Group, Inc. | 35,731 | ||||||
182 | Nordstrom, Inc. | 3,620 | ||||||
13,482 | Ross Stores, Inc. | 520,405 | ||||||
763,866 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.6% | ||||||||
769 | BorgWarner, Inc. | 26,261 | ||||||
5,907 | Federal-Mogul Corp.* | 55,821 | ||||||
18,735 | Ford Motor Company* | 113,721 | ||||||
22,882 | Johnson Controls, Inc. | 496,998 | ||||||
10,588 | TRW Automotive Holdings Corp.* | 119,644 | ||||||
812,445 | ||||||||
Banks and Financial Services — 6.3% | ||||||||
2,038 | Affiliated Managers Group, Inc.* | 118,591 | ||||||
18,835 | American Express Company | 437,725 | ||||||
4,162 | Ameriprise Financial, Inc. | 101,012 | ||||||
92,752 | Bank of America Corp. | 1,224,326 | ||||||
13,975 | Bank of New York Mellon Corp. | 409,607 | ||||||
11,960 | BB&T Corp. | 262,881 | ||||||
890 | BlackRock, Inc. | 156,124 | ||||||
3,933 | Capital One Financial Corp. | 86,054 | ||||||
11,219 | Charles Schwab Corp. (The) | 196,781 | ||||||
120,459 | Citigroup, Inc. | 357,763 | ||||||
770 | CME Group, Inc. | 239,555 | ||||||
6,495 | Comerica, Inc. | 137,369 | ||||||
6,586 | Eaton Vance Corp. | 176,176 | ||||||
7,061 | Federated Investors, Inc. — Class B | 170,099 | ||||||
6,260 | Franklin Resources, Inc. | 450,783 | ||||||
5,653 | Hudson City Bancorp, Inc. | 75,128 | ||||||
3,717 | Invesco, Ltd. (Bermuda) | 66,237 | ||||||
620 | Investment Technology Group, Inc.* | 12,642 | ||||||
42,977 | JPMorgan Chase & Company | 1,465,946 | ||||||
3,925 | MF Global Ltd. (Bermuda)* | 23,275 | ||||||
3,431 | Moody’s Corp. | 90,407 | ||||||
11,394 | Morgan Stanley | 324,843 | ||||||
1,696 | PNC Financial Services Group, Inc. | 65,822 | ||||||
2,833 | State Street Corp. | 133,718 | ||||||
501 | Student Loan Corp. (The) | 18,637 | ||||||
2,680 | SunTrust Banks, Inc. | 44,086 | ||||||
12,817 | T Rowe Price Group, Inc. | 534,084 | ||||||
27,007 | US Bancorp | 483,965 | ||||||
4,777 | Waddell & Reed Financial, Inc. — Class A | 125,969 | ||||||
56,465 | Wells Fargo & Company | 1,369,842 | ||||||
9,359,447 | ||||||||
Broadcast Services/Media — 2.0% | ||||||||
8,039 | CBS Corp. — Class B | 55,630 | ||||||
42,530 | Comcast Corp. — Class A | 616,259 | ||||||
6,705 | Comcast Corp. — Special Class A | 94,541 | ||||||
1,531 | CTC Media, Inc.* | 18,096 | ||||||
1,946 | DISH Network Corp. — Class A* | 31,545 | ||||||
11,439 | Liberty Media Corp. — Interactive, Class A* | 57,309 | ||||||
2,169 | McGraw-Hill Companies, Inc. (The) | 65,309 | ||||||
42,960 | News Corp. — Class A | 391,366 | ||||||
14,758 | News Corp. — Class B | 155,992 | ||||||
3,467 | Scripps Networks Interactive — Class A | 96,487 | ||||||
4,140 | Time Warner Cable, Inc. | 131,114 | ||||||
23,519 | Time Warner, Inc. | 592,443 | ||||||
25,073 | Walt Disney Company (The) | 584,953 | ||||||
2,891,044 | ||||||||
Business Services and Supplies — 0.7% | ||||||||
20,030 | Accenture, Ltd. — Class A (Bermuda) | 670,203 | ||||||
5,534 | Manpower, Inc. | 234,310 | ||||||
1,706 | Robert Half International, Inc. | 40,296 | ||||||
7,409 | SEI Investments Company | 133,658 | ||||||
1,078,467 | ||||||||
Chemicals — 0.5% | ||||||||
1,102 | Air Products & Chemicals, Inc. | 71,178 | ||||||
991 | Ashland, Inc. | 27,798 | ||||||
124 | Celanese Corp. — Series A | 2,945 | ||||||
15,724 | Dow Chemical Company (The) | 253,786 | ||||||
3,158 | Eastman Chemical Company | 119,688 | ||||||
6,994 | EI du Pont de Nemours and Company | 179,186 |
63
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Chemicals (continued) | ||||||||
11,535 | Huntsman Corp. | $ | 58,021 | |||||
300 | Nalco Holding Company | 5,052 | ||||||
717,654 | ||||||||
Computer Equipment, Software and Services — 6.1% | ||||||||
7,934 | Adobe Systems, Inc.* | 224,532 | ||||||
9,396 | Apple, Inc.* | 1,338,272 | ||||||
2,200 | Autodesk, Inc.* | 41,756 | ||||||
5,084 | Cadence Design Systems, Inc.* | 29,996 | ||||||
35,443 | Dell, Inc.* | 486,632 | ||||||
2,825 | Electronic Arts, Inc.* | 61,359 | ||||||
30,589 | EMC Corp.* | 400,716 | ||||||
20,395 | Hewlett-Packard Company | 788,267 | ||||||
15,086 | Ingram Micro, Inc. — Class A* | 264,005 | ||||||
13,420 | International Business Machines Corp. | 1,401,316 | ||||||
108,427 | Microsoft Corp. | 2,577,310 | ||||||
15,685 | NetApp, Inc.* | 309,308 | ||||||
38,560 | Oracle Corp. | 825,955 | ||||||
905 | SanDisk Corp.* | 13,294 | ||||||
14,232 | Seagate Technology (Cayman Islands) | 148,867 | ||||||
10,575 | Sun Microsystems, Inc.* | 97,502 | ||||||
9,009,087 | ||||||||
Consumer Goods and Services — 3.2% | ||||||||
6,108 | Altria Group, Inc. | 100,110 | ||||||
9,275 | Colgate-Palmolive Company | 656,114 | ||||||
13,937 | Lorillard, Inc. | 944,510 | ||||||
410 | NBTY, Inc.* | 11,529 | ||||||
25,002 | Philip Morris International, Inc. | 1,090,587 | ||||||
32,426 | Procter & Gamble Company (The) | 1,656,969 | ||||||
4,478 | Toro Company (The) | 133,892 | ||||||
2,123 | Whirlpool Corp. | 90,355 | ||||||
4,684,066 | ||||||||
Containers and Packaging — 0.2% | ||||||||
6,126 | Ball Corp. | 276,651 | ||||||
2,392 | Packaging Corp. of America | 38,750 | ||||||
315,401 | ||||||||
Distribution — 0.1% | ||||||||
2,590 | Tech Data Corp.* | 84,719 | ||||||
Diversified Operations and Services — 1.0% | ||||||||
120,297 | General Electric Company | 1,409,881 | ||||||
Electronics — 0.7% | ||||||||
3,146 | Arrow Electronics, Inc.* | 66,821 | ||||||
4,650 | Avnet, Inc.* | 97,790 | ||||||
16,960 | Emerson Electric Company | 549,503 | ||||||
2,391 | Garmin, Ltd. (Cayman Islands) | 56,954 | ||||||
14,166 | Harman International Industries, Inc. | 266,321 | ||||||
3,182 | Jabil Circuit, Inc. | 23,610 | ||||||
1,060,999 | ||||||||
Engineering — 0.1% | ||||||||
810 | Fluor Corp. | 41,545 | ||||||
1,660 | Jacobs Engineering Group, Inc.* | 69,869 | ||||||
1,107 | URS Corp.* | 54,819 | ||||||
166,233 | ||||||||
Entertainment, Leisure and Recreation — 0.6% | ||||||||
8 | Boyd Gaming Corp.* | 68 | ||||||
14,358 | Carnival Corp. (Panama) | 370,006 | ||||||
1,012 | Choice Hotels International, Inc. | 26,929 | ||||||
15,620 | Marriott International, Inc. — Class A | 344,743 | ||||||
1,648 | Penn National Gaming, Inc.* | 47,973 | ||||||
1,926 | Royal Caribbean Cruises, Ltd. (Liberia) | 26,078 | ||||||
6,933 | Wyndham Worldwide Corp. | 84,028 | ||||||
899,825 | ||||||||
Food and Beverage — 1.8% | ||||||||
16,332 | Coca-Cola Company (The) | 783,773 | ||||||
7,962 | Coca-Cola Enterprises, Inc. | 132,567 | ||||||
8,088 | Hansen Natural Corp.* | 249,272 | ||||||
3,193 | Hershey Company (The) | 114,948 | ||||||
7,690 | Hormel Foods Corp. | 265,613 | ||||||
17,414 | PepsiCo, Inc. | 957,072 | ||||||
3,250 | Smithfield Foods, Inc.* | 45,403 | ||||||
13,914 | Tyson Foods, Inc. — Class A | 175,456 | ||||||
2,724,104 | ||||||||
Insurance — 1.4% | ||||||||
6,302 | Aflac, Inc. | 195,929 | ||||||
2,231 | Allstate Corp. (The) | 54,436 | ||||||
504 | Chubb Corp. (The) | 20,100 | ||||||
12,421 | Coventry Health Care, Inc.* | 232,397 | ||||||
6,288 | Lincoln National Corp. | 108,216 | ||||||
12,653 | MetLife, Inc. | 379,717 | ||||||
796 | Principal Financial Group, Inc. | 14,997 | ||||||
7,641 | Prudential Financial, Inc. | 284,398 | ||||||
10,485 | Travelers Companies, Inc. (The) | 430,304 | ||||||
17,859 | Unum Group | 283,244 | ||||||
2,003,738 | ||||||||
Internet Services — 2.6% | ||||||||
4,453 | Amazon.com, Inc.* | 372,538 | ||||||
80,179 | Cisco Systems, Inc.* | 1,494,537 | ||||||
17,017 | eBay, Inc.* | 291,501 | ||||||
3,033 | Google, Inc. — Class A* | 1,278,682 | ||||||
14,180 | Symantec Corp.* | 220,641 |
64
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Internet Services (continued) | ||||||||
8,192 | VeriSign, Inc.* | $ | 151,388 | |||||
2,519 | Yahoo!, Inc.* | 39,448 | ||||||
3,848,735 | ||||||||
Machinery — 0.5% | ||||||||
5,309 | AGCO Corp.* | 154,333 | ||||||
130 | Caterpillar, Inc. | 4,295 | ||||||
5,568 | Cummins, Inc. | 196,049 | ||||||
9,129 | Deere & Company | 364,704 | ||||||
903 | Rockwell Automation, Inc. | 29,004 | ||||||
748,385 | ||||||||
Manufacturing — 0.2% | ||||||||
1,136 | Cooper Industries, Ltd. — Class A (Bermuda) | 35,273 | ||||||
2,807 | Dover Corp. | 92,884 | ||||||
797 | Eaton Corp. | 35,554 | ||||||
11 | Honeywell International, Inc. | 345 | ||||||
242 | Trinity Industries, Inc. | 3,296 | ||||||
6,316 | Tyco International, Ltd. (Switzerland) | 164,090 | ||||||
331,442 | ||||||||
Medical Equipment, Supplies, and Services — 3.0% | ||||||||
4,577 | Baxter International, Inc. | 242,398 | ||||||
102 | Beckman Coulter, Inc. | 5,828 | ||||||
1,144 | Becton, Dickinson and Company | 81,579 | ||||||
28,607 | Boston Scientific Corp.* | 290,075 | ||||||
1,877 | Cardinal Health, Inc. | 57,342 | ||||||
172 | Gen-Probe, Inc.* | 7,393 | ||||||
4,252 | Hologic, Inc.* | 60,506 | ||||||
6,475 | Humana, Inc.* | 208,884 | ||||||
30,505 | Johnson & Johnson | 1,732,683 | ||||||
3,028 | McKesson Corp. | 133,232 | ||||||
12,130 | Medtronic, Inc. | 423,216 | ||||||
8,479 | Stryker Corp. | 336,955 | ||||||
14,847 | UnitedHealth Group, Inc. | 370,878 | ||||||
840 | WellCare Health Plans, Inc.* | 15,532 | ||||||
4,726 | WellPoint, Inc.* | 240,506 | ||||||
3,825 | Zimmer Holdings, Inc.* | 162,945 | ||||||
4,369,952 | ||||||||
Metals and Mining — 0.7% | ||||||||
12,501 | Alcoa, Inc. | 129,135 | ||||||
2,934 | Allegheny Technologies, Inc. | 102,485 | ||||||
6,480 | Commercial Metals Company | 103,874 | ||||||
1,766 | Freeport-McMoRan Copper & Gold, Inc. | 88,494 | ||||||
2,081 | Newmont Mining Corp. | 85,050 | ||||||
2,216 | Nucor Corp. | 98,457 | ||||||
7,943 | Reliance Steel & Aluminum Company | 304,933 | ||||||
2,394 | Schnitzer Steel Industries, Inc. — Class A | 126,547 | ||||||
1,038,975 | ||||||||
Oil, Coal and Gas — 7.6% | ||||||||
5,061 | Alpha Natural Resources, Inc.* | 132,952 | ||||||
4,494 | Apache Corp. | 324,242 | ||||||
3,372 | Chesapeake Energy Corp. | 66,867 | ||||||
23,392 | Chevron Corp. | 1,549,720 | ||||||
6,139 | Cimarex Energy Company | 173,979 | ||||||
26,858 | ConocoPhillips | 1,129,647 | ||||||
14,714 | Devon Energy Corp. | 801,913 | ||||||
297 | EOG Resources, Inc. | 20,172 | ||||||
6,177 | Exterran Holdings, Inc.* | 99,079 | ||||||
54,542 | Exxon Mobil Corp. | 3,813,030 | ||||||
6,382 | Frontier Oil Corp. | 83,668 | ||||||
2,513 | Hercules Offshore, Inc.* | 9,977 | ||||||
1,209 | Hess Corp. | 64,984 | ||||||
4,022 | Marathon Oil Corp. | 121,183 | ||||||
308 | Mariner Energy, Inc.* | 3,619 | ||||||
1,452 | Noble Corp. | 43,923 | ||||||
9,532 | Occidental Petroleum Corp. | 627,301 | ||||||
23,720 | Patterson-UTI Energy, Inc. | 305,039 | ||||||
5,522 | Peabody Energy Corp. | 166,544 | ||||||
2,498 | Pioneer Natural Resources Company | 63,699 | ||||||
18,119 | Schlumberger, Ltd. (Netherlands Antilles) | 980,419 | ||||||
1,353 | Southwestern Energy Company* | 52,564 | ||||||
2,334 | St. Mary Land & Exploration Company | 48,711 | ||||||
4,424 | Tesoro Corp. | 56,318 | ||||||
821 | Transocean, Ltd. (Switzerland)* | 60,992 | ||||||
2,307 | Unit Corp.* | 63,604 | ||||||
24,489 | Valero Energy Corp. | 413,619 | ||||||
3,026 | XTO Energy, Inc. | 115,412 | ||||||
11,393,177 | ||||||||
Paper and Forest Products — 0.2% | ||||||||
624 | International Paper Company | 9,441 | ||||||
6,301 | Plum Creek Timber Company, Inc. | 187,644 | ||||||
2,166 | Rayonier, Inc. | 78,734 | ||||||
1,446 | Weyerhaeuser Company | 44,002 | ||||||
319,821 | ||||||||
Pharmaceuticals/Research and Development — 5.4% | ||||||||
10,107 | Abbott Laboratories | 475,433 | ||||||
1,782 | Allergan, Inc. | 84,788 | ||||||
17,000 | Amgen, Inc.* | 899,980 | ||||||
9,292 | Biogen Idec, Inc.* | 419,534 | ||||||
19,957 | Bristol-Myers Squibb Company | 405,327 | ||||||
929 | Celgene Corp.* | 44,443 |
65
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Pharmaceuticals/Research and Development (continued) | ||||||||
312 | Charles River Laboratories International, Inc.* | $ | 10,530 | |||||
26,311 | Eli Lilly and Company | 911,413 | ||||||
6,601 | Forest Laboratories, Inc.* | 165,751 | ||||||
7,599 | Genzyme Corp.* | 423,036 | ||||||
18,605 | Gilead Sciences, Inc.* | 871,458 | ||||||
3,822 | Medco Health Solutions, Inc.* | 174,321 | ||||||
26,921 | Merck & Company, Inc. | 752,711 | ||||||
103,533 | Pfizer, Inc. | 1,552,996 | ||||||
9,516 | Schering-Plough Corp. | 239,042 | ||||||
10,907 | Wyeth | 495,069 | ||||||
7,925,832 | ||||||||
Printing and Publishing — 0.0% | ||||||||
1,838 | RR Donnelley & Sons Company | 21,358 | ||||||
Real Estate Investment Trusts — 0.7% | ||||||||
1,389 | AvalonBay Communities, Inc. | 77,701 | ||||||
416 | Duke Realty Corp. | 3,648 | ||||||
262 | Equity Residential | 5,824 | ||||||
2,861 | Federal Realty Investment Trust | 147,399 | ||||||
9,359 | Host Hotels & Resorts, Inc. | 78,522 | ||||||
4,596 | Kimco Realty Corp. | 46,190 | ||||||
5,756 | Liberty Property Trust | 132,618 | ||||||
4,927 | Regency Centers Corp. | 172,002 | ||||||
6,963 | Simon Property Group, Inc. | 358,107 | ||||||
1,022,011 | ||||||||
Registered Investment Companies — 0.0% | ||||||||
5,350 | Allied Capital Corp. | 18,618 | ||||||
Retail — 3.0% | ||||||||
7,687 | Big Lots, Inc.* | 161,658 | ||||||
9,952 | CVS Caremark Corp. | 317,170 | ||||||
6,859 | Dollar Tree, Inc.* | 288,764 | ||||||
15,388 | Family Dollar Stores, Inc. | 435,480 | ||||||
2,562 | HSN, Inc.* | 27,080 | ||||||
2,754 | Kohl’s Corp.* | 117,734 | ||||||
16,053 | PetSmart, Inc. | 344,497 | ||||||
363 | Sears Holdings Corp.* | 24,147 | ||||||
2,543 | Target Corp. | 100,372 | ||||||
17,652 | TJX Companies, Inc. (The) | 555,332 | ||||||
11,258 | Walgreen Company | 330,985 | ||||||
34,273 | Wal-Mart Stores, Inc. | 1,660,185 | ||||||
4,363,404 | ||||||||
Retail: Restaurants — 0.1% | ||||||||
395 | McDonald’s Corp. | 22,709 | ||||||
138 | Panera Bread Company — Class A* | 6,881 | ||||||
3,555 | YUM! Brands, Inc. | 118,523 | ||||||
148,113 | ||||||||
Retail: Supermarkets — 0.0% | ||||||||
263 | Safeway, Inc. | 5,357 | ||||||
Scientific and Technical Instruments — 0.2% | ||||||||
7,990 | Thermo Fisher Scientific, Inc.* | 325,752 | ||||||
Semiconductors — 1.6% | ||||||||
10,877 | Broadcom Corp. — Class A* | 269,641 | ||||||
1,568 | Cypress Semiconductor Corp.* | 14,426 | ||||||
12,472 | Integrated Device Technology, Inc.* | 75,331 | ||||||
86,099 | Intel Corp. | 1,424,939 | ||||||
26,872 | LSI Corp.* | 122,536 | ||||||
886 | Marvell Technology Group, Ltd. (Bermuda)* | 10,313 | ||||||
18,468 | Texas Instruments, Inc. | 393,368 | ||||||
2,310,554 | ||||||||
Telecommunications Equipment and Services — 2.9% | ||||||||
1,704 | ADC Telecommunications, Inc.* | 13,564 | ||||||
67,652 | AT&T, Inc.(1) | 1,680,476 | ||||||
10,597 | Embarq Corp.* | 445,710 | ||||||
14,237 | Motorola, Inc. | 94,391 | ||||||
5,091 | NII Holdings, Inc.* | 97,085 | ||||||
19,228 | QUALCOMM, Inc. | 869,106 | ||||||
58,790 | Sprint Nextel Corp.* | 282,780 | ||||||
4,713 | Telephone and Data Systems, Inc. | 133,378 | ||||||
16,129 | Tellabs, Inc.* | 92,419 | ||||||
18,755 | Verizon Communications, Inc. | 576,341 | ||||||
4,285,250 | ||||||||
Transportation — 1.4% | ||||||||
4,516 | CH Robinson Worldwide, Inc. | 235,509 | ||||||
6,168 | Expeditors International of Washington, Inc. | 205,641 | ||||||
7,817 | FedEx Corp. | 434,782 | ||||||
1,713 | Norfolk Southern Corp. | 64,529 | ||||||
21,096 | United Parcel Service, Inc. — Class B | 1,054,589 | ||||||
1,995,050 | ||||||||
Utilities — 1.7% | ||||||||
33 | American Water Works Company, Inc. | 631 | ||||||
97 | Calpine Corp.* | 1,082 | ||||||
60,260 | Duke Energy Corp. | 879,194 | ||||||
53,827 | Dynegy, Inc. — Class A* | 122,187 | ||||||
15,099 | Exelon Corp. | 773,220 | ||||||
3,066 | FPL Group, Inc. | 174,333 | ||||||
971 | Integrys Energy Group, Inc. | 29,120 | ||||||
2,295 | MDU Resources Group, Inc. | 43,536 | ||||||
12,199 | Mirant Corp.* | 192,012 | ||||||
12,521 | NiSource, Inc. | 145,995 |
66
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Utilities (continued) | ||||||||
1,919 | PPL Corp. | $ | 63,250 | |||||
4,018 | Public Service Enterprise Group, Inc. | 131,107 | ||||||
2,555,667 | ||||||||
Total Common Stocks (Cost $103,471,553) | 88,536,017 | |||||||
Principal | ||||||||
US Treasury Securities — 0.5% | ||||||||
US Treasury Bonds — 0.1% | ||||||||
$ | 95,000 | 3.50%, 02/15/39 | 82,146 | |||||
US Treasury Inflation Index — 0.4% | ||||||||
183,200 | 1.75%, 01/15/28 | 172,895 | ||||||
427,042 | 2.50%, 01/15/29 | 453,731 | ||||||
626,626 | ||||||||
US Treasury Notes — 0.0% | ||||||||
4,000 | 3.13%, 05/15/19 | 3,869 | ||||||
Total US Treasury Securities (Cost $658,676) | 712,641 | |||||||
US Government Agency Securities — 12.3% | ||||||||
Asset Backed: Mortgage and Home Equity — 1.6% | ||||||||
600,000 | Fannie Mae Grantor Trust, Series 2001-T2, Class B, 6.02%, 11/25/10(5) | 629,554 | ||||||
137,866 | Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29(5) | 147,068 | ||||||
760,000 | Fannie Mae, Series 2003-35, Class TE, 5.00%, 05/25/18(5) | 800,937 | ||||||
328,405 | Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34(5) | 345,162 | ||||||
426,554 | Fannie Mae, Series 2004-99, Class AO, 5.50%, 01/25/34(5) | 449,389 | ||||||
2,372,110 | ||||||||
Fannie Mae — 7.0% | ||||||||
1,577,174 | PL# 256219, 5.50%, 04/01/36(5) | 1,624,228 | ||||||
66,158 | PL# 535675, 7.00%, 01/01/16(5) | 70,127 | ||||||
915 | PL# 549906, 7.50%, 09/01/30(5) | 999 | ||||||
1,412 | PL# 552549, 7.50%, 09/01/30(5) | 1,541 | ||||||
562 | PL# 558384, 7.50%, 01/01/31(5) | 614 | ||||||
1,904 | PL# 568677, 7.50%, 01/01/31(5) | 2,079 | ||||||
267 | PL# 572762, 7.50%, 03/01/31(5) | 291 | ||||||
15,360 | PL# 582178, 7.50%, 06/01/31(5) | 16,768 | ||||||
12,669 | PL# 594316, 6.50%, 07/01/31(5) | 13,616 | ||||||
2,374 | PL# 602859, 6.50%, 10/01/31(5) | 2,551 | ||||||
11,343 | PL# 614924, 7.00%, 12/01/16(5) | 12,055 | ||||||
625,302 | PL# 735580, 5.00%, 06/01/35(5) | 639,249 | ||||||
38,806 | PL# 785183, 6.00%, 07/01/34(5) | 40,807 | ||||||
42,272 | PL# 793193, 5.50%, 07/01/19(5) | 44,555 | ||||||
266,665 | PL# 793693, 6.00%, 08/01/34(5) | 280,420 | ||||||
203,418 | PL# 888022, 5.00%, 02/01/36(5) | 207,828 | ||||||
900,000 | TBA, 5.50%, 07/01/24 | 941,625 | ||||||
200,000 | TBA, 6.00%, 07/01/24 | 211,688 | ||||||
4,100,000 | TBA, 5.00%, 07/01/39 | 4,174,312 | ||||||
2,000,000 | TBA, 5.50%, 07/01/39 | 2,064,376 | ||||||
10,349,729 | ||||||||
Federal Agricultural Mortgage Corp. — 0.3% | ||||||||
350,000 | 144A, 5.13%, 04/19/17(5) | 370,765 | ||||||
Freddie Mac Gold — 1.4% | ||||||||
73,518 | PL# A39644, 5.50%, 11/01/35(5) | 76,148 | ||||||
900,000 | TBA, 5.00%, 07/01/24 | 930,375 | ||||||
1,000,000 | TBA, 5.00%, 07/01/39 | 1,016,875 | ||||||
2,023,398 | ||||||||
Government National Mortgage Association — 1.8% | ||||||||
2,389 | PL# 461836, 7.00%, 01/15/28(5) | 2,606 | ||||||
164,629 | PL# 604404, 5.00%, 06/15/33(5) | 168,925 | ||||||
484,221 | PL# 639093, 5.00%, 01/15/35 | 495,948 | ||||||
364,159 | PL# 639865, 5.00%, 06/15/35 | 372,978 | ||||||
80,719 | PL# 781881, 5.00%, 03/15/35 | 82,421 | ||||||
200,000 | TBA, 5.00%, 07/01/39 | 203,313 | ||||||
1,300,000 | TBA, 5.50%, 07/01/39 | 1,338,609 | ||||||
2,664,800 | ||||||||
Resolution Funding Strips — 0.2% | ||||||||
250,000 | Zero coupon, 07/15/18(8) | 170,339 | ||||||
250,000 | Zero coupon, 10/15/18(8) | 168,122 | ||||||
338,461 | ||||||||
Total US Government Agency Securities (Cost $17,786,701) | 18,119,263 | |||||||
Corporate Bonds and Notes — 24.9% | ||||||||
Advertising — 0.0% | ||||||||
10,000 | Lamar Media Corp., Series B, 6.63%, 08/15/15 | 8,450 | ||||||
Airlines — 0.5% | ||||||||
400,000 | Continental Airlines, Inc., Series 2007-1A, 5.98%, 04/19/22(5) | 330,000 | ||||||
300,000 | Delta Air Lines, Inc., Series 2000-1, Class A-2, 7.57%, 11/18/10(5) | 286,500 | ||||||
90,756 | Delta Air Lines, Inc., Series 2007-1, Class A, 6.82%, 08/10/22(5) | 75,328 | ||||||
691,828 | ||||||||
Automobile: Rental — 0.0% | ||||||||
35,000 | Hertz Corp., 8.88%, 01/01/14 | 32,200 | ||||||
67
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.3% | ||||||||
$ | 300,000 | Daimler Chrysler NA Holding, 5.88%, 03/15/11(5) | $ | 304,987 | ||||
970,000 | General Motors Corp., 8.25%, 07/15/23(9) | 118,825 | ||||||
423,812 | ||||||||
Banks and Financial Services — 4.2% | ||||||||
100,000 | AGFC Capital Trust I — 144A, Variable Rate, 6.00%, 01/15/67(1) | 21,000 | ||||||
200,000 | Aiful Corp. — 144A (Japan), 5.00%, 08/10/10(5) | 122,000 | ||||||
190,000 | American Express Company, Variable Rate, 6.80%, 09/01/66(1)(5) | 136,800 | ||||||
10,000 | BAC Capital Trust XIV, Variable Rate, 5.63%, perpetual(1) | 5,000 | ||||||
140,000 | Bear Stearns Companies, Inc. (The), 7.25%, 02/01/18(5) | 147,558 | ||||||
210,000 | Caterpillar Financial Service Corp., Series MTNF, 6.20%, 09/30/13(5) | 222,339 | ||||||
330,000 | Citigroup, Inc., 5.00%, 09/15/14(5) | 276,645 | ||||||
300,000 | Citigroup, Inc., 6.88%, 03/05/38(5) | 264,950 | ||||||
220,000 | Ford Motor Credit Company LLC, 7.38%, 10/28/09 | 218,114 | ||||||
129,000 | Ford Motor Credit Company LLC, Floating Rate, 5.88%, 06/15/11(2) | 111,908 | ||||||
480,000 | General Electric Capital Corp., Series MTNA, 6.88%, 01/10/39 | 432,054 | ||||||
160,000 | Glitnir Banki HF — 144A (Iceland), 6.33%, 07/28/11(8)(9) | 26,000 | ||||||
380,000 | Glitnir Banki HF — 144A (Iceland), Variable Rate, 6.69%, 06/15/16(1)(8)(9) | 38 | ||||||
645,000 | GMAC LLC — 144A, 6.63%, 05/15/12 | 538,574 | ||||||
108,000 | GMAC LLC — 144A, 7.50%, 12/31/13 | 83,700 | ||||||
85,000 | GMAC LLC — 144A, 8.00%, 12/31/18 | 53,975 | ||||||
165,000 | GMAC LLC — 144A, 8.00%, 11/01/31 | 115,500 | ||||||
20,000 | Goldman Sachs Capital II, Variable Rate, 5.79%, perpetual (1) | 12,189 | ||||||
170,000 | Goldman Sachs Group, Inc. (The), 4.50%, 06/15/10 | 174,201 | ||||||
70,000 | Goldman Sachs Group, Inc. (The), 5.45%, 11/01/12 | 72,379 | ||||||
200,000 | ICICI Bank, Ltd. — REG S (India), Variable Rate, 6.38%, 04/30/22(1) | 156,215 | ||||||
220,000 | JPMorgan Chase & Company, 5.13%, 09/15/14 | 218,935 | ||||||
270,000 | JPMorgan Chase & Company, 5.15%, 10/01/15 | 266,144 | ||||||
220,000 | JPMorgan Chase & Company, 6.13%, 06/27/17 | 217,369 | ||||||
130,000 | Kaupthing Bank hf — 144A (Iceland), 7.13%, 05/19/16(8)(9) | 13 | ||||||
710,000 | Kaupthing Bank hf — 144A, Series 1 (Iceland), 7.63%, 02/28/15(8)(9)(14) | 55,025 | ||||||
140,000 | Landisbanki Islands hf — 144A (Iceland), 6.10%, 08/25/11(8)(9) | 4,200 | ||||||
120,000 | Lehman Brothers E — Capital Trust I, Floating Rate, 3.02%, 08/19/65(2)(9) | 12 | ||||||
100,000 | Lehman Brothers Holdings, Inc., Series MTN, 5.25%, 02/06/12(9) | 14,750 | ||||||
480,000 | Lehman Brothers Holdings, Inc., Series MTN, 6.75%, 12/28/17(9) | 48 | ||||||
170,000 | Mitsubishi UFJ Financial Group Capital Financial I, Ltd. (Cayman Islands), Variable Rate, 6.35%, perpetual(1) | 148,820 | ||||||
260,000 | Morgan Stanley, Series MTN, 5.63%, 01/09/12 | 266,086 | ||||||
100,000 | Morgan Stanley, Series MTNF, Floating Rate, 1.56%, 10/18/16(2) | 80,882 | ||||||
235,000 | Resona Preferred Global Securities — 144A (Cayman Islands), Variable Rate, 7.19%, perpetual(1) | 171,550 | ||||||
270,000 | RSHB Capital (Luxembourg), 6.30%, 05/15/17 | 232,200 | ||||||
260,000 | Santander Issuances — 144A (Spain), Variable Rate, 5.81%, 06/20/16(1) | 209,139 | ||||||
60,000 | SLM Corp., Series MTN, 5.05%, 11/14/14 | 46,422 | ||||||
265,000 | SLM Corp., Series MTNA, 5.00%, 10/01/13 | 214,347 | ||||||
10,000 | SLM Corp., Series MTNA, 5.00%, 04/15/15 | 7,617 | ||||||
45,000 | SLM Corp., Series MTNA, 5.63%, 08/01/33 | 27,706 | ||||||
310,000 | TNK-BP Finance SA — 144A (Luxembourg), 7.50%, 07/18/16 | 264,275 | ||||||
430,000 | Wachovia Corp., 5.25%, 08/01/14 | 420,786 |
68
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
$ | 130,000 | Wells Fargo Capital X, 5.95%, 12/15/36 | $ | 96,200 | ||||
6,153,665 | ||||||||
Broadcast Services/Media — 0.7% | ||||||||
60,000 | CCH I, LLC/CCH I Capital Corp., 11.00%, 10/01/15(8)(9) | 7,200 | ||||||
150,000 | Comcast Cable Communications, 8.88%, 05/01/17(5) | 176,366 | ||||||
240,000 | Comcast Corp., 6.50%, 01/15/15(5) | 254,565 | ||||||
20,000 | Comcast Corp., 6.50%, 01/15/17(5) | 21,217 | ||||||
20,000 | Comcast Corp., 5.88%, 02/15/18(5) | 20,273 | ||||||
15,000 | CSC Holdings, Inc. — 144A, 8.63%, 02/15/19 | 14,588 | ||||||
10,000 | CSC Holdings, Inc., Series B, 7.63%, 04/01/11 | 9,900 | ||||||
70,000 | DIRECTV Holdings LLC/DIRECTV Financing Company, Inc., 8.38%, 03/15/13 | 70,175 | ||||||
30,000 | Dish DBS Corp., 7.00%, 10/01/13 | 28,500 | ||||||
25,000 | Dish DBS Corp., 7.75%, 05/31/15 | 23,813 | ||||||
10,000 | Liberty Media Corp., 5.70%, 05/15/13 | 8,650 | ||||||
10,000 | News America, Inc., 6.65%, 11/15/37 | 8,995 | ||||||
35,000 | Rogers Cable, Inc. (Canada), 6.75%, 03/15/15 | 37,073 | ||||||
10,000 | Time Warner Cable, Inc., 8.75%, 02/14/19 | 11,649 | ||||||
130,000 | Time Warner Cable, Inc., 8.25%, 04/01/19 | 147,500 | ||||||
80,000 | Time Warner Entertainment, 8.38%, 07/15/33 | 89,546 | ||||||
160,000 | Time Warner, Inc., 6.88%, 05/01/12(5) | 171,159 | ||||||
1,101,169 | ||||||||
Chemicals — 0.0% | ||||||||
27,000 | Westlake Chemical Corp., 6.63%, 01/15/16 | 23,625 | ||||||
Construction Services and Supplies — 0.0% | ||||||||
65,000 | K Hovnanian Enterprises, Inc., 6.25%, 01/15/15 | 33,150 | ||||||
Consumer Goods and Services — 0.1% | ||||||||
100,000 | Reynolds American, Inc., 6.75%, 06/15/17 | 93,370 | ||||||
Entertainment, Leisure and Recreation — 0.1% | ||||||||
25,000 | Boyd Gaming Corp., 6.75%, 04/15/14 | 20,250 | ||||||
80,000 | Boyd Gaming Corp., 7.13%, 02/01/16 | 59,299 | ||||||
30,000 | Inn of The Mountain Gods, 12.00%, 11/15/10(9) | 12,000 | ||||||
5,000 | MGM MIRAGE, 6.63%, 07/15/15 | 3,263 | ||||||
45,000 | MGM MIRAGE, Inc., 7.63%, 01/15/17 | 29,138 | ||||||
15,000 | Mohegan Tribal Gaming Authority, 6.13%, 02/15/13 | 11,325 | ||||||
10,000 | Station Casinos, Inc., 6.88%, 03/01/16(8)(9) | 250 | ||||||
90,000 | Station Casinos, Inc., 7.75%, 08/15/16(8)(9) | 31,050 | ||||||
166,575 | ||||||||
Equipment Rental and Leasing — 0.1% | ||||||||
250,000 | International Lease Finance Corp. E — Capital Trust II — 144A, Variable Rate, 6.25%, 12/21/65(1) | 92,500 | ||||||
Food and Beverage — 0.2% | ||||||||
310,000 | Diageo Capital PLC (United Kingdom), 7.38%, 01/15/14(5) | 350,751 | ||||||
Funeral Services — 0.0% | ||||||||
10,000 | Service Corp. International, 6.75%, 04/01/16 | 9,025 | ||||||
40,000 | Service Corp. International, 7.63%, 10/01/18 | 37,100 | ||||||
35,000 | Service Corp. International, 7.50%, 04/01/27 | 27,475 | ||||||
73,600 | ||||||||
Insurance — 0.3% | ||||||||
40,000 | American International Group, Inc., Series MTNG, 5.85%, 01/16/18(5) | 21,162 | ||||||
40,000 | ASIF Global Financing XIX — 144A, 4.90%, 01/17/13(5) | 34,029 | ||||||
50,000 | Humana, Inc., 7.20%, 06/15/18 | 45,057 | ||||||
300,000 | Merna Reinsurance, Ltd., Series B — 144A (Bermuda), Floating Rate, 2.35%, 07/07/10(2) | 279,420 | ||||||
379,668 | ||||||||
Manufacturing — 0.0% | ||||||||
30,000 | Tyco International Group SA (Luxembourg), 6.38%, 10/15/11 | 31,612 | ||||||
69
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Medical Equipment, Supplies, and Services — 0.4% | ||||||||
$ | 125,000 | DaVita, Inc., 6.63%, 03/15/13 | $ | 117,813 | ||||
6,000 | HCA, Inc., 6.30%, 10/01/12 | 5,505 | ||||||
160,000 | HCA, Inc., 6.75%, 07/15/13 | 140,800 | ||||||
11,000 | HCA, Inc., 5.75%, 03/15/14 | 8,800 | ||||||
20,000 | HCA, Inc., 9.13%, 11/15/14 | 19,800 | ||||||
160,000 | HCA, Inc., 9.25%, 11/15/16 | 157,599 | ||||||
27,000 | HCA, Inc., 9.63%, 11/15/16(12) | 26,730 | ||||||
45,000 | Tenet Healthcare Corp. — 144A, 9.00%, 05/01/15 | 45,338 | ||||||
45,000 | Tenet Healthcare Corp. — 144A, 10.00%, 05/01/18 | 47,250 | ||||||
20,000 | WellPoint, Inc., 5.88%, 06/15/17 | 19,574 | ||||||
589,209 | ||||||||
Metals and Mining — 0.7% | ||||||||
180,000 | Alcoa, Inc., 6.00%, 07/15/13(5) | 175,861 | ||||||
230,000 | Evraz Group SA — 144A (Luxembourg), 8.88%, 04/24/13 | 188,600 | ||||||
190,000 | Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17(5) | 191,425 | ||||||
210,000 | Rio Tinto Finance USA, Ltd. (Australia), 6.50%, 07/15/18 | 210,123 | ||||||
65,000 | Steel Dynamics, Inc., 6.75%, 04/01/15 | 57,850 | ||||||
101,000 | Vale Overseas, Ltd. (Cayman Islands), 6.88%, 11/21/36 | 95,900 | ||||||
130,000 | Vedanta Resources PLC — 144A (United Kingdom), 8.75%, 01/15/14 | 118,300 | ||||||
1,038,059 | ||||||||
Office Equipment, Supplies, and Services — 0.0% | ||||||||
40,000 | Xerox Corp., 6.75%, 02/01/17 | 36,400 | ||||||
Oil, Coal and Gas — 3.0% | ||||||||
235,000 | Anadarko Finance Company, Series B (Canada), 7.50%, 05/01/31(5) | 229,306 | ||||||
35,000 | Anadarko Petroleum Corp., 6.45%, 09/15/36(5) | 31,462 | ||||||
150,000 | Apache Corp., 6.00%, 09/15/13(5) | 163,212 | ||||||
5,000 | Chesapeake Energy Corp., 6.38%, 06/15/15 | 4,450 | ||||||
20,000 | Chesapeake Energy Corp., 6.25%, 01/15/18 | 16,600 | ||||||
5,000 | Chesapeake Energy Corp., 7.25%, 12/15/18 | 4,350 | ||||||
105,000 | Complete Production Services, Inc., 8.00%, 12/15/16 | 89,775 | ||||||
80,000 | Conoco, Inc., 6.95%, 04/15/29(5) | 86,201 | ||||||
140,000 | ConocoPhillips, 6.50%, 02/01/39(5) | 149,021 | ||||||
125,000 | Dynegy Holdings, Inc., 7.75%, 06/01/19 | 97,344 | ||||||
86,000 | El Paso Corp., Series MTN, 7.80%, 08/01/31 | 70,151 | ||||||
25,000 | El Paso Corp., Series MTN, 7.75%, 01/15/32 | 20,351 | ||||||
130,000 | El Paso Natural Gas, 8.38%, 06/15/32(5) | 141,405 | ||||||
500,000 | El Paso Performance-Link — 144A, 7.75%, 07/15/11 | 490,693 | ||||||
250,000 | Enterprise Products Operating LLP, 9.75%, 01/31/14(5) | 287,377 | ||||||
120,000 | Gaz Capital (Gazprom) — 144A (Luxembourg), 6.21%, 11/22/16 | 100,200 | ||||||
150,000 | Hess Corp., 8.13%, 02/15/19 | 170,768 | ||||||
20,000 | Hess Corp., 7.88%, 10/01/29(5) | 21,693 | ||||||
110,000 | Hess Corp., 7.30%, 08/15/31(5) | 113,547 | ||||||
180,000 | Kerr-McGee Corp., 6.95%, 07/01/24 | 167,018 | ||||||
110,000 | Kerr-McGee Corp., 7.88%, 09/15/31 | 107,338 | ||||||
190,000 | Kinder Morgan Energy Partners LP, 6.75%, 03/15/11 | 199,135 | ||||||
50,000 | Kinder Morgan Energy Partners LP, 5.85%, 09/15/12 | 52,126 | ||||||
20,000 | Kinder Morgan Energy Partners LP, 6.00%, 02/01/17 | 19,841 | ||||||
200,000 | Kinder Morgan Energy Partners LP, Series MTN, 6.95%, 01/15/38 | 193,738 | ||||||
150,000 | Occidental Petroleum Corp., 7.00%, 11/01/13 | 171,731 | ||||||
50,000 | OPTI Canada, Inc. (Canada), 7.88%, 12/15/14 | 32,375 | ||||||
75,000 | OPTI Canada, Inc. (Canada), 8.25%, 12/15/14 | 49,500 | ||||||
40,000 | Peabody Energy Corp., Series B, 6.88%, 03/15/13 | 39,600 | ||||||
307,000 | Pemex Project Funding Master Trust, 6.63%, 06/15/35 | 277,661 | ||||||
80,000 | Petrobas International Finance Company (Cayman Islands), 6.13%, 10/06/16 | 82,000 | ||||||
30,000 | Pride International, Inc., 7.38%, 07/15/14 | 29,775 |
70
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Oil, Coal and Gas (continued) | ||||||||
$ | 25,000 | Semgroup LP — 144A, 8.75%, 11/15/15(8)(9) | $ | 1,000 | ||||
80,000 | Shell International Finance (the Netherlands), 6.38%, 12/15/38 | 87,138 | ||||||
95,000 | Suburban Propane Partners, 6.88%, 12/15/13 | 87,400 | ||||||
20,000 | Williams Companies, Inc., 8.75%, 03/15/32 | 20,100 | ||||||
320,000 | Williams Companies, Inc., Series A, 7.50%, 01/15/31 | 281,600 | ||||||
190,000 | XTO Energy, Inc., 7.50%, 04/15/12 | 210,472 | ||||||
60,000 | XTO Energy, Inc., 6.50%, 12/15/18 | 64,370 | ||||||
4,461,824 | ||||||||
Paper and Forest Products — 0.1% | ||||||||
110,000 | Weyerhaeuser Company, 6.75%, 03/15/12 | 110,040 | ||||||
Pharmaceuticals/Research and Development — 0.2% | ||||||||
40,000 | AmerisourceBergen Corp., 5.88%, 09/15/15(5) | 38,126 | ||||||
120,000 | FMC Finance III SA (Luxembourg), 6.88%, 07/15/17 | 111,600 | ||||||
110,000 | Wyeth, 5.95%, 04/01/37 | 113,798 | ||||||
263,524 | ||||||||
Printing and Publishing — 0.1% | ||||||||
80,000 | Reed Elsevier Capital, 8.63%, 01/15/19 | 90,894 | ||||||
30,000 | Sun Media Corp. (Canada), 7.63%, 02/15/13 | 19,725 | ||||||
40,000 | TL Acquisitions, Inc. — 144A, 10.50%, 01/15/15 | 32,400 | ||||||
143,019 | ||||||||
Private Asset Backed: Banks and Financial Services — 0.1% | ||||||||
190,000 | Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.99%, 08/13/42 | 162,323 | ||||||
Private Asset Backed: Credit Cards — 0.4% | ||||||||
640,000 | Washington Mutual Master Note Trust — 144A, Series 2006-A3A, Class A3, Floating Rate, 0.35%, 09/15/13(3) | 639,019 | ||||||
Private Asset Backed: Mortgage and Home Equity — 9.2% | ||||||||
266,020 | Accredited Mortgage Loan Trust, Series 2005-3, Class A1, Floating Rate, 0.55%, 09/25/35(3) | 190,541 | ||||||
121,679 | Adjustable Rate Mortgage Trust, Series 2004-2, Class 7A2, Floating Rate, 0.73%, 02/25/35(3)(5) | 65,592 | ||||||
40,010 | Adjustable Rate Mortgage Trust, Series 2004-5, Class 7A2, Floating Rate, 0.69%, 04/25/35(3) | 32,521 | ||||||
250,000 | Banc of America Commercial Mortgage, Inc., Series 2005-5, Class A4, 5.12%, 10/10/45(5) | 213,459 | ||||||
2,679,679 | Bear Stearns Asset Backed Securities, Inc., Series 07-SD1, Class 1A3A, 6.50%, 10/25/36(5) | 1,445,610 | ||||||
1,311,189 | Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 1A2, Floating Rate, 0.52%, 12/25/36(3) | 212,690 | ||||||
280,036 | Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1, Floating Rate, 4.85%, 08/25/35(3)(5) | 181,082 | ||||||
723,941 | Countrywide Alternative Loan Trust, Series 2005-56, Class 4A1, Floating Rate, 0.62%, 11/25/35(3) | 323,365 | ||||||
782,321 | Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, Floating Rate, 0.64%, 11/20/35(3)(5) | 353,331 | ||||||
148,553 | Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, 4.46%, 10/25/35 | 135,294 | ||||||
339,168 | Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, Floating Rate, 0.55%, 12/15/35(3) | 130,776 | ||||||
684,029 | Countrywide Home Loans — 144A, Series 2005-R3, Class AF, Floating Rate, 0.71%, 09/25/35(3)(5) | 461,993 | ||||||
720,000 | GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A4, 5.54%, 12/10/49(5) | 497,378 | ||||||
667,368 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.63%, 03/18/35(3) | 391,758 | ||||||
1,091,276 | GMAC Mortgage Corp. Loan Trust, Series 2006-HE1, Class A, Floating Rate, 0.52%, 11/25/36(3) | 332,936 |
71
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 424,696 | GSAMP Trust — 144A, Series 2006-SD2, Class A1, Floating Rate, 0.42%, 05/25/46(3)(5) | $ | 354,350 | ||||
228,480 | Impac CMB Trust, Series 2004-6, Class 1A1, Floating Rate, 1.11%, 10/25/34(3) | 101,617 | ||||||
542,720 | IndyMac INDA Mortgage Loan Trust, Series 2007-AR7, Class 1A1, Floating Rate, 6.11%, 09/25/37(3) | 354,042 | ||||||
187,344 | IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 5.10%, 09/25/35 | 115,825 | ||||||
590,487 | IndyMac Index Mortgage Loan Trust, Series 2007-AR15, Class 2A1, Floating Rate, 5.69%, 08/25/37(3) | 267,761 | ||||||
441,905 | JPMorgan Mortgage Trust, Series 2004-A3, Class 1A1, Floating Rate, 3.86%, 07/25/34(3) | 387,382 | ||||||
431,328 | Lehman XS Trust, Series 2005-5N, Class 1A1, Floating Rate, 0.61%, 11/25/35(3) | 180,425 | ||||||
322,382 | Lehman XS Trust, Series 2005-7N, Class 1A1B, Floating Rate, 0.61%, 12/25/35(3) | 79,030 | ||||||
369,882 | Lehman XS Trust, Series 2006-GP4, Class 3A1A, Floating Rate, 0.38%, 08/25/46(3) | 299,722 | ||||||
308,054 | Merrill Lynch Mortgage Investors Trust, Series 2004-A3, Class 4A3, Floating Rate, 5.03%, 05/25/34(3) | 273,423 | ||||||
1,098,000 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 2A2, 4.46%, 07/25/35 | 690,449 | ||||||
1,300,000 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35 | 636,943 | ||||||
500,000 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, Floating Rate, 5.66%, 05/12/39(3) | 407,079 | ||||||
168,786 | MLCC Mortgage Investors, Inc., Series 2003-F, Class A1, Floating Rate, 0.63%, 10/25/28(3) | 127,796 | ||||||
167,037 | Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 1A, Floating Rate, 0.76%, 07/25/34(3) | 99,312 | ||||||
623,345 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A1, 5.50%, 05/25/35 | 590,035 | ||||||
289,958 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A2, 6.00%, 05/25/35 | 277,906 | ||||||
1,552,252 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 2A1, 5.50%, 05/25/35 | 1,106,738 | ||||||
1,398,021 | Residential Accredit Loans, Inc., Series 2005-QO3, Class A1, Floating Rate, 0.71%, 10/25/45(3) | 634,591 | ||||||
711,510 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 1A1, 5.06%, 07/25/35 | 487,681 | ||||||
284,856 | Structured Asset Mortgage Investments, Inc., Series 2003-AR4, Class A1, Floating Rate, 0.66%, 01/19/34(3) | 141,673 | ||||||
261,370 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A, Floating Rate, 0.63%, 01/25/45(3) | 131,445 | ||||||
455,755 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1, Floating Rate, 0.60%, 10/25/45(3) | 238,433 | ||||||
488,309 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1B3, Floating Rate, 0.67%, 10/25/45(3) | 158,439 | ||||||
573,464 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A2, Floating Rate, 0.59%, 11/25/45(3) | 260,702 | ||||||
442,666 | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY4, Class 4A1, 5.50%, 04/25/37 | 267,577 | ||||||
13,638,702 | ||||||||
Private Asset Backed: Student Loans — 0.1% | ||||||||
170,000 | Nelnet Student Loan Trust, Series 2008-4, Class A4, Floating Rate, 2.57%, 04/25/17(2) | 167,498 | ||||||
72
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Real Estate Development and Services — 0.0% | ||||||||
$ | 230,000 | Realogy Corp., 12.38%, 04/15/15 | $ | 64,400 | ||||
Real Estate Investment Trusts — 0.1% | ||||||||
50,000 | Host Hotels & Resorts LP, Series Q, 6.75%, 06/01/16 | 43,375 | ||||||
40,000 | Ventas Realty LP/Ventas Capital Corp., 6.75%, 04/01/17 | 35,900 | ||||||
79,275 | ||||||||
Retail — 0.2% | ||||||||
252,622 | CVS Caremark Corp. — 144A, 6.94%, 01/10/30(5) | 228,580 | ||||||
20,000 | JC Penney & Company, Inc., 7.40%, 04/01/37 | 15,784 | ||||||
244,364 | ||||||||
Retail: Supermarkets — 0.1% | ||||||||
93,000 | Delhaize America, Inc., 9.00%, 04/15/31(5) | 112,896 | ||||||
Scientific and Technical Instruments — 0.1% | ||||||||
80,000 | Cie Generale de Geophysique (France), 7.50%, 05/15/15 | 73,400 | ||||||
40,000 | Cie Generale de Geophysique (France), 7.75%, 05/15/17 | 36,400 | ||||||
109,800 | ||||||||
Semiconductors — 0.0% | ||||||||
25,000 | Freescale Semiconductor, Inc., 8.88%, 12/15/14 | 12,625 | ||||||
40,000 | MagnaChip Semiconductor, Ltd. (Luxembourg), Floating Rate, 5.25%, 12/15/11(2)(9) | 20 | ||||||
12,645 | ||||||||
Telecommunications Equipment and Services — 1.8% | ||||||||
50,000 | America Movil SAB de CV (Mexico), 5.63%, 11/15/17(5) | 48,870 | ||||||
190,000 | AT&T, Inc., 5.10%, 09/15/14 | 197,370 | ||||||
60,000 | AT&T, Inc., 5.50%, 02/01/18(5) | 59,912 | ||||||
10,000 | AT&T, Inc., 5.80%, 02/15/19(5) | 10,153 | ||||||
150,000 | AT&T, Inc., 6.55%, 02/15/39(5) | 149,733 | ||||||
15,000 | Citizens Communications Company, 9.25%, 05/15/11 | 15,638 | ||||||
10,000 | Citizens Communications Company, 7.88%, 01/15/27 | 8,000 | ||||||
180,000 | Deutsche Telecom International Finance BV (the Netherlands), 5.75%, 03/23/16(5) | 184,295 | ||||||
220,000 | Koninklijke KPN NV (the Netherlands), 8.38%, 10/01/30 | 251,468 | ||||||
90,000 | Level 3 Financing, Inc., 9.25%, 11/01/14 | 73,800 | ||||||
10,000 | Nextel Communications, Inc., Series D, 7.38%, 08/01/15 | 7,975 | ||||||
130,000 | Nextel Communications, Inc., Series E, 6.88%, 10/31/13 | 107,575 | ||||||
60,000 | Nextel Communications, Inc., Series F, 5.95%, 03/15/14 | 47,250 | ||||||
20,000 | Rogers Communications (Canada), 6.80%, 08/15/18 | 21,441 | ||||||
40,000 | Rogers Wireless, Inc. (Canada), 6.38%, 03/01/14 | 42,875 | ||||||
270,000 | Sprint Capital Corp., 8.38%, 03/15/12 | 265,950 | ||||||
60,000 | Sprint Capital Corp., 8.75%, 03/15/32 | 48,300 | ||||||
200,000 | Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15 | 193,067 | ||||||
70,000 | Telecom Italia Capital (Luxembourg), 7.00%, 06/04/18 | 70,816 | ||||||
90,000 | Verizon Communications, Inc., 8.95%, 03/01/39 | 113,654 | ||||||
50,000 | Verizon Global Funding Corp., 7.38%, 09/01/12 | 55,936 | ||||||
300,000 | Verizon New York, Inc., Series A, 6.88%, 04/01/12 | 317,948 | ||||||
260,000 | VIP FIN (VIMPELCOM) — 144A (Ireland), 8.38%, 04/30/13 | 235,950 | ||||||
140,000 | Windstream Corp., 8.63%, 08/01/16 | 134,050 | ||||||
2,662,026 | ||||||||
Transportation — 0.0% | ||||||||
20,000 | Teekay Shipping Corp. (Marshall Islands), 8.88%, 07/15/11 | 19,850 | ||||||
Utilities — 1.8% | ||||||||
80,000 | AES Corp., 7.75%, 10/15/15 | 74,400 | ||||||
410,000 | AES Corp., 8.00%, 10/15/17 | 381,300 | ||||||
70,000 | Dominion Resources, Inc., 4.75%, 12/15/10(5) | 71,943 | ||||||
140,000 | Dominion Resources, Inc., 5.70%, 09/17/12(5) | 148,918 | ||||||
80,000 | Dominion Resources, Inc., Series D, 8.88%, 01/15/19(5) | 95,403 |
73
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Utilities (continued) | ||||||||
$ | 70,000 | Edison Mission Energy, 7.00%, 05/15/17 | $ | 53,725 | ||||
90,000 | Edison Mission Energy, 7.20%, 05/15/19 | 67,050 | ||||||
40,000 | Edison Mission Energy, 7.63%, 05/15/27 | 25,600 | ||||||
10,000 | Energy Future Holdings Corp., 10.88%, 11/01/17 | 7,300 | ||||||
1,219,000 | Energy Future Holdings Corp., 11.25%, 11/01/17(12) | 743,590 | ||||||
5,000 | Exelon Corp., 5.63%, 06/15/35(5) | 4,025 | ||||||
160,000 | FirstEnergy Corp., Series B, 6.45%, 11/15/11(5) | 167,002 | ||||||
125,000 | FirstEnergy Corp., Series C, 7.38%, 11/15/31(5) | 117,982 | ||||||
100,000 | NRG Energy, Inc., 7.25%, 02/01/14 | 97,000 | ||||||
10,000 | NRG Energy, Inc., 7.38%, 02/01/16 | 9,463 | ||||||
10,000 | NRG Energy, Inc., 7.38%, 01/15/17 | 9,425 | ||||||
40,000 | Pacific Gas & Electric Company, 8.25%, 10/15/18 | 48,813 | ||||||
90,000 | Pacific Gas & Electric Company, 6.05%, 03/01/34 | 93,369 | ||||||
60,000 | Pacific Gas & Electric Company, 5.80%, 03/01/37 | 60,300 | ||||||
210,000 | TXU Corp., Series P, 5.55%, 11/15/14 | 132,598 | ||||||
105,000 | TXU Corp., Series Q, 6.50%, 11/15/24 | 52,614 | ||||||
310,000 | TXU Corp., Series R, 6.55%, 11/15/34 | 149,035 | ||||||
2,610,855 | ||||||||
Total Corporate Bonds and Notes (Cost $52,391,690) | 36,821,703 | |||||||
Preferred Corporate Bonds and Notes — 0.9% | ||||||||
Banks and Financial Services — 0.6% | ||||||||
190,000 | Bank of America Corp., Series K, Variable Rate, 8.00%, perpetual(1) | 158,680 | ||||||
40,000 | Bank of America Corp., Series M, Variable Rate, 8.13%, perpetual(1) | 33,408 | ||||||
90,000 | Credit Suisse (Switzerland), Variable Rate, 5.86%, perpetual (1)(5) | 58,500 | ||||||
200,000 | Lehman Brothers Capital Trust VII, Series MTN, Variable Rate, 5.86%, perpetual (1)(9) | 20 | ||||||
75,000 | Rabobank Nederland — 144A (the Netherlands), Variable Rate, 11.00%, perpetual(1) | 83,438 | ||||||
100,000 | Royal Bank of Scotland Group PLC, Series MTNU (United Kingdom), Variable Rate, 7.64%, perpetual(1) | 40,500 | ||||||
300,000 | Shinsei Financial, Ltd. — 144A (Cayman Islands), Variable Rate, 6.42%, perpetual(1) | 120,000 | ||||||
170,000 | Wachovia Capital Trust III, Variable Rate, 5.80%, perpetual(1) | 102,000 | ||||||
270,000 | Wells Fargo Capital XV, Variable Rate, 9.75%, perpetual(1) | 261,225 | ||||||
857,771 | ||||||||
Insurance — 0.3% | ||||||||
430,000 | MetLife, Inc., 6.40%, 12/15/36 | 307,450 | ||||||
250,000 | Travelers Companies, Inc. (The), Variable Rate, 6.25%, 03/15/37(1) | 201,491 | ||||||
508,941 | ||||||||
Total Preferred Corporate Bonds and Notes (Cost $2,083,056) | 1,366,712 | |||||||
Shares | ||||||||
Preferred Stocks — 0.1% | ||||||||
Banks and Financial Services | ||||||||
600 | Fannie Mae, Series O, Floating Rate, 7.00%(2) | 930 | ||||||
10,800 | Fannie Mae, Series S, Variable Rate, 8.25%(1) | 14,364 | ||||||
14,925 | Freddie Mac, Series Z, Variable Rate, 8.38%(1) | 18,209 | ||||||
178 | Preferred Blocker, Inc. — 144A, 7.00% | 76,551 | ||||||
Total Preferred Stocks (Cost $704,949) | 110,054 | |||||||
Principal | ||||||||
Municipal Bonds — 0.6% | ||||||||
Virginia | ||||||||
$ | 963,145 | Virginia State Housing Development Authority, Series C, Revenue Bond, 6.00%, 06/25/34 (Cost $947,298) | 941,917 | |||||
Total Securities (Cost $178,043,923) | 146,608,307 | |||||||
74
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Repurchase Agreements — 5.6% | ||||||||
$ | 8,313,730 | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $8,313,733 (Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $8,484,806) (Cost $8,313,730) | $ | 8,313,730 | ||||
Total Investments before Call and Put Options Written — 104.9% (Cost $186,357,653) | 154,922,037 | |||||||
Contracts | ||||||||
Call Options Written — (0.0)% | ||||||||
(5 | ) | Eurodollar Future, expiring September 2009 @ 97.63 (Premium $4,127) | (21,344 | ) | ||||
Put Options Written — (0.0)% | ||||||||
(28 | ) | Eurodollar Future, expiring March 2010 @ 98.38 (Premium $24,949) | (14,700 | ) | ||||
Total Investments net of Call and Put Options Written — 104.9% (Cost $186,328,577) | 154,885,993 | |||||||
Liabilities less other assets — (4.9)% | (7,229,012 | ) | ||||||
Net Assets — 100.0% | $ | 147,656,981 | ||||||
Gross unrealized appreciation | $ | 3,221,370 | ||
Gross unrealized depreciation | (34,656,986 | ) | ||
Net unrealized depreciation | $ | (31,435,616 | ) | |
75
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks — 98.1% | ||||||||
Aerospace and Defense — 4.4% | ||||||||
111,600 | Boeing Company (The) | $ | 4,743,000 | |||||
144,300 | Goodrich Corp. | 7,210,671 | ||||||
145,200 | L-3 Communications Holdings, Inc. | 10,073,976 | ||||||
318,300 | Northrop Grumman Corp. | 14,539,944 | ||||||
138,100 | Raytheon Company | 6,135,783 | ||||||
206,600 | United Technologies Corp. | 10,734,936 | ||||||
53,438,310 | ||||||||
Agriculture — 0.4% | ||||||||
186,400 | Archer-Daniels-Midland Company | 4,989,928 | ||||||
Airlines — 0.5% | ||||||||
158,400 | Copa Holdings SA — Class A (Panama) | 6,465,888 | ||||||
Apparel: Manufacturing and Retail — 2.7% | ||||||||
257,700 | Aeropostale, Inc.* | 8,831,379 | ||||||
470,600 | Coach, Inc. | 12,649,728 | ||||||
128,700 | Polo Ralph Lauren Corp. | 6,890,598 | ||||||
120,100 | Ross Stores, Inc. | 4,635,860 | ||||||
33,007,565 | ||||||||
Banks and Financial Services — 13.1% | ||||||||
484,900 | Ameriprise Financial, Inc. | 11,768,523 | ||||||
168,200 | Bank of New York Mellon Corp. | 4,929,942 | ||||||
684,200 | BB&T Corp. | 15,038,716 | ||||||
164,800 | Credicorp, Ltd. (Bermuda) | 9,591,360 | ||||||
381,100 | Federated Investors, Inc. — Class B | 9,180,699 | ||||||
185,300 | Franklin Resources, Inc. | 13,343,453 | ||||||
117,000 | Goldman Sachs Group, Inc. (The) | 17,250,480 | ||||||
962,200 | Hudson City Bancorp, Inc. | 12,787,638 | ||||||
371,400 | JPMorgan Chase & Company | 12,668,454 | ||||||
418,200 | Knight Capital Group, Inc. — Class A* | 7,130,310 | ||||||
430,800 | Moody’s Corp. | 11,351,580 | ||||||
323,300 | Morgan Stanley | 9,217,283 | ||||||
447,200 | New York Community Bancorp, Inc. | 4,780,568 | ||||||
389,100 | NYSE Euronext | 10,602,975 | ||||||
263,900 | Wells Fargo & Company | 6,402,214 | ||||||
156,044,195 | ||||||||
Broadcast Services/Media — 2.8% | ||||||||
754,100 | Comcast Corp. — Class A | 10,926,909 | ||||||
478,400 | CTC Media, Inc.* | 5,654,688 | ||||||
385,800 | DIRECTV Group, Inc. (The)* | 9,533,118 | ||||||
232,800 | McGraw-Hill Companies, Inc. (The) | 7,009,608 | ||||||
33,124,323 | ||||||||
Chemicals — 1.3% | ||||||||
220,400 | Lubrizol Corp. (The) | 10,427,124 | ||||||
311,700 | Nalco Holding Company | 5,249,028 | ||||||
15,676,152 | ||||||||
Computer Equipment, Software and Services — 3.0% | ||||||||
517,800 | Ingram Micro, Inc. — Class A* | 9,061,500 | ||||||
565,000 | Microsoft Corp. | 13,430,050 | ||||||
250,600 | Sybase, Inc.* | 7,853,804 | ||||||
212,800 | Western Digital Corp.* | 5,639,200 | ||||||
35,984,554 | ||||||||
Construction Services and Supplies — 0.3% | ||||||||
324,600 | Owens Corning, Inc.* | 4,148,388 | ||||||
Consumer Goods and Services — 1.6% | ||||||||
361,900 | Herbalife, Ltd. (Cayman Islands) | 11,414,326 | ||||||
164,200 | Procter & Gamble Company (The) | 8,390,620 | ||||||
19,804,946 | ||||||||
Containers and Packaging — 0.9% | ||||||||
232,600 | Bemis Company, Inc. | 5,861,520 | ||||||
210,400 | Crown Holdings, Inc.* | 5,079,056 | ||||||
10,940,576 | ||||||||
Distribution — 0.4% | ||||||||
146,900 | Tech Data Corp.* | 4,805,099 | ||||||
Electronics — 0.7% | ||||||||
359,900 | Garmin, Ltd. (Cayman Islands) | 8,572,818 | ||||||
Entertainment, Leisure and Recreation — 0.7% | ||||||||
195,900 | Netflix, Inc.* | 8,098,506 | ||||||
Food and Beverage — 2.6% | ||||||||
479,900 | Coca-Cola Enterprises, Inc. | 7,990,335 | ||||||
760,500 | ConAgra Foods, Inc. | 14,495,130 | ||||||
407,100 | Sysco Corp. | 9,151,608 | ||||||
31,637,073 | ||||||||
Insurance — 9.4% | ||||||||
559,700 | Allstate Corp. (The) | 13,656,680 | ||||||
189,500 | Assurant, Inc. | 4,565,055 | ||||||
392,800 | Chubb Corp. (The) | 15,664,864 | ||||||
442,700 | Cincinnati Financial Corp. | 9,894,345 | ||||||
140,500 | Hanover Insurance Group, Inc. | 5,354,455 |
76
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Insurance (continued) | ||||||||
695,600 | Lincoln National Corp. | $ | 11,971,276 | |||||
179,400 | Odyssey Re Holdings Corp. | 7,172,412 | ||||||
322,200 | Platinum Underwriters Holdings, Ltd. (Bermuda) | 9,211,698 | ||||||
455,400 | Travelers Companies, Inc. (The) | 18,689,616 | ||||||
479,300 | Unum Group | 7,601,698 | ||||||
390,100 | WR Berkley Corp. | 8,375,447 | ||||||
112,157,546 | ||||||||
Internet Services — 0.6% | ||||||||
485,100 | Symantec Corp.* | 7,548,156 | ||||||
Machinery — 0.8% | ||||||||
275,500 | Joy Global, Inc. | 9,840,860 | ||||||
Manufacturing — 2.1% | ||||||||
222,100 | Dover Corp. | 7,349,289 | ||||||
243,700 | Harsco Corp. | 6,896,710 | ||||||
421,600 | Tyco International, Ltd. (Switzerland) | 10,953,168 | ||||||
25,199,167 | ||||||||
Medical Equipment, Supplies, and Services — 4.7% | ||||||||
305,800 | Health Net, Inc.* | 4,755,190 | ||||||
172,000 | Johnson & Johnson | 9,769,600 | ||||||
181,700 | McKesson Corp. | 7,994,800 | ||||||
537,200 | UnitedHealth Group, Inc. | 13,419,256 | ||||||
392,200 | WellPoint, Inc.* | 19,959,058 | ||||||
55,897,904 | ||||||||
Metals and Mining — 0.5% | ||||||||
159,000 | Reliance Steel & Aluminum Company | 6,104,010 | ||||||
Oil, Coal and Gas — 18.8% | ||||||||
65,000 | Apache Corp. | 4,689,750 | ||||||
737,500 | Chevron Corp. | 48,859,375 | ||||||
737,300 | ConocoPhillips | 31,010,838 | ||||||
1,161,200 | Exxon Mobil Corp. | 81,179,492 | ||||||
208,000 | Holly Corp. | 3,739,840 | ||||||
582,300 | Marathon Oil Corp. | 17,544,699 | ||||||
105,200 | Murphy Oil Corp. | 5,714,464 | ||||||
627,900 | Patterson-UTI Energy, Inc. | 8,074,794 | ||||||
25,300 | SEACOR Holdings, Inc.* | 1,903,572 | ||||||
403,900 | Sunoco, Inc. | 9,370,480 | ||||||
732,500 | Valero Energy Corp. | 12,371,925 | ||||||
224,459,229 | ||||||||
Pharmaceuticals/Research and Development — 6.0% | ||||||||
669,800 | AmerisourceBergen Corp. | 11,882,252 | ||||||
237,000 | Amgen, Inc.* | 12,546,780 | ||||||
219,700 | Endo Pharmaceuticals Holdings, Inc.* | 3,937,024 | ||||||
498,500 | Forest Laboratories, Inc.* | 12,517,335 | ||||||
2,040,000 | Pfizer, Inc. | 30,600,000 | ||||||
71,483,391 | ||||||||
Printing and Publishing — 0.7% | ||||||||
742,800 | RR Donnelley & Sons Company | 8,631,336 | ||||||
Retail — 1.9% | ||||||||
129,100 | BJ’s Wholesale Club, Inc.* | 4,160,893 | ||||||
400,300 | TJX Companies, Inc. (The) | 12,593,438 | ||||||
155,900 | Tractor Supply Company* | 6,441,788 | ||||||
23,196,119 | ||||||||
Retail: Restaurants — 0.4% | ||||||||
101,400 | Panera Bread Company — Class A* | 5,055,804 | ||||||
Retail: Supermarkets — 1.2% | ||||||||
406,900 | Kroger Company (The) | 8,972,145 | ||||||
429,100 | SUPERVALU, Inc. | 5,556,845 | ||||||
14,528,990 | ||||||||
Semiconductors — 1.0% | ||||||||
550,000 | Texas Instruments, Inc. | 11,715,000 | ||||||
Telecommunications Equipment and Services — 6.8% | ||||||||
2,091,100 | AT&T, Inc. | 51,942,924 | ||||||
324,000 | NeuStar, Inc. — Class A* | 7,179,840 | ||||||
389,900 | Telephone and Data Systems, Inc. | 11,034,170 | ||||||
372,600 | Verizon Communications, Inc. | 11,449,998 | ||||||
81,606,932 | ||||||||
Transportation — 0.7% | ||||||||
171,400 | Union Pacific Corp. | 8,923,084 | ||||||
Utilities — 7.1% | ||||||||
615,200 | AES Corp. (The)* | 7,142,472 | ||||||
383,400 | DTE Energy Company | 12,268,800 | ||||||
421,000 | Edison International | 13,244,660 | ||||||
369,300 | FirstEnergy Corp. | 14,310,375 | ||||||
937,000 | NV Energy, Inc. | 10,110,230 |
77
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Utilities (continued) | ||||||||
366,200 | Public Service Enterprise Group, Inc. | $ | 11,949,106 | |||||
318,500 | Sempra Energy | 15,807,155 | ||||||
84,832,798 | ||||||||
Total Common Stocks (Cost $1,248,620,124) | 1,177,918,647 | |||||||
Principal | ||||||||
Repurchase Agreements — 2.2% | ||||||||
$ | 26,800,488 | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $26,800,496 (Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $27,337,156) (Cost $26,800,488) | 26,800,488 | |||||
Total Investments — 100.3% (Cost $1,275,420,612) | 1,204,719,135 | |||||||
Liabilities less other assets — (0.3)% | (3,625,127 | ) | ||||||
Net Assets — 100.0% | $ | 1,201,094,008 | ||||||
Gross unrealized appreciation | $ | 72,091,917 | ||
Gross unrealized depreciation | (142,793,394 | ) | ||
Net unrealized depreciation | $ | (70,701,477 | ) | |
78
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks — 96.8% | ||||||||
Advertising — 0.9% | ||||||||
84,400 | Interpublic Group of Companies, Inc. (The)* | $ | 426,220 | |||||
Aerospace and Defense — 3.7% | ||||||||
4,600 | Boeing Company (The) | 195,500 | ||||||
30,600 | Empresa Brasileira de Aeronautica SA (ADR) (Brazil) | 506,736 | ||||||
22,600 | Northrop Grumman Corp. | 1,032,368 | ||||||
1,734,604 | ||||||||
Apparel: Manufacturing and Retail — 1.4% | ||||||||
24,900 | Gap, Inc. (The) | 408,360 | ||||||
19,200 | Limited Brands, Inc. | 229,824 | ||||||
638,184 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.5% | ||||||||
22,100 | PACCAR, Inc. | 718,471 | ||||||
Banks and Financial Services — 17.2% | ||||||||
18,900 | American Express Company | 439,236 | ||||||
128,355 | Bank of America Corp. | 1,694,286 | ||||||
16,400 | Comerica, Inc. | 346,860 | ||||||
56,800 | JPMorgan Chase & Company | 1,937,448 | ||||||
77,875 | KeyCorp | 408,065 | ||||||
20,151 | PNC Financial Services Group, Inc. | 782,060 | ||||||
11,600 | SunTrust Banks, Inc. | 190,820 | ||||||
369,700 | Washington Mutual, Inc. | 18,670 | ||||||
88,951 | Wells Fargo & Company | 2,157,950 | ||||||
7,975,395 | ||||||||
Chemicals — 2.0% | ||||||||
13,900 | Dow Chemical Company (The) | 224,346 | ||||||
3,200 | Eastman Chemical Company | 121,280 | ||||||
13,400 | PPG Industries, Inc. | 588,260 | ||||||
933,886 | ||||||||
Computer Equipment, Software and Services — 9.4% | ||||||||
96,966 | CA, Inc. | 1,690,117 | ||||||
71,100 | Microsoft Corp. | 1,690,047 | ||||||
44,700 | Oracle Corp. | 957,474 | ||||||
4,337,638 | ||||||||
Consumer Goods and Services — 4.9% | ||||||||
6,600 | Lorillard, Inc. | 447,282 | ||||||
41,500 | Philip Morris International, Inc. | 1,810,230 | ||||||
2,257,512 | ||||||||
Electronics — 2.6% | ||||||||
65,450 | Tyco Electronics, Ltd. (Switzerland) | 1,216,716 | ||||||
Food and Beverage — 1.7% | ||||||||
7,100 | Coca-Cola Company (The) | 340,729 | ||||||
17,600 | Kraft Foods, Inc. — Class A | 445,984 | ||||||
786,713 | ||||||||
Insurance — 9.0% | ||||||||
28,300 | Allstate Corp. (The) | 690,520 | ||||||
36,500 | Conseco, Inc.* | 86,505 | ||||||
53,300 | Genworth Financial, Inc. — Class A | 372,567 | ||||||
28,559 | MetLife, Inc. | 857,056 | ||||||
15,100 | Prudential Financial, Inc. | 562,022 | ||||||
21,700 | Travelers Companies, Inc. (The) | 890,568 | ||||||
61,900 | XL Capital, Ltd. — Class A (Cayman Islands) | 709,374 | ||||||
4,168,612 | ||||||||
Internet Services — 1.9% | ||||||||
51,000 | eBay, Inc.* | 873,630 | ||||||
Machinery — 1.6% | ||||||||
21,200 | Cummins, Inc. | 746,452 | ||||||
Manufacturing — 2.8% | ||||||||
8,600 | Honeywell International, Inc. | 270,040 | ||||||
38,850 | Tyco International, Ltd. (Switzerland) | 1,009,323 | ||||||
1,279,363 | ||||||||
Medical Equipment, Supplies, and Services — 1.7% | ||||||||
6,100 | Johnson & Johnson | 346,480 | ||||||
10,000 | Zimmer Holdings, Inc.* | 426,000 | ||||||
772,480 | ||||||||
Metals and Mining — 0.9% | ||||||||
41,400 | Alcoa, Inc. | 427,662 | ||||||
Oil, Coal and Gas — 4.4% | ||||||||
40,200 | Royal Dutch Shell PLC — Class B (ADR) (United Kingdom) | 2,044,572 | ||||||
Pharmaceuticals/Research and Development — 8.3% | ||||||||
45,300 | Bristol-Myers Squibb Company | 920,043 | ||||||
17,000 | Eli Lilly and Company | 588,880 | ||||||
13,000 | Merck & Company, Inc. | 363,480 | ||||||
24,600 | Pfizer, Inc. | 369,000 | ||||||
63,300 | Schering-Plough Corp. | 1,590,096 | ||||||
3,831,499 | ||||||||
Retail — 5.3% | ||||||||
41,352 | Home Depot, Inc. (The) | 977,148 | ||||||
38,000 | JC Penney Company, Inc. | 1,090,980 | ||||||
7,600 | Wal-Mart Stores, Inc. | 368,144 | ||||||
2,436,272 | ||||||||
79
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Retail: Supermarkets — 2.9% | ||||||||
65,400 | Safeway, Inc. | $ | 1,332,198 | |||||
Semiconductors — 1.0% | ||||||||
21,800 | Texas Instruments, Inc. | 464,340 | ||||||
Telecommunications Equipment and Services — 2.4% | ||||||||
87,300 | Alcatel-Lucent (ADR) (France)* | 216,504 | ||||||
47,100 | Vodafone Group PLC (ADR) (United Kingdom) | 917,979 | ||||||
1,134,483 | ||||||||
Transportation — 2.3% | ||||||||
19,100 | FedEx Corp. | 1,062,342 | ||||||
Utilities — 7.0% | ||||||||
22,000 | Edison International | 692,120 | ||||||
5,900 | Entergy Corp. | 457,368 | ||||||
23,100 | Exelon Corp. | 1,182,951 | ||||||
16,100 | FPL Group, Inc. | 915,446 | ||||||
3,247,885 | ||||||||
Total Common Stocks (Cost $49,512,525) | 44,847,129 | |||||||
Preferred Stocks — 1.6% | ||||||||
Banks and Financial Services | ||||||||
40,000 | Citigroup, Inc., Series AA, 8.13% (Cost $658,025) | 747,200 | ||||||
Total Securities (Cost $50,170,550) | 45,594,329 | |||||||
Principal | ||||||||
Repurchase Agreements — 1.9% | ||||||||
$ | 883,119 | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $883,119 (Collateralized by US Treasury Bill, 0.31%, due 12/10/09, with a value of $903,733) (Cost $883,119) | 883,119 | |||||
Total Investments — 100.3% (Cost $51,053,669) | 46,477,448 | |||||||
Liabilities less other assets — (0.3)% | (121,847 | ) | ||||||
Net Assets — 100.0% | $ | 46,355,601 | ||||||
Gross unrealized appreciation | $ | 4,200,204 | ||
Gross unrealized depreciation | (8,776,425 | ) | ||
Net unrealized depreciation | $ | (4,576,221 | ) | |
80
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks — 98.7% | ||||||||
Aerospace and Defense — 3.3% | ||||||||
10,400 | Boeing Company (The) | $ | 442,000 | |||||
38,300 | Goodrich Corp. | 1,913,851 | ||||||
25,550 | L-3 Communications Holdings, Inc. | 1,772,659 | ||||||
21,250 | Lockheed Martin Corp. | 1,713,813 | ||||||
28,800 | Northrop Grumman Corp. | 1,315,584 | ||||||
26,300 | Raytheon Company | 1,168,509 | ||||||
8,326,416 | ||||||||
Agriculture — 0.7% | ||||||||
41,150 | Archer-Daniels-Midland Company | 1,101,585 | ||||||
7,125 | Monsanto Company | 529,673 | ||||||
1,631,258 | ||||||||
Airlines — 0.4% | ||||||||
25,050 | Copa Holdings SA — Class A (Panama) | 1,022,541 | ||||||
Apparel: Manufacturing and Retail — 2.0% | ||||||||
26,000 | Aeropostale, Inc.* | 891,020 | ||||||
44,500 | Coach, Inc. | 1,196,160 | ||||||
61,800 | Foot Locker, Inc. | 647,046 | ||||||
26,050 | Guess?, Inc. | 671,569 | ||||||
17,000 | Polo Ralph Lauren Corp. | 910,180 | ||||||
19,575 | Ross Stores, Inc. | 755,595 | ||||||
5,071,570 | ||||||||
Banks and Financial Services — 8.7% | ||||||||
21,375 | American Express Company | 496,755 | ||||||
46,000 | Ameriprise Financial, Inc. | 1,116,420 | ||||||
16,200 | Bank of New York Mellon Corp. | 474,822 | ||||||
21,300 | BB&T Corp. | 468,174 | ||||||
31,075 | Broadridge Financial Solutions, Inc. | 515,224 | ||||||
42,625 | Charles Schwab Corp. (The) | 747,643 | ||||||
18,600 | Credicorp, Ltd. (Bermuda) | 1,082,520 | ||||||
39,200 | Federated Investors, Inc. — Class B | 944,328 | ||||||
19,700 | Franklin Resources, Inc. | 1,418,597 | ||||||
14,975 | Goldman Sachs Group, Inc. (The) | 2,207,913 | ||||||
25,725 | H&R Block, Inc. | 443,242 | ||||||
130,925 | Hudson City Bancorp, Inc. | 1,739,992 | ||||||
7,250 | IntercontinentalExchange, Inc.* | 828,240 | ||||||
13,500 | JPMorgan Chase & Company | 460,485 | ||||||
41,500 | Knight Capital Group, Inc. — Class A* | 707,575 | ||||||
18,425 | Lender Processing Services, Inc. | 511,662 | ||||||
2,025 | MasterCard, Inc. — Class A | 338,803 | ||||||
37,900 | Moody’s Corp. | 998,665 | ||||||
23,300 | Morgan Stanley | 664,283 | ||||||
37,700 | New York Community Bancorp, Inc. | 403,013 | ||||||
40,700 | NYSE Euronext | 1,109,075 | ||||||
20,800 | State Street Corp. | 981,760 | ||||||
11,500 | T Rowe Price Group, Inc. | 479,205 | ||||||
7,175 | Visa, Inc. — Class A | 446,716 | ||||||
65,000 | Wells Fargo & Company | 1,576,900 | ||||||
40,000 | Western Union Company | 656,000 | ||||||
21,818,012 | ||||||||
Broadcast Services/Media — 1.8% | ||||||||
65,575 | Comcast Corp. — Class A | 950,182 | ||||||
18,000 | DIRECTV Group, Inc. (The)* | 444,780 | ||||||
13,150 | McGraw-Hill Companies, Inc. (The) | 395,947 | ||||||
51,400 | Shaw Communications, Inc. — Class B (Canada) | 866,604 | ||||||
13,830 | Time Warner Cable, Inc. | 437,996 | ||||||
55,099 | Time Warner, Inc. | 1,387,943 | ||||||
4,483,452 | ||||||||
Business Services and Supplies — 0.9% | ||||||||
16,175 | Accenture, Ltd. — Class A (Bermuda) | 541,216 | ||||||
12,600 | Fiserv, Inc.* | 575,820 | ||||||
12,450 | Manpower, Inc. | 527,133 | ||||||
30,700 | SEI Investments Company | 553,828 | ||||||
2,197,997 | ||||||||
Chemicals — 1.7% | ||||||||
31,750 | Celanese Corp. — Series A | 754,063 | ||||||
12,500 | Eastman Chemical Company | 473,750 | ||||||
55,350 | Lubrizol Corp. (The) | 2,618,608 | ||||||
26,400 | Nalco Holding Company | 444,576 | ||||||
4,290,997 | ||||||||
Computer Equipment, Software and Services — 9.8% | ||||||||
24,350 | Apple, Inc.* | 3,468,170 | ||||||
45,350 | BMC Software, Inc.* | 1,532,377 | ||||||
12,300 | Computer Sciences Corp.* | 544,890 | ||||||
58,600 | Hewlett-Packard Company | 2,264,890 | ||||||
27,700 | Ingram Micro, Inc. — Class A* | 484,750 | ||||||
46,575 | International Business Machines Corp. | 4,863,361 | ||||||
248,875 | Microsoft Corp. | 5,915,758 | ||||||
146,845 | Oracle Corp. | 3,145,420 | ||||||
9,300 | Sybase, Inc.* | 291,462 | ||||||
75,425 | Western Digital Corp.* | 1,998,763 | ||||||
24,509,841 | ||||||||
81
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Construction Services and Supplies — 0.2% | ||||||||
34,400 | Owens Corning, Inc.* | $ | 439,632 | |||||
Consumer Goods and Services — 4.3% | ||||||||
40,425 | Altria Group, Inc. | 662,566 | ||||||
13,625 | Colgate-Palmolive Company | 963,833 | ||||||
51,925 | Herbalife, Ltd. (Cayman Islands) | 1,637,715 | ||||||
28,325 | Jarden Corp.* | 531,094 | ||||||
12,450 | Kimberly-Clark Corp. | 652,754 | ||||||
9,525 | Lorillard, Inc. | 645,509 | ||||||
55,800 | Philip Morris International, Inc. | 2,433,995 | ||||||
65,100 | Procter & Gamble Company (The) | 3,326,609 | ||||||
10,854,075 | ||||||||
Containers and Packaging — 0.6% | ||||||||
11,100 | Ball Corp. | 501,276 | ||||||
17,100 | Owens-Illinois, Inc.* | 478,971 | ||||||
20,425 | Pactiv Corp.* | 443,223 | ||||||
1,423,470 | ||||||||
Distribution — 0.2% | ||||||||
18,300 | WESCO International, Inc.* | 458,232 | ||||||
Education — 0.6% | ||||||||
16,500 | Apollo Group, Inc. — Class A* | 1,173,480 | ||||||
8,850 | DeVry, Inc. | 442,854 | ||||||
1,616,334 | ||||||||
Electronics — 1.2% | ||||||||
32,000 | Arrow Electronics, Inc.* | 679,680 | ||||||
59,800 | Avnet, Inc.* | 1,257,594 | ||||||
41,400 | Garmin, Ltd. (Cayman Islands) | 986,148 | ||||||
2,923,422 | ||||||||
Engineering — 0.6% | ||||||||
18,125 | Fluor Corp. | 929,631 | ||||||
26,300 | KBR, Inc. | 484,972 | ||||||
1,414,603 | ||||||||
Entertainment, Leisure and Recreation — 0.3% | ||||||||
19,800 | Netflix, Inc.* | 818,532 | ||||||
Environmental Waste Management and Recycling Services — 0.3% | ||||||||
35,700 | Republic Services, Inc. | 871,437 | ||||||
Food and Beverage — 3.7% | ||||||||
31,250 | Coca-Cola Company (The) | 1,499,688 | ||||||
27,075 | Coca-Cola Enterprises, Inc. | 450,799 | ||||||
75,000 | ConAgra Foods, Inc. | 1,429,500 | ||||||
43,025 | Constellation Brands, Inc. — Class A* | 545,557 | ||||||
34,650 | Dean Foods Company* | 664,934 | ||||||
29,975 | Dr Pepper Snapple Group, Inc.* | 635,170 | ||||||
24,950 | Kraft Foods, Inc. — Class A | 632,233 | ||||||
48,775 | Pepsi Bottling Group, Inc. (The) | 1,650,545 | ||||||
29,425 | PepsiCo, Inc. | 1,617,198 | ||||||
9,125,624 | ||||||||
Insurance — 5.0% | ||||||||
9,600 | ACE, Ltd. (Switzerland) | 424,608 | ||||||
14,975 | Aflac, Inc. | 465,573 | ||||||
62,400 | Allstate Corp. (The) | 1,522,560 | ||||||
52,400 | American Financial Group, Inc. | 1,130,792 | ||||||
38,200 | Axis Capital Holdings, Ltd. (Bermuda) | 1,000,076 | ||||||
38,000 | Chubb Corp. (The) | 1,515,440 | ||||||
34,200 | Endurance Specialty Holdings, Ltd. (Bermuda) | 1,002,060 | ||||||
29,400 | Lincoln National Corp. | 505,974 | ||||||
9,600 | Odyssey Re Holdings Corp. | 383,808 | ||||||
28,800 | Platinum Underwriters Holdings, Ltd. (Bermuda) | 823,392 | ||||||
36,600 | Progressive Corp. (The)* | 553,026 | ||||||
10,650 | Prudential Financial, Inc. | 396,393 | ||||||
41,700 | Travelers Companies, Inc. (The) | 1,711,368 | ||||||
48,800 | WR Berkley Corp. | 1,047,736 | ||||||
12,482,806 | ||||||||
Internet Services — 3.8% | ||||||||
14,075 | Amazon.com, Inc.* | 1,177,515 | ||||||
143,325 | Cisco Systems, Inc.* | 2,671,578 | ||||||
5,044 | Google, Inc. — Class A*(5) | 2,126,500 | ||||||
8,775 | Priceline.com, Inc.* | 978,851 | ||||||
136,325 | Symantec Corp.* | 2,121,217 | ||||||
31,750 | Yahoo!, Inc.* | 497,205 | ||||||
9,572,866 | ||||||||
Machinery — 0.5% | ||||||||
33,600 | Joy Global, Inc. | 1,200,192 | ||||||
Manufacturing — 2.8% | ||||||||
10,050 | 3M Company | 604,005 | ||||||
27,250 | Cooper Industries, Ltd. — Class A (Bermuda) | 846,113 | ||||||
25,400 | Dover Corp. | 840,486 | ||||||
17,000 | Harsco Corp. | 481,100 | ||||||
8,925 | ITT Corp. | 397,163 | ||||||
22,425 | Sherwin-Williams Company (The) | 1,205,344 | ||||||
10,200 | SPX Corp. | 499,494 | ||||||
77,100 | Tyco International, Ltd. (Switzerland) | 2,003,057 | ||||||
6,876,762 | ||||||||
82
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Medical Equipment, Supplies, and Services — 5.7% | ||||||||
30,725 | Baxter International, Inc. | $ | 1,627,196 | |||||
51,475 | Hologic, Inc.* | 732,489 | ||||||
63,675 | Johnson & Johnson | 3,616,740 | ||||||
40,075 | Kinetic Concepts, Inc.* | 1,092,044 | ||||||
23,875 | Life Technologies Corp.* | 996,065 | ||||||
36,701 | LifePoint Hospitals, Inc.* | 963,401 | ||||||
26,300 | McKesson Corp. | 1,157,200 | ||||||
15,975 | St Jude Medical, Inc.* | 656,573 | ||||||
65,250 | UnitedHealth Group, Inc. | 1,629,945 | ||||||
36,100 | WellPoint, Inc.* | 1,837,129 | ||||||
14,308,782 | ||||||||
Metals and Mining — 1.0% | ||||||||
13,400 | Allegheny Technologies, Inc. | 468,062 | ||||||
18,400 | Freeport-McMoRan Copper & Gold, Inc. | 922,024 | ||||||
14,225 | Newmont Mining Corp. | 581,376 | ||||||
13,900 | Reliance Steel & Aluminum Company | 533,621 | ||||||
2,505,083 | ||||||||
Oil, Coal and Gas — 11.5% | ||||||||
24,750 | Alpha Natural Resources, Inc.* | 650,183 | ||||||
10,900 | Apache Corp. | 786,435 | ||||||
39,700 | Chesapeake Energy Corp. | 787,251 | ||||||
71,500 | Chevron Corp. | 4,736,874 | ||||||
69,400 | ConocoPhillips | 2,918,963 | ||||||
44,600 | El Paso Corp. | 411,658 | ||||||
145,825 | Exxon Mobil Corp. | 10,194,625 | ||||||
56,700 | Marathon Oil Corp. | 1,708,371 | ||||||
20,300 | Murphy Oil Corp. | 1,102,696 | ||||||
25,850 | Noble Corp. (Switzerland) | 781,963 | ||||||
77,300 | Patterson-UTI Energy, Inc. | 994,078 | ||||||
14,000 | Schlumberger, Ltd. (Netherlands Antilles) | 757,540 | ||||||
19,350 | Southwestern Energy Company* | 751,748 | ||||||
33,900 | Sunoco, Inc. | 786,480 | ||||||
63,500 | Valero Energy Corp. | 1,072,515 | ||||||
28,441,380 | ||||||||
Pharmaceuticals/Research and Development — 7.9% | ||||||||
48,000 | Abbott Laboratories | 2,257,919 | ||||||
62,400 | AmerisourceBergen Corp. | 1,106,976 | ||||||
55,975 | Amgen, Inc.* | 2,963,316 | ||||||
19,550 | Biogen Idec, Inc.* | 882,683 | ||||||
51,650 | Bristol-Myers Squibb Company | 1,049,012 | ||||||
30,225 | Eli Lilly and Company | 1,046,994 | ||||||
33,600 | Endo Pharmaceuticals Holdings, Inc.* | 602,112 | ||||||
17,075 | Express Scripts, Inc.* | 1,173,906 | ||||||
29,200 | Forest Laboratories, Inc.* | 733,212 | ||||||
20,600 | Gilead Sciences, Inc.* | 964,904 | ||||||
25,225 | Hospira, Inc.* | 971,667 | ||||||
68,850 | King Pharmaceuticals, Inc.* | 663,026 | ||||||
206,400 | Pfizer, Inc. | 3,095,999 | ||||||
52,950 | Schering-Plough Corp. | 1,330,104 | ||||||
46,100 | Sepracor, Inc.* | 798,452 | ||||||
19,640,282 | ||||||||
Real Estate Investment Trusts — 0.2% | ||||||||
11,347 | Simon Property Group, Inc. | 583,576 | ||||||
Retail — 4.5% | ||||||||
30,125 | Best Buy Company, Inc. | 1,008,886 | ||||||
73,312 | Big Lots, Inc.* | 1,541,751 | ||||||
13,900 | BJ’s Wholesale Club, Inc.* | 447,997 | ||||||
18,900 | Dollar Tree, Inc.* | 795,690 | ||||||
22,850 | Kohl’s Corp.* | 976,838 | ||||||
42,300 | Macy’s, Inc. | 497,448 | ||||||
22,875 | Target Corp. | 902,876 | ||||||
63,259 | TJX Companies, Inc. (The) | 1,990,128 | ||||||
65,975 | Wal-Mart Stores, Inc. | 3,195,830 | ||||||
11,357,444 | ||||||||
Retail: Restaurants — 1.4% | ||||||||
25,900 | Brinker International, Inc. | 441,077 | ||||||
11,725 | Darden Restaurants, Inc. | 386,691 | ||||||
39,775 | McDonald’s Corp. | 2,286,664 | ||||||
6,100 | Panera Bread Company — Class A* | 304,146 | ||||||
3,418,578 | ||||||||
Retail: Supermarkets — 1.1% | ||||||||
59,775 | Kroger Company (The) | 1,318,039 | ||||||
34,200 | Safeway, Inc. | 696,654 | ||||||
51,500 | SUPERVALU, Inc. | 666,925 | ||||||
2,681,618 | ||||||||
Security Services — 0.2% | ||||||||
18,918 | Brink’s Company (The) | 549,190 | ||||||
Semiconductors — 1.9% | ||||||||
24,825 | Broadcom Corp. — Class A* | 615,412 | ||||||
127,450 | Intel Corp. | 2,109,297 | ||||||
93,200 | Texas Instruments, Inc. | 1,985,160 | ||||||
4,709,869 | ||||||||
83
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Telecommunications Equipment and Services — 5.1% | ||||||||
201,500 | AT&T, Inc. | $ | 5,005,260 | |||||
14,625 | CommScope, Inc.* | 384,053 | ||||||
82,900 | Corning, Inc. | 1,331,374 | ||||||
10,500 | Embarq Corp.* | 441,630 | ||||||
41,400 | NeuStar, Inc. — Class A* | 917,424 | ||||||
55,800 | QUALCOMM, Inc. | 2,522,160 | ||||||
71,100 | Verizon Communications, Inc. | 2,184,903 | ||||||
12,786,804 | ||||||||
Transportation — 1.1% | ||||||||
12,800 | CSX Corp. | 443,264 | ||||||
18,850 | JB Hunt Transport Services, Inc. | 575,491 | ||||||
33,550 | Union Pacific Corp. | 1,746,613 | ||||||
2,765,368 | ||||||||
Utilities — 3.7% | ||||||||
119,925 | AES Corp. (The)* | 1,392,329 | ||||||
17,900 | Alliant Energy Corp. | 467,727 | ||||||
37,500 | DTE Energy Company | 1,200,000 | ||||||
41,700 | Edison International | 1,311,882 | ||||||
29,400 | FirstEnergy Corp. | 1,139,250 | ||||||
31,300 | NRG Energy, Inc.* | 812,548 | ||||||
89,100 | NV Energy, Inc. | 961,389 | ||||||
18,500 | Public Service Enterprise Group, Inc. | 603,655 | ||||||
27,500 | Sempra Energy | 1,364,825 | ||||||
9,253,605 | ||||||||
Total Common Stocks (Cost $274,841,081) | 246,431,650 | |||||||
Principal | ||||||||
Repurchase Agreements — 1.3% | ||||||||
$ | 3,343,117 | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $3,343,118 (Collateralized by various US Treasury Bills, 0.28%-0.31%, due 11/27/09-12/10/09, with a total value of $3,415,271) (Cost $3,343,117) | 3,343,117 | |||||
Total Investments — 100.0% (Cost $278,184,198) | 249,774,767 | |||||||
Liabilities less other assets — (0.0)% | (47,402 | ) | ||||||
Net Assets — 100.0% | $ | 249,727,365 | ||||||
Gross unrealized appreciation | $ | 9,528,637 | ||
Gross unrealized depreciation | (37,938,068 | ) | ||
Net unrealized depreciation | $ | (28,409,431 | ) | |
84
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks — 97.1% | ||||||||
Aerospace and Defense — 3.6% | ||||||||
237,533 | General Dynamics Corp. | $ | 13,156,953 | |||||
174,936 | Lockheed Martin Corp. | 14,108,589 | ||||||
32,300 | Northrop Grumman Corp. | 1,475,464 | ||||||
184,215 | Raytheon Company | 8,184,672 | ||||||
59,000 | United Technologies Corp. | 3,065,640 | ||||||
39,991,318 | ||||||||
Agriculture — 2.3% | ||||||||
60,800 | Archer-Daniels-Midland Company | 1,627,616 | ||||||
186,857 | Monsanto Company | 13,890,949 | ||||||
47,389 | Mosaic Company (The) | 2,099,333 | ||||||
91,078 | Potash Corp. of Saskatchewan, Inc. (Canada) | 8,474,808 | ||||||
26,092,706 | ||||||||
Airlines — 0.0% | ||||||||
112,600 | AMR Corp.* | 452,652 | ||||||
Apparel: Manufacturing and Retail — 1.7% | ||||||||
196,308 | Abercrombie & Fitch Company — Class A | 4,984,261 | ||||||
47,287 | Buckle, Inc. (The) | 1,502,308 | ||||||
124,530 | Coach, Inc. | 3,347,366 | ||||||
93,900 | Foot Locker, Inc. | 983,133 | ||||||
47,531 | Gap, Inc. (The) | 779,508 | ||||||
99,297 | Guess?, Inc. | 2,559,877 | ||||||
48,354 | Nordstrom, Inc. | 961,761 | ||||||
41,000 | Ross Stores, Inc. | 1,582,600 | ||||||
130,244 | Urban Outfitters, Inc.* | 2,718,192 | ||||||
19,419,006 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.9% | ||||||||
92,496 | Advance Auto Parts, Inc. | 3,837,659 | ||||||
46,700 | AutoNation, Inc.* | 810,245 | ||||||
21,699 | AutoZone, Inc.* | 3,278,936 | ||||||
60,900 | Johnson Controls, Inc. | 1,322,748 | ||||||
23,000 | Thor Industries, Inc. | 422,510 | ||||||
9,672,098 | ||||||||
Banks and Financial Services — 12.1% | ||||||||
113,461 | American Express Company | 2,636,834 | ||||||
31,600 | Ameriprise Financial, Inc. | 766,932 | ||||||
1,235,833 | Bank of America Corp. | 16,312,996 | ||||||
20,400 | Bank of New York Mellon Corp. | 597,924 | ||||||
89,300 | Charles Schwab Corp. (The) | 1,566,322 | ||||||
27,900 | Federated Investors, Inc. — Class B | 672,111 | ||||||
146,633 | Goldman Sachs Group, Inc. (The) | 21,619,569 | ||||||
64,300 | Hudson City Bancorp, Inc. | 854,547 | ||||||
5,800 | IntercontinentalExchange, Inc.* | 662,592 | ||||||
188,600 | Itau Unibanco Banco Multiplo SA (ADR) (Brazil) | 2,985,538 | ||||||
38,900 | Jefferies Group, Inc.* | 829,737 | ||||||
450,656 | JPMorgan Chase & Company | 15,371,876 | ||||||
62,552 | MasterCard, Inc. — Class A | 10,465,575 | ||||||
43,085 | Moody’s Corp. | 1,135,290 | ||||||
214,585 | Morgan Stanley | 6,117,818 | ||||||
18,800 | Northern Trust Corp. | 1,009,184 | ||||||
51,793 | State Street Corp. | 2,444,630 | ||||||
35,400 | T Rowe Price Group, Inc. | 1,475,118 | ||||||
605,906 | US Bancorp | 10,857,836 | ||||||
272,130 | Visa, Inc. — Class A | 16,942,813 | ||||||
676,708 | Wells Fargo & Company | 16,416,936 | ||||||
248,098 | Western Union Company | 4,068,807 | ||||||
135,810,985 | ||||||||
Broadcast Services/Media — 0.4% | ||||||||
110,164 | Comcast Corp. — Class A | 1,596,276 | ||||||
91,599 | Scripps Networks Interactive — Class A | 2,549,201 | ||||||
4,145,477 | ||||||||
Business Services and Supplies — 0.3% | ||||||||
50,326 | Accenture, Ltd. — Class A (Bermuda) | 1,683,908 | ||||||
11,000 | Hewitt Associates, Inc. — Class A* | 327,580 | ||||||
67,500 | SAIC, Inc.* | 1,252,125 | ||||||
3,263,613 | ||||||||
Chemicals — 1.2% | ||||||||
45,700 | Celanese Corp. — Series A | 1,085,375 | ||||||
392,070 | Dow Chemical Company (The) | 6,328,010 | ||||||
28,700 | EI du Pont de Nemours and Company | 735,294 | ||||||
27,800 | Ecolab, Inc. | 1,083,922 | ||||||
33,040 | FMC Corp. | 1,562,792 | ||||||
20,800 | International Flavors & Fragrances, Inc. | 680,576 | ||||||
19,500 | Lubrizol Corp. (The) | 922,545 | ||||||
23,100 | Sigma-Aldrich Corp. | 1,144,836 | ||||||
13,543,350 | ||||||||
Computer Equipment, Software and Services — 16.6% | ||||||||
17,400 | Affiliated Computer Services, Inc. — Class A* | 772,908 | ||||||
254,790 | Apple, Inc.* | 36,289,739 | ||||||
63,600 | Automatic Data Processing, Inc. | 2,253,984 | ||||||
210,526 | BMC Software, Inc.* | 7,113,674 |
85
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Computer Equipment, Software and Services (continued) | ||||||||
67,500 | CA, Inc. | $ | 1,176,525 | |||||
101,406 | Check Point Software Technologies, Ltd. (Israel)* | 2,379,999 | ||||||
25,200 | Cognizant Technology Solutions Corp. — Class A* | 672,840 | ||||||
203,600 | Dell, Inc.* | 2,795,428 | ||||||
56,600 | Electronic Arts, Inc.* | 1,229,352 | ||||||
462,917 | EMC Corp.* | 6,064,213 | ||||||
162,213 | Hewlett-Packard Company | 6,269,532 | ||||||
349,824 | International Business Machines Corp. | 36,528,621 | ||||||
1,496,892 | Microsoft Corp. | 35,581,122 | ||||||
756,848 | NetApp, Inc.* | 14,925,043 | ||||||
1,065,280 | Oracle Corp. | 22,818,298 | ||||||
105,644 | Riverbed Technology, Inc.* | 2,449,884 | ||||||
39,900 | SanDisk Corp.* | 586,131 | ||||||
36,927 | Sybase, Inc.* | 1,157,292 | ||||||
131,313 | Teradata Corp.* | 3,076,664 | ||||||
184,141,249 | ||||||||
Consumer Goods and Services — 2.3% | ||||||||
151,102 | Altria Group, Inc. | 2,476,562 | ||||||
27,000 | Clorox Company (The) | 1,507,410 | ||||||
21,400 | Colgate-Palmolive Company | 1,513,836 | ||||||
10,600 | Energizer Holdings, Inc.* | 553,744 | ||||||
13,700 | Kimberly-Clark Corp. | 718,291 | ||||||
261,445 | Philip Morris International, Inc. | 11,404,231 | ||||||
157,772 | Procter & Gamble Company (The) | 8,062,149 | ||||||
26,236,223 | ||||||||
Containers and Packaging — 0.2% | ||||||||
42,700 | Crown Holdings, Inc.* | 1,030,778 | ||||||
44,800 | Pactiv Corp.* | 972,160 | ||||||
2,002,938 | ||||||||
Distribution — 0.1% | ||||||||
13,700 | Tech Data Corp.* | 448,127 | ||||||
31,700 | WESCO International, Inc.* | 793,768 | ||||||
1,241,895 | ||||||||
Diversified Operations and Services — 0.1% | ||||||||
66,400 | McDermott International, Inc. (Panama)* | 1,348,584 | ||||||
Education — 0.7% | ||||||||
54,388 | Apollo Group, Inc. — Class A* | 3,868,075 | ||||||
44,284 | ITT Educational Services, Inc.* | 4,457,627 | ||||||
8,325,702 | ||||||||
Electronics — 0.8% | ||||||||
47,300 | Arrow Electronics, Inc.* | 1,004,652 | ||||||
25,900 | Avnet, Inc.* | 544,677 | ||||||
161,628 | Emerson Electric Company | 5,236,747 | ||||||
19,200 | Hubbell, Inc. — Class B | 615,552 | ||||||
43,835 | Synopsys, Inc.* | 855,221 | ||||||
33,500 | Thomas & Betts Corp.* | 966,810 | ||||||
9,223,659 | ||||||||
Engineering — 0.6% | ||||||||
92,950 | Fluor Corp. | 4,767,405 | ||||||
21,944 | Jacobs Engineering Group, Inc.* | 923,623 | ||||||
17,700 | URS Corp.* | 876,504 | ||||||
6,567,532 | ||||||||
Entertainment, Leisure and Recreation — 0.6% | ||||||||
191,940 | Wynn Resorts, Ltd.* | 6,775,482 | ||||||
Equipment Rental and Leasing — 0.1% | ||||||||
22,300 | Aaron’s, Inc. | 664,986 | ||||||
Food and Beverage — 1.8% | ||||||||
127,404 | Coca-Cola Company (The) | 6,114,118 | ||||||
25,100 | Dean Foods Company* | 481,669 | ||||||
20,500 | General Mills, Inc. | 1,148,410 | ||||||
36,000 | Hershey Company (The) | 1,296,000 | ||||||
43,700 | HJ Heinz Company | 1,560,090 | ||||||
11,500 | Kellogg Company | 535,555 | ||||||
94,969 | PepsiCo, Inc. | 5,219,496 | ||||||
125,000 | Sara Lee Corp. | 1,220,000 | ||||||
89,088 | Sysco Corp. | 2,002,698 | ||||||
19,578,036 | ||||||||
Insurance — 0.6% | ||||||||
28,100 | Aflac, Inc. | 873,629 | ||||||
37,200 | Arthur J. Gallagher & Company | 793,848 | ||||||
22,300 | Brown & Brown, Inc. | 444,439 | ||||||
64,500 | Coventry Health Care, Inc.* | 1,206,795 | ||||||
29,700 | Endurance Specialty Holdings, Ltd. (Bermuda) | 870,210 | ||||||
40,700 | Marsh & McLennan Companies, Inc. | 819,291 | ||||||
16,000 | Reinsurance Group of America, Inc. | 558,560 | ||||||
35,800 | WR Berkley Corp. | 768,626 | ||||||
6,335,398 | ||||||||
Internet Services — 8.2% | ||||||||
65,613 | Amazon.com, Inc.* | 5,489,184 | ||||||
1,640,380 | Cisco Systems, Inc.* | 30,576,683 | ||||||
280,398 | eBay, Inc.* | 4,803,218 |
86
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Internet Services (continued) | ||||||||
205,964 | Giant Interactive Group, Inc. (ADR) (Cayman Islands) | $ | 1,672,428 | |||||
75,030 | Google, Inc. — Class A* | 31,631,897 | ||||||
314,632 | Juniper Networks, Inc.* | 7,425,315 | ||||||
35,300 | McAfee, Inc.* | 1,489,307 | ||||||
237,800 | Novell, Inc.* | 1,077,234 | ||||||
20,397 | Shanda Interactive Entertainment, Ltd. (ADR) (Cayman Islands)* | 1,066,559 | ||||||
52,898 | Sohu.com, Inc.* | 3,323,581 | ||||||
202,996 | Symantec Corp.* | 3,158,618 | ||||||
32,900 | Yahoo!, Inc.* | 515,214 | ||||||
92,229,238 | ||||||||
Machinery — 1.4% | ||||||||
167,064 | Caterpillar, Inc. | 5,519,794 | ||||||
139,281 | Cummins, Inc. | 4,904,084 | ||||||
16,444 | Deere & Company | 656,938 | ||||||
137,289 | Joy Global, Inc. | 4,903,963 | ||||||
15,984,779 | ||||||||
Manufacturing — 1.6% | ||||||||
32,800 | 3M Company | 1,971,280 | ||||||
44,500 | Crane Company | 992,795 | ||||||
196,397 | Dover Corp. | 6,498,776 | ||||||
52,732 | Honeywell International, Inc. | 1,655,785 | ||||||
83,084 | Illinois Tool Works, Inc. | 3,102,357 | ||||||
38,600 | Leggett & Platt, Inc. | 587,878 | ||||||
38,894 | Parker Hannifin Corp. | 1,670,886 | ||||||
16,200 | Sherwin-Williams Company (The) | 870,750 | ||||||
17,350,507 | ||||||||
Medical Equipment, Supplies, and Services — 2.6% | ||||||||
32,700 | Baxter International, Inc. | 1,731,792 | ||||||
28,000 | Gen-Probe, Inc.* | 1,203,440 | ||||||
40,522 | Humana, Inc.* | 1,307,240 | ||||||
8,282 | Intuitive Surgical, Inc.* | 1,355,432 | ||||||
140,635 | Johnson & Johnson | 7,988,067 | ||||||
60,541 | Life Technologies Corp.* | 2,525,771 | ||||||
28,700 | Lincare Holdings, Inc.* | 675,024 | ||||||
34,015 | McKesson Corp. | 1,496,660 | ||||||
207,811 | Medtronic, Inc. | 7,250,526 | ||||||
21,000 | Techne Corp. | 1,340,010 | ||||||
48,430 | Varian Medical Systems, Inc.* | 1,701,830 | ||||||
28,575,792 | ||||||||
Metals and Mining — 1.6% | ||||||||
38,700 | AK Steel Holding Corp. | 742,653 | ||||||
57,787 | Barrick Gold Corp. (Canada) | 1,938,754 | ||||||
167,300 | BHP Billiton PLC (ADR) (United Kingdom) | 7,605,458 | ||||||
42,700 | Newmont Mining Corp. | 1,745,149 | ||||||
120,618 | Nucor Corp. | 5,359,058 | ||||||
17,391,072 | ||||||||
Oil, Coal and Gas — 8.2% | ||||||||
52,287 | Apache Corp. | 3,772,507 | ||||||
135,879 | Baker Hughes, Inc. | 4,951,431 | ||||||
44,000 | Cameron International Corp.* | 1,245,200 | ||||||
77,598 | Diamond Offshore Drilling, Inc. | 6,444,514 | ||||||
24,700 | Dresser-Rand Group, Inc.* | 644,670 | ||||||
78,293 | Exxon Mobil Corp. | 5,473,464 | ||||||
68,400 | Frontier Oil Corp. | 896,724 | ||||||
90,700 | Helix Energy Solutions Group, Inc.* | 985,909 | ||||||
55,303 | Hess Corp. | 2,972,536 | ||||||
78,853 | Noble Energy, Inc. | 4,649,961 | ||||||
180,332 | Occidental Petroleum Corp. | 11,867,649 | ||||||
48,032 | Oceaneering International, Inc.* | 2,171,046 | ||||||
312,075 | Petroleo Brasileiro SA — Petrobras (ADR) (Brazil) | 12,788,834 | ||||||
12,400 | Praxair, Inc. | 881,268 | ||||||
40,148 | Schlumberger, Ltd. (Netherlands Antilles) | 2,172,408 | ||||||
252,119 | Smith International, Inc. | 6,492,064 | ||||||
42,900 | Southwestern Energy Company* | 1,666,665 | ||||||
41,800 | Tesoro Corp. | 532,114 | ||||||
283,704 | Transocean, Ltd. (Switzerland)* | 21,076,371 | ||||||
91,685,335 | ||||||||
Pharmaceuticals/Research and Development — 5.3% | ||||||||
327,238 | Abbott Laboratories | 15,393,276 | ||||||
12,100 | Allergan, Inc. | 575,718 | ||||||
66,476 | AmerisourceBergen Corp. | 1,179,284 | ||||||
94,400 | Amgen, Inc.* | 4,997,536 | ||||||
75,040 | Amylin Pharmaceuticals, Inc.* | 1,013,040 | ||||||
41,820 | AstraZeneca PLC (ADR) (United Kingdom) | 1,845,935 | ||||||
131,450 | Bristol-Myers Squibb Company | 2,669,750 | ||||||
56,700 | Celgene Corp.* | 2,712,528 | ||||||
25,600 | Dendreon Corp.* | 636,160 | ||||||
237,727 | Eli Lilly and Company | 8,234,863 | ||||||
34,520 | Express Scripts, Inc.* | 2,373,250 | ||||||
249,392 | Gilead Sciences, Inc.* | 11,681,521 | ||||||
18,800 | Medco Health Solutions, Inc.* | 857,468 | ||||||
30,400 | Omnicare, Inc. | 783,104 |
87
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Pharmaceuticals/Research and Development (continued) | ||||||||
21,900 | OSI Pharmaceuticals, Inc.* | $ | 618,237 | |||||
99,700 | Schering-Plough Corp. | 2,504,464 | ||||||
43,900 | Valeant Pharmaceuticals International* | 1,129,108 | ||||||
16,300 | Vertex Pharmaceuticals, Inc.* | 580,932 | ||||||
59,786,174 | ||||||||
Real Estate Investment Trusts — 0.4% | ||||||||
24,500 | Digital Realty Trust, Inc. | 878,325 | ||||||
15,500 | Federal Realty Investment Trust | 798,560 | ||||||
45,000 | HCP, Inc. | 953,550 | ||||||
18,200 | Health Care REIT, Inc. | 620,620 | ||||||
36,300 | Nationwide Health Properties, Inc. | 934,362 | ||||||
4,185,417 | ||||||||
Retail — 5.9% | ||||||||
45,100 | Barnes & Noble, Inc. | 930,413 | ||||||
47,900 | Best Buy Company, Inc. | 1,604,171 | ||||||
21,200 | Big Lots, Inc.* | 445,836 | ||||||
55,300 | Costco Wholesale Corp. | 2,527,210 | ||||||
450,811 | CVS Caremark Corp. | 14,367,347 | ||||||
20,100 | Dollar Tree, Inc.* | 846,210 | ||||||
51,993 | GameStop Corp. — Class A* | 1,144,366 | ||||||
564,283 | Lowe’s Companies, Inc. | 10,952,733 | ||||||
57,800 | PetSmart, Inc. | 1,240,388 | ||||||
59,100 | RadioShack Corp. | 825,036 | ||||||
68,494 | Target Corp. | 2,703,458 | ||||||
225,062 | TJX Companies, Inc. (The) | 7,080,451 | ||||||
91,100 | Walgreen Company | 2,678,340 | ||||||
395,515 | Wal-Mart Stores, Inc. | 19,158,746 | ||||||
66,504,705 | ||||||||
Retail: Restaurants — 3.4% | ||||||||
641,734 | McDonald’s Corp. | 36,893,288 | ||||||
19,500 | YUM! Brands, Inc. | 650,130 | ||||||
37,543,418 | ||||||||
Retail: Supermarkets — 0.1% | ||||||||
35,200 | Kroger Company (The) | 776,160 | ||||||
31,200 | Whole Foods Market, Inc.* | 592,176 | ||||||
1,368,336 | ||||||||
Scientific and Technical Instruments — 0.2% | ||||||||
26,700 | Agilent Technologies, Inc.* | 542,277 | ||||||
71,000 | PerkinElmer, Inc. | 1,235,400 | ||||||
1,777,677 | ||||||||
Semiconductors — 4.6% | ||||||||
639,435 | Altera Corp. | 10,410,001 | ||||||
168,867 | Analog Devices, Inc. | 4,184,524 | ||||||
318,384 | Emulex Corp.* | 3,113,796 | ||||||
615,454 | Intel Corp. | 10,185,763 | ||||||
56,000 | Intersil Corp. — Class A | 703,920 | ||||||
1,700 | LSI Corp.* | 7,752 | ||||||
43,200 | NVIDIA Corp.* | 487,728 | ||||||
507,020 | QLogic Corp.* | 6,429,014 | ||||||
396,505 | Texas Instruments, Inc. | 8,445,557 | ||||||
384,669 | Xilinx, Inc. | 7,870,328 | ||||||
51,838,383 | ||||||||
Telecommunications Equipment and Services — 3.4% | ||||||||
23,900 | American Tower Corp. — Class A* | 753,567 | ||||||
95,593 | Brasil Telecom SA (ADR) (Brazil) | 1,870,755 | ||||||
89,508 | Corning, Inc. | 1,437,498 | ||||||
158,400 | Frontier Communications Corp. | 1,130,976 | ||||||
40,200 | Harris Corp. | 1,140,072 | ||||||
89,400 | Motorola, Inc. | 592,722 | ||||||
32,800 | NII Holdings, Inc.* | 625,496 | ||||||
656,381 | QUALCOMM, Inc. | 29,668,422 | ||||||
78,000 | Qwest Communications International, Inc. | 323,700 | ||||||
67,200 | Windstream Corp. | 561,792 | �� | |||||
38,105,000 | ||||||||
Toys — 0.1% | ||||||||
44,602 | Hasbro, Inc. | 1,081,152 | ||||||
Transportation — 2.9% | ||||||||
34,100 | CH Robinson Worldwide, Inc. | 1,778,315 | ||||||
39,500 | GATX Corp. | 1,015,940 | ||||||
206,797 | Norfolk Southern Corp. | 7,790,043 | ||||||
386,609 | Union Pacific Corp. | 20,126,865 | ||||||
33,300 | United Parcel Service, Inc. — Class B | 1,664,667 | ||||||
32,375,830 | ||||||||
Utilities — 0.2% | ||||||||
90,400 | CenterPoint Energy, Inc. | 1,001,632 | ||||||
8,100 | FPL Group, Inc. | 460,566 | ||||||
30,700 | PPL Corp. | 1,011,872 | ||||||
2,474,070 | ||||||||
Total Common Stocks (Cost $1,130,608,991) | 1,085,089,774 | |||||||
88
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Principal | Value | |||||||
Repurchase Agreements — 2.6% | ||||||||
$ | 29,407,920 | With State Street Bank and Trust, dated 06/30//09, 0.01%, due 07/01/09, repurchase proceeds at maturity $29,407,928 (Collateralized by various US Treasury Bills, 0.28%-0.31%, due 11/27/09-12/10/09, with a total value of $30,003,315) (Cost $29,407,920) | $ | 29,407,920 | ||||
Total Investments — 99.7% (Cost $1,160,016,911) | 1,114,497,694 | |||||||
Other assets less liabilities — 0.3% | 3,721,652 | |||||||
Net Assets — 100.0% | $ | 1,118,219,346 | ||||||
Gross unrealized appreciation | $ | 69,385,444 | ||
Gross unrealized depreciation | (114,904,661 | ) | ||
Net unrealized depreciation | $ | (45,519,217 | ) | |
89
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks — 99.2% | ||||||||
Agriculture — 4.4% | ||||||||
108,200 | Archer-Daniels-Midland Company | $ | 2,896,514 | |||||
41,470 | Monsanto Company | 3,082,880 | ||||||
22,700 | Potash Corp. of Saskatchewan, Inc. (Canada) | 2,112,235 | ||||||
8,091,629 | ||||||||
Apparel: Manufacturing and Retail — 1.5% | ||||||||
51,000 | Coach, Inc. | 1,370,880 | ||||||
56,580 | Guess?, Inc. | 1,458,632 | ||||||
2,829,512 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.1% | ||||||||
74,240 | Honda Motor Company, Ltd. (ADR) (Japan) | 2,031,949 | ||||||
Banks and Financial Services — 7.3% | ||||||||
95,000 | Charles Schwab Corp. (The) | 1,666,300 | ||||||
20,150 | Goldman Sachs Group, Inc. (The) | 2,970,916 | ||||||
78,700 | Morgan Stanley | 2,243,737 | ||||||
56,490 | PNC Financial Services Group, Inc. | 2,192,377 | ||||||
52,820 | T Rowe Price Group, Inc. | 2,201,009 | ||||||
36,280 | Visa, Inc.-— Class A | 2,258,793 | ||||||
13,533,132 | ||||||||
Business Services and Supplies — 1.3% | ||||||||
97,525 | Robert Half International, Inc. | 2,303,541 | ||||||
Computer Equipment, Software and Services — 12.0% | ||||||||
171,200 | Activision Blizzard, Inc.* | 2,162,256 | ||||||
61,430 | Adobe Systems, Inc.* | 1,738,469 | ||||||
48,420 | Apple, Inc.* | 6,896,461 | ||||||
72,810 | International Business Machines Corp. | 7,602,819 | ||||||
54,000 | MSCI, Inc. — Class A* | 1,319,760 | ||||||
55,830 | Salesforce.com, Inc.* | 2,131,031 | ||||||
21,850,796 | ||||||||
Construction Services and Supplies — 3.2% | ||||||||
6,453 | NVR, Inc.* | 3,241,923 | ||||||
302,330 | Pulte Homes, Inc. | 2,669,574 | ||||||
5,911,497 | ||||||||
Consumer Goods and Services — 1.3% | ||||||||
91,800 | Avon Products, Inc. | 2,366,604 | ||||||
Energy Services — 0.8% | ||||||||
8,920 | First Solar, Inc.* | 1,446,110 | ||||||
Entertainment, Leisure and Recreation — 1.9% | ||||||||
65,630 | International Game Technology | 1,043,517 | ||||||
45,350 | Starwood Hotels & Resorts Worldwide, Inc. | 1,006,770 | ||||||
42,500 | Wynn Resorts, Ltd.* | 1,500,250 | ||||||
3,550,537 | ||||||||
Food and Beverage — 1.1% | ||||||||
67,120 | Hansen Natural Corp.* | 2,068,638 | ||||||
Internet Services — 11.0% | ||||||||
59,060 | Amazon.com, Inc.* | 4,940,960 | ||||||
70,410 | F5 Networks, Inc.* | 2,435,482 | ||||||
17,240 | Google, Inc. — Class A* | 7,268,211 | ||||||
119,100 | Juniper Networks, Inc.* | 2,810,760 | ||||||
66,800 | McAfee, Inc.* | 2,818,292 | ||||||
20,273,705 | ||||||||
Machinery — 1.7% | ||||||||
49,260 | Cummins, Inc. | 1,734,445 | ||||||
39,450 | Joy Global, Inc. | 1,409,154 | ||||||
3,143,599 | ||||||||
Medical Equipment, Supplies, and Services — 3.5% | ||||||||
43,200 | Henry Schein, Inc.* | 2,071,440 | ||||||
6,900 | Intuitive Surgical, Inc.* | 1,129,254 | ||||||
80,340 | St Jude Medical, Inc.* | 3,301,974 | ||||||
6,502,668 | ||||||||
Metals and Mining — 3.9% | ||||||||
244,650 | Alcoa, Inc. | 2,527,235 | ||||||
56,830 | Nucor Corp. | 2,524,957 | ||||||
61,230 | United States Steel Corp. | 2,188,360 | ||||||
7,240,552 | ||||||||
Oil, Coal and Gas — 6.5% | ||||||||
41,750 | Occidental Petroleum Corp. | 2,747,568 | ||||||
63,790 | Petrohawk Energy Corp.* | 1,422,517 | ||||||
68,570 | Petroleo Brasileiro SA — Petrobras (ADR) (Brazil) | 2,809,999 | ||||||
54,190 | Southwestern Energy Company* | 2,105,282 | ||||||
145,420 | Weatherford International, Ltd. (Switzerland)* | 2,844,414 | ||||||
11,929,780 | ||||||||
Pharmaceuticals/Research and Development — 9.3% | ||||||||
81,240 | Alexion Pharmaceuticals, Inc.* | 3,340,589 | ||||||
38,040 | Allergan, Inc. | 1,809,943 | ||||||
52,830 | Express Scripts, Inc.* | 3,632,063 | ||||||
118,930 | Gilead Sciences, Inc.* | 5,570,681 | ||||||
56,280 | Teva Pharmaceutical Industries, Ltd. (ADR) (Israel) | 2,776,855 | ||||||
17,130,131 | ||||||||
90
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Retail — 3.8% | ||||||||
73,180 | Best Buy Company, Inc. | $ | 2,450,798 | |||||
56,850 | Kohl’s Corp.* | 2,430,338 | ||||||
113,600 | Lowe’s Companies, Inc. | 2,204,976 | ||||||
7,086,112 | ||||||||
Retail: Supermarkets — 1.2% | ||||||||
112,260 | Whole Foods Market, Inc.* | 2,130,695 | ||||||
Semiconductors — 11.8% | ||||||||
328,690 | Applied Materials, Inc. | 3,605,728 | ||||||
105,950 | ASML Holding NV (the Netherlands) | 2,293,818 | ||||||
176,320 | Broadcom Corp. — Class A* | 4,370,972 | ||||||
128,860 | Lam Research Corp.* | 3,350,360 | ||||||
452,000 | Micron Technology, Inc.* | 2,287,120 | ||||||
251,360 | Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) (Taiwan) | 2,365,298 | ||||||
160,700 | Xilinx, Inc. | 3,287,922 | ||||||
21,561,218 | ||||||||
Telecommunications Equipment and Services — 9.9% | ||||||||
510,000 | Alcatel-Lucent (ADR) (France)* | 1,264,800 | ||||||
48,000 | China Mobile, Ltd. (ADR) (Hong Kong) | 2,403,840 | ||||||
269,170 | Corning, Inc. | 4,322,870 | ||||||
29,310 | Millicom International Cellular SA (Luxembourg)* | 1,648,981 | ||||||
191,990 | QUALCOMM, Inc. | 8,677,948 | ||||||
18,318,439 | ||||||||
Transportation — 0.7% | ||||||||
26,300 | CH Robinson Worldwide, Inc. | 1,371,545 | ||||||
Total Common Stocks (Cost $176,242,010) | 182,672,389 | |||||||
Principal | ||||||||
Repurchase Agreements — 0.2% | ||||||||
$ | 307,387 | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $307,387 (Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $314,622) (Cost $307,387) | 307,387 | |||||
Total Investments — 99.4% (Cost $176,549,397) | 182,979,776 | |||||||
Other assets less liabilities — 0.6% | 1,163,647 | |||||||
Net Assets — 100.0% | $ | 184,143,423 | ||||||
Gross unrealized appreciation | $ | 18,267,223 | ||
Gross unrealized depreciation | (11,836,844 | ) | ||
Net unrealized appreciation | $ | 6,430,379 | ||
91
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks — 96.6% | ||||||||
Advertising — 1.0% | ||||||||
205,000 | Omnicom Group, Inc. | $ | 6,473,900 | |||||
Aerospace and Defense — 3.1% | ||||||||
241,849 | Goodrich Corp. | 12,085,195 | ||||||
14,000 | L-3 Communications Holdings, Inc. | 971,320 | ||||||
166,700 | Raytheon Company | 7,406,481 | ||||||
20,462,996 | ||||||||
Agriculture — 0.5% | ||||||||
70,700 | Archer-Daniels-Midland Company | 1,892,639 | ||||||
24,000 | Bunge, Ltd. (Bermuda) | 1,446,000 | ||||||
3,338,639 | ||||||||
Airlines — 0.4% | ||||||||
103,811 | AMR Corp.* | 417,320 | ||||||
48,661 | Continental Airlines, Inc. — Class B* | 431,136 | ||||||
154,426 | Delta Air Lines, Inc.* | 894,127 | ||||||
16,800 | SkyWest, Inc. | 171,360 | ||||||
56,259 | UAL Corp.* | 179,466 | ||||||
128,409 | US Airways Group, Inc.* | 312,034 | ||||||
2,405,443 | ||||||||
Apparel: Manufacturing and Retail — 0.9% | ||||||||
60,100 | Cato Corp. — Class A (The) | 1,048,144 | ||||||
74,500 | Foot Locker, Inc. | 780,015 | ||||||
74,800 | Gap, Inc. (The) | 1,226,720 | ||||||
114,000 | Jones Apparel Group, Inc. | 1,223,220 | ||||||
34,854 | VF Corp. | 1,929,169 | ||||||
6,207,268 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 2.4% | ||||||||
136,000 | Advance Auto Parts, Inc. | 5,642,640 | ||||||
43,700 | Autoliv, Inc. | 1,257,249 | ||||||
27,403 | Genuine Parts Company | 919,645 | ||||||
82,500 | Harley-Davidson, Inc. | 1,337,325 | ||||||
190,200 | Johnson Controls, Inc. | 4,131,144 | ||||||
145,566 | WABCO Holdings, Inc. | 2,576,518 | ||||||
15,864,521 | ||||||||
Banks and Financial Services — 9.8% | ||||||||
164,800 | Advance America Cash Advance Centers, Inc. | 730,064 | ||||||
66,800 | Ameriprise Financial, Inc. | 1,621,236 | ||||||
106,400 | Banco Latinoamericano de Comercio Exterior, SA — Class E (Panama) | 1,322,552 | ||||||
304,650 | Bank of New York Mellon Corp. | 8,929,292 | ||||||
54,000 | BB&T Corp. | 1,186,920 | ||||||
69,700 | Capital One Financial Corp. | 1,525,036 | ||||||
781,893 | CIT Group, Inc. | 1,681,070 | ||||||
44,400 | Comerica, Inc. | 939,060 | ||||||
20,619 | Cullen/Frost Bankers, Inc. | 950,948 | ||||||
233,500 | Huntington Bancshares, Inc. | 976,030 | ||||||
88,399 | Invesco, Ltd. (Bermuda) | 1,575,270 | ||||||
791,400 | KeyCorp | 4,146,936 | ||||||
26,522 | M&T Bank Corp. | 1,350,765 | ||||||
62,900 | Morgan Stanley | 1,793,279 | ||||||
560,849 | People’s United Financial, Inc. | 8,435,169 | ||||||
28,200 | PNC Financial Services Group, Inc. | 1,094,442 | ||||||
193,166 | Regions Financial Corp. | 780,391 | ||||||
22,259 | SLM Corp.* | 228,600 | ||||||
226,850 | State Street Corp. | 10,707,319 | ||||||
413,000 | SunTrust Banks, Inc. | 6,793,850 | ||||||
430,700 | Western Union Company | 7,063,480 | ||||||
63,831,709 | ||||||||
Broadcast Services/Media — 1.3% | ||||||||
79,800 | Belo Corp. | 142,842 | ||||||
73,300 | DISH Network Corp. — Class A* | 1,188,193 | ||||||
259,300 | Liberty Media Corp.- Entertainment- Series A* | 6,936,275 | ||||||
8,267,310 | ||||||||
Business Services and Supplies — 2.7% | ||||||||
242,200 | Convergys Corp.* | 2,247,616 | ||||||
94,300 | Dun & Bradstreet Corp. | 7,658,103 | ||||||
160,700 | Fidelity National Information Services, Inc. | 3,207,572 | ||||||
72,450 | Manpower, Inc. | 3,067,533 | ||||||
84,461 | Ritchie Brothers Auctioneers, Inc. (Canada) | 1,980,610 | ||||||
18,161,434 | ||||||||
Chemicals — 4.3% | ||||||||
122,900 | Air Products & Chemicals, Inc. | 7,938,111 | ||||||
96,629 | Eastman Chemical Company | 3,662,239 | ||||||
80,900 | FMC Corp. | 3,826,570 | ||||||
113,253 | Lubrizol Corp. (The) | 5,357,999 | ||||||
35,700 | NewMarket Corp. | 2,403,681 | ||||||
146,500 | PolyOne Corp.* | 397,015 | ||||||
104,534 | PPG Industries, Inc. | 4,589,043 | ||||||
28,174,658 | ||||||||
Computer Equipment, Software and Services — 6.7% | ||||||||
177,100 | 3Com Corp.* | 834,141 | ||||||
45,269 | Adobe Systems, Inc.* | 1,281,113 | ||||||
61,298 | Autodesk, Inc.* | 1,163,436 | ||||||
309,147 | BMC Software, Inc.* | 10,446,077 | ||||||
50,577 | Brocade Communications Systems, Inc.* | 395,512 | ||||||
226,700 | Cognizant Technology Solutions Corp. — Class A* | 6,052,890 | ||||||
49,600 | Computer Sciences Corp.* | 2,197,280 | ||||||
272,000 | Electronic Arts, Inc.* | 5,907,840 | ||||||
81,600 | Lexmark International, Inc. — Class A* | 1,293,360 | ||||||
426,150 | Parametric Technology Corp.* | 4,981,694 |
92
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Computer Equipment, Software and Services (continued) | ||||||||
691,300 | Seagate Technology (Cayman Islands) | $ | 7,230,998 | |||||
79,700 | Sun Microsystems, Inc.* | 734,834 | ||||||
60,000 | Western Digital Corp.* | 1,590,000 | ||||||
44,109,175 | ||||||||
Construction Services and Supplies — 0.6% | ||||||||
142,442 | Cemex SAB de CV (ADR) (Mexico)* | 1,330,407 | ||||||
39,794 | Centex Corp. | 336,657 | ||||||
50,599 | Chicago Bridge & Iron Company NV (the Netherlands) | 627,428 | ||||||
74,463 | DR Horton, Inc. | 696,974 | ||||||
12,041 | Insituform Technologies, Inc. — Class A* | 204,336 | ||||||
27,081 | KB HOME | 370,468 | ||||||
52,761 | Pulte Homes, Inc. | 465,880 | ||||||
4,032,150 | ||||||||
Consumer Goods and Services — 1.9% | ||||||||
59,400 | American Greetings Corp. — Class A | 693,792 | ||||||
36,700 | Black & Decker Corp. (The) | 1,051,822 | ||||||
13,975 | Blyth, Inc. | 458,240 | ||||||
62,000 | Eastman Kodak Company | 183,520 | ||||||
69,800 | Ethan Allen Interiors, Inc. | 723,128 | ||||||
82,878 | Lorillard, Inc. | 5,616,642 | ||||||
30,664 | Mohawk Industries, Inc.* | 1,094,092 | ||||||
122,400 | Newell Rubbermaid, Inc. | 1,274,184 | ||||||
41,800 | Whirlpool Corp. | 1,779,008 | ||||||
12,874,428 | ||||||||
Containers and Packaging — 0.2% | ||||||||
60,500 | Sonoco Products Company | 1,448,975 | ||||||
Distribution — 0.1% | ||||||||
5,148 | WW Grainger, Inc. | 421,518 | ||||||
Diversified Operations and Services — 0.2% | ||||||||
38,879 | McDermott International, Inc. (Panama)* | 789,632 | ||||||
19,977 | PICO Holdings, Inc.* | 573,340 | ||||||
1,362,972 | ||||||||
Electronics — 2.2% | ||||||||
173,600 | Amphenol Corp. — Class A | 5,492,704 | ||||||
197,300 | Avnet, Inc.* | 4,149,219 | ||||||
122,400 | Benchmark Electronics, Inc.* | 1,762,560 | ||||||
275,155 | Celestica, Inc. (Canada)* | 1,876,557 | ||||||
29,100 | Thomas & Betts Corp.* | 839,826 | ||||||
99,500 | Vishay Intertechnology, Inc.* | 675,605 | ||||||
14,796,471 | ||||||||
Engineering — 0.4% | ||||||||
15,990 | Fluor Corp. | 820,127 | ||||||
29,822 | Foster Wheeler AG (Switzerland)* | 708,273 | ||||||
18,812 | Jacobs Engineering Group, Inc.* | 791,797 | ||||||
32,132 | KBR, Inc. | 592,514 | ||||||
2,912,711 | ||||||||
Entertainment, Leisure and Recreation — 0.7% | ||||||||
106,417 | National CineMedia, Inc. | 1,464,298 | ||||||
150,034 | Regal Entertainment Group — Class A | 1,993,951 | ||||||
57,666 | Royal Caribbean Cruises, Ltd. (Liberia) | 780,798 | ||||||
22,315 | Starwood Hotels & Resorts Worldwide, Inc. | 495,393 | ||||||
4,734,440 | ||||||||
Equipment Rental and Leasing — 0.0% | ||||||||
31,357 | United Rentals, Inc.* | 203,507 | ||||||
Food and Beverage — 3.4% | ||||||||
25,400 | Cal-Maine Foods, Inc. | 633,984 | ||||||
103,500 | ConAgra Foods, Inc. | 1,972,710 | ||||||
122,500 | Del Monte Foods Company | 1,149,050 | ||||||
89,000 | HJ Heinz Company | 3,177,300 | ||||||
133,500 | JM Smucker Company (The) | 6,496,110 | ||||||
108,950 | McCormick & Company, Inc. | 3,544,144 | ||||||
72,400 | Pepsi Bottling Group, Inc. (The) | 2,450,016 | ||||||
52,500 | PepsiAmericas, Inc. | 1,407,525 | ||||||
107,600 | Sara Lee Corp. | 1,050,176 | ||||||
266 | Seaboard Corp. | 298,452 | ||||||
22,179,467 | ||||||||
Insurance — 8.7% | ||||||||
65,200 | Aflac, Inc. | 2,027,068 | ||||||
20,700 | Allied World Assurance Holdings, Ltd. (Bermuda) | 845,181 | ||||||
56,700 | Allstate Corp. (The) | 1,383,480 | ||||||
78,700 | American Financial Group, Inc. | 1,698,346 | ||||||
198,941 | Aon Corp. | 7,533,895 | ||||||
10,624 | Arch Capital Group, Ltd. (Bermuda)* | 622,354 | ||||||
94,600 | Aspen Insurance Holdings, Ltd. (Bermuda) | 2,113,364 | ||||||
190,835 | Assurant, Inc. | 4,597,215 | ||||||
70,799 | Axis Capital Holdings, Ltd. (Bermuda) | 1,853,518 | ||||||
39,400 | Chubb Corp. (The) | 1,571,272 | ||||||
31,800 | CIGNA Corp. | 766,062 | ||||||
87,100 | Cincinnati Financial Corp. | 1,946,685 | ||||||
80,800 | Coventry Health Care, Inc.* | 1,511,768 | ||||||
82,336 | Everest Re Group, Ltd. (Bermuda) | 5,892,788 | ||||||
70,100 | Horace Mann Educators Corp.* | 698,897 | ||||||
85,800 | IPC Holdings, Ltd. (Bermuda) | 2,345,772 | ||||||
126,455 | Lincoln National Corp. | 2,176,291 |
93
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Insurance (continued) | ||||||||
293,908 | Marsh & McLennan Companies, Inc. | $ | 5,916,367 | |||||
86,615 | PartnerRe, Ltd. (Bermuda) | 5,625,644 | ||||||
22,006 | Transatlantic Holdings, Inc. | 953,520 | ||||||
1,200 | White Mountains Insurance Group, Ltd. (Bermuda) | 274,692 | ||||||
55,787 | Willis Group Holdings, Ltd. (Bermuda) | 1,435,400 | ||||||
339,260 | XL Capital, Ltd. — Class A (Cayman Islands) | 3,887,920 | ||||||
57,677,499 | ||||||||
Internet Services — 1.6% | ||||||||
71,800 | eBay, Inc.* | 1,229,934 | ||||||
60,163 | McAfee, Inc.* | 2,538,277 | ||||||
117,100 | TIBCO Software, Inc.* | 839,607 | ||||||
400,300 | Yahoo!, Inc.* | 6,268,698 | ||||||
10,876,516 | ||||||||
Machinery — 1.2% | ||||||||
26,533 | AGCO Corp.* | 771,314 | ||||||
140,073 | Cummins, Inc. | 4,931,971 | ||||||
86,547 | Manitowoc Company, Inc. (The) | 455,237 | ||||||
26,006 | Rockwell Automation, Inc. | 835,313 | ||||||
90,947 | Terex Corp.* | 1,097,730 | ||||||
8,091,565 | ||||||||
Manufacturing — 4.3% | ||||||||
63,024 | AO Smith Corp. | 2,052,692 | ||||||
90,330 | Cooper Industries, Ltd. — Class A (Bermuda) | 2,804,747 | ||||||
58,900 | Crane Company | 1,314,059 | ||||||
66,213 | Eaton Corp. | 2,953,762 | ||||||
42,200 | EnPro Industries, Inc.* | 760,022 | ||||||
48,800 | Mueller Industries, Inc. | 1,015,040 | ||||||
53,049 | Parker Hannifin Corp. | 2,278,985 | ||||||
60,350 | Precision Castparts Corp. | 4,407,361 | ||||||
89,600 | Sherwin-Williams Company (The) | 4,816,000 | ||||||
23,800 | Tredegar Corp. | 317,016 | ||||||
222,000 | Tyco International, Ltd. (Switzerland) | 5,767,559 | ||||||
28,487,243 | ||||||||
Medical Equipment, Supplies, and Services — 6.0% | ||||||||
133,400 | Cardinal Health, Inc. | 4,075,370 | ||||||
25,584 | Covance, Inc.* | 1,258,733 | ||||||
135,350 | CR Bard, Inc. | 10,076,808 | ||||||
12,500 | Hill-Rom Holdings, Inc. | 202,750 | ||||||
380,400 | Hologic, Inc.* | 5,413,092 | ||||||
18,589 | Humana, Inc.* | 599,681 | ||||||
31,400 | Kindred Healthcare, Inc.* | 388,418 | ||||||
87,300 | Kinetic Concepts, Inc.* | 2,378,925 | ||||||
29,599 | Life Technologies Corp.* | 1,234,870 | ||||||
23,654 | McKesson Corp. | 1,040,776 | ||||||
136,900 | Stryker Corp. (1) | 5,440,406 | ||||||
36,241 | Universal Health Services, Inc. — Class B | 1,770,373 | ||||||
131,800 | Zimmer Holdings, Inc.* | 5,614,680 | ||||||
39,494,882 | ||||||||
Metals and Mining — 1.0% | ||||||||
41,100 | Carpenter Technology Corp. | 855,291 | ||||||
39,416 | Freeport-McMoRan Copper & Gold, Inc. | 1,975,135 | ||||||
41,583 | Nucor Corp. | 1,847,533 | ||||||
39,497 | Steel Dynamics, Inc. | 581,791 | ||||||
34,678 | United States Steel Corp. | 1,239,392 | ||||||
6,499,142 | ||||||||
Office Equipment, Supplies, and Services — 0.4% | ||||||||
109,500 | Steelcase, Inc. — Class A | 637,290 | ||||||
303,800 | Xerox Corp. | 1,968,624 | ||||||
2,605,914 | ||||||||
Oil, Coal and Gas — 6.1% | ||||||||
124,300 | Baker Hughes, Inc. | 4,529,492 | ||||||
111,843 | BJ Services Company | 1,524,420 | ||||||
45,965 | Cameron International Corp.* | 1,300,810 | ||||||
127,977 | El Paso Corp. | 1,181,228 | ||||||
79,764 | Enbridge, Inc. (Canada) | 2,770,204 | ||||||
29,460 | EQT Corp. | 1,028,449 | ||||||
110,900 | Hess Corp. | 5,960,874 | ||||||
36,200 | Holly Corp. | 650,876 | ||||||
70,000 | Marathon Oil Corp. | 2,109,100 | ||||||
54,200 | Murphy Oil Corp. | 2,944,144 | ||||||
54,512 | Newfield Exploration Company* | 1,780,907 | ||||||
77,700 | Patterson-UTI Energy, Inc. | 999,222 | ||||||
43,926 | Pioneer Natural Resources Company | 1,120,113 | ||||||
43,780 | Questar Corp. | 1,359,807 | ||||||
41,469 | Southwestern Energy Company* | 1,611,071 | ||||||
106,394 | Sunoco, Inc. | 2,468,341 | ||||||
82,200 | Tesoro Corp. | 1,046,406 | ||||||
13,953 | Transocean, Ltd. (Switzerland)* | 1,036,568 | ||||||
33,260 | Ultra Petroleum Corp. (Canada)* | 1,297,140 | ||||||
37,500 | Valero Energy Corp. | 633,375 | ||||||
30,200 | Walter Industries, Inc. | 1,094,448 | ||||||
89,390 | Weatherford International, Ltd. (Switzerland)* | 1,748,468 | ||||||
40,195,463 | ||||||||
Paper and Forest Products — 0.2% | ||||||||
44,459 | Rayonier, Inc. | 1,616,085 | ||||||
94
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Pharmaceuticals/Research and Development — 2.2% | ||||||||
67,000 | AmerisourceBergen Corp. | $ | 1,188,580 | |||||
49,300 | Endo Pharmaceuticals Holdings, Inc.* | 883,456 | ||||||
116,300 | Forest Laboratories, Inc.* | 2,920,293 | ||||||
38,352 | Hospira, Inc.* | 1,477,319 | ||||||
316,421 | King Pharmaceuticals, Inc.* | 3,047,134 | ||||||
374,879 | Mylan, Inc.* | 4,892,171 | ||||||
14,408,953 | ||||||||
Printing and Publishing — 0.1% | ||||||||
49,800 | Scholastic Corp. | 985,542 | ||||||
Real Estate Development and Services — 0.2% | ||||||||
41,620 | St Joe Company (The)* | 1,102,514 | ||||||
Real Estate Investment Trusts — 1.4% | ||||||||
20,879 | AvalonBay Communities, Inc. | 1,167,971 | ||||||
12,788 | Boston Properties, Inc. | 609,988 | ||||||
42,800 | Entertainment Properties Trust | 881,680 | ||||||
55,689 | Equity Residential | 1,237,966 | ||||||
97,500 | Hospitality Properties Trust | 1,159,275 | ||||||
243,300 | HRPT Properties Trust | 987,798 | ||||||
138,300 | Medical Properties Trust, Inc. | 839,481 | ||||||
38,129 | ProLogis | 307,320 | ||||||
38,998 | RAIT Investment Trust | 53,427 | ||||||
140,285 | Sunstone Hotel Investors, Inc. | 750,525 | ||||||
30,872 | Ventas, Inc. | 921,838 | ||||||
14,462 | Walter Investment Management Corp.* | 192,055 | ||||||
9,109,324 | ||||||||
Retail — 1.0% | ||||||||
65,800 | Barnes & Noble, Inc. | 1,357,454 | ||||||
42,140 | Bed Bath & Beyond, Inc.* | 1,295,805 | ||||||
43,471 | Family Dollar Stores, Inc. | 1,230,229 | ||||||
121,109 | Macy’s, Inc. | 1,424,242 | ||||||
82,300 | RadioShack Corp. | 1,148,908 | ||||||
6,456,638 | ||||||||
Retail: Restaurants — 0.5% | ||||||||
39,100 | Bob Evans Farms, Inc. | 1,123,734 | ||||||
56,700 | Brinker International, Inc. | 965,601 | ||||||
20,800 | Darden Restaurants, Inc. | 685,984 | ||||||
110,900 | Ruby Tuesday, Inc.* | 738,594 | ||||||
3,513,913 | ||||||||
Retail: Supermarkets — 0.5% | ||||||||
17,800 | Kroger Company (The) | 392,490 | ||||||
89,600 | Safeway, Inc. | 1,825,152 | ||||||
80,058 | SUPERVALU, Inc. | 1,036,751 | ||||||
3,254,393 | ||||||||
Rubber Products — 0.1% | ||||||||
73,662 | Goodyear Tire & Rubber Company (The)* | 829,434 | ||||||
Scientific and Technical Instruments — 1.0% | ||||||||
68,813 | Agilent Technologies, Inc.* | 1,397,592 | ||||||
125,800 | Thermo Fisher Scientific, Inc.* | 5,128,866 | ||||||
6,526,458 | ||||||||
Semiconductors — 2.8% | ||||||||
194,500 | Analog Devices, Inc. | 4,819,710 | ||||||
56,449 | ASML Holding NV (the Netherlands) | 1,222,121 | ||||||
48,230 | Lam Research Corp.* | 1,253,980 | ||||||
1,451,122 | LSI Corp.* | 6,617,116 | ||||||
114,984 | Maxim Integrated Products, Inc. | 1,804,099 | ||||||
80,093 | Microchip Technology, Inc. | 1,806,097 | ||||||
244,227 | Micron Technology, Inc.* | 1,235,789 | ||||||
1,100 | MKS Instruments, Inc.* | 14,509 | ||||||
18,773,421 | ||||||||
Sporting Goods and Equipment — 0.1% | ||||||||
37,200 | Cabela’s, Inc.* | 457,560 | ||||||
Telecommunications Equipment and Services — 1.4% | ||||||||
82,795 | CenturyTel, Inc. | 2,541,806 | ||||||
57,339 | Embarq Corp.* | 2,411,678 | ||||||
61,900 | NII Holdings, Inc.* | 1,180,433 | ||||||
492,219 | Qwest Communications International, Inc. | 2,042,709 | ||||||
134,732 | Windstream Corp. | 1,126,360 | ||||||
9,302,986 | ||||||||
Tools — 0.2% | ||||||||
34,482 | Stanley Works (The) | 1,166,871 | ||||||
Toys — 1.3% | ||||||||
79,187 | Hasbro, Inc. | 1,919,493 | ||||||
399,500 | Mattel, Inc. | 6,411,975 | ||||||
8,331,468 | ||||||||
Transportation — 2.4% | ||||||||
24,300 | Arkansas Best Corp. | 640,305 | ||||||
47,374 | CSX Corp. | 1,640,562 | ||||||
153,600 | JB Hunt Transport Services, Inc. | 4,689,408 | ||||||
83,631 | Kansas City Southern* | 1,347,295 | ||||||
119,200 | Norfolk Southern Corp. | 4,490,264 | ||||||
33,400 | Overseas Shipholding Group, Inc. | 1,136,936 | ||||||
105,550 | Pacer International, Inc. | 235,377 | ||||||
21,600 | Ryder System, Inc. | 603,072 | ||||||
29,200 | Tidewater, Inc. | 1,251,804 | ||||||
16,035,023 | ||||||||
Utilities — 9.1% | ||||||||
27,300 | AGL Resources, Inc. | 868,140 | ||||||
288,467 | Allegheny Energy, Inc. | 7,399,179 | ||||||
60,600 | Alliant Energy Corp. | 1,583,478 | ||||||
200,200 | American Electric Power Company, Inc. | 5,783,778 | ||||||
613,500 | CMS Energy Corp. | 7,411,080 |
95
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Utilities (continued) | ||||||||
93,416 | DTE Energy Company | $ | 2,989,312 | |||||
63,300 | Entergy Corp. | 4,907,016 | ||||||
88,554 | Ingersoll-Rand PLC (Ireland) | 1,850,779 | ||||||
111,100 | Mirant Corp.* | 1,748,714 | ||||||
119,300 | NiSource, Inc. | 1,391,038 | ||||||
140,289 | Pepco Holdings, Inc. | 1,885,484 | ||||||
90,521 | Pinnacle West Capital Corp. | 2,729,208 | ||||||
107,400 | PPL Corp. | 3,539,904 | ||||||
45,600 | SCANA Corp. | 1,480,632 | ||||||
71,826 | Sempra Energy | 3,564,724 | ||||||
37,800 | Southern Union Company | 695,142 | ||||||
65,100 | TECO Energy, Inc. | 776,643 | ||||||
181,758 | Wisconsin Energy Corp. | 7,399,368 | ||||||
72,900 | Xcel Energy, Inc. | 1,342,089 | ||||||
59,345,708 | ||||||||
Total Common Stocks (Cost $779,599,100) | 637,408,207 | |||||||
Principal | ||||||||
Convertible Bonds — 0.0% | ||||||||
Telecommunications Equipment and Services | ||||||||
$ | 251,000 | Qwest Communications International, Inc., 3.50%, 11/15/25 (Cost $382,695) | 247,235 | |||||
Short Term Commercial Paper — 0.6% | ||||||||
4,200,000 | Citigroup Funding, Inc., 0.10%, 07/01/09 (Cost $4,200,000) | 4,200,000 | ||||||
Total Securities (Cost $784,181,795) | 641,855,442 | |||||||
Repurchase Agreements — 2.6% | ||||||||
17,340,169 | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 7/01/09, repurchase proceeds at maturity $17,340,174 (Collateralized by Freddie Mac, 0.84%, due 11/23/10 with a value of $4,687,031 and US Treasury Bill, 0.28%, due 11/27/09, with a value of $13,004,376) (Cost $17,340,169) | 17,340,169 | ||||||
Total Investments — 99.8% (Cost $801,521,964) | 659,195,611 | |||||||
Other assets less liabilities — 0.2% | 1,617,455 | |||||||
Net Assets — 100.0% | $ | 660,813,066 | ||||||
Gross unrealized appreciation | $ | 36,505,659 | ||
Gross unrealized depreciation | (178,832,012 | ) | ||
Net unrealized depreciation | $ | (142,326,353 | ) | |
96
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks — 97.9% | ||||||||
Aerospace and Defense — 1.0% | ||||||||
43,095 | Goodrich Corp. | $ | 2,153,457 | |||||
Apparel: Manufacturing and Retail — 3.6% | ||||||||
260,540 | American Eagle Outfitters, Inc. | 3,691,852 | ||||||
127,330 | Coach, Inc. | 3,422,630 | ||||||
48,975 | Nordstrom, Inc. | 974,113 | ||||||
8,088,595 | ||||||||
Automobile: Retail — 2.0% | ||||||||
130,000 | Copart, Inc.* | 4,507,100 | ||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.8% | ||||||||
95,990 | Advance Auto Parts, Inc. | 3,982,625 | ||||||
Banks and Financial Services — 9.9% | ||||||||
12,735 | BlackRock, Inc. | 2,233,974 | ||||||
162,590 | Capital One Financial Corp. | 3,557,469 | ||||||
212,545 | Jefferies Group, Inc.* | 4,533,585 | ||||||
95,990 | T Rowe Price Group, Inc. | 3,999,903 | ||||||
290,642 | TD Ameritrade Holding Corp.* | 5,097,861 | ||||||
183,160 | Western Union Company | 3,003,824 | ||||||
22,426,616 | ||||||||
Broadcast Services/Media — 1.9% | ||||||||
140,065 | McGraw-Hill Companies, Inc. (The) | 4,217,357 | ||||||
Business Services and Supplies — 1.8% | ||||||||
88,150 | Ctrip.com International, Ltd. (ADR) (Cayman Islands)* | 4,081,345 | ||||||
Chemicals — 1.2% | ||||||||
93,050 | Tetra Tech, Inc.* | 2,665,883 | ||||||
Computer Equipment, Software and Services — 10.5% | ||||||||
523,322 | Activision Blizzard, Inc.* | 6,609,556 | ||||||
585,720 | Brocade Communications Systems, Inc.* | 4,580,330 | ||||||
166,192 | Citrix Systems, Inc.* | 5,299,862 | ||||||
87,175 | Cognizant Technology Solutions Corp. — Class A* | 2,327,573 | ||||||
108,720 | MSCI, Inc. — Class A* | 2,657,117 | ||||||
56,492 | Salesforce.com, Inc.* | 2,156,300 | ||||||
23,630,738 | ||||||||
Consumer Goods and Services — 4.5% | ||||||||
69,270 | Church & Dwight Company, Inc. | 3,762,054 | ||||||
80,315 | Estee Lauder Companies, Inc. (The) — Class A | 2,623,891 | ||||||
352,610 | Newell Rubbermaid, Inc. | 3,670,670 | ||||||
10,056,615 | ||||||||
Education — 1.6% | ||||||||
50,000 | Apollo Group, Inc. — Class A* | 3,556,000 | ||||||
Energy Services — 1.0% | ||||||||
13,550 | First Solar, Inc.* | 2,196,726 | ||||||
Engineering and Construction — 1.6% | ||||||||
111,079 | Aecom Technology Corp.* | 3,554,528 | ||||||
Entertainment, Leisure and Recreation — 1.1% | ||||||||
70,520 | Wynn Resorts, Ltd.* | 2,489,356 | ||||||
Internet Services — 8.6% | ||||||||
11,755 | Baidu, Inc. (ADR) (Cayman Islands)* | 3,539,313 | ||||||
36,788 | Equinix, Inc.* | 2,675,959 | ||||||
192,221 | F5 Networks, Inc.* | 6,648,924 | ||||||
95,990 | Juniper Networks, Inc.* | 2,265,364 | ||||||
95,010 | McAfee, Inc.* | 4,008,472 | ||||||
19,138,032 | ||||||||
Machinery — 2.4% | ||||||||
91,090 | Cummins, Inc. | 3,207,279 | ||||||
58,770 | Joy Global, Inc. | 2,099,264 | ||||||
5,306,543 | ||||||||
Medical Equipment, Supplies, and Services — 8.5% | ||||||||
39,180 | Cerner Corp.* | 2,440,522 | ||||||
69,540 | Edwards Lifesciences Corp.* | 4,730,807 | ||||||
60,429 | Illumina, Inc.* | 2,353,105 | ||||||
85,215 | Life Technologies Corp.* | 3,555,170 | ||||||
84,929 | ResMed, Inc.* | 3,459,158 | ||||||
90,876 | STERIS Corp. | 2,370,046 | ||||||
18,908,808 | ||||||||
Metals and Mining — 3.2% | ||||||||
55,830 | Agnico-Eagle Mines, Ltd. (Canada) | 2,929,959 | ||||||
125,370 | AK Steel Holding Corp. | 2,405,850 | ||||||
208,625 | Silver Wheaton Corporation (Canada)* | 1,719,070 | ||||||
7,054,879 | ||||||||
Oil, Coal and Gas — 6.7% | ||||||||
128,310 | Noble Corp. (Switzerland) | 3,881,378 | ||||||
252,131 | Petrohawk Energy Corp.* | 5,622,521 | ||||||
76,400 | Range Resources Corp. | 3,163,724 | ||||||
62,990 | Whiting Petroleum Corp.* | 2,214,728 | ||||||
14,882,351 | ||||||||
Pharmaceuticals/Research and Development — 3.6% | ||||||||
62,809 | Alexion Pharmaceuticals, Inc.* | 2,582,706 | ||||||
77,774 | Express Scripts, Inc.* | 5,346,963 | ||||||
7,929,669 | ||||||||
Retail — 3.9% | ||||||||
35,000 | Bed Bath & Beyond, Inc.* | 1,076,250 | ||||||
120,475 | Best Buy Company, Inc. | 4,034,708 | ||||||
83,255 | Kohl’s Corp.* | 3,559,151 | ||||||
8,670,109 | ||||||||
Retail: Restaurants — 2.4% | ||||||||
55,830 | Darden Restaurants, Inc. | 1,841,273 | ||||||
105,780 | YUM! Brands, Inc. | 3,526,706 | ||||||
5,367,979 | ||||||||
97
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Semiconductors — 6.7% | ||||||||
130,270 | Broadcom Corp. — Class A* | $ | 3,229,393 | |||||
555,674 | Marvell Technology Group, Ltd. (Bermuda)* | 6,468,045 | ||||||
197,000 | NVIDIA Corp.* | 2,224,130 | ||||||
151,180 | Xilinx, Inc. | 3,093,143 | ||||||
15,014,711 | ||||||||
Telecommunications Equipment and Services — 6.9% | ||||||||
153,775 | CommScope, Inc.* | 4,038,132 | ||||||
151,289 | Crown Castle International Corp.* | 3,633,962 | ||||||
82,275 | General Cable Corp.* | 3,091,895 | ||||||
191,975 | Starent Networks Corp.* | 4,686,109 | ||||||
15,450,098 | ||||||||
Transportation — 1.5% | ||||||||
110,680 | JB Hunt Transport Services, Inc. | 3,379,060 | ||||||
Total Common Stocks (Cost $204,200,246) | 218,709,180 | |||||||
Principal | ||||||||
Repurchase Agreements — 2.7% | ||||||||
$ | 5,939,419 | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $5,939,420 (Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $6,062,716) (Cost $5,939,419) | 5,939,419 | |||||
Total Investments — 100.6% (Cost $210,139,665) | 224,648,599 | |||||||
Liabilities less other assets — (0.6)% | (1,315,114 | ) | ||||||
Net Assets — 100.0% | $ | 223,333,485 | ||||||
Gross unrealized appreciation | $ | 20,107,953 | ||
Gross unrealized depreciation | (5,599,019 | ) | ||
Net unrealized appreciation | $ | 14,508,934 | ||
98
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks — 97.1% | ||||||||
Aerospace and Defense — 2.6% | ||||||||
30,400 | AAR Corp. | $ | 487,920 | |||||
2,500 | Curtiss — Wright Corp. | 74,325 | ||||||
109,272 | Ducommun, Inc.* | 2,053,221 | ||||||
21,900 | Kaman Corp. | 365,730 | ||||||
13,600 | Moog, Inc. — Class A | 351,016 | ||||||
10,600 | Teledyne Technologies, Inc.* | 347,150 | ||||||
3,679,362 | ||||||||
Airlines — 0.6% | ||||||||
13,000 | Alaska Air Group, Inc.* | 237,380 | ||||||
32,700 | Republic Airways Holdings, Inc.* | 213,531 | ||||||
35,300 | SkyWest, Inc. | 360,060 | ||||||
810,971 | ||||||||
Apparel: Manufacturing and Retail — 2.8% | ||||||||
32,400 | Brown Shoe Company, Inc. | 234,576 | ||||||
15,300 | Carter’s, Inc.* | 376,533 | ||||||
7,034 | Charlotte Russe Holding, Inc.* | 90,598 | ||||||
18,500 | Genesco, Inc.* | 347,245 | ||||||
10,000 | Jones Apparel Group, Inc. | 107,300 | ||||||
53,995 | Jos A Bank Clothiers, Inc. | 1,860,668 | ||||||
25,800 | Men’s Wearhouse, Inc. (The) | 494,844 | ||||||
36,602 | Stage Stores, Inc. | 406,282 | ||||||
3,918,046 | ||||||||
Automobile: Retail — 0.2% | ||||||||
28,063 | Asbury Automotive Group, Inc. | 287,365 | ||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 4.0% | ||||||||
60,733 | BorgWarner, Inc. | 2,074,033 | ||||||
13,604 | Dorman Products, Inc.* | 188,143 | ||||||
25,600 | Miller Industries, Inc.* | 225,280 | ||||||
111,643 | Oshkosh Corp. | 1,623,289 | ||||||
43,700 | Pep Boys — Manny, Moe & Jack (The) | 443,118 | ||||||
94,170 | Spartan Motors, Inc.* | 1,066,946 | ||||||
5,620,809 | ||||||||
Banks and Financial Services — 14.2% | ||||||||
24,400 | Ameris Bancorp | 154,208 | ||||||
19,740 | Banco Latinoamericano de Comercio Exterior, SA — Class E (Panama) | 245,368 | ||||||
21,400 | Bancorp, Inc. (The)* | 128,400 | ||||||
17,700 | Bank of the Ozarks, Inc.* | 382,851 | ||||||
38,298 | BGC Partners, Inc. — Class A | 145,149 | ||||||
185,054 | Brookline Bancorp, Inc. | 1,724,703 | ||||||
3,300 | Bryn Mawr Bank Corp. | 62,271 | ||||||
110,143 | Calamos Asset Management, Inc. — Class A* | 1,554,118 | ||||||
4,400 | Cash America International, Inc.* | 102,916 | ||||||
7,900 | City Holding Company* | 239,844 | ||||||
10,200 | Financial Federal Corp. | 209,610 | ||||||
49,500 | First Financial Bancorp | 372,240 | ||||||
6,700 | First Financial Bankshares, Inc. | 337,412 | ||||||
19,200 | First Merchants Corp. | 154,176 | ||||||
26,695 | FirstMerit Corp. | 453,281 | ||||||
18,900 | Flushing Financial Corp.* | 176,715 | ||||||
10,300 | Glacier Bancorp, Inc. | 152,131 | ||||||
8,900 | Knight Capital Group, Inc. — Class A* | 151,745 | ||||||
6,500 | Metro Bancorp, Inc.* | 125,190 | ||||||
27,800 | National Financial Partners Corp. | 203,496 | ||||||
19,600 | NBT Bancorp, Inc. | 425,516 | ||||||
7,100 | NewAlliance Bancshares, Inc.* | 81,650 | ||||||
17,900 | Old National Bancorp — Indiana | 175,778 | ||||||
15,400 | Pacific Continental Corp.* | 186,802 | ||||||
5,000 | Park National Corp. | 282,400 | ||||||
5,500 | People’s Bancorp, Inc. | 93,775 | ||||||
16,000 | Prosperity Bancshares, Inc.* | 477,280 | ||||||
12,700 | Republic Bancorp, Inc. — Class A* | 286,893 | ||||||
10,900 | S&T Bancorp, Inc. | 132,544 | ||||||
36,200 | Sanders Morris Harris Group, Inc. | 199,100 | ||||||
9,900 | Sandy Spring Bancorp, Inc. | 145,530 | ||||||
12,946 | Simmons First National Corp. — Class A | 345,917 | ||||||
25,400 | Sterling Bancorp — New York* | 212,090 | ||||||
53,954 | Stifel Financial Corp.* | 2,594,647 | ||||||
158,476 | SWS Group, Inc. | 2,213,910 | ||||||
7,400 | Tompkins Financial Corp.* | 354,830 | ||||||
17,800 | TriCo Bancshares | 275,900 | ||||||
11,000 | Trustmark Corp. | 212,520 | ||||||
11,582 | UMB Financial Corp.* | 440,232 | ||||||
12,500 | United Financial Bancorp, Inc. | 172,750 | ||||||
89,961 | Washington Federal, Inc. | 1,169,493 | ||||||
64,998 | WesBanco, Inc. | 945,071 | ||||||
85,024 | Whitney Holding Corp. | 778,820 | ||||||
20,700 | World Acceptance Corp.* | 412,137 | ||||||
19,691,409 | ||||||||
Broadcast Services/Media — 0.1% | ||||||||
32,500 | Mediacom Communications Corp. — Class A | 166,075 | ||||||
Business Services and Supplies — 0.7% | ||||||||
28,800 | Acxiom Corp. | 254,304 | ||||||
21,400 | Deluxe Corp. | 274,134 | ||||||
17,100 | Kforce, Inc.* | 141,417 |
99
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Business Services and Supplies (continued) | ||||||||
2,800 | MAXIMUS, Inc.* | $ | 115,500 | |||||
52,500 | Standard Register Company (The)* | 171,150 | ||||||
956,505 | ||||||||
Chemicals — 1.4% | ||||||||
32,700 | A Schulman, Inc.* | 494,097 | ||||||
13,000 | Innophos Holdings, Inc. | 219,570 | ||||||
22,700 | Innospec, Inc. | 244,025 | ||||||
6,600 | Minerals Technologies, Inc. | 237,732 | ||||||
8,200 | OM Group, Inc.* | 237,964 | ||||||
103,800 | PolyOne Corp.* | 281,298 | ||||||
31,782 | Spartech Corp. | 292,077 | ||||||
2,006,763 | ||||||||
Commercial Services — 0.7% | ||||||||
34,200 | ICT Group, Inc.* | 298,566 | ||||||
23,300 | PHH Corp.* | 423,594 | ||||||
17,300 | Providence Service Corp.* | 189,435 | ||||||
7,600 | Standard Parking Corp.* | 123,804 | ||||||
1,035,399 | ||||||||
Computer Equipment, Software and Services — 4.1% | ||||||||
38,700 | 3Com Corp.* | 182,277 | ||||||
48,370 | Agilysys, Inc. | 226,372 | ||||||
14,500 | Black Box Corp. | 485,315 | ||||||
3,000 | CACI International, Inc. — Class A* | 128,130 | ||||||
137,400 | CIBER, Inc.* | 425,940 | ||||||
37,233 | COMSYS IT Partners, Inc.* | 217,813 | ||||||
173,241 | Digi International, Inc.*(8) | 1,689,099 | ||||||
17,800 | Imation Corp. | 135,458 | ||||||
30,693 | Mercury Computer Systems, Inc.* | 283,910 | ||||||
57,715 | MTS Systems Corp.* | 1,191,815 | ||||||
42,500 | Ness Technologies, Inc. | 166,175 | ||||||
10,100 | Palm, Inc.* | 167,357 | ||||||
29,000 | Perot Systems Corp. — Class A* | 415,570 | ||||||
5,715,231 | ||||||||
Construction Services and Supplies — 2.4% | ||||||||
9,500 | ABM Industries, Inc.* | 171,665 | ||||||
48,800 | Comfort Systems USA, Inc.* | 500,200 | ||||||
13,500 | Granite Construction, Inc. | 449,280 | ||||||
69,077 | Universal Forest Products, Inc. | 2,285,758 | ||||||
3,406,903 | ||||||||
Consumer Goods and Services — 3.3% | ||||||||
19,800 | American Greetings Corp. — Class A | 231,264 | ||||||
130,786 | Helen of Troy, Ltd. (Bermuda)* | 2,195,897 | ||||||
38,600 | Inter Parfums, Inc. | 283,324 | ||||||
127,264 | Nutri System, Inc.* | 1,845,328 | ||||||
4,555,813 | ||||||||
Containers and Packaging — 0.3% | ||||||||
7,500 | Silgan Holdings, Inc. | 367,725 | ||||||
Distribution — 0.1% | ||||||||
3,100 | Watsco, Inc. | 151,683 | ||||||
Education — 0.4% | ||||||||
24,700 | School Specialty, Inc.* | 499,187 | ||||||
Electronics — 1.2% | ||||||||
6,726 | Bel Fuse, Inc. — Class B | 107,885 | ||||||
10,900 | Belden, Inc. | 182,030 | ||||||
21,600 | Benchmark Electronics, Inc.* | 311,040 | ||||||
70,000 | CTS Corp.* | 458,499 | ||||||
16,300 | EnerSys* | 296,497 | ||||||
4,850 | LaBarge, Inc.* | 44,960 | ||||||
52,159 | Technitrol, Inc. | 337,469 | ||||||
1,738,380 | ||||||||
Engineering — 1.5% | ||||||||
104,411 | EMCOR Group, Inc.* | 2,100,749 | ||||||
Entertainment, Leisure and Recreation — 1.2% | ||||||||
41,600 | Live Nation, Inc.* | 202,176 | ||||||
131,424 | Marcus Corp. (The) | 1,382,580 | ||||||
10,900 | Pinnacle Entertainment, Inc.* | 101,261 | ||||||
1,686,017 | ||||||||
Environmental Waste Management and Recycling Services — 0.1% | ||||||||
37,200 | Waste Services, Inc.* | 192,696 | ||||||
Equipment Rental and Leasing — 0.5% | ||||||||
34,273 | Electro Rent Corp.* | 325,251 | ||||||
24,600 | Rent-A-Center, Inc.* | 438,618 | ||||||
763,869 | ||||||||
Food and Beverage — 0.3% | ||||||||
7,000 | Nash Finch Company | 189,420 | ||||||
8,600 | TreeHouse Foods, Inc.* | 247,422 | ||||||
436,842 | ||||||||
Funeral Services — 1.0% | ||||||||
243,138 | Service Corp. International* | 1,332,396 | ||||||
Insurance — 4.9% | ||||||||
31,000 | American Equity Investment Life Holding Company | 172,980 | ||||||
2,500 | American Physicians Capital, Inc. | 97,900 | ||||||
11,300 | Amerisafe, Inc.* | 175,828 |
100
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Insurance (continued) | ||||||||
24,300 | CNA Surety Corp.* | $ | 327,807 | |||||
15,631 | Delphi Financial Group, Inc. — Class A | 303,710 | ||||||
17,400 | Donegal Group, Inc. — Class A* | 264,654 | ||||||
8,200 | FPIC Insurance Group, Inc.* | 251,084 | ||||||
11,800 | Harleysville Group, Inc.* | 332,996 | ||||||
12,400 | Horace Mann Educators Corp.* | 123,628 | ||||||
4,033 | Kansas City Life Insurance Company | 108,528 | ||||||
3,300 | Max Capital Group, Ltd. (Bermuda) | 60,918 | ||||||
30,600 | Montpelier Re Holdings, Ltd. (Bermuda) | 406,674 | ||||||
7,300 | National Interstate Corp.* | 110,814 | ||||||
7,800 | NYMAGIC, Inc. | 108,264 | ||||||
13,337 | Platinum Underwriters Holdings, Ltd. (Bermuda) | 381,305 | ||||||
8,600 | ProAssurance Corp.* | 397,406 | ||||||
49,535 | RLI Corp.* | 2,219,168 | ||||||
15,000 | Seabright Insurance Holdings* | 151,950 | ||||||
21,800 | Selective Insurance Group, Inc. | 278,386 | ||||||
4,000 | United Fire & Casualty Company | 68,600 | ||||||
20,600 | Universal American Financial Corp.* | 179,632 | ||||||
15,739 | Zenith National Insurance Corp. | 342,166 | ||||||
6,864,398 | ||||||||
Machinery — 1.8% | ||||||||
17,900 | Alamo Group, Inc. | 180,790 | ||||||
97,484 | Applied Industrial Technologies, Inc.* | 1,920,435 | ||||||
6,400 | Baldor Electric Company* | 152,256 | ||||||
35,800 | Twin Disc, Inc. | 243,798 | ||||||
2,497,279 | ||||||||
Manufacturing — 4.0% | ||||||||
15,200 | Acuity Brands, Inc. | 426,360 | ||||||
69,437 | Ceradyne, Inc.* | 1,226,257 | ||||||
49,673 | CIRCOR International, Inc.* | 1,172,780 | ||||||
11,800 | Coherent, Inc.* | 244,024 | ||||||
10,227 | EnPro Industries, Inc.* | 184,188 | ||||||
44,704 | Gibraltar Industries, Inc. | 307,116 | ||||||
65,100 | Mueller Water Products, Inc. — Class A | 243,474 | ||||||
81,383 | Watts Water Technologies, Inc. — Class A | 1,752,991 | ||||||
5,557,190 | ||||||||
Medical Equipment, Supplies, and Services — 4.7% | ||||||||
16,200 | Centene Corp.* | 323,676 | ||||||
16,900 | Gentiva Health Services, Inc.* | 278,174 | ||||||
10,400 | Healthspring, Inc.* | 112,944 | ||||||
13,000 | Kindred Healthcare, Inc.* | 160,810 | ||||||
67,890 | Magellan Health Services, Inc.* | 2,228,150 | ||||||
53,043 | Owens & Minor, Inc.* | 2,324,344 | ||||||
157,324 | Syneron Medical, Ltd. (Israel)* | 1,135,879 | ||||||
6,563,977 | ||||||||
Metals and Mining — 0.3% | ||||||||
4,000 | LB Foster Company — Class A* | 120,280 | ||||||
6,800 | Olympic Steel, Inc. | 166,396 | ||||||
14,800 | Worthington Industries, Inc. | 189,292 | ||||||
475,968 | ||||||||
Oil, Coal and Gas — 9.0% | ||||||||
5,500 | ATP Oil & Gas Corp.* | 38,280 | ||||||
25,100 | Basic Energy Services, Inc.* | 171,433 | ||||||
3,300 | Bill Barrett Corp.* | 90,618 | ||||||
11,000 | Chesapeake Utilities Corp.* | 357,830 | ||||||
8,458 | Clayton Williams Energy, Inc.* | 159,602 | ||||||
32,200 | Complete Production Services, Inc.* | 204,792 | ||||||
2,900 | Dawson Geophysical Company* | 86,565 | ||||||
26,300 | Delek US Holdings, Inc. | 223,024 | ||||||
64,126 | Frontier Oil Corp. | 840,692 | ||||||
14,500 | Gulf Island Fabrication, Inc. | 229,535 | ||||||
42,400 | Harvest Natural Resources, Inc.* | 186,984 | ||||||
42,576 | Holly Corp. | 765,516 | ||||||
13,900 | Hornbeck Offshore Services, Inc.* | 297,321 | ||||||
9,200 | Laclede Group, Inc. (The)* | 304,796 | ||||||
7,000 | Lufkin Industries, Inc. | 294,350 | ||||||
41,043 | National Fuel Gas Company | 1,480,831 | ||||||
81,277 | Penn Virginia Corp. | 1,330,504 | ||||||
7,900 | Petroleum Development Corp.* | 123,951 | ||||||
9,800 | Piedmont Natural Gas Company, Inc.* | 236,278 | ||||||
39,200 | Rosetta Resources, Inc.* | 343,000 | ||||||
20,800 | Stone Energy Corp.* | 154,336 | ||||||
96,819 | Swift Energy Company* | 1,612,037 | ||||||
31,000 | Union Drilling, Inc.* | 205,220 | ||||||
26,300 | Western Refining, Inc.* | 185,678 | ||||||
58,808 | World Fuel Services Corp.* | 2,424,655 | ||||||
12,347,828 | ||||||||
Paper and Forest Products — 2.0% | ||||||||
42,700 | Buckeye Technologies, Inc.* | 191,723 | ||||||
47,100 | Glatfelter | 419,190 |
101
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Paper and Forest Products (continued) | ||||||||
47,740 | Rayonier, Inc. | $ | 1,735,349 | |||||
56,700 | Wausau Paper Corp. | 381,024 | ||||||
2,727,286 | ||||||||
Pharmaceuticals/Research and Development — 4.0% | ||||||||
69,189 | Exponent, Inc.* | 1,695,822 | ||||||
149,599 | Mannatech, Inc.(8) | 493,677 | ||||||
16,300 | Par Pharmaceutical Companies, Inc.* | 246,945 | ||||||
55,373 | Perrigo Company | 1,538,262 | ||||||
44,515 | West Pharmaceutical Services, Inc. | 1,551,348 | ||||||
5,526,054 | ||||||||
Printing and Publishing — 0.2% | ||||||||
18,000 | Courier Corp. | 274,680 | ||||||
Real Estate Investment Trusts — 6.4% | ||||||||
31,800 | Anworth Mortgage Asset Corp. | 229,278 | ||||||
50,100 | Ashford Hospitality Trust | 140,781 | ||||||
21,200 | BioMed Realty Trust, Inc. | 216,876 | ||||||
37,500 | CapLease, Inc. | 103,500 | ||||||
26,900 | Education Realty Trust, Inc. | 115,401 | ||||||
16,900 | Extra Space Storage, Inc.* | 141,115 | ||||||
39,600 | First Industrial Realty Trust, Inc. | 172,260 | ||||||
92,691 | Healthcare Realty Trust, Inc.* | 1,559,990 | ||||||
10,000 | Highwoods Properties, Inc. | 223,700 | ||||||
22,500 | Investors Real Estate Trust | 200,025 | ||||||
24,700 | LaSalle Hotel Properties | 304,798 | ||||||
54,047 | Lexington Realty Trust* | 183,760 | ||||||
54,500 | MFA Financial, Inc.* | 377,140 | ||||||
37,400 | Monmouth Real Estate Investment Corp. — Class A | 219,164 | ||||||
83,117 | National Retail Properties, Inc. | 1,442,080 | ||||||
15,000 | OMEGA Healthcare Investors, Inc. | 232,800 | ||||||
21,900 | Parkway Properties, Inc. | 284,700 | ||||||
39,800 | Pennsylvania Real Estate Investment Trust | 199,000 | ||||||
6,700 | PS Business Parks, Inc. | 324,548 | ||||||
35,740 | Ramco-Gershenson Properties Trust | 357,757 | ||||||
12,200 | Redwood Trust, Inc.* | 180,072 | ||||||
52,999 | Sovran Self Storage, Inc. | 1,303,775 | ||||||
28,594 | Sunstone Hotel Investors, Inc. | 152,978 | ||||||
40,600 | U-Store-It Trust | 198,940 | ||||||
8,864,438 | ||||||||
Retail — 1.5% | ||||||||
163,951 | EZCORP, Inc. — Class A* | 1,767,392 | ||||||
3,600 | Fred’s, Inc. — Class A* | 45,360 | ||||||
14,300 | Pantry, Inc. (The)* | 237,380 | ||||||
2,050,132 | ||||||||
Retail: Restaurants — 1.4% | ||||||||
21,700 | Bob Evans Farms, Inc. | 623,658 | ||||||
15,500 | Cracker Barrel Old Country Store, Inc. | 432,450 | ||||||
16,800 | Landry’s Restaurants, Inc.* | 144,480 | ||||||
49,800 | Ruby Tuesday, Inc.* | 331,668 | ||||||
40,600 | Steak n Shake Company (The)* | 354,844 | ||||||
1,887,100 | ||||||||
Retail: Supermarkets — 1.7% | ||||||||
72,112 | Weis Markets, Inc.(8) | 2,417,194 | ||||||
Scientific and Technical Instruments — 0.1% | ||||||||
34,585 | Newport Corp.* | 200,247 | ||||||
Semiconductors — 2.6% | ||||||||
23,000 | Brooks Automation, Inc. | 103,040 | ||||||
189,728 | OmniVision Technologies, Inc.* | 1,971,274 | ||||||
15,100 | Photronics, Inc.* | 61,155 | ||||||
97,154 | Sigma Designs, Inc.* | 1,558,350 | ||||||
3,693,819 | ||||||||
Sporting Goods and Equipment — 0.3% | ||||||||
25,700 | Cabela’s, Inc.* | 316,110 | ||||||
25,500 | Callaway Golf Company | 129,285 | ||||||
445,395 | ||||||||
Telecommunications Equipment and Services — 0.9% | ||||||||
9,600 | Arris Group, Inc.* | 116,736 | ||||||
86,500 | Cincinnati Bell, Inc.* | 245,660 | ||||||
11,300 | Plantronics, Inc. | 213,683 | ||||||
28,400 | Premiere Global Services, Inc.* | 307,856 | ||||||
30,900 | RF Micro Devices, Inc.* | 116,184 | ||||||
45,201 | Symmetricom, Inc.* | 260,810 | ||||||
1,260,929 | ||||||||
Transportation — 3.4% | ||||||||
71,043 | Arkansas Best Corp. | 1,871,983 | ||||||
20,000 | Hub Group, Inc. — Class A* | 412,800 | ||||||
16,694 | TAL International Group, Inc. | 181,965 | ||||||
43,260 | Tidewater, Inc. | 1,854,556 | ||||||
27,000 | Werner Enterprises, Inc.* | 489,240 | ||||||
4,810,544 | ||||||||
102
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Utilities — 4.2% | ||||||||
58,187 | American States Water Company | $ | 2,015,597 | |||||
10,300 | California Water Service Group | 379,452 | ||||||
11,100 | CH Energy Group, Inc. | 518,370 | ||||||
2,800 | Cleco Corp.* | 62,776 | ||||||
19,200 | NorthWestern Corp.* | 436,992 | ||||||
30,100 | PNM Resources, Inc. | 322,371 | ||||||
66,757 | UIL Holdings Corp. | 1,498,695 | ||||||
5,300 | Unisource Energy Corp. | 140,662 | ||||||
14,000 | Unitil Corp. | 288,680 | ||||||
4,400 | WGL Holdings, Inc.* | 140,888 | ||||||
5,804,483 | ||||||||
Total Common Stocks (Cost $162,138,834) | 135,389,136 | |||||||
Principal | ||||||||
Repurchase Agreements — 3.4% | ||||||||
$ | 4,796,774 | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $4,796,775 (Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $4,894,120) (Cost $4,796,774) | 4,796,774 | |||||
Total Investments — 100.5% | ||||||||
(Cost $166,935,608) | 140,185,910 | |||||||
Liabilities less other assets — (0.5)% | (707,084 | ) | ||||||
Net Assets — 100.0% | $ | 139,478,826 | ||||||
Gross unrealized appreciation | $ | 7,556,364 | ||
Gross unrealized depreciation | (34,306,062 | ) | ||
Net unrealized depreciation | $ | (26,749,698 | ) | |
103
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks — 98.0% | ||||||||
Advertising — 0.0% | ||||||||
14,200 | Harte-Hanks, Inc. | $ | 131,350 | |||||
Aerospace and Defense — 0.4% | ||||||||
58,027 | Ducommun, Inc.* | 1,090,327 | ||||||
1,700 | Triumph Group, Inc. | 68,000 | ||||||
1,158,327 | ||||||||
Airlines — 0.2% | ||||||||
16,600 | AirTran Holdings, Inc.* | 102,754 | ||||||
4,200 | Allegiant Travel Company* | 166,488 | ||||||
27,400 | Hawaiian Holdings, Inc.* | 164,948 | ||||||
10,400 | Republic Airways Holdings, Inc.* | 67,912 | ||||||
502,102 | ||||||||
Apparel: Manufacturing and Retail — 2.6% | ||||||||
6,600 | Aeropostale, Inc.* | 226,182 | ||||||
149,100 | Cato Corp.-— Class A (The) | 2,600,304 | ||||||
1,700 | Cherokee, Inc. | 33,694 | ||||||
15,700 | Chico’s FAS, Inc.* | 152,761 | ||||||
17,309 | Deckers Outdoor Corp.* | 1,216,303 | ||||||
19,100 | Foot Locker, Inc. | 199,977 | ||||||
37,400 | Hot Topic, Inc.* | 273,394 | ||||||
45,983 | Iconix Brand Group, Inc.* | 707,219 | ||||||
15,400 | Jones Apparel Group, Inc. | 165,242 | ||||||
13,000 | Oxford Industries, Inc. | 151,450 | ||||||
203,200 | Stage Stores, Inc. | 2,255,520 | ||||||
4,400 | Timberland Company (The) — Class A* | 58,388 | ||||||
8,040,434 | ||||||||
Automobile: Rental — 0.2% | ||||||||
11,600 | Avis Budget Group, Inc.* | 65,540 | ||||||
43,900 | Dollar Thrifty Automotive Group, Inc.* | 612,405 | ||||||
677,945 | ||||||||
Automobile: Retail — 0.2% | ||||||||
4,900 | Asbury Automotive Group, Inc. | 50,176 | ||||||
11,800 | Copart, Inc.* | 409,106 | ||||||
14,100 | Lithia Motors, Inc. — Class A | 130,284 | ||||||
589,566 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.0% | ||||||||
24,300 | ATC Technology Corp.* | 352,350 | ||||||
5,900 | AutoNation, Inc.* | 102,365 | ||||||
15,600 | Exide Technologies* | 58,188 | ||||||
10,100 | Federal Signal Corp. | 77,265 | ||||||
10,100 | Force Protection, Inc.* | 89,284 | ||||||
42,311 | Fuel Systems Solutions, Inc.* | 854,259 | ||||||
37,400 | Oshkosh Corp. | 543,796 | ||||||
23,500 | Polaris Industries, Inc. | 754,820 | ||||||
15,900 | Spartan Motors, Inc.* | 180,147 | ||||||
14,300 | Standard Motor Products, Inc. | 118,261 | ||||||
3,500 | Superior Industries International, Inc. | 49,350 | ||||||
3,180,085 | ||||||||
Banks and Financial Services — 7.8% | ||||||||
8,700 | 1st Source Corp. | 150,249 | ||||||
59,900 | Advance America Cash Advance Centers, Inc. | 265,357 | ||||||
9,100 | Ameris Bancorp | 57,512 | ||||||
4,200 | Asset Acceptance Capital Corp.* | 32,298 | ||||||
16,600 | Astoria Financial Corp. | 142,428 | ||||||
24,000 | Banco Latinoamericano de Comercio Exterior, SA — Class E (Panama) | 298,320 | ||||||
8,700 | Bank Mutual Corp. | 75,864 | ||||||
4,600 | Beneficial Mutual Bancorp, Inc.* | 44,160 | ||||||
1,700 | Berkshire Hills Bancorp, Inc. | 35,326 | ||||||
39,800 | BGC Partners, Inc. — Class A | 150,842 | ||||||
33,100 | BlackRock Kelso Capital Corp. | 206,213 | ||||||
800 | Capital Southwest Corp. | 57,880 | ||||||
39,925 | Cash America International, Inc.* | 933,846 | ||||||
29,900 | Central Pacific Financial Corp. | 112,125 | ||||||
2,700 | Chemical Financial Corp. | 53,757 | ||||||
46,200 | Citizens Republic Bancorp, Inc.* | 32,802 | ||||||
10,000 | City Holding Company* | 303,600 | ||||||
56,400 | Community Bank System, Inc. | 821,184 | ||||||
9,700 | Community Trust Bancorp, Inc. | 259,475 | ||||||
43,300 | Credit Acceptance Corp.* | 946,105 | ||||||
29,100 | Dime Community Bancshares | 265,101 | ||||||
38,300 | Doral Financial Corp. — Puerto Rico* | 95,750 | ||||||
66,980 | Duff & Phelps Corp. — Class A | 1,190,904 | ||||||
121,100 | E*TRADE Financial Corp.* | 155,008 | ||||||
10,800 | Encore Capital Group, Inc.* | 143,100 | ||||||
2,100 | ESSA Bancorp, Inc. | 28,707 | ||||||
33,500 | Financial Federal Corp. | 688,425 | ||||||
6,700 | Financial Institutions, Inc. | 91,522 | ||||||
116,400 | First BanCorp — Puerto Rico | 459,780 | ||||||
2,500 | First Citizens Bancshares, Inc. — Class A | 334,125 | ||||||
23,200 | First Commonwealth Financial Corp. | 147,088 | ||||||
1,900 | First Community Bancshares, Inc. | 24,396 | ||||||
37,000 | First Financial Bancorp | 278,240 | ||||||
11,400 | First Financial Bankshares, Inc. | 574,104 | ||||||
6,500 | First Financial Corp. | 205,270 | ||||||
7,500 | First Financial Holdings, Inc. | 70,500 | ||||||
2,800 | First Merchants Corp. | 22,484 | ||||||
106,300 | First Midwest Bancorp, Inc. | 777,053 | ||||||
29,900 | First Niagara Financial Group, Inc. | 341,458 | ||||||
9,100 | First Place Financial Corp. | 28,301 | ||||||
25,300 | FirstMerit Corp. | 429,594 |
104
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
61,800 | Flagstar Bancorp, Inc.* | $ | 42,024 | |||||
28,300 | GFI Group, Inc. | 190,742 | ||||||
42,800 | Global Cash Access Holdings, Inc.* | 340,688 | ||||||
7,000 | Great Southern Bancorp, Inc. | 143,850 | ||||||
16,500 | Guaranty Bancorp* | 31,515 | ||||||
6,600 | Harleysville National Corp. | 31,020 | ||||||
11,400 | Independent Bank Corp. — Massachusetts | 224,580 | ||||||
26,000 | Interactive Brokers Group, Inc. — Class A* | 403,780 | ||||||
93,600 | International Bancshares Corp. | 965,016 | ||||||
110,900 | LaBranche & Company, Inc.* | 476,870 | ||||||
4,200 | Lakeland Bancorp, Inc. | 37,758 | ||||||
4,200 | MainSource Financial Group, Inc. | 31,164 | ||||||
56,400 | MB Financial, Inc. | 574,716 | ||||||
9,600 | Medallion Financial Corp. | 73,440 | ||||||
30,874 | Morningstar, Inc.* | 1,272,935 | ||||||
37,400 | National Financial Partners Corp. | 273,768 | ||||||
3,500 | NBT Bancorp, Inc. | 75,985 | ||||||
54,400 | NewAlliance Bancshares, Inc.* | 625,600 | ||||||
13,700 | OceanFirst Financial Corp. | 163,989 | ||||||
15,600 | Old National Bancorp — Indiana | 153,192 | ||||||
3,700 | Old Second Bancorp, Inc. | 21,830 | ||||||
5,400 | optionsXpress Holdings, Inc. | 83,862 | ||||||
50,400 | Oriental Financial Group, Inc.- Puerto Rico | 488,880 | ||||||
17,000 | PacWest Bancorp | 223,720 | ||||||
11,400 | Park National Corp. | 643,872 | ||||||
15,000 | Patriot Capital Funding, Inc. | 25,650 | ||||||
7,000 | Penson Worldwide, Inc.* | 62,650 | ||||||
6,500 | People’s Bancorp, Inc. | 110,825 | ||||||
197,500 | Popular, Inc. — Puerto Rico | 434,500 | ||||||
23,200 | PRG-Schultz International, Inc.* | 62,640 | ||||||
18,500 | Provident Financial Services, Inc. | 168,350 | ||||||
10,900 | Provident New York Bancorp | 88,508 | ||||||
5,000 | Sanders Morris Harris Group, Inc. | 27,500 | ||||||
14,200 | Santander BanCorp — Puerto Rico* | 98,832 | ||||||
6,700 | SCBT Financial Corp. | 158,723 | ||||||
2,500 | Simmons First National Corp. — Class A | 66,800 | ||||||
8,100 | Suffolk Bancorp | 207,684 | ||||||
12,705 | Sun Bancorp, Inc. — New Jersey* | 65,812 | ||||||
3,400 | SWS Group, Inc. | 47,498 | ||||||
8,400 | SY Bancorp, Inc. | 203,028 | ||||||
800 | Tompkins Financial Corp.* | 38,360 | ||||||
6,100 | TriCo Bancshares | 94,550 | ||||||
25,900 | TrustCo Bank Corp. NY | 153,069 | ||||||
10,100 | UMB Financial Corp.* | 383,901 | ||||||
5,200 | Union Bankshares Corp. | 77,844 | ||||||
21,000 | United Bankshares, Inc. | 410,340 | ||||||
162,700 | Webster Financial Corp. | 1,309,735 | ||||||
4,600 | West Bancorp | 23,000 | ||||||
20,200 | Westamerica Bancorp | 1,002,122 | ||||||
6,600 | World Acceptance Corp.* | 131,406 | ||||||
9,200 | WSFS Financial Corp. | 251,252 | ||||||
2,500 | Zions Bancorp | 28,900 | ||||||
24,658,528 | ||||||||
Broadcast Services/Media — 0.1% | ||||||||
43,100 | Entercom Communications Corp. — Class A | 65,943 | ||||||
15,700 | EW Scripps Company (The) — Class A | 32,813 | ||||||
28,600 | Media General, Inc. — Class A | 60,346 | ||||||
39,500 | Sinclair Broadcast Group, Inc. — Class A | 76,630 | ||||||
235,732 | ||||||||
Business Services and Supplies — 4.9% | ||||||||
106,400 | Acxiom Corp. | 939,512 | ||||||
43,800 | Administaff, Inc. | 1,019,226 | ||||||
98,700 | Arbitron, Inc. | 1,568,343 | ||||||
67,915 | Coinstar, Inc.* | 1,813,331 | ||||||
69,200 | CSG Systems International, Inc.* | 916,208 | ||||||
46,900 | Deluxe Corp. | 600,789 | ||||||
32,900 | Diamond Management & Technology Consultants, Inc. | 138,180 | ||||||
15,200 | Dice Holdings, Inc.* | 70,680 | ||||||
27,500 | Fair Isaac Corp. | 425,150 | ||||||
54,500 | Hackett Group, Inc.* | 126,985 | ||||||
26,500 | Hudson Highland Group, Inc.* | 51,940 | ||||||
98,580 | Kforce, Inc.* | 815,257 | ||||||
49,800 | MAXIMUS, Inc.* | 2,054,250 | ||||||
24,300 | ModusLink Global Solutions, Inc.* | 166,698 | ||||||
10,000 | On Assignment, Inc.* | 39,100 | ||||||
55,899 | Portfolio Recovery Associates, Inc.* | 2,164,967 | ||||||
54,200 | Spherion Corp.* | 223,304 | ||||||
45,200 | UniFirst Corp. | 1,680,084 | ||||||
13,447 | Watson Wyatt Worldwide, Inc. — Class A | 504,666 | ||||||
15,318,670 | ||||||||
Chemicals — 1.4% | ||||||||
16,600 | A Schulman, Inc.* | 250,826 | ||||||
6,600 | Huntsman Corp. | 33,198 | ||||||
25,700 | Innospec, Inc. | 276,275 | ||||||
2,700 | Minerals Technologies, Inc. | 97,254 | ||||||
64,910 | Olin Corp. | 771,780 | ||||||
28,500 | OM Group, Inc.* | 827,070 | ||||||
9,100 | Omnova Solutions, Inc.* | 29,666 | ||||||
39,500 | Spartech Corp. | 363,005 | ||||||
11,800 | Symyx Technologies, Inc.* | 69,030 | ||||||
151,500 | Zep, Inc. | 1,825,575 | ||||||
4,543,679 | ||||||||
105
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Collectibles — 0.0% | ||||||||
9,200 | RC2 Corp.* | $ | 121,716 | |||||
Commercial Services — 1.5% | ||||||||
106,405 | Euronet Worldwide, Inc.* | 2,063,193 | ||||||
25,735 | HMS Holdings Corp.* | 1,047,929 | ||||||
11,600 | PHH Corp.* | 210,888 | ||||||
49,365 | Wright Express Corp.* | 1,257,327 | ||||||
4,579,337 | ||||||||
Computer Equipment, Software and Services — 5.2% | ||||||||
101,600 | 3Com Corp.* | 478,536 | ||||||
9,100 | Actuate Corp.* | 43,498 | ||||||
74,900 | Adaptec, Inc.* | 198,485 | ||||||
74,360 | Ariba, Inc.* | 731,702 | ||||||
26,000 | Avocent Corp.* | 362,960 | ||||||
4,200 | Black Box Corp. | 140,574 | ||||||
30,700 | CACI International, Inc. — Class A* | 1,311,197 | ||||||
76,100 | CIBER, Inc.* | 235,910 | ||||||
15,700 | Cray, Inc.* | 123,716 | ||||||
73,333 | DivX, Inc.* | 402,598 | ||||||
105,900 | Electronics For Imaging, Inc.* | 1,128,894 | ||||||
30,800 | Extreme Networks, Inc.* | 61,600 | ||||||
5,800 | Imation Corp. | 44,138 | ||||||
3,400 | Insight Enterprises, Inc.* | 32,844 | ||||||
14,680 | ManTech International Corp. — Class A* | 631,827 | ||||||
28,285 | MICROS Systems, Inc.* | 716,176 | ||||||
66,516 | NetScout Systems, Inc.* | 623,920 | ||||||
64,575 | Nuance Communications, Inc.* | 780,712 | ||||||
102,970 | Parametric Technology Corp.* | 1,203,719 | ||||||
61,730 | Progress Software Corp.* | 1,306,824 | ||||||
6,000 | Quest Software, Inc.* | 83,640 | ||||||
19,000 | RadiSys Corp.* | 171,190 | ||||||
29,638 | Sybase, Inc.* | 928,855 | ||||||
78,285 | Sykes Enterprises, Inc.* | 1,416,176 | ||||||
6,600 | Synaptics, Inc.* | 255,090 | ||||||
39,165 | Taleo Corp. — Class A* | 715,545 | ||||||
45,857 | Virtusa Corp.* | 368,232 | ||||||
217,380 | Web.com Group, Inc.* | 1,223,849 | ||||||
130,500 | Xyratex, Ltd. (Bermuda)* | 651,195 | ||||||
16,373,602 | ||||||||
Construction Services and Supplies — 1.9% | ||||||||
10,800 | Beacon Roofing Supply, Inc.* | 156,168 | ||||||
55,500 | Beazer Homes USA, Inc.* | 101,565 | ||||||
28,300 | BlueLinx Holdings, Inc.* | 84,900 | ||||||
57,700 | Comfort Systems USA, Inc.* | 591,425 | ||||||
28,775 | Granite Construction, Inc. | 957,632 | ||||||
26,100 | Hovnanian Enterprises, Inc. — Class A* | 61,596 | ||||||
42,200 | M/I Homes, Inc.* | 413,138 | ||||||
16,000 | Meritage Homes Corp.* | 301,760 | ||||||
42,205 | MYR Group, Inc. — Delaware* | 853,385 | ||||||
22,600 | Ryland Group, Inc. (The) | 378,776 | ||||||
30,000 | Simpson Manufacturing Company, Inc. | 648,600 | ||||||
220,000 | Standard Pacific Corp.* | 446,600 | ||||||
37,500 | Sterling Construction Company, Inc.* | 572,250 | ||||||
3,700 | Trex Company, Inc.* | 49,469 | ||||||
10,800 | Universal Forest Products, Inc. | 357,372 | ||||||
5,974,636 | ||||||||
Consumer Goods and Services — 2.5% | ||||||||
15,600 | Blyth, Inc. | 511,524 | ||||||
23,200 | Central Garden & Pet Company — Class A* | 228,520 | ||||||
14,175 | Chattem, Inc.* | 965,318 | ||||||
3,600 | CSS Industries, Inc. | 73,368 | ||||||
121,800 | Helen of Troy, Ltd. (Bermuda)* | 2,045,022 | ||||||
74,300 | Herbalife, Ltd. (Cayman Islands) | 2,343,422 | ||||||
3,400 | Hooker Furniture Corp. | 39,032 | ||||||
44,000 | La-Z-Boy, Inc. | 207,680 | ||||||
5,200 | Prestige Brands Holdings, Inc.* | 31,980 | ||||||
29,100 | Regis Corp. | 506,631 | ||||||
16,600 | Revlon, Inc. — Class A* | 90,304 | ||||||
63,500 | Tempur-Pedic International, Inc. | 829,945 | ||||||
7,872,746 | ||||||||
Containers and Packaging — 0.3% | ||||||||
6,600 | Bway Holding Company* | 115,698 | ||||||
19,575 | Greif, Inc. — Class A | 865,607 | ||||||
981,305 | ||||||||
Distribution — 1.5% | ||||||||
5,800 | Core-Mark Holding Company, Inc.* | 151,148 | ||||||
14,900 | Houston Wire & Cable Company | 177,459 | ||||||
98,930 | LKQ Corp.* | 1,627,399 | ||||||
1,700 | Nu Skin Enterprises, Inc. — Class A | 26,010 | ||||||
800 | Tech Data Corp.* | 26,168 | ||||||
58,700 | United Stationers, Inc.* | 2,047,456 | ||||||
2,500 | Universal Corp. | 82,775 | ||||||
19,500 | WESCO International, Inc.* | 488,280 | ||||||
4,626,695 | ||||||||
Diversified Operations and Services — 0.6% | ||||||||
43,095 | ESCO Technologies, Inc.* | 1,930,656 | ||||||
8,300 | Standex International Corp. | 96,280 | ||||||
2,026,936 | ||||||||
Education — 0.1% | ||||||||
3,300 | Career Education Corp.* | 82,137 | ||||||
8,400 | Corinthian Colleges, Inc.* | 142,212 | ||||||
224,349 | ||||||||
106
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Electronics — 3.1% | ||||||||
28,910 | Avnet, Inc.* | $ | 607,977 | |||||
146,300 | Belden, Inc. | 2,443,211 | ||||||
13,200 | Benchmark Electronics, Inc.* | 190,080 | ||||||
44,800 | CTS Corp.* | 293,440 | ||||||
17,800 | Cubic Corp. | 637,062 | ||||||
70,900 | Diebold, Inc. | 1,868,924 | ||||||
86,923 | LaBarge, Inc.* | 805,776 | ||||||
45,900 | Methode Electronics, Inc. | 322,218 | ||||||
70,400 | Micrel, Inc. | 515,328 | ||||||
33,701 | Multi-Fineline Electronix, Inc.* | 721,201 | ||||||
104,800 | Nam Tai Electronics, Inc. (British Virgin Islands) | 446,448 | ||||||
19,900 | Stoneridge, Inc.* | 95,520 | ||||||
13,200 | Technitrol, Inc. | 85,404 | ||||||
15,400 | Thomas & Betts Corp.* | 444,444 | ||||||
25,900 | Vishay Intertechnology, Inc.* | 175,861 | ||||||
9,652,894 | ||||||||
Entertainment, Leisure and Recreation — 1.3% | ||||||||
5,000 | Ameristar Casinos, Inc. | 95,150 | ||||||
13,300 | Bally Technologies, Inc.* | 397,936 | ||||||
30,600 | Carmike Cinemas, Inc.* | 256,428 | ||||||
52,400 | Choice Hotels International, Inc. | 1,394,364 | ||||||
3,800 | National CineMedia, Inc. | 52,288 | ||||||
36,794 | Netflix, Inc.* | 1,521,064 | ||||||
9,100 | Pinnacle Entertainment, Inc.* | 84,539 | ||||||
18,300 | Shuffle Master, Inc.* | 120,963 | ||||||
29,100 | Warner Music Group Corp.* | 170,235 | ||||||
4,092,967 | ||||||||
Environmental Waste Management and Recycling Services — 0.1% | ||||||||
14,100 | Casella Waste Systems, Inc. — Class A* | 28,059 | ||||||
32,300 | EnergySolutions | 297,160 | ||||||
10,800 | Waste Services, Inc.* | 55,944 | ||||||
381,163 | ||||||||
Equipment Rental and Leasing — 0.3% | ||||||||
61,500 | Rent-A-Center, Inc.* | 1,096,545 | ||||||
Food and Beverage — 1.7% | ||||||||
2,600 | Coca-Cola Bottling Company Consolidated | 143,338 | ||||||
51,100 | Del Monte Foods Company | 479,318 | ||||||
3,400 | Farmer Brothers Company | 77,792 | ||||||
37,660 | Flowers Foods, Inc. | 822,494 | ||||||
26,091 | Lancaster Colony Corp. | 1,149,830 | ||||||
80,200 | Lance, Inc. | 1,855,027 | ||||||
26,700 | Nash Finch Company | 722,502 | ||||||
53,100 | Reddy Ice Holdings, Inc.* | 87,615 | ||||||
5,337,916 | ||||||||
Insurance — 4.6% | ||||||||
3,300 | Alleghany Corp.* | 894,300 | ||||||
8,400 | Allied World Assurance Holdings, Ltd. (Bermuda) | 342,972 | ||||||
134,600 | American Equity Investment Life Holding Company | 751,068 | ||||||
7,500 | American Physicians Capital, Inc. | 293,700 | ||||||
21,900 | Amerisafe, Inc.* | 340,764 | ||||||
26,000 | Aspen Insurance Holdings, Ltd. (Bermuda) | 580,840 | ||||||
83,200 | Assured Guaranty, Ltd. (Bermuda) | 1,030,016 | ||||||
100,300 | Conseco, Inc.* | 237,711 | ||||||
106,528 | Delphi Financial Group, Inc. — Class A | 2,069,839 | ||||||
15,900 | Employers Holdings, Inc. | 215,445 | ||||||
7,600 | Endurance Specialty Holdings, Ltd. (Bermuda) | 222,680 | ||||||
7,500 | FPIC Insurance Group, Inc.* | 229,650 | ||||||
2,500 | Infinity Property & Casualty Corp. | 91,150 | ||||||
40,800 | IPC Holdings, Ltd. (Bermuda) | 1,115,472 | ||||||
8,700 | MBIA, Inc.* | 37,671 | ||||||
52,800 | Montpelier Re Holdings, Ltd. (Bermuda) | 701,712 | ||||||
800 | National Western Life Insurance Company — Class A | 93,400 | ||||||
95,500 | Platinum Underwriters Holdings, Ltd. (Bermuda) | 2,730,345 | ||||||
17,600 | PMA Capital Corp. — Class A* | 80,080 | ||||||
15,700 | Presidential Life Corp. | 118,849 | ||||||
26,500 | Reinsurance Group of America, Inc. | 925,115 | ||||||
144,400 | Universal American Financial Corp.* | 1,259,168 | ||||||
14,361,947 | ||||||||
Internet Services — 3.6% | ||||||||
88,245 | comScore, Inc.* | 1,175,423 | ||||||
40,655 | Digital River, Inc.* | 1,476,590 | ||||||
47,200 | EarthLink, Inc.* | 349,752 | ||||||
188,540 | eResearchTechnology, Inc.* | 1,170,833 | ||||||
34,445 | F5 Networks, Inc.* | 1,191,453 | ||||||
57,565 | j2 Global Communications, Inc.* | 1,298,666 | ||||||
36,400 | Lionbridge Technologies, Inc.* | 66,976 | ||||||
5,700 | Marchex, Inc. — Class B | 19,209 | ||||||
56,800 | S1 Corp.* | 391,920 | ||||||
32,300 | SonicWALL, Inc.* | 177,004 | ||||||
38,800 | TIBCO Software, Inc.* | 278,196 | ||||||
164,640 | United Online, Inc. | 1,071,806 | ||||||
80,780 | ValueClick, Inc.* | 849,806 | ||||||
93,200 | Websense, Inc.* | 1,662,688 | ||||||
11,180,322 | ||||||||
Machinery — 0.7% | ||||||||
4,900 | Altra Holdings, Inc.* | 36,701 | ||||||
32,545 | Astec Industries, Inc.* | 966,261 | ||||||
10,800 | Chart Industries, Inc.* | 196,344 | ||||||
2,700 | Kadant, Inc.* | 30,483 |
107
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Machinery (continued) | ||||||||
33,200 | Tecumseh Products Company — Class A* | $ | 322,372 | |||||
17,670 | Wabtec Corp. | 568,444 | ||||||
2,120,605 | ||||||||
Manufacturing — 6.9% | ||||||||
19,100 | Actuant Corp. — Class A | 233,020 | ||||||
36,700 | Acuity Brands, Inc. | 1,029,435 | ||||||
2,500 | AEP Industries, Inc.* | 65,975 | ||||||
109,500 | Albany International Corp. — Class A | 1,246,110 | ||||||
3,400 | American Woodmark Corp. | 81,430 | ||||||
21,270 | Ameron International Corp. | 1,425,941 | ||||||
900 | AO Smith Corp. | 29,313 | ||||||
43,200 | AptarGroup, Inc. | 1,458,864 | ||||||
13,400 | Blount International, Inc.* | 115,374 | ||||||
13,200 | Brady Corp. — Class A | 331,584 | ||||||
34,000 | Briggs & Stratton Corp. | 453,560 | ||||||
138,200 | Carlisle Companies, Inc. | 3,322,328 | ||||||
7,500 | Colfax Corp.* | 57,900 | ||||||
10,800 | Crane Company | 240,948 | ||||||
11,800 | Encore Wire Corp. | 251,930 | ||||||
75,510 | EnPro Industries, Inc.* | 1,359,935 | ||||||
37,800 | Furniture Brands International, Inc. | 114,534 | ||||||
65,900 | Gibraltar Industries, Inc. | 452,733 | ||||||
123,180 | GrafTech International, Ltd.* | 1,393,166 | ||||||
15,270 | LSB Industries, Inc.* | 246,916 | ||||||
43,500 | Matthews International Corp. — Class A | 1,353,720 | ||||||
104,000 | Mueller Industries, Inc. | 2,163,200 | ||||||
13,200 | Mueller Water Products, Inc. — Class A | 49,368 | ||||||
28,935 | Powell Industries, Inc.* | 1,072,620 | ||||||
20,200 | Sturm, Ruger & Company, Inc. | 251,288 | ||||||
38,800 | Tredegar Corp. | 516,816 | ||||||
10,560 | Valmont Industries, Inc. | 761,165 | ||||||
7,500 | Watts Water Technologies, Inc. — Class A | 161,550 | ||||||
3,400 | Woodward Governor Company | 67,320 | ||||||
55,300 | Zebra Technologies Corp. — Class A* | 1,308,398 | ||||||
21,616,441 | ||||||||
Medical Equipment, Supplies, and Services — 7.6% | ||||||||
11,600 | American Medical Systems Holdings, Inc.* | 183,280 | ||||||
7,900 | American Service Group, Inc.* | 126,953 | ||||||
9,200 | AMN Healthcare Services, Inc.* | 58,696 | ||||||
63,700 | AmSurg Corp.* | 1,365,728 | ||||||
30,665 | Auxilium Pharmaceuticals, Inc.* | 962,268 | ||||||
107,225 | CardioNet, Inc.* | 1,749,912 | ||||||
77,300 | Centene Corp.* | 1,544,454 | ||||||
35,700 | CorVel Corp.* | 812,889 | ||||||
4,200 | Cyberonics, Inc.* | 69,846 | ||||||
800 | Emergency Medical Services Corp. — Class A* | 29,456 | ||||||
41,100 | Health Management Associates, Inc. — Class A* | 203,034 | ||||||
29,300 | HealthSouth Corp.* | 423,092 | ||||||
6,600 | Healthspring, Inc.* | 71,676 | ||||||
34,400 | ICU Medical, Inc.* | 1,415,560 | ||||||
33,100 | Invacare Corp. | 584,215 | ||||||
20,400 | LHC Group, Inc.* | 453,084 | ||||||
17,800 | Lincare Holdings, Inc.* | 418,656 | ||||||
3,400 | Magellan Health Services, Inc.* | 111,588 | ||||||
9,200 | Nighthawk Radiology Holdings, Inc.* | 34,040 | ||||||
63,100 | NuVasive, Inc.* | 2,814,260 | ||||||
5,200 | RehabCare Group, Inc.* | 124,436 | ||||||
498,218 | RTI Biologics, Inc.* | 2,137,355 | ||||||
119,640 | SonoSite, Inc.* | 2,399,978 | ||||||
388,519 | Spectranetics Corp. (The)* | 1,915,399 | ||||||
18,600 | STERIS Corp. | 485,088 | ||||||
4,900 | Symmetry Medical, Inc.* | 45,668 | ||||||
163,356 | TranS1, Inc.* | 1,017,708 | ||||||
3,400 | US Physical Therapy, Inc.* | 50,150 | ||||||
4,900 | WellCare Health Plans, Inc.* | 90,601 | ||||||
125,290 | Wright Medical Group, Inc.* | 2,037,215 | ||||||
23,736,285 | ||||||||
Metals and Mining — 0.3% | ||||||||
2,500 | Lawson Products, Inc. | 35,525 | ||||||
29,900 | Metalico, Inc.* | 139,334 | ||||||
51,300 | Worthington Industries, Inc. | 656,127 | ||||||
830,986 | ||||||||
Office Equipment, Supplies, and Services — 0.3% | ||||||||
213,100 | Acco Brands Corp.* | 600,942 | ||||||
6,500 | Ennis, Inc. | 80,990 | ||||||
24,300 | Knoll, Inc. | 184,194 | ||||||
866,126 | ||||||||
Oil, Coal and Gas — 4.7% | ||||||||
18,300 | Allis-Chalmers Energy, Inc.* | 42,273 | ||||||
26,720 | Alpha Natural Resources, Inc.* | 701,934 | ||||||
37,205 | Arena Resources, Inc.* | 1,184,979 | ||||||
37,885 | Atwood Oceanics, Inc.* | 943,715 | ||||||
4,300 | Bolt Technology Corp.* | 48,332 | ||||||
17,400 | Cal Dive International, Inc.* | 150,162 | ||||||
8,700 | Clayton Williams Energy, Inc.* | 164,169 | ||||||
60,600 | Complete Production Services, Inc.* | 385,416 | ||||||
17,930 | Comstock Resources, Inc.* | 592,587 | ||||||
14,100 | Delta Petroleum Corp.* | 27,213 | ||||||
4,200 | Gulf Island Fabrication, Inc. | 66,486 | ||||||
13,200 | Gulfport Energy Corp.* | 90,420 |
108
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Oil, Coal and Gas (continued) | ||||||||
21,085 | Lufkin Industries, Inc. | $ | 886,624 | |||||
22,400 | McMoRan Exploration Company* | 133,504 | ||||||
66,350 | Natural Gas Services Group* | 882,455 | ||||||
14,100 | Newpark Resources, Inc.* | 40,185 | ||||||
37,200 | Nicor, Inc. | 1,287,865 | ||||||
11,400 | Northwest Natural Gas Company | 505,248 | ||||||
75,300 | Penn Virginia Corp. | 1,232,661 | ||||||
20,200 | Rosetta Resources, Inc.* | 176,750 | ||||||
14,000 | SEACOR Holdings, Inc.* | 1,053,360 | ||||||
14,100 | Southwest Gas Corp. | 313,161 | ||||||
24,200 | St Mary Land & Exploration Company | 505,054 | ||||||
82,000 | Stone Energy Corp.* | 608,440 | ||||||
65,920 | T-3 Energy Services, Inc.* | 785,107 | ||||||
35,300 | VAALCO Energy, Inc.* | 149,319 | ||||||
34,000 | Venoco, Inc.* | 260,780 | ||||||
6,600 | W&T Offshore, Inc. | 64,284 | ||||||
34,000 | Whiting Petroleum Corp.* | 1,195,440 | ||||||
7,500 | World Fuel Services Corp.* | 309,225 | ||||||
14,787,148 | ||||||||
Paper and Forest Products — 0.7% | ||||||||
53,800 | Buckeye Technologies, Inc.* | 241,562 | ||||||
7,500 | Clearwater Paper Corp.* | 189,675 | ||||||
34,800 | Deltic Timber Corp. | 1,234,356 | ||||||
8,300 | Domtar Corp.* | 137,614 | ||||||
20,800 | Glatfelter | 185,120 | ||||||
7,500 | KapStone Paper and Packaging Corp.* | 35,175 | ||||||
6,600 | Neenah Paper, Inc. | 58,146 | ||||||
2,081,648 | ||||||||
Pharmaceuticals/Research and Development — 5.9% | ||||||||
107,035 | Acorda Therapeutics, Inc.* | 3,017,317 | ||||||
65,040 | Alexion Pharmaceuticals, Inc.* | 2,674,445 | ||||||
119,795 | BioMarin Pharmaceutical, Inc.* | 1,870,000 | ||||||
55,800 | Charles River Laboratories International, Inc.* | 1,883,250 | ||||||
10,000 | DepoMed, Inc.* | 32,500 | ||||||
23,200 | Enzon Pharmaceuticals, Inc.* | 182,584 | ||||||
112,680 | Genomic Health, Inc.* | 1,952,744 | ||||||
14,200 | Noven Pharmaceuticals, Inc.* | 203,060 | ||||||
44,555 | Onyx Pharmaceuticals, Inc.* | 1,259,124 | ||||||
52,990 | OSI Pharmaceuticals, Inc.* | 1,495,908 | ||||||
6,600 | Par Pharmaceutical Companies, Inc.* | 99,990 | ||||||
11,800 | PharMerica Corp.* | 231,634 | ||||||
27,480 | United Therapeutics Corp.* | 2,289,908 | ||||||
47,900 | Valeant Pharmaceuticals International* | 1,231,988 | ||||||
18,424,452 | ||||||||
Printing and Publishing — 1.2% | ||||||||
131,090 | Bowne & Company, Inc. | 853,396 | ||||||
52,300 | Gannett Company, Inc. | 186,711 | ||||||
37,400 | Valassis Communications, Inc.* | 228,514 | ||||||
60,495 | VistaPrint, Ltd. (Bermuda)* | 2,580,112 | ||||||
3,848,733 | ||||||||
Real Estate Investment Trusts — 4.7% | ||||||||
69,300 | Acadia Realty Trust | 904,365 | ||||||
9,700 | Agree Realty Corp. | 177,801 | ||||||
40,400 | American Campus Communities, Inc. | 896,072 | ||||||
13,400 | American Capital Agency Corp. | 307,798 | ||||||
169,100 | Anworth Mortgage Asset Corp. | 1,219,211 | ||||||
20,800 | Associated Estates Realty Corp. | 123,968 | ||||||
16,000 | CapLease, Inc. | 44,160 | ||||||
4,200 | Capstead Mortgage Corp. | 53,382 | ||||||
13,900 | Care Investment Trust, Inc. | 72,280 | ||||||
7,600 | Cedar Shopping Centers, Inc. | 34,352 | ||||||
156,800 | Chimera Investment Corp. | 547,232 | ||||||
4,700 | Cogdell Spencer, Inc. | 20,163 | ||||||
56,400 | Colonial Properties Trust | 417,360 | ||||||
80,200 | DiamondRock Hospitality Company | 502,052 | ||||||
33,800 | Education Realty Trust, Inc. | 145,002 | ||||||
1,800 | Equity Lifestyle Properties, Inc. | 66,924 | ||||||
11,200 | Equity One, Inc. | 148,512 | ||||||
33,600 | Extra Space Storage, Inc.* | 280,560 | ||||||
13,200 | First Potomac Realty Trust | 128,700 | ||||||
5,200 | Getty Realty Corp. | 98,124 | ||||||
6,500 | Hatteras Financial Corp. | 185,835 | ||||||
9,100 | Healthcare Realty Trust, Inc.* | 153,153 | ||||||
14,100 | Highwoods Properties, Inc. | 315,417 | ||||||
38,800 | HRPT Properties Trust | 157,528 | ||||||
69,100 | Inland Real Estate Corp. | 483,700 | ||||||
62,200 | Investors Real Estate Trust | 552,958 | ||||||
13,500 | Kite Realty Group Trust | 39,420 | ||||||
13,200 | Lexington Realty Trust* | 44,880 | ||||||
31,600 | LTC Properties, Inc. | 646,220 | ||||||
31,700 | Mack-Cali Realty Corp. | 722,760 | ||||||
19,100 | Mission West Properties, Inc. | 130,453 | ||||||
8,200 | Monmouth Real Estate Investment Corp. — Class A | 48,052 | ||||||
17,400 | National Health Investors, Inc. | 464,754 | ||||||
47,200 | OMEGA Healthcare Investors, Inc. | 732,544 | ||||||
8,102 | One Liberty Properties, Inc. | 46,587 | ||||||
27,900 | PS Business Parks, Inc. | 1,351,476 | ||||||
77,500 | Realty Income Corp. | 1,698,800 | ||||||
11,300 | Sun Communities, Inc. | 155,714 | ||||||
9,700 | Urstadt Biddle Properties — Class A | 136,576 | ||||||
116,400 | U-Store-It Trust | 570,360 | ||||||
14,825,205 | ||||||||
109
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Registered Investment Companies — 0.7% | ||||||||
14,900 | Allied Capital Corp. | $ | 51,852 | |||||
173,000 | Ares Capital Corp. | 1,394,380 | ||||||
15,700 | Fifth Street Finance Corp. | 157,628 | ||||||
7,000 | Harris & Harris Group, Inc.* | 40,810 | ||||||
21,500 | Hercules Technology Growth Capital, Inc. | 179,740 | ||||||
16,600 | Kayne Anderson Energy Development Company | 220,116 | ||||||
81,300 | MCG Capital Corp.* | 197,559 | ||||||
2,900 | Prospect Capital Corp. | 26,680 | ||||||
2,268,765 | ||||||||
Retail — 3.7% | ||||||||
133,262 | 99 Cents Only Stores* | 1,809,698 | ||||||
114,593 | Big Lots, Inc.* | 2,409,890 | ||||||
11,308 | BJ’s Wholesale Club, Inc.* | 364,457 | ||||||
29,900 | Borders Group, Inc.* | 110,032 | ||||||
40,000 | Casey’s General Stores, Inc. | 1,027,600 | ||||||
26,000 | Dillard’s, Inc. — Class A | 239,200 | ||||||
118,750 | EZCORP, Inc. — Class A* | 1,280,125 | ||||||
59,510 | First Cash Financial Services, Inc.* | 1,042,615 | ||||||
51,600 | Hibbett Sports, Inc.* | 928,800 | ||||||
24,300 | Jo-Ann Stores, Inc.* | 502,281 | ||||||
26,000 | Kirkland’s, Inc.* | 312,260 | ||||||
28,200 | MarineMax, Inc.* | 97,008 | ||||||
7,500 | Office Depot, Inc.* | 34,200 | ||||||
3,600 | Pantry, Inc. (The)* | 59,760 | ||||||
87,119 | PetMed Express, Inc.* | 1,309,399 | ||||||
7,500 | Sally Beauty Holdings, Inc.* | 47,700 | ||||||
6,600 | Systemax, Inc.* | 78,606 | ||||||
20,200 | Zale Corp.* | 69,488 | ||||||
11,723,119 | ||||||||
Retail: Restaurants — 1.9% | ||||||||
10,900 | AFC Enterprises, Inc.* | 73,575 | ||||||
74,345 | BJ’s Restaurants, Inc.* | 1,254,200 | ||||||
5,200 | Brinker International, Inc. | 88,556 | ||||||
36,000 | CEC Entertainment, Inc.* | 1,061,280 | ||||||
7,420 | Chipotle Mexican Grill, Inc. — Class A* | 593,600 | ||||||
10,000 | O’Charley’s, Inc. | 92,500 | ||||||
22,715 | Panera Bread Company — Class A* | 1,132,570 | ||||||
51,200 | Ruby Tuesday, Inc.* | 340,992 | ||||||
118,500 | Sonic Corp.* | 1,188,555 | ||||||
5,825,828 | ||||||||
Retail: Supermarkets — 0.2% | ||||||||
4,300 | Weis Markets, Inc. | 144,136 | ||||||
17,382 | Whole Foods Market, Inc.* | 329,910 | ||||||
474,046 | ||||||||
Rubber Products — 0.0% | ||||||||
7,300 | Myers Industries, Inc. | 60,736 | ||||||
Semiconductors — 2.4% | ||||||||
135,000 | Amkor Technology, Inc.* | 638,550 | ||||||
39,600 | Cirrus Logic, Inc.* | 178,200 | ||||||
72,300 | Cypress Semiconductor Corp.* | 665,160 | ||||||
48,900 | Entegris, Inc.* | 133,008 | ||||||
54,000 | Lattice Semiconductor Corp.* | 101,520 | ||||||
115,170 | Microsemi Corp.* | 1,589,346 | ||||||
19,900 | QLogic Corp.* | 252,332 | ||||||
48,800 | Silicon Image, Inc.* | 112,240 | ||||||
244,895 | Skyworks Solutions, Inc.* | 2,395,073 | ||||||
10,100 | Smart Modular Technologies (WWH), Inc. (Cayman Islands)* | 22,927 | ||||||
60,290 | Tessera Technologies, Inc.* | 1,524,734 | ||||||
7,613,090 | ||||||||
Telecommunications Equipment and Services — 2.9% | ||||||||
28,200 | ADC Telecommunications, Inc.* | 224,472 | ||||||
16,000 | ADTRAN, Inc. | 343,520 | ||||||
1,700 | Anaren, Inc.* | 30,056 | ||||||
21,115 | Anixter International, Inc.* | 793,713 | ||||||
9,100 | Applied Signal Technology, Inc. | 232,141 | ||||||
2,500 | Arris Group, Inc.* | 30,400 | ||||||
121,100 | Cincinnati Bell, Inc.* | 343,924 | ||||||
3,800 | CPI International, Inc.* | 33,022 | ||||||
24,000 | Harris Stratex Networks, Inc. — Class A* | 155,520 | ||||||
27,400 | IDT Corp. — Class B* | 44,388 | ||||||
10,800 | InterDigital, Inc.* | 263,952 | ||||||
13,200 | Iowa Telecommunications Services, Inc. | 165,132 | ||||||
6,100 | JDS Uniphase Corp.* | 34,892 | ||||||
123,302 | Novatel Wireless, Inc.* | 1,112,184 | ||||||
48,780 | NTELOS Holdings Corp. | 898,528 | ||||||
17,400 | Orbcomm, Inc.* | 30,624 | ||||||
1,700 | Plantronics, Inc. | 32,147 | ||||||
76,400 | Polycom, Inc.* | 1,548,627 | ||||||
72,200 | Powerwave Technologies, Inc.* | 116,242 | ||||||
10,500 | Symmetricom, Inc.* | 60,585 | ||||||
84,185 | Syniverse Holdings, Inc.* | 1,349,486 | ||||||
19,100 | Tekelec* | 321,453 | ||||||
74,800 | USA Mobility, Inc. | 954,448 | ||||||
87,100 | UTStarcom, Inc.* | 141,973 | ||||||
9,261,429 | ||||||||
Toys — 0.1% | ||||||||
7,500 | Marvel Entertainment, Inc.* | 266,925 | ||||||
Transportation — 2.8% | ||||||||
9,100 | American Commercial Lines, Inc.* | 140,868 | ||||||
4,200 | Celadon Group, Inc.* | 35,238 | ||||||
5,500 | Dynamex, Inc.* | 84,645 | ||||||
74,700 | GATX Corp. | 1,921,284 | ||||||
53,200 | Genesee & Wyoming, Inc. — Class A* | 1,410,332 | ||||||
5,800 | Greenbrier Companies, Inc. (The) | 41,702 |
110
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Transportation (continued) | ||||||||
17,400 | Heartland Express, Inc. | $ | 256,128 | |||||
13,200 | Horizon Lines, Inc. — Class A | 50,952 | ||||||
37,300 | Kirby Corp.* | 1,185,767 | ||||||
3,900 | Knightsbridge Tankers, Ltd. (Bermuda) | 53,196 | ||||||
19,100 | Marten Transport, Ltd.* | 396,516 | ||||||
3,400 | Nordic American Tanker Shipping, Ltd. (Bermuda) | 108,188 | ||||||
41,430 | Old Dominion Freight Line, Inc.* | 1,390,805 | ||||||
6,500 | Overseas Shipholding Group, Inc. | 221,260 | ||||||
18,100 | Pacer International, Inc. | 40,363 | ||||||
102,960 | TBS International, Ltd. — Class A (Bermuda)* | 804,118 | ||||||
51,300 | Vitran Corp., Inc. — Class A (Canada)* | 507,870 | ||||||
15,100 | Werner Enterprises, Inc.* | 273,612 | ||||||
8,922,844 | ||||||||
Utilities — 3.2% | ||||||||
50,600 | Atmos Energy Corp. | 1,267,024 | ||||||
27,400 | El Paso Electric Company* | 382,504 | ||||||
2,800 | IDACORP, Inc. | 73,192 | ||||||
24,372 | New Jersey Resources Corp. | 902,739 | ||||||
39,800 | NorthWestern Corp.* | 905,848 | ||||||
5,800 | Pike Electric Corp.* | 69,890 | ||||||
40,700 | Portland General Electric Company | 792,836 | ||||||
1,700 | UIL Holdings Corp. | 38,165 | ||||||
109,800 | Unisource Energy Corp. | 2,914,092 | ||||||
79,200 | Westar Energy, Inc. | 1,486,584 | ||||||
38,200 | WGL Holdings, Inc.* | 1,223,164 | ||||||
10,056,038 | ||||||||
Total Common Stocks (Cost $315,497,982) | 307,531,943 | |||||||
Warrants — 0.0% | ||||||||
4,637 | Krispy Kreme Doughnuts, Inc.* | 185 | ||||||
640 | Lantronix, Inc.*(14) | — | ||||||
Total Warrants (Cost $0) | 185 | |||||||
Principal | ||||||||
Short Term US Treasury Securities — 0.1% | ||||||||
US Treasury Bills | ||||||||
$ | 430,000 | 0.17%, 09/17/09 (5) (Cost $429,856) | 429,856 | |||||
Total Securities (Cost $315,927,838) | 307,961,984 | |||||||
Repurchase Agreements — 1.0% | ||||||||
3,217,403 | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $3,217,404 (Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $3,286,052) (Cost $3,217,403) | 3,217,403 | ||||||
Total Investments — 99.1% (Cost $319,145,241) | 311,179,387 | |||||||
Other assets less liabilities — 0.9% | 2,846,277 | |||||||
Net Assets — 100.0% | $ | 314,025,664 | ||||||
Gross unrealized appreciation | $ | 34,327,014 | ||
Gross unrealized depreciation | (42,292,868 | ) | ||
Net unrealized depreciation | $ | (7,965,854 | ) | |
111
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks — 98.5% | ||||||||
Aerospace and Defense — 0.5% | ||||||||
21,900 | Teledyne Technologies, Inc.* | $ | 717,225 | |||||
Airlines — 0.9% | ||||||||
88,539 | AirTran Holdings, Inc.* | 548,056 | ||||||
49,500 | Alaska Air Group, Inc.* | 903,870 | ||||||
1,451,926 | ||||||||
Apparel: Manufacturing and Retail — 4.4% | ||||||||
25,100 | Buckle, Inc. (The) | 797,427 | ||||||
27,253 | Children’s Place Retail Stores, Inc. (The)* | 720,297 | ||||||
57,300 | Dress Barn, Inc. (The)* | 819,389 | ||||||
80,900 | Finish Line, Inc. (The)— Class A | 600,278 | ||||||
64,900 | Foot Locker, Inc. | 679,503 | ||||||
8,300 | Gymboree Corp. (The)* | 294,484 | ||||||
70,700 | Hot Topic, Inc.* | 516,817 | ||||||
1,460 | Iconix Brand Group, Inc.* | 22,455 | ||||||
20,162 | Jos A Bank Clothiers, Inc. | 694,783 | ||||||
69,700 | Maidenform Brands, Inc.* | 799,458 | ||||||
16,905 | Shoe Carnival, Inc.* | 201,677 | ||||||
35,178 | Wolverine World Wide, Inc. | 776,027 | ||||||
6,922,595 | ||||||||
Automobile: Retail — 0.4% | ||||||||
32,112 | America’s Car-Mart, Inc.* | 658,296 | ||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.1% | ||||||||
57,893 | Amerigon, Inc.* | 353,147 | ||||||
41,400 | ATC Technology Corp.* | 600,300 | ||||||
31,700 | Monro Muffler Brake, Inc. | 815,007 | ||||||
1,768,454 | ||||||||
Banks and Financial Services — 4.8% | ||||||||
42,000 | Cash America International, Inc.* | 982,380 | ||||||
42,400 | Encore Capital Group, Inc.* | 561,800 | ||||||
5,300 | First Citizens Bancshares, Inc.— Class A | 708,345 | ||||||
48,473 | Greene Bancshares, Inc. | 217,159 | ||||||
90,300 | Heckman Corp.* | 338,625 | ||||||
51,300 | Knight Capital Group, Inc.-— Class A* | 874,665 | ||||||
46,600 | MarketAxess Holdings, Inc.* | 444,098 | ||||||
35,400 | Net 1 UEPS Technologies, Inc.* | 481,086 | ||||||
23,200 | Provident Financial Services, Inc. | 211,120 | ||||||
25,300 | Stifel Financial Corp.* | 1,216,677 | ||||||
30,847 | Texas Capital Bancshares, Inc.* | 477,203 | ||||||
41,970 | United Community Banks, Inc.— Georgia* | 251,400 | ||||||
25,300 | Waddell & Reed Financial, Inc.— Class A | 667,161 | ||||||
7,431,719 | ||||||||
Business Services and Supplies — 4.5% | ||||||||
102,100 | APAC Customer Services, Inc.* | 523,773 | ||||||
148,113 | CBIZ, Inc.* | 1,054,565 | ||||||
37,500 | CRA International, Inc.* | 1,041,000 | ||||||
24,600 | FTI Consulting, Inc.* | 1,247,712 | ||||||
204,300 | Hackett Group, Inc.* | 476,019 | ||||||
17,100 | Huron Consulting Group, Inc.* | 790,533 | ||||||
68,757 | Kforce, Inc.* | 568,620 | ||||||
78,798 | TrueBlue, Inc.* | 661,903 | ||||||
17,478 | UniFirst Corp. | 649,657 | ||||||
7,013,782 | ||||||||
Chemicals — 0.6% | ||||||||
40,200 | Sensient Technologies Corp. | 907,314 | ||||||
Commercial Services — 1.1% | ||||||||
50,800 | DynCorp International, Inc.— Class A* | 852,931 | ||||||
12,303 | Steiner Leisure, Ltd. (Bahama Islands)* | 375,611 | ||||||
35,919 | Team, Inc.* | 562,851 | ||||||
1,791,393 | ||||||||
Computer Equipment, Software and Services — 10.9% | ||||||||
198,414 | 3Com Corp.* | 934,530 | ||||||
51,869 | ACI Worldwide, Inc.* | 724,091 | ||||||
50,700 | Actuate Corp.* | 242,346 | ||||||
41,000 | ANSYS, Inc.* | 1,277,560 | ||||||
94,623 | Aspen Technology, Inc.* | 807,134 | ||||||
55,300 | Avocent Corp.* | 771,988 | ||||||
170,513 | Bluephoenix Solutions, Ltd. (Israel)* | 417,757 | ||||||
26,900 | CACI International, Inc.— Class A* | 1,148,899 | ||||||
42,600 | Compellent Technologies, Inc.* | 649,650 | ||||||
27,800 | Ebix, Inc.* | 870,696 | ||||||
83,030 | EPIQ Systems, Inc.* | 1,274,511 | ||||||
94,047 | FalconStor Software, Inc.* | 446,723 | ||||||
20,700 | ManTech International Corp.— Class A* | 890,928 | ||||||
1,902 | Open Text Corp. (Canada)* | 69,271 | ||||||
15,300 | Pegasystems, Inc. | 403,614 | ||||||
78,554 | Radiant Systems, Inc.* | 651,998 | ||||||
68,686 | Smith Micro Software, Inc.* | 674,497 | ||||||
108,500 | Soapstone Networks, Inc.* | 453,530 | ||||||
46,500 | Solera Holdings, Inc.* | 1,181,100 | ||||||
28,770 | Sybase, Inc.* | 901,652 | ||||||
20,700 | Synaptics, Inc.* | 800,055 | ||||||
57,500 | Tyler Technologies, Inc.* | 898,150 | ||||||
18,700 | Ultimate Software Group, Inc. (The)* | 453,288 | ||||||
16,943,968 | ||||||||
112
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Construction Services and Supplies — 1.1% | ||||||||
51,000 | Beacon Roofing Supply, Inc.* | $ | 737,460 | |||||
40,474 | Integrated Electrical Services, Inc.* | 316,102 | ||||||
33,945 | Simpson Manufacturing Company, Inc. | 733,891 | ||||||
1,787,453 | ||||||||
Consumer Goods and Services — 1.9% | ||||||||
15,933 | Chattem, Inc.* | 1,085,037 | ||||||
32,900 | Helen of Troy, Ltd. (Bermuda)* | 552,391 | ||||||
72,300 | Jarden Corp.* | 1,355,625 | ||||||
2,993,053 | ||||||||
Containers and Packaging — 0.9% | ||||||||
20,474 | Rock-Tenn Company— Class A | 781,288 | ||||||
13,400 | Silgan Holdings, Inc. | 657,002 | ||||||
1,438,290 | ||||||||
Education — 2.6% | ||||||||
22,431 | American Public Education, Inc.* | 888,492 | ||||||
18,600 | Capella Education Company* | 1,115,070 | ||||||
47,000 | Career Education Corp.* | 1,169,830 | ||||||
96,700 | ChinaCast Education Corp.* | 688,504 | ||||||
14,300 | Grand Canyon Education, Inc.* | 239,954 | ||||||
4,101,850 | ||||||||
Electrical Equipment — 0.9% | ||||||||
621,975 | Capstone Turbine Corp.* | 516,239 | ||||||
40,220 | Greatbatch, Inc.* | 909,374 | ||||||
1,425,613 | ||||||||
Electronics — 1.8% | ||||||||
29,600 | Diebold, Inc. | 780,256 | ||||||
42,000 | EnerSys* | 763,980 | ||||||
16,937 | NVE Corp.* | 823,138 | ||||||
20,400 | Plexus Corp.* | 417,384 | ||||||
2,784,758 | ||||||||
Engineering — 0.7% | ||||||||
23,974 | Stanley, Inc.* | 788,265 | ||||||
14,300 | VSE Corp. | 374,088 | ||||||
1,162,353 | ||||||||
Entertainment, Leisure and Recreation — 0.9% | ||||||||
19,700 | Bally Technologies, Inc.* | 589,424 | ||||||
30,200 | Penn National Gaming, Inc.* | 879,122 | ||||||
1,468,546 | ||||||||
Environmental Waste Management and Recycling Services — 1.5% | ||||||||
15,900 | Clean Harbors, Inc.* | 858,441 | ||||||
99,304 | EnergySolutions | 913,597 | ||||||
22,300 | Waste Connections, Inc.* | 577,793 | ||||||
2,349,831 | ||||||||
Equipment Rental and Leasing — 0.6% | ||||||||
30,270 | Aaron’s, Inc. | 902,651 | ||||||
Food and Beverage — 1.3% | ||||||||
29,130 | Central European Distribution Corp.* | 773,984 | ||||||
45,874 | Chiquita Brands International, Inc.* | 470,667 | ||||||
39,400 | Flowers Foods, Inc. | 860,496 | ||||||
2,105,147 | ||||||||
Insurance — 1.6% | ||||||||
20,181 | Infinity Property & Casualty Corp. | 735,799 | ||||||
36,400 | IPC Holdings, Ltd. (Bermuda) | 995,176 | ||||||
32,300 | Tower Group, Inc. | 800,394 | ||||||
2,531,369 | ||||||||
Internet Services — 4.1% | ||||||||
238,300 | Art Technology Group, Inc.* | 905,540 | ||||||
40,200 | Blue Coat Systems, Inc.* | 664,908 | ||||||
82,149 | CyberSource Corp.* | 1,256,879 | ||||||
143,186 | GigaMedia, Ltd. (Singapore)* | 841,934 | ||||||
219,623 | Move, Inc.* | 474,386 | ||||||
63,200 | NIC, Inc. | 427,864 | ||||||
31,900 | Perfect World Company, Ltd. (ADR) (Cayman Islands)* | 912,340 | ||||||
125,300 | TeleCommunications Systems, Inc.— Class A* | 890,883 | ||||||
6,374,734 | ||||||||
Machinery — 0.1% | ||||||||
94,400 | Flow International Corp.* | 221,840 | ||||||
Manufacturing — 1.4% | ||||||||
16,800 | AptarGroup, Inc. | 567,336 | ||||||
84,400 | GrafTech International, Ltd.* | 954,564 | ||||||
28,180 | II-VI, Inc.* | 624,751 | ||||||
2,146,651 | ||||||||
Medical Equipment, Supplies, and Services — 10.4% | ||||||||
20,900 | Amedisys, Inc.* | 690,118 | ||||||
84,605 | American Medical Systems Holdings, Inc.* | 1,336,759 | ||||||
144,454 | Bruker BioSciences Corp.* | 1,337,644 | ||||||
21,500 | CardioNet, Inc.* | 350,880 | ||||||
101,012 | Celera Corp.* | 770,722 | ||||||
125,448 | CryoLife, Inc.* | 694,982 | ||||||
20,900 | Emergency Medical Services Corp.— Class A* | 769,538 | ||||||
29,000 | Ensign Group, Inc. | 412,670 | ||||||
30,000 | Genoptix, Inc.* | 959,700 | ||||||
18,900 | Haemonetics Corp.* | 1,077,300 | ||||||
47,800 | ICON PLC (ADR) (Ireland)* | 1,031,524 | ||||||
20,000 | ICU Medical, Inc.* | 823,000 | ||||||
55,150 | IRIS International, Inc.* | 650,770 | ||||||
24,787 | LHC Group, Inc.* | 550,519 |
113
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Medical Equipment, Supplies, and Services (continued) | ||||||||
26,700 | Luminex Corp.* | $ | 495,018 | |||||
5,502 | Neogen Corp.* | 159,448 | ||||||
54,953 | Phase Forward, Inc.* | 830,340 | ||||||
9,968 | Psychiatric Solutions, Inc.* | 226,672 | ||||||
30,400 | STERIS Corp. | 792,832 | ||||||
66,691 | Synovis Life Technologies, Inc.* | 1,385,173 | ||||||
49,864 | US Physical Therapy, Inc.* | 735,494 | ||||||
16,081,103 | ||||||||
Metals and Mining — 1.3% | ||||||||
41,300 | AK Steel Holding Corp. | 792,547 | ||||||
103,300 | Gammon Gold, Inc. (Canada)* | 689,011 | ||||||
103,200 | Stillwater Mining Company* | 589,272 | ||||||
2,070,830 | ||||||||
Oil, Coal and Gas — 5.3% | ||||||||
34,361 | Bill Barrett Corp.* | 943,554 | ||||||
288,832 | Cano Petroleum, Inc.* | 274,390 | ||||||
25,400 | Comstock Resources, Inc.* | 839,470 | ||||||
10,500 | Core Laboratories NV (the Netherlands) | 915,075 | ||||||
71,100 | EXCO Resources, Inc.* | 918,613 | ||||||
147,453 | Hercules Offshore, Inc.* | 585,388 | ||||||
17,947 | Hornbeck Offshore Services, Inc.* | 383,886 | ||||||
84,700 | Key Energy Services, Inc.* | 487,872 | ||||||
43,008 | Natural Gas Services Group* | 572,006 | ||||||
125,891 | North American Energy Partners, Inc. (Canada)* | 766,676 | ||||||
27,400 | Oil States International, Inc.* | 663,354 | ||||||
31,500 | Penn Virginia Corp. | 515,655 | ||||||
14,800 | Unit Corp.* | 408,036 | ||||||
8,273,975 | ||||||||
Pharmaceuticals/Research and Development — 6.2% | ||||||||
45,099 | Albany Molecular Research, Inc.* | 378,381 | ||||||
31,700 | Alexion Pharmaceuticals, Inc.* | 1,303,504 | ||||||
45,800 | Alnylam Pharmaceuticals, Inc.* | 1,019,966 | ||||||
51,300 | Cubist Pharmaceuticals, Inc.* | 940,329 | ||||||
46,800 | Emergent Biosolutions, Inc.* | 670,644 | ||||||
24,426 | Exponent, Inc.* | 598,681 | ||||||
49,700 | Isis Pharmaceuticals, Inc.* | 820,050 | ||||||
71,109 | Oculus Innovative Sciences, Inc.* | 241,771 | ||||||
78,700 | PAREXEL International Corp.* | 1,131,706 | ||||||
56,000 | Questcor Pharmaceuticals, Inc.* | 280,000 | ||||||
14,300 | United Therapeutics Corp.* | 1,191,619 | ||||||
171,349 | VIVUS, Inc.* | 1,041,802 | ||||||
9,618,453 | ||||||||
Printing and Publishing — 1.2% | ||||||||
31,400 | Consolidated Graphics, Inc.* | 546,988 | ||||||
64,414 | Dolan Media Company* | 823,855 | ||||||
13,200 | VistaPrint, Ltd. (Bermuda)* | 562,980 | ||||||
1,933,823 | ||||||||
Retail — 2.7% | ||||||||
65,300 | Conn’s, Inc.* | 816,250 | ||||||
49,600 | First Cash Financial Services, Inc.* | 868,992 | ||||||
23,200 | hhgregg, Inc.* | 351,712 | ||||||
33,600 | Hibbett Sports, Inc.* | 604,800 | ||||||
46,900 | Pantry, Inc. (The)* | 778,540 | ||||||
48,800 | PetMed Express, Inc.* | 733,464 | ||||||
4,153,758 | ||||||||
Retail: Restaurants — 2.5% | ||||||||
48,806 | BJ’s Restaurants, Inc.* | 823,357 | ||||||
23,625 | Buffalo Wild Wings, Inc.* | 768,285 | ||||||
30,900 | Jack in the Box, Inc.* | 693,705 | ||||||
23,357 | O’Charley’s, Inc. | 216,052 | ||||||
24,400 | PF Chang’s China Bistro, Inc.* | 782,264 | ||||||
37,413 | Red Robin Gourmet Burgers, Inc.* | 701,494 | ||||||
3,985,157 | ||||||||
Security Service and Devices — 1.0% | ||||||||
9,700 | American Science and Engineering, Inc. | 670,464 | ||||||
85,800 | Cogent, Inc.* | 920,634 | ||||||
1,591,098 | ||||||||
Semiconductors — 4.4% | ||||||||
105,177 | Advanced Analogic Technologies, Inc.* | 482,762 | ||||||
197,300 | ANADIGICS, Inc.* | 826,687 | ||||||
45,300 | Cavium Networks, Inc.* | 761,493 | ||||||
42,548 | Monolithic Power Systems, Inc.* | 953,501 | ||||||
19,100 | Netlogic Microsystems, Inc.* | 696,386 | ||||||
198,400 | O2Micro International, Ltd. (ADR) (Cayman Islands)* | 992,000 | ||||||
157,300 | PMC-Sierra, Inc.* | 1,252,107 | ||||||
170,007 | Silicon Motion Technology Corp. (ADR) (Cayman Islands)* | 620,526 | ||||||
25,385 | Zoran Corp.* | 276,697 | ||||||
6,862,159 | ||||||||
Telecommunications Equipment and Services — 8.6% | ||||||||
43,400 | ADTRAN, Inc. | 931,798 | ||||||
29,200 | Applied Signal Technology, Inc. | 744,892 | ||||||
55,100 | Atheros Communications* | 1,060,124 | ||||||
31,420 | Comtech Telecommunications Corp.* | 1,001,670 | ||||||
28,962 | EMS Technologies, Inc.* | 605,306 | ||||||
31,678 | General Cable Corp.* | 1,190,460 | ||||||
56,515 | GeoEye, Inc.* | 1,331,494 | ||||||
105,600 | Globecomm Systems, Inc.* | 759,264 |
114
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Telecommunications Equipment and Services (continued) | ||||||||
64,700 | MasTec, Inc.* | $ | 758,284 | |||||
12,331 | Neutral Tandem, Inc.* | 364,011 | ||||||
49,163 | NICE— Systems, Ltd. (ADR) (Israel)* | 1,134,190 | ||||||
99,700 | Novatel Wireless, Inc.* | 899,294 | ||||||
69,420 | Oplink Communications, Inc.* | 791,388 | ||||||
34,347 | Starent Networks Corp.* | 838,410 | ||||||
60,300 | Syniverse Holdings, Inc.* | 966,609 | ||||||
13,377,194 | ||||||||
Transportation — 3.7% | ||||||||
34,038 | Arkansas Best Corp. | 896,901 | ||||||
111,463 | Celadon Group, Inc.* | 935,175 | ||||||
84,253 | Excel Maritime Carriers, Ltd. (Liberia) | 567,023 | ||||||
16,800 | Genco Shipping & Trading, Ltd. (Marshall Islands) | 364,896 | ||||||
50,300 | Heartland Express, Inc. | 740,416 | ||||||
42,466 | Hub Group, Inc.— Class A* | 876,498 | ||||||
63,800 | Kansas City Southern* | 1,027,818 | ||||||
21,700 | Marten Transport, Ltd.* | 450,492 | ||||||
5,859,219 | ||||||||
Utilities — 0.6% | ||||||||
50,700 | Avista Corp. | 902,967 | ||||||
Total Common Stocks (Cost $158,484,682) | 154,110,547 | |||||||
Warrants — 0.0% | ||||||||
141 | Krispy Kreme Doughnuts, Inc.* (Cost $0) | 6 | ||||||
Total Securities (Cost $158,484,682) | 154,110,553 | |||||||
Principal | ||||||||
Repurchase Agreements — 1.2% | ||||||||
$ | 1,800,577 | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $1,800,577 (Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $1,837,792) (Cost $1,800,577) | 1,800,577 | |||||
Total Investments — 99.7% (Cost $160,285,259) | 155,911,130 | |||||||
Other assets less liabilities — 0.3% | 425,366 | |||||||
Net Assets — 100.0% | $ | 156,336,496 | ||||||
Gross unrealized appreciation | $ | 16,770,284 | ||
Gross unrealized depreciation | (21,144,413 | ) | ||
Net unrealized depreciation | $ | ( 4,374,129 | ) | |
115
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
Shares | Value | Country | ||||||||||
Common Stocks — 98.8% | ||||||||||||
Aerospace and Defense — 0.6% | ||||||||||||
363,100 | Empresa Brasileira de Aeronautica SA (ADR) | $ | 6,012,936 | BRA | ||||||||
Agriculture — 1.4% | ||||||||||||
149,400 | Potash Corp. of Saskatchewan, Inc. | 13,901,670 | CDA | |||||||||
Apparel: Manufacturing and Retail — 2.5% | ||||||||||||
495,558 | Hennes & Mauritz AB (H&M) — B Shares | 24,730,847 | SWE | |||||||||
Automobile: Retail — 2.0% | ||||||||||||
535,900 | Toyota Motor Corp. | 20,415,768 | JPN | |||||||||
Banks and Financial Services — 23.1% | ||||||||||||
1,903,800 | BM&F BOVERSPA SA | 11,445,146 | BRA | |||||||||
331,215 | BNP Paribas | 21,489,817 | FRA | |||||||||
8,827,650 | China Merchants Bank Company, Ltd. | 20,206,645 | CHN | |||||||||
339,700 | Cia Brasileira de Meios de Pagamento — Class H* | 2,921,125 | BRA | |||||||||
254,600 | Deutsche Bank AG | 15,427,760 | GER | |||||||||
179,700 | Deutsche Boerse AG | 13,935,646 | GER | |||||||||
1,859,700 | Hong Kong Exchanges & Clearing, Ltd. | 28,963,141 | HNG | |||||||||
36,505,500 | Industrial and Commercial Bank of China, Ltd. — Class H | 25,483,030 | CHN | |||||||||
429,627 | Julius Baer Holding AG | 16,678,171 | SWI | |||||||||
3,512,800 | Mitsubishi UFJ Financial Group, Inc. (MUFG) | 21,805,724 | JPN | |||||||||
726,299 | National Bank of Greece SA | 20,173,982 | GRC | |||||||||
371,900 | Redecard SA | 5,722,268 | BRA | |||||||||
1,360,750 | Standard Chartered PLC | 25,521,240 | BRI | |||||||||
229,773,695 | ||||||||||||
Broadcast Services/Media — 1.0% | ||||||||||||
1,368,210 | British Sky Broadcasting Group PLC | 10,241,952 | BRI | |||||||||
Computer Equipment, Software and Services — 3.3% | ||||||||||||
599,387 | Logitech International SA* | 8,302,217 | SWI | |||||||||
605,661 | SAP AG | 24,359,496 | GER | |||||||||
32,661,713 | ||||||||||||
Consumer Goods and Services — 4.7% | ||||||||||||
514,816 | British American Tobacco PLC | 14,169,893 | BRI | |||||||||
4,323,500 | Kingfisher PLC | 12,646,950 | BRI | |||||||||
441,191 | Reckitt Benckiser Group PLC | 20,076,934 | BRI | |||||||||
46,893,777 | ||||||||||||
Diversified Operations and Services — 2.3% | ||||||||||||
299,533 | LVMH Moet Hennessy Louis Vuitton SA | 22,858,860 | FRA | |||||||||
Entertainment, Leisure and Recreation — 2.7% | ||||||||||||
800,898 | Carnival PLC | 21,174,427 | BRI | |||||||||
223,414 | OPAP SA | 5,954,907 | GRC | |||||||||
27,129,334 | ||||||||||||
Food and Beverage — 3.5% | ||||||||||||
572,154 | Nestle SA | 21,547,598 | SWI | |||||||||
661,156 | SABMiller PLC | 13,433,509 | BRI | |||||||||
34,981,107 | ||||||||||||
Insurance — 3.6% | ||||||||||||
796,324 | AXA SA | 14,958,270 | FRA | |||||||||
5,765,033 | China Life Insurance Company, Ltd. — Class H | 21,200,307 | CHN | |||||||||
36,158,577 | ||||||||||||
Internet Services — 1.3% | ||||||||||||
43,600 | Baidu, Inc. (ADR)* | 13,127,524 | CAY | |||||||||
Machinery — 2.1% | ||||||||||||
1,363,000 | KOMATSU, Ltd. | 21,109,628 | JPN | |||||||||
Manufacturing — 1.5% | ||||||||||||
188,594 | FANUC, Ltd. | 15,191,669 | JPN | |||||||||
Medical Equipment, Supplies, and Services — 4.4% | ||||||||||||
167,171 | Air Liquide SA | 15,269,317 | FRA | |||||||||
144,200 | Covidien PLC | 5,398,848 | IRE | |||||||||
297,000 | Fresenius Medical Care AG & Company | 13,286,848 | GER | |||||||||
1,387,241 | Smith & Nephew PLC | 10,258,886 | BRI | |||||||||
44,213,899 | ||||||||||||
Metals and Mining — 1.9% | ||||||||||||
688,286 | BHP Billiton, Ltd. | 19,256,432 | AUS | |||||||||
Oil, Coal and Gas — 4.9% | ||||||||||||
310,200 | Canadian Natural Resources, Ltd. | 16,318,736 | CDA | |||||||||
482,700 | Petroleo Brasileiro SA — Petrobras (ADR) | 19,781,046 | BRA | |||||||||
242,900 | Schlumberger, Ltd. | 13,143,319 | ANT | |||||||||
49,243,101 | ||||||||||||
Pharmaceuticals/Research and Development — 9.9% | ||||||||||||
423,471 | Novartis AG | 17,164,109 | SWI | |||||||||
486,349 | Novo Nordisk A/S — Class B | 26,294,335 | DEN |
116
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Shares | Value | Country | ||||||||||
Common Stocks (continued) | ||||||||||||
Pharmaceuticals/Research and Development (continued) | ||||||||||||
129,192 | Roche Holding AG | $ | 17,561,694 | SWI | ||||||||
774,800 | Teva Pharmaceutical Industries, Ltd. (ADR) | 38,228,632 | ISR | |||||||||
99,248,770 | ||||||||||||
Retail — 1.8% | ||||||||||||
6,178,200 | Wal-Mart de Mexico SAB de CV — Series V | 18,321,243 | MEX | |||||||||
Semiconductors — 1.1% | ||||||||||||
5,389,343 | ARM Holdings PLC | 10,617,687 | BRI | |||||||||
Telecommunications Equipment and Services — 11.7% | ||||||||||||
551,200 | Amdocs, Ltd. * | 11,823,240 | GCI | |||||||||
377,409 | America Movil SAB de CV — Series L (ADR) | 14,613,276 | MEX | |||||||||
776,500 | China Mobile, Ltd. | 7,774,969 | HNG | |||||||||
1,323,092 | Nokia Corp. | 19,377,669 | FIN | |||||||||
707,400 | Rogers Communications, Inc. — Class B | 18,184,465 | CDA | |||||||||
964,673 | Telefonica SA | 21,815,047 | SPA | |||||||||
1,943,017 | Turkcell Iletisim Hizmetleri AS | 10,781,928 | TUR | |||||||||
657,400 | Vodafone Group PLC (ADR) | 12,812,726 | BRI | |||||||||
117,183,320 | ||||||||||||
Toys — 1.1% | ||||||||||||
39,700 | Nintendo Company, Ltd. | 10,974,319 | JPN | |||||||||
Transportation — 1.8% | ||||||||||||
415,200 | Canadian National Railway Company | 17,837,376 | CDA | |||||||||
Utilities — 4.6% | ||||||||||||
363,213 | E. ON AG | 12,850,424 | GER | |||||||||
441,096 | Fortum Oyi | 10,036,793 | FIN | |||||||||
325,353 | Vestas Wind Systems A/S* | 23,320,708 | DEN | |||||||||
46,207,925 | ||||||||||||
Total Common Stocks (Cost $918,053,417) | 988,293,129 | |||||||||||
Principal | Value | Country | ||||||||||
Repurchase Agreements — 1.2% | ||||||||||||
$ | 12,209,573 | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $12,209,577 (Collateralized by US Treasury Bill, 0.31%, due 12/10/09, with a value of $12,457,535) (Cost $12,209,573) | $ | 12,209,573 | USA | |||||||
Total Investments — 100.0% (Cost $930,262,990) | 1,000,502,702 | |||||||||||
Liabilities less other assets — (0.0)% | (259,691 | ) | ||||||||||
Net Assets — 100.0% | $ | 1,000,243,011 | ||||||||||
Gross unrealized appreciation | $ | 97,742,100 | ||
Gross unrealized depreciation | (27,502,388 | ) | ||
Net unrealized appreciation | $ | 70,239,712 | ||
117
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
Percent of Total | ||||
Country Composition | Investments at Value | |||
Australia (AUS) | 1.93 | % | ||
Brazil (BRA) | 4.59 | |||
Canada (CDA) | 6.62 | |||
Cayman Islands (CAY) | 1.31 | |||
China (CHN) | 6.69 | |||
Denmark (DEN) | 4.96 | |||
Finland (FIN) | 2.94 | |||
France (FRA) | 7.45 | |||
Germany (GER) | 7.98 | |||
Greece (GRC) | 2.61 | |||
Guernsey, Channel Islands (GCI) | 1.18 | |||
Hong Kong (HNG) | 3.67 | |||
Ireland (IRE) | 0.54 | |||
Israel (ISR) | 3.82 | |||
Japan (JPN) | 8.95 | |||
Mexico (MEX) | 3.29 | |||
Netherlands Antillies (ANT) | 1.31 | |||
Spain (SPA) | 2.18 | |||
Sweden (SWE) | 2.47 | |||
Switzerland (SWI) | 8.12 | |||
Turkey (TUR) | 1.08 | |||
United Kingdom (BRI) | 15.09 | |||
United States (USA) | 1.22 | |||
Total Percentage | 100.00 | % | ||
118
PORTFOLIO OF INVESTMENTS
SUMMARY OF FOOTNOTES AND ABBREVIATIONS TO PORTFOLIOS
June 30, 2009
(Unaudited)
Footnotes: | ||
* | Non-income producing security. | |
144A | Securities are registered pursuant to Rule 144A of the Securities Act of 1933. These securities are deemed to be liquid for purposes of compliance limitations on holdings of illiquid securities and may be resold as transactions exempts from registration, normally to qualified institutional buyers. |
1) | Variable rate security. The rate shown was in effect at June 30, 2009. | |
2) | Quarterly reset provision. The rate shown was in effect at June 30, 2009. | |
3) | Monthly reset provision. The rate shown was in effect at June 30, 2009. | |
4) | Principal amount for this security is denominated in Euros. | |
5) | Security is segregated as initial margin for futures contracts. | |
6) | Security is segregated as collateral for swap contracts and/or for swaptions. | |
7) | Represents a zero coupon bond which will convert to an interest bearing security at a later date. | |
8) | Security has been deemed illiquid pursuant to procedures approved by the Advisor and may be difficult to sell. | |
9) | Bond is in default. | |
10) | Principal amount for this security is denominated in British Pound Sterling. | |
11) | Floating rate security. The interest rate is subject to change semi-annually based on the London Interbank Offered Rate (“LIBOR”). The rate shown was in effect at June 30, 2009. | |
12) | PIK (“Payment-In-Kind”) bond. These bonds pay interest in the form of additional bonds. | |
13) | Security was in bankruptcy reorganization at the time of maturity. Recovery will be determined at the conclusion of the bankruptcy. | |
14) | Fair valued at June 30, 2009. | |
Following are the market values (as determined by fair valuation) and the corresponding percentage of Portfolio net assets of all fair valued securities at June 30, 2009. |
Series | Market Value | Percentage | ||||||
High Quality Bond | $ | 4,328,140 | 1.08 | % | ||||
Total Return Bond | 186,000 | 0.07 | ||||||
High Yield Bond | 4,238,236 | 0.80 | ||||||
Balanced | 55,025 | 0.04 | ||||||
Small Core | — | — |
Abbreviations: | ||
ADR | American Depository Receipt. | |
HB | High Coupon Bonds (a.k.a “IO-ettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit (REMIC) trust and allocating them to the small principal of the HB class. | |
IO | Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities generally exceed yields on other mortgage- backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. These securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. | |
REG S | Security is sold under Regulation S of the Securities Act of 1933, which governs offers and sales outside the US without registration under the Securities Act of 1933. Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees. | |
TBA | To be announced. Securities are purchased on a forward commitment basis with approximate principal amount and general stated maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. | |
• Securities issued by companies registered outside the United States are denoted with their domestic country in parenthesis. | ||
• Securities designated as Supra National jurisdictions are represented by an international organization, or union, whereby member states transcend national boundaries or interests to share in the decision-making and vote on issues pertaining to the wider grouping. | ||
• Fixed income securities designated as “perpetual” are securities that make (or are scheduled to make) a steady payment of interest. They do not have a maturity date, and the interest payments are indefinite. | ||
• Footnotes and abbreviations may or may not appear in each portfolio of investments. |
119
PORTFOLIO COMPOSITION
June 30, 2009
(Unaudited)
Money Market Series | ||||
Yankee Certificates of Deposit | 34.3 | % | ||
Commercial Paper | 28.5 | |||
Short Term US Government Agency Securities | 16.6 | |||
Short Term Corporate Notes | 14.3 | |||
Time Deposit | 4.0 | |||
US Treasury Securities | 2.3 | |||
Repurchase Agreements/Cash Equivalents | 2.3 | |||
Liabilities less other assets | (2.3 | ) | ||
100.0 | % | |||
High Quality Bond Series | ||||
Corporate Bonds and Notes | 67.9 | % | ||
US Government Agency Securities | 22.4 | |||
US Treasury Securities | 7.1 | |||
Repurchase Agreements/Cash Equivalents | 1.1 | |||
Municipal Bonds | 0.9 | |||
Other assets less liabilities | 0.6 | |||
100.0 | % | |||
Inflation-Protected Securities Series | ||||
US Treasury Securities | 90.5 | % | ||
Repurchase Agreements/Cash Equivalents | 6.7 | |||
Corporate Bonds and Notes | 0.7 | |||
US Government Agency Securities | 0.2 | |||
Call Options Written | (0.2 | ) | ||
Put Options Written | (0.2 | ) | ||
Other assets less liabilities | 2.3 | |||
100.0 | % | |||
Core Bond Series | ||||
US Government Agency Securities | 52.8 | % | ||
Corporate Bonds and Notes | 51.3 | |||
US Treasury Securities | 10.8 | |||
Repurchase Agreements/Cash Equivalents | 6.7 | |||
Preferred Corporate Bonds and Notes | 2.5 | |||
Foreign Government Obligations | 1.7 | |||
Municipal Bonds | 1.1 | |||
Purchased Put Options | 0.2 | |||
Purchased Call Options | 0.1 | |||
Put Options Written | (0.9 | ) | ||
Call Options Written | (1.1 | ) | ||
Securities Sold Short | (18.2 | ) | ||
Liabilities less other assets | (7.0 | ) | ||
100.0 | % | |||
Total Return Bond Series | ||||
Corporate Bonds and Notes | 56.8 | % | ||
US Government Agency Securities | 44.1 | |||
US Treasury Securities | 3.8 | |||
Preferred Corporate Bonds and Notes | 2.0 | |||
Repurchase Agreements/Cash Equivalents | 0.6 | |||
Foreign Government Obligations | 0.3 | |||
Municipal Bonds | 0.2 | |||
Preferred Stocks | 0.1 | |||
Put Options Written | (0.0 | )* | ||
Call Options Written | (0.0 | )* | ||
Liabilities less other assets | (7.9 | ) | ||
100.0 | % | |||
High Yield Bond Series | ||||
Corporate Bonds and Notes | 87.7 | % | ||
Loan Participations | 9.3 | |||
Convertible Bonds | 0.7 | |||
Repurchase Agreements/Cash Equivalents | 0.6 | |||
Convertible Preferred Stocks | 0.4 | |||
Preferred Stocks | 0.1 | |||
Common Stocks | 0.0 | * | ||
Other assets less liabilities | 1.2 | |||
100.0 | % | |||
Balanced Series | ||||
Common Stocks | 60.0 | % | ||
Corporate Bonds and Notes | 24.9 | |||
US Government Agency Securities | 12.3 | |||
Repurchase Agreements/Cash Equivalents | 5.6 | |||
Preferred Corporate Bonds and Notes | 0.9 | |||
Municipal Bonds | 0.6 | |||
US Treasury Securities | 0.5 | |||
Preferred Stocks | 0.1 | |||
Put Options Written | (0.0 | )* | ||
Call Options Written | (0.0 | )* | ||
Liabilities less other assets | (4.9 | ) | ||
100.0 | % | |||
Large Value Series | ||||
Common Stocks | 98.1 | % | ||
Repurchase Agreements/Cash Equivalents | 2.2 | |||
Liabilities less other assets | (0.3 | ) | ||
100.0 | % | |||
120
PORTFOLIO COMPOSITION (Continued)
June 30, 2009
(Unaudited)
Value Series | ||||
Common Stocks | 96.8 | % | ||
Repurchase Agreements/Cash Equivalents | 1.9 | |||
Preferred Stocks | 1.6 | |||
Liabilities less other assets | (0.3 | ) | ||
100.0 | % | |||
Large Core Series | ||||
Common Stocks | 98.7 | % | ||
Repurchase Agreements/Cash Equivalents | 1.3 | |||
Liabilities less other assets | (0.0 | )* | ||
100.0 | % | |||
Large Growth Series | ||||
Common Stocks | 97.1 | % | ||
Repurchase Agreements/Cash Equivalents | 2.6 | |||
Other assets less liabilities | 0.3 | |||
100.0 | % | |||
Growth Series | ||||
Common Stocks | 99.2 | % | ||
Repurchase Agreements/Cash Equivalents | 0.2 | |||
Other assets less liabilities | 0.6 | |||
100.0 | % | |||
Mid Value Series | ||||
Common Stocks | 96.6 | % | ||
Repurchase Agreements/Cash Equivalents | 2.6 | |||
Short Term Commercial Paper | 0.6 | |||
Convertible Bonds | 0.0 | * | ||
Other assets less liabilities | 0.2 | |||
100.0 | % | |||
Mid Growth Series | ||||
Common Stocks | 97.9 | % | ||
Repurchase Agreements/Cash Equivalents | 2.7 | |||
Liabilities less other assets | (0.6 | ) | ||
100.0 | % | |||
Small Value Series | ||||
Common Stocks | 97.1 | % | ||
Repurchase Agreements/Cash Equivalents | 3.4 | |||
Liabilities less other assets | (0.5 | ) | ||
100.0 | % | |||
Small Core Series | ||||
Common Stocks | 98.0 | % | ||
Repurchase Agreements/Cash Equivalents | 1.0 | |||
Short Term US Treasury Securities | 0.1 | |||
Warrants | 0.0 | * | ||
Other assets less liabilities | 0.9 | |||
100.0 | % | |||
Small Growth Series | ||||
Common Stocks | 98.5 | % | ||
Repurchase Agreements/Cash Equivalents | 1.2 | |||
Warrants | 0.0 | * | ||
Other assets less liabilities | 0.3 | |||
100.0 | % | |||
International Equity Series | �� | |||
Common Stocks | 98.8 | % | ||
Repurchase Agreements/Cash Equivalents | 1.2 | |||
Liabilities less other assets | (0.0 | )* | ||
100.0 | % | |||
* | Amount rounds to less than 0.05% or (0.05)%. |
121
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
122
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
123
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
US Treasury Note | $ | — | $ | 28,514,603 | $ | — | $ | 28,514,603 | ||||||||
Commercial Paper | — | 351,869,529 | — | 351,869,529 | ||||||||||||
Yankee Certificates of Deposit | — | 422,742,126 | — | 422,742,126 | ||||||||||||
Short Term Us Government Agency Securities | — | 204,231,994 | — | 204,231,994 | ||||||||||||
Short Term Corporate Notes | — | 176,390,044 | — | 176,390,044 | ||||||||||||
Time Deposit | — | 49,850,000 | — | 49,850,000 | ||||||||||||
Repurchase Agreements | — | 28,836,884 | — | 28,836,884 | ||||||||||||
Total | $ | — | $ | 1,262,435,180 | $ | — | $ | 1,262,435,180 | ||||||||
124
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Fixed Income — Asset-Backed Security | $ | — | $ | 106,351,582 | $ | 3,800,294 | $ | 110,151,876 | ||||||||
Fixed Income — Consumer Discretionary | — | 3,166,732 | — | 3,166,732 | ||||||||||||
Fixed Income — Consumer Staples | — | 7,991,017 | — | 7,991,017 | ||||||||||||
Fixed Income — Financials | — | 83,136,632 | — | 83,136,632 | ||||||||||||
Fixed Income — Industrials | — | 2,385,342 | — | 2,385,342 | ||||||||||||
Fixed Income — Information Technology | — | 2,996,775 | — | 2,996,775 | ||||||||||||
Fixed Income — Materials | — | 1,889,802 | — | 1,889,802 | ||||||||||||
Fixed Income — Mortgage-Backed Security | — | 48,274,244 | — | 48,274,244 | ||||||||||||
Fixed Income — Telecommunication Services | — | 9,213,006 | — | 9,213,006 | ||||||||||||
Fixed Income — U.S. Government Agency Obligation | — | 89,897,140 | — | 89,897,140 | ||||||||||||
Fixed Income — U.S. Government Obligation | — | 28,600,924 | — | 28,600,924 | ||||||||||||
Fixed Income — Utilities | — | 6,798,472 | — | 6,798,472 | ||||||||||||
Cash & Cash Equivalent — Repurchase Agreement | — | 4,604,867 | — | 4,604,867 | ||||||||||||
Total | $ | — | $ | 395,306,535 | $ | 3,800,294 | $ | 399,106,829 | ||||||||
Beginning | Total | Total | Ending | |||||||||||||||||||||||||
Investment | Balance at | Net | Accrued | Realized | Unrealized | Net Transfers | Balance at | |||||||||||||||||||||
Securities | 12/31/2008 | Purchases/(Sales) | Discounts/(Premiums) | Gain/(Loss) | Appreciation/(Depreciation) | In/(Out) of Level 3 | 06/30/2009 | |||||||||||||||||||||
Fixed Income — Asset-Backed Security | $ | — | $ | (1,015,515 | ) | $ | 121 | $ | 10,949 | $ | (275,261 | ) | $ | 5,080,000 | $ | 3,800,294 |
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Fixed Income — Asset-Backed Security | $ | — | $ | 115,613 | $ | — | $ | 115,613 | ||||||||
Fixed Income — Financials | — | 1,599,348 | — | 1,599,348 | ||||||||||||
Fixed Income — Mortgage-Backed Security | — | 656,117 | — | 656,117 | ||||||||||||
Fixed Income — U.S. Government Agency Obligation | — | 844,967 | — | 844,967 | ||||||||||||
Fixed Income — U.S. Government Obligation | — | 327,421,304 | — | 327,421,304 | ||||||||||||
Cash & Cash Equivalent — Repurchase Agreement | — | 24,097,428 | — | 24,097,428 | ||||||||||||
Total | $ | — | $ | 354,734,777 | $ | — | $ | 354,734,777 | ||||||||
Other Financial Instruments,* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Contracts | $ | — | $ | 76,698 | $ | — | $ | 76,698 | ||||||||
Interest Rate Swaps | — | 93,847 | — | 93,847 | ||||||||||||
Futures | — | 371,992 | — | 371,992 | ||||||||||||
Written Swaptions | — | 9,996 | — | 9,996 | ||||||||||||
Total | $ | — | $ | 552,533 | $ | — | $ | 552,533 | ||||||||
* | Other financial instruments are valued at unrealized appreciation (depreciation). |
125
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Derivative | $ | — | $ | 4,930,554 | $ | — | $ | 4,930,554 | ||||||||
Fixed Income — Asset-Backed Security | — | 398,124,493 | — | 398,124,493 | ||||||||||||
Fixed Income — Consumer Discretionary | — | 5,071,921 | — | 5,071,921 | ||||||||||||
Fixed Income — Consumer Staples | — | 10,102,982 | — | 10,102,982 | ||||||||||||
Fixed Income — Energy | — | 29,026,905 | — | 29,026,905 | ||||||||||||
Fixed Income — Financials | — | 227,275,695 | — | 227,275,695 | ||||||||||||
Fixed Income — Foreign Government Obligation | — | 24,608,363 | — | 24,608,363 | ||||||||||||
Fixed Income — Health Care | — | 30,097,611 | — | 30,097,611 | ||||||||||||
Fixed Income — Industrials | — | 13,883,245 | — | 13,883,245 | ||||||||||||
Fixed Income — Information Technology | — | 33,940,509 | — | 33,940,509 | ||||||||||||
Fixed Income — Materials | — | 5,600,815 | — | 5,600,815 | ||||||||||||
Fixed Income — Municipal Government Obligation | — | 16,872,052 | — | 16,872,052 | ||||||||||||
Fixed Income — Telecommunication Services | — | 53,673,798 | — | 53,673,798 | ||||||||||||
Fixed Income — U.S. Government Agency Obligation | — | 756,708,654 | — | 756,708,654 | ||||||||||||
Fixed Income — U.S. Government Obligation | — | 158,514,939 | — | 158,514,939 | ||||||||||||
Fixed Income — Utilities | — | 8,521,725 | — | 8,521,725 | ||||||||||||
Cash & Cash Equivalent — Repurchase Agreement | — | 99,090,576 | — | 99,090,576 | ||||||||||||
Total | $ | — | $ | 1,876,044,837 | $ | — | $ | 1,876,044,837 | ||||||||
Other Financial Instruments,* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Contracts | $ | — | $ | (430,511 | ) | $ | — | $ | (430,511 | ) | ||||||
Interest Rate Swaps | — | 6,336,883 | — | 6,336,883 | ||||||||||||
Credit Default Swaps | — | 353,644 | — | 353,644 | ||||||||||||
Written Swaptions | — | (940,826 | ) | — | (940,826 | ) | ||||||||||
Futures | — | 452,303 | — | 452,303 | ||||||||||||
Written Options | — | 166,728 | — | 166,728 | ||||||||||||
Total | $ | — | $ | 5,938,221 | $ | — | $ | 5,938,221 | ||||||||
Securities Sold Short* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Fixed Income — U.S. Government Agency Obligation | $ | — | $ | (508,928 | ) | $ | — | $ | (508,928 | ) |
* | Other financial instruments are valued at unrealized appreciation (depreciation). |
126
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Financials | $ | 242,955 | $ | — | $ | — | $ | 242,955 | ||||||||
Fixed Income — Asset-Backed Security | — | 14,168,633 | — | 14,168,633 | ||||||||||||
Fixed Income — Consumer Discretionary | — | 6,394,920 | — | 6,394,920 | ||||||||||||
Fixed Income — Consumer Staples | — | 3,163,017 | — | 3,163,017 | ||||||||||||
Fixed Income — Energy | — | 23,545,929 | — | 23,545,929 | ||||||||||||
Fixed Income — Financials | — | 38,934,542 | 186,000 | 39,120,542 | ||||||||||||
Fixed Income — Foreign Government Obligation | — | 707,477 | — | 707,477 | ||||||||||||
Fixed Income — Health Care | — | 3,016,337 | — | 3,016,337 | ||||||||||||
Fixed Income — Industrials | — | 2,562,635 | — | 2,562,635 | ||||||||||||
Fixed Income — Information Technology | — | 387,100 | — | 387,100 | ||||||||||||
Fixed Income — Materials | — | 6,081,444 | — | 6,081,444 | ||||||||||||
Fixed Income — Mortgage-Backed Security | — | 36,140,915 | — | 36,140,915 | ||||||||||||
Fixed Income — Municipal Government Obligation | — | 439,208 | — | 439,208 | ||||||||||||
Fixed Income — Telecommunication Services | — | 10,026,904 | — | 10,026,904 | ||||||||||||
Fixed Income — U.S. Government Agency Obligation | — | 112,873,719 | — | 112,873,719 | ||||||||||||
Fixed Income — U.S. Government Obligation | — | 9,685,890 | — | 9,685,890 | ||||||||||||
Fixed Income — Utilities | — | 7,110,919 | — | 7,110,919 | ||||||||||||
Cash & Cash Equivalent — Repurchase Agreement | — | 1,416,448 | — | 1,416,448 | ||||||||||||
Total | $ | 242,955 | $ | 276,656,037 | $ | 186,000 | $ | 277,084,992 | ||||||||
Other Financial Instruments* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Contracts | $ | — | $ | (96,082 | ) | $ | — | $ | (96,082 | ) | ||||||
Futures | — | 371,007 | — | 371,007 | ||||||||||||
Written Options | — | 89,138 | — | 89,138 | ||||||||||||
Total | $ | — | $ | 364,063 | $ | — | $ | 364,063 | ||||||||
Beginning | Total | Ending | ||||||||||||||||||||||||||
Balance | Net | Accrued | Total Realized | Unrealized | Net Transfers | Balance at | ||||||||||||||||||||||
Securities | at 12/31/2008 | Purchases/(Sales) | Discounts/(Premiums) | Gain/(Loss) | Appreciation/(Depreciation) | In/(Out) of Level 3 | 06/30/2009 | |||||||||||||||||||||
Fixed Income — Financials | $ | 144,000 | $ | — | $ | 5,491 | $ | — | $ | 36,509 | $ | — | $ | 186,000 | ||||||||||||||
Equities — Financials | 1,821,661 | — | — | — | — | (1,821,661 | ) | — | ||||||||||||||||||||
Total | $ | 1,965,661 | $ | — | $ | 5,491 | $ | — | $ | 36,509 | $ | (1,821,661 | ) | $ | 186,000 | |||||||||||||
* | Other financial instruments are valued at unrealized appreciation (depreciation). |
127
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Consumer Discretionary | $ | — | $ | — | $ | 12,055 | $ | 12,055 | ||||||||
Equities — Energy | 1,362,131 | — | — | 1,362,131 | ||||||||||||
Equities — Industrials | 70,829 | — | — | 70,829 | ||||||||||||
Equities — Telecommunication Services | 893,011 | — | — | 893,011 | ||||||||||||
Equities — Utilities | — | — | 56 | 56 | ||||||||||||
Fixed Income — Asset-Backed Security | — | 315,524 | — | 315,524 | ||||||||||||
Fixed Income — Consumer Discretionary | — | 158,647,441 | 4,180,581 | 162,828,022 | ||||||||||||
Fixed Income — Consumer Staples | — | 34,498,094 | — | 34,498,094 | ||||||||||||
Fixed Income — Energy | — | 47,840,780 | — | 47,840,780 | ||||||||||||
Fixed Income — Financials | — | 40,934,055 | — | 40,934,055 | ||||||||||||
Fixed Income — Health Care | — | 40,215,603 | — | 40,215,603 | ||||||||||||
Fixed Income — Industrials | — | 55,888,539 | 72 | 55,888,611 | ||||||||||||
Fixed Income — Information Technology | — | 23,900,596 | — | 23,900,596 | ||||||||||||
Fixed Income — Materials | — | 47,165,109 | — | 47,165,109 | ||||||||||||
Fixed Income — Telecommunication Services | — | 50,242,286 | — | 50,242,286 | ||||||||||||
Fixed Income — Utilities | — | 14,622,493 | — | 14,622,493 | ||||||||||||
Investment Company — Financials | — | — | 67,445 | 67,445 | ||||||||||||
Cash & Cash Equivalent — Repurchase Agreement | — | 2,968,343 | — | 2,968,343 | ||||||||||||
Total | $ | 2,325,971 | $ | 517,238,863 | $ | 4,260,209 | $ | 523,825,043 | ||||||||
Beginning | Total | Net Transfers | Ending | |||||||||||||||||||||||||
Balance at | Net | Accrued | Total Realized | Unrealized | In/(Out) of | Balance at | ||||||||||||||||||||||
Securities | 12/31/2008 | Purchases/(Sales) | Discounts/(Premiums) | Gain/(Loss) | Appreciation/(Depreciation) | Level 3 | 06/30/2009 | |||||||||||||||||||||
Equities — Consumer Discretionary | $ | 14,313 | $ | — | $ | — | $ | — | $ | (2,258 | ) | $ | — | $ | 12,055 | |||||||||||||
Equities — Utilities | 177 | — | — | — | (121 | ) | — | 56 | ||||||||||||||||||||
Fixed Income — Consumer Discretionary | 4,719,475 | (464,798 | ) | 3,648 | 23,195 | (100,939 | ) | — | 4,180,581 | |||||||||||||||||||
Fixed Income — Industrials | 72 | — | — | — | — | — | 72 | |||||||||||||||||||||
Investment Company — Financials | 47,212 | — | — | — | 20,233 | — | 67,445 | |||||||||||||||||||||
Total | $ | 4,781,249 | $ | (464,798 | ) | $ | 3,648 | $ | 23,195 | $ | (83,085 | ) | $ | — | $ | 4,260,209 | ||||||||||||
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Consumer Discretionary | $ | 8,779,386 | $ | — | $ | — | $ | 8,779,386 |
128
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Consumer Staples | 18,264,947 | — | — | 18,264,947 | ||||||||||||
Equities — Energy | 11,393,177 | — | — | 11,393,177 | ||||||||||||
Equities — Financials | 12,513,868 | — | — | 12,513,868 | ||||||||||||
Equities — Health Care | 12,295,784 | — | — | 12,295,784 | ||||||||||||
Equities — Industrials | 7,704,764 | — | — | 7,704,764 | ||||||||||||
Equities — Information Technology | 9,050,333 | — | — | 9,050,333 | ||||||||||||
Equities — Materials | 1,802,895 | — | — | 1,802,895 | ||||||||||||
Equities — Telecommunication Services | 4,285,250 | — | — | 4,285,250 | ||||||||||||
Equities — Utilities | 2,555,667 | — | — | 2,555,667 | ||||||||||||
Fixed Income — Asset-Backed Security | — | 14,607,542 | — | 14,607,542 | ||||||||||||
Fixed Income — Consumer Discretionary | — | 1,179,817 | — | 1,179,817 | ||||||||||||
Fixed Income — Consumer Staples | — | 630,617 | — | 630,617 | ||||||||||||
Fixed Income — Energy | — | 4,461,824 | — | 4,461,824 | ||||||||||||
Fixed Income — Financials | — | 7,924,295 | 55,025 | 7,979,320 | ||||||||||||
Fixed Income — Health Care | — | 852,733 | — | 852,733 | ||||||||||||
Fixed Income — Industrials | — | 1,946,677 | — | 1,946,677 | ||||||||||||
Fixed Income — Information Technology | — | 1,113,814 | — | 1,113,814 | ||||||||||||
Fixed Income — Materials | — | 143,190 | — | 143,190 | ||||||||||||
Fixed Income — Municipal Government Obligation | — | 941,917 | — | 941,917 | ||||||||||||
Fixed Income — Telecommunication Services | — | 2,662,026 | — | 2,662,026 | ||||||||||||
Fixed Income — U.S. Government Agency Obligation | — | 18,119,263 | — | 18,119,263 | ||||||||||||
Fixed Income — U.S. Government Obligation | — | 712,641 | — | 712,641 | ||||||||||||
Fixed Income — Utilities | — | 2,610,855 | — | 2,610,855 | ||||||||||||
Cash & Cash Equivalent — Repurchase Agreement | — | 8,313,730 | — | 8,313,730 | ||||||||||||
Total | $ | 88,646,071 | $ | 66,220,941 | $ | 55,025 | $ | 154,922,037 | ||||||||
Other Financial Instruments* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures | $ | — | $ | 272,452 | $ | — | $ | 272,452 | ||||||||
Forward Contracts | — | (22,280 | ) | — | (22,280 | ) | ||||||||||
Written Options | — | (6,968 | ) | — | (6,968 | ) | ||||||||||
Total | $ | — | $ | 243,204 | $ | — | $ | 243,204 | ||||||||
Beginning | Total | Ending | ||||||||||||||||||||||||||
Balance | Net | Accrued | Total Realized | Unrealized | Net Transfers | Balance at | ||||||||||||||||||||||
Securities | at 12/31/2008 | Purchases/(Sales) | Discounts/(Premiums) | Gain/(Loss) | Appreciation/(Depreciation) | In/(Out) of Level 3 | 06/30/2009 | |||||||||||||||||||||
Fixed Income — Financials | $ | 42,600 | $ | — | $ | 6,450 | $ | — | $ | 5,975 | $ | — | $ | 55,025 | ||||||||||||||
Equities — Financials | 895,184 | — | — | — | — | (895,184 | ) | — | ||||||||||||||||||||
Total | $ | 937,784 | $ | — | $ | 6,450 | $ | — | $ | 5,975 | $ | (895,184 | ) | $ | 55,025 | |||||||||||||
129
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
* | Other financial instruments are valued at unrealized appreciation (depreciation). |
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Consumer Discretionary | $ | 106,894,242 | $ | — | $ | — | $ | 106,894,242 | ||||||||
Equities — Consumer Staples | 75,121,830 | — | — | 75,121,830 | ||||||||||||
Equities — Energy | 224,459,229 | — | — | 224,459,229 | ||||||||||||
Equities — Financials | 268,201,741 | — | — | 268,201,741 | ||||||||||||
Equities — Health Care | 127,381,295 | — | — | 127,381,295 | ||||||||||||
Equities — Industrials | 116,647,033 | — | — | 116,647,033 | ||||||||||||
Equities — Information Technology | 67,232,649 | — | — | 67,232,649 | ||||||||||||
Equities — Materials | 32,720,738 | — | — | 32,720,738 | ||||||||||||
Equities — Telecommunication Services | 74,427,092 | — | — | 74,427,092 | ||||||||||||
Equities — Utilities | 84,832,798 | — | — | 84,832,798 | ||||||||||||
Cash & Cash Equivalent — Repurchase Agreement | — | 26,800,488 | — | 26,800,488 | ||||||||||||
Total | $ | 1,177,918,647 | $ | 26,800,488 | $ | — | $ | 1,204,719,135 | ||||||||
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Consumer Discretionary | $ | 3,132,531 | $ | — | $ | — | $ | 3,132,531 | ||||||||
Equities — Consumer Staples | 4,744,567 | — | — | 4,744,567 | ||||||||||||
Equities — Energy | 2,044,572 | — | — | 2,044,572 | ||||||||||||
Equities — Financials | 12,891,208 | — | — | 12,891,208 | ||||||||||||
Equities — Health Care | 4,603,979 | — | — | 4,603,979 | ||||||||||||
Equities — Industrials | 5,541,232 | — | — | 5,541,232 | ||||||||||||
Equities — Information Technology | 7,108,828 | — | — | 7,108,828 | ||||||||||||
Equities — Materials | 1,361,548 | — | — | 1,361,548 | ||||||||||||
Equities — Telecommunication Services | 917,979 | — | — | 917,979 | ||||||||||||
Equities — Utilities | 3,247,885 | — | — | 3,247,885 | ||||||||||||
Cash & Cash Equivalent — Repurchase Agreement | — | 883,119 | — | 883,119 | ||||||||||||
Total | $ | 45,594,329 | $ | 883,119 | $ | — | $ | 46,477,448 | ||||||||
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Consumer Discretionary | $ | 28,444,276 | $ | — | $ | — | $ | 28,444,276 | ||||||||
Equities — Consumer Staples | 26,875,635 | — | — | 26,875,635 | ||||||||||||
Equities — Energy | 28,441,381 | — | — | 28,441,381 | ||||||||||||
Equities — Financials | 32,526,577 | — | — | 32,526,577 | ||||||||||||
Equities — Health Care | 33,949,065 | — | — | 33,949,065 | ||||||||||||
Equities — Industrials | 23,246,161 | — | — | 23,246,161 |
130
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Information Technology | 47,313,935 | — | — | 47,313,935 | ||||||||||||
Equities — Materials | 8,749,222 | — | — | 8,749,222 | ||||||||||||
Equities — Telecommunication Services | 7,631,793 | — | — | 7,631,793 | ||||||||||||
Equities — Utilities | 9,253,605 | — | — | 9,253,605 | ||||||||||||
Cash & Cash Equivalent — Repurchase Agreement | — | 3,343,117 | — | 3,343,117 | ||||||||||||
Total | $ | 246,431,650 | $ | 3,343,117 | $ | — | $ | 249,774,767 | ||||||||
Other Financial Instruments* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures | $ | — | $ | (7,096 | ) | $ | — | $ | (7,096 | ) | ||||||
* | Other financial instruments are valued at unrealized appreciation (depreciation). |
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Consumer Discretionary | $ | 122,984,353 | $ | — | $ | — | $ | 122,984,353 | ||||||||
Equities — Consumer Staples | 73,174,507 | — | — | 73,174,507 | ||||||||||||
Equities — Energy | 90,804,067 | — | — | 90,804,067 | ||||||||||||
Equities — Financials | 113,647,809 | — | — | 113,647,809 | ||||||||||||
Equities — Health Care | 90,168,001 | — | — | 90,168,001 | ||||||||||||
Equities — Industrials | 120,225,452 | — | — | 120,225,452 | ||||||||||||
Equities — Information Technology | 393,694,165 | — | — | 393,694,165 | ||||||||||||
Equities — Materials | 58,283,717 | — | — | 58,283,717 | ||||||||||||
Equities — Telecommunication Services | 19,633,633 | — | — | 19,633,633 | ||||||||||||
Equities — Utilities | 2,474,070 | — | — | 2,474,070 | ||||||||||||
Cash & Cash Equivalent — Repurchase Agreement | — | 29,407,920 | — | 29,407,920 | ||||||||||||
Total | $ | 1,085,089,774 | $ | 29,407,920 | $ | — | $ | 1,114,497,694 | ||||||||
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Consumer Discretionary | $ | 26,350,565 | $ | — | $ | — | $ | 26,350,565 | ||||||||
Equities — Consumer Staples | 9,462,451 | — | — | 9,462,451 | ||||||||||||
Equities — Energy | 11,929,780 | — | — | 11,929,780 | ||||||||||||
Equities — Financials | 12,594,099 | — | — | 12,594,099 | ||||||||||||
Equities — Health Care | 23,632,799 | — | — | 23,632,799 | ||||||||||||
Equities — Industrials | 8,264,795 | — | — | 8,264,795 | ||||||||||||
Equities — Information Technology | 73,949,413 | — | — | 73,949,413 | ||||||||||||
Equities — Materials | 12,435,666 | — | — | 12,435,666 | ||||||||||||
Equities — Telecommunication Services | 4,052,821 | — | — | 4,052,821 |
131
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Cash & Cash Equivalent — Repurchase Agreement | — | 307,387 | — | 307,387 | ||||||||||||
Total | $ | 182,672,389 | $ | 307,387 | $ | — | $ | 182,979,776 | ||||||||
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Consumer Discretionary | $ | 77,232,630 | $ | — | $ | — | $ | 77,232,630 | ||||||||
Equities — Consumer Staples | 34,389,141 | — | — | 34,389,141 | ||||||||||||
Equities — Energy | 40,891,089 | — | — | 40,891,089 | ||||||||||||
Equities — Financials | 124,569,162 | — | — | 124,569,162 | ||||||||||||
Equities — Health Care | 61,310,531 | — | — | 61,310,531 | ||||||||||||
Equities — Industrials | 89,470,802 | — | — | 89,470,802 | ||||||||||||
Equities — Information Technology | 103,600,641 | — | — | 103,600,641 | ||||||||||||
Equities — Materials | 37,453,183 | — | — | 37,453,183 | ||||||||||||
Equities — Telecommunication Services | 9,302,986 | — | — | 9,302,986 | ||||||||||||
Equities — Utilities | 59,188,042 | — | — | 59,188,042 | ||||||||||||
Fixed Income — Telecommunication Services | — | 247,235 | — | 247,235 | ||||||||||||
Cash & Cash Equivalent — Financials | — | 4,200,000 | — | 4,200,000 | ||||||||||||
Cash & Cash Equivalent — Repurchase Agreement | — | 17,340,169 | — | 17,340,169 | ||||||||||||
Total | $ | 637,408,207 | $ | 21,787,404 | $ | — | $ | 659,195,611 | ||||||||
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Consumer Discretionary | $ | 44,124,035 | $ | — | $ | — | $ | 44,124,035 | ||||||||
Equities — Consumer Staples | 6,385,945 | — | — | 6,385,945 | ||||||||||||
Equities — Energy | 14,882,351 | — | — | 14,882,351 | ||||||||||||
Equities — Financials | 22,079,909 | — | — | 22,079,909 | ||||||||||||
Equities — Health Care | 26,838,476 | — | — | 26,838,476 | ||||||||||||
Equities — Industrials | 26,855,192 | — | — | 26,855,192 | ||||||||||||
Equities — Information Technology | 66,854,431 | — | — | 66,854,431 | ||||||||||||
Equities — Materials | 7,054,879 | — | — | 7,054,879 | ||||||||||||
Equities — Telecommunication Services | 3,633,962 | — | — | 3,633,962 | ||||||||||||
Cash & Cash Equivalent — Repurchase Agreement | — | 5,939,419 | — | 5,939,419 | ||||||||||||
Total | $ | 218,709,180 | $ | 5,939,419 | $ | — | $ | 224,648,599 | ||||||||
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Consumer Discretionary | $ | 18,238,415 | $ | — | $ | — | $ | 18,238,415 |
132
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Consumer Staples | 4,155,781 | — | — | 4,155,781 | ||||||||||||
Equities — Energy | 11,525,328 | — | — | 11,525,328 | ||||||||||||
Equities — Financials | 38,743,355 | — | — | 38,743,355 | ||||||||||||
Equities — Health Care | 10,080,164 | — | — | 10,080,164 | ||||||||||||
Equities — Industrials | 28,258,626 | — | — | 28,258,626 | ||||||||||||
Equities — Information Technology | 11,927,619 | — | — | 11,927,619 | ||||||||||||
Equities — Materials | 3,722,113 | — | — | 3,722,113 | ||||||||||||
Equities — Telecommunication Services | 553,516 | — | — | 553,516 | ||||||||||||
Equities — Utilities | 8,184,219 | — | — | 8,184,219 | ||||||||||||
Cash & Cash Equivalent — Repurchase Agreement | — | 4,796,774 | — | 4,796,774 | ||||||||||||
Total | $ | 135,389,136 | $ | 4,796,774 | $ | — | $ | 140,185,910 | ||||||||
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Consumer Discretionary | $ | 46,084,906 | $ | — | $ | — | $ | 46,084,906 | ||||||||
Equities — Consumer Staples | 11,294,809 | — | — | 11,294,809 | ||||||||||||
Equities — Energy | 13,063,519 | — | — | 13,063,519 | ||||||||||||
Equities — Financials | 60,104,815 | — | — | 60,104,815 | ||||||||||||
Equities — Health Care | 45,456,084 | — | — | 45,456,084 | ||||||||||||
Equities — Industrials | 50,866,033 | — | — | 50,866,033 | ||||||||||||
Equities — Information Technology | 53,261,822 | — | — | 53,261,822 | ||||||||||||
Equities — Materials | 11,521,190 | — | — | 11,521,190 | ||||||||||||
Equities — Telecommunication Services | 3,786,529 | — | — | 3,786,529 | ||||||||||||
Equities — Utilities | 12,092,421 | — | — | 12,092,421 | ||||||||||||
Cash & Cash Equivalent — Repurchase Agreement | — | 3,217,403 | — | 3,217,403 | ||||||||||||
Cash & Cash Equivalent — Short-Term U.S. Government Obligation | — | 429,856 | — | 429,856 | ||||||||||||
Total | $ | 307,532,128 | $ | 3,647,259 | $ | — | $ | 311,179,387 | ||||||||
Other Financial Instruments* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures | $ | — | $ | (6,776 | ) | $ | — | $ | (6,776 | ) |
* | Other financial instruments are valued at unrealized appreciation (depreciation). |
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Consumer Discretionary | $ | 25,065,936 | $ | — | $ | — | $ | 25,065,936 | ||||||||
Equities — Consumer Staples | 4,876,039 | — | — | 4,876,039 |
133
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Energy | 7,123,412 | — | — | 7,123,412 | ||||||||||||
Equities — Financials | 10,146,851 | — | — | 10,146,851 | ||||||||||||
Equities — Health Care | 25,100,873 | — | — | 25,100,873 | ||||||||||||
Equities — Industrials | 31,951,211 | — | — | 31,951,211 | ||||||||||||
Equities — Information Technology | 43,082,658 | — | — | 43,082,658 | ||||||||||||
Equities — Materials | 4,076,456 | — | — | 4,076,456 | ||||||||||||
Equities — Telecommunication Services | 1,784,150 | — | — | 1,784,150 | ||||||||||||
Equities — Utilities | 902,967 | — | — | 902,967 | ||||||||||||
Cash & Cash Equivalent — Repurchase Agreement | — | 1,800,577 | — | 1,800,577 | ||||||||||||
Total | $ | 154,110,553 | $ | 1,800,577 | $ | — | $ | 155,911,130 | ||||||||
Investment Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equities — Consumer Discretionary | $ | 126,343,684 | $ | — | $ | — | $ | 126,343,684 | ||||||||
Equities — Consumer Staples | 87,549,177 | — | — | 87,549,177 | ||||||||||||
Equities — Energy | 49,243,101 | — | — | 49,243,101 | ||||||||||||
Equities — Financials | 257,288,879 | — | — | 257,288,879 | ||||||||||||
Equities — Health Care | 122,794,503 | — | — | 122,794,503 | ||||||||||||
Equities — Industrials | 83,472,318 | — | — | 83,472,318 | ||||||||||||
Equities — Information Technology | 104,304,420 | — | — | 104,304,420 | ||||||||||||
Equities — Materials | 48,427,419 | — | — | 48,427,419 | ||||||||||||
Equities — Telecommunication Services | 85,982,411 | — | — | 85,982,411 | ||||||||||||
Equities — Utilities | 22,887,217 | — | — | 22,887,217 | ||||||||||||
Cash & Cash Equivalent — Repurchase Agreement | — | 12,209,573 | — | 12,209,573 | ||||||||||||
Total | $ | 988,293,129 | $ | 12,209,573 | $ | — | $ | 1,000,502,702 | ||||||||
Other Financial Instruments* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Contracts | $ | — | $ | (110,737 | ) | $ | — | $ | (110,737 | ) |
* | Other financial instruments are valued at unrealized appreciation (depreciation). |
134
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
135
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Inflation-Protected | ||||||||||||||||
Securities | Core Bond | |||||||||||||||
Number of | Number of | |||||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Written call options outstanding at December 31, 2008 | — | $ | — | 55,600,000 | $ | 2,789,320 | ||||||||||
Call options written | 14,700,000 | 740,145 | 339,200,000 | 16,511,800 | ||||||||||||
Call options terminated in closing purchase transactions | — | — | (89,700,000 | ) | (4,573,875 | ) | ||||||||||
Call options expired | — | — | — | — | ||||||||||||
Written call options outstanding at June 30, 2009 | 14,700,000 | $ | 740,145 | 305,100,000 | $ | 14,727,245 | ||||||||||
Written put options outstanding at December 31, 2008 | — | $ | — | 55,600,000 | $ | 2,789,320 | ||||||||||
Put options written | 14,700,000 | 740,145 | 339,202,375 | 17,949,715 | ||||||||||||
Put options terminated in closing purchase transactions | — | — | (89,700,731 | ) | (5,051,833 | ) | ||||||||||
Put options expired | — | — | (1,518 | ) | (732,197 | ) | ||||||||||
Written put options outstanding at June 30, 2009 | 14,700,000 | $ | 740,145 | 305,100,126 | $ | 14,955,005 | ||||||||||
136
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Total Return Bond | Balanced | |||||||||||||||
Number of | Number of | |||||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Written call options outstanding at December 31, 2008 | 364 | $ | 299,434 | 106 | $ | 86,010 | ||||||||||
Call options written | 439 | 242,740 | 89 | 48,947 | ||||||||||||
Call options terminated in closing purchase transactions | (613 | ) | (445,954 | ) | (152 | ) | (111,591 | ) | ||||||||
Call options expired | (116 | ) | (56,084 | ) | (38 | ) | (19,239 | ) | ||||||||
Written call options outstanding at June 30, 2009 | 74 | $ | 40,136 | 5 | $ | 4,127 | ||||||||||
Written put options outstanding at December 31, 2008 | 496 | $ | 490,812 | 122 | $ | 119,957 | ||||||||||
Put options written | 684 | 652,575 | 142 | 135,186 | ||||||||||||
Put options terminated in closing purchase transactions | (1,043 | ) | (1,021,304 | ) | (236 | ) | (230,194 | ) | ||||||||
Put options expired | — | — | — | — | ||||||||||||
Written put options outstanding at June 30, 2009 | 137 | $ | 122,083 | 28 | $ | 24,949 | ||||||||||
137
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Value as of | Net Unrealized | ||||||||||||||
Number of | June 30, | Appreciation/ | |||||||||||||
Series | Contracts | Description | Expiration Date | 2009 | (Depreciation) | ||||||||||
Inflation-Protected Securities | 36 Long | German Euro-Bobl Future | September 2009 | $ | 5,830,522 | $ | 45,970 | ||||||||
160 Long | US Treasury Note 5 Year Future | September 2009 | 18,355,000 | (108,110 | ) | ||||||||||
220 Long | US Treasury Note 10 Year Future | September 2009 | 25,578,438 | 428,676 | |||||||||||
75 Short | US Treasury Bond 30 Year Future | September 2009 | 8,876,953 | (103,350 | ) | ||||||||||
451 Short | US Treasury Note 2 Year Future | September 2009 | 97,514,656 | 108,806 | |||||||||||
$ | 371,992 | ||||||||||||||
Core Bond | 53 Long | German Euro-Bobl Future | September 2009 | $ | 9,002,420 | $ | 161,226 | ||||||||
28 Long | UK Long Gilt Future | September 2009 | 5,439,425 | 10,761 | |||||||||||
18 Long | US Treasury Note 2 Year Future | September 2009 | 3,891,938 | 523 | |||||||||||
261 Long | US Treasury Note 5 Year Future | September 2009 | 29,941,594 | 185,916 | |||||||||||
985 Long | US Treasury Note 10 Year Future | September 2009 | 114,521,641 | 93,877 | |||||||||||
$ | 452,303 | ||||||||||||||
Total Return Bond | 120 Long | 90 Day Euro Future | December 2009 | $ | 29,728,500 | $ | 106,647 | ||||||||
211 Long | 90 Day Euro Future | March 2010 | 52,130,187 | 190,450 | |||||||||||
45 Long | 90 Day Euro Future | June 2010 | 11,076,188 | 51,185 | |||||||||||
19 Long | US Treasury Bond 30 Year Future | September 2009 | 2,248,828 | 29,008 | |||||||||||
12 Long | US Treasury Note 2 Year Future | September 2009 | 2,594,625 | (7,569 | ) | ||||||||||
224 Long | US Treasury Note 10 Year Future | September 2009 | 26,043,500 | 195,789 | |||||||||||
39 Short | German Euro Bund Future | September 2009 | 6,624,422 | (125,480 | ) | ||||||||||
92 Short | US Treasury Note 5 Year Future | September 2009 | 10,554,125 | (69,023 | ) | ||||||||||
$ | 371,007 | ||||||||||||||
Balanced | 42 Long | S&P 500 Emini Future | September 2009 | $ | 1,922,550 | $ | (2,112 | ) | |||||||
23 Long | 90 Day Euro Future | December 2009 | 5,697,962 | 20,759 | |||||||||||
44 Long | 90 Day Euro Future | March 2010 | 10,870,750 | 39,002 | |||||||||||
7 Long | 90 Day Euro Future | June 2010 | 1,722,962 | 8,056 | |||||||||||
9 Long | US Treasury Bond 30 Year Future | September 2009 | 1,065,234 | 522 | |||||||||||
6 Long | US Treasury Note 2 Year Future | September 2009 | 1,297,312 | (3,793 | ) | ||||||||||
62 Long | US Treasury Note 5 Year Future | September 2009 | 7,112,562 | 91,752 | |||||||||||
80 Long | US Treasury Note 10 Year Future | September 2009 | 9,301,250 | 73,257 | |||||||||||
9 Short | German Euro Bund Future | September 2009 | 1,528,713 | (28,957 | ) | ||||||||||
84 Short | US Treasury Note 5 Year Future | September 2009 | 9,636,375 | 73,966 | |||||||||||
$ | 272,452 | ||||||||||||||
Large Core | 1 Long | NASDAQ 100 Future | September 2009 | $ | 147,625 | $ | (1,854 | ) | |||||||
1 Long | S&P 500 Future | September 2009 | 228,875 | (5,242 | ) | ||||||||||
$ | (7,096 | ) | |||||||||||||
138
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Value as of | Net Unrealized | ||||||||||||||
Number of | June 30, | Appreciation/ | |||||||||||||
Series | Contracts | Description | Expiration Date | 2009 | (Depreciation) | ||||||||||
Small Core | 34 Long | Russell 2000 Future | September 2009 | $ | 1,724,480 | $ | (6,776 | ) | |||||||
139
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Payments made by | Payments Received | |||||||||||||||
Swap Counterparty | the Series | by the Series | Termination Date | Notional Amount | Value | |||||||||||
Deutsche Bank AG | 3 month LIBOR | 1.60% semi-annual | 02/04/11 | $ | 20,200,000 | $ | 190,965 | |||||||||
Deutsche Bank AG | 3 month LIBOR | 1.41% semi-annual | 06/08/11 | 55,300,000 | (66,076 | ) | ||||||||||
Goldman Sachs Bank USA | 2.43% semi-annual | 3 month LIBOR | 04/09/14 | 7,800,000 | 141,851 | |||||||||||
Goldman Sachs Bank USA | 3.89% semi-annual | 3 month LIBOR | 06/05/19 | 12,500,000 | (172,893 | ) | ||||||||||
$ | 93,847 | |||||||||||||||
Payments made by | Payments Received | |||||||||||||||
Swap Counterparty | the Series | by the Series | Termination Date | Notional Amount | Value | |||||||||||
Citigroup Global Markets, NA, New York | 3 month LIBOR | 5.27% semi-annual | 08/06/12 | $ | 74,800,000 | $ | 8,323,050 | |||||||||
Citigroup Global Markets, NA, New York | 3 month LIBOR | 3.26% semi-annual | 06/09/14 | 50,300,000 | 798,621 | |||||||||||
Citigroup Global Markets, NA, New York | 3 month LIBOR | 3.22% semi-annual | 05/15/19 | 16,100,000 | (670,928 | ) | ||||||||||
Citigroup Global Markets, NA, New York | 3 month LIBOR | 3.73% semi-annual | 06/02/19 | 10,500,000 | 1,851 | |||||||||||
Citigroup Global Markets, NA, New York | 3 month LIBOR | 3.94% semi-annual | 06/03/19 | 21,100,000 | 381,642 | |||||||||||
Citigroup Global Markets, NA, New York | 2.43% semi-annual | 3 month LIBOR | 04/09/14 | 15,900,000 | 285,398 | |||||||||||
Citigroup Global Markets, NA, New York | 2.48% semi-annual | 3 month LIBOR | 04/08/14 | 7,000,000 | 109,340 | |||||||||||
Citigroup Global Markets, NA, New York | 2.53% semi-annual | 3 month LIBOR | 03/16/14 | 30,600,000 | 249,521 | |||||||||||
Citigroup Global Markets, NA, New York | 2.93% semi-annual | 3 month LIBOR | 06/30/14 | 32,100,000 | (46,866 | ) | ||||||||||
Citigroup Global Markets, NA, New York | 2.95% semi-annual | 3 month LIBOR | 06/01/14 | 33,400,000 | (58,537 | ) | ||||||||||
Citigroup Global Markets, NA, New York | 3.11% semi-annual | 3 month LIBOR | 04/08/19 | 14,000,000 | 667,954 | |||||||||||
Citigroup Global Markets, NA, New York | 3.80% semi-annual | 3 month LIBOR | 05/29/19 | 13,900,000 | (100,877 | ) | ||||||||||
Citigroup Global Markets, NA, New York | 3.92% semi-annual | 3 month LIBOR | 06/26/19 | 12,800,000 | (180,425 | ) | ||||||||||
Citigroup Global Markets, NA, New York | 4.30% semi-annual | 3 month LIBOR | 06/10/19 | 24,500,000 | (1,186,479 | ) | ||||||||||
Citigroup Global Markets, NA, New York | 4.39% semi-annual | 3 month LIBOR | 06/15/20 | 7,500,000 | (125,835 | ) | ||||||||||
Citigroup Global Markets, NA, New York | 5.31% semi-annual | 3 month LIBOR | 10/16/17 | 14,900,000 | (1,991,151 | ) | ||||||||||
Deutsche Bank AG | 2.25% semi-annual | 3 month LIBOR | 12/19/12 | 19,765,000 | 73,645 |
140
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Payments made by | Payments Received | |||||||||||||||
Swap Counterparty | the Series | by the Series | Termination Date | Notional Amount | Value | |||||||||||
Morgan Stanley Capital Services, Inc. | 3 month LIBOR | 1.54% semi-annual | 01/16/12 | 46,000,000 | (191,446 | ) | ||||||||||
Morgan Stanley Capital Services, Inc. | 3 month LIBOR | 3.83% semi-annual | 06/19/19 | 6,400,000 | 44,980 | |||||||||||
Morgan Stanley Capital Services, Inc. | 1.63% semi-annual | 3 month LIBOR | 06/24/11 | 36,500,000 | (102,224 | ) | ||||||||||
Morgan Stanley Capital Services, Inc. | 4.08% semi-annual | 3 month LIBOR | 06/22/19 | 13,400,000 | (380,329 | ) | ||||||||||
UBS AG | 3 month LIBOR | 4.18% semi-annual | 06/15/09 | 11,600,000 | 435,978 | |||||||||||
$ | 6,336,883 | |||||||||||||||
141
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Payments | Implied Credit | Upfront | ||||||||||||||||||
Swap Counterparty/ | payable by | Termination | Spread as of | Notional | Premiums | |||||||||||||||
Reference Obligation | the Series | Date | 06/30/09(3) | Amount(2) | Value | (Paid)/Received(4) | ||||||||||||||
Citigroup Global Markets, NA, New York: | ||||||||||||||||||||
Expedia, Inc., 7.46%, 08/15/18 | 5.00% annual | 09/20/13 | 2.33 | % | $ | 2,525,000 | $ | (258,804 | ) | $ | — | |||||||||
Expedia, Inc., 7.46%, 08/15/18 | 5.00% annual | 09/20/13 | 2.33 | 840,000 | (86,097 | ) | — | |||||||||||||
Nova Chemicals Corp., 4.54%, 11/15/13 | 5.00% annual | 03/20/12 | 4.83 | 230,000 | (1,200 | ) | (3,208 | ) | ||||||||||||
Deutsche Bank AG: | ||||||||||||||||||||
Westvaco Corp., 7.95%, 02/15/31 | 1.20% annual | 06/20/12 | 0.90 | % | 3,435,000 | (30,347 | ) | — | ||||||||||||
Goldman Sachs Bank, USA: | ||||||||||||||||||||
Expedia, Inc., 7.46%, 08/15/18 | 5.18% annual | 09/20/13 | 2.33 | 2,200,000 | (240,608 | ) | — | |||||||||||||
First Data Corp., 9.88%, 09/24/15 | 5.00% annual | 12/20/15 | 11.04 | 750,000 | 172,970 | 201,801 | ||||||||||||||
Hertz Corp. (The), 8.88%, 01/01/14 | 5.00% annual | 03/20/14 | 6.41 | 675,000 | 34,099 | 210,994 | ||||||||||||||
Huntsman International LLC, 7.38%, 01/01/15 | 5.00% annual | 12/20/14 | 7.57 | 1,315,000 | 130,606 | 513,996 | ||||||||||||||
Huntsman International LLC, 7.38%, 01/01/15 | 5.00% annual | 12/20/14 | 7.57 | 1,500,000 | 148,980 | 627,047 | ||||||||||||||
Huntsman International LLC, 7.38%, 01/01/15 | 5.00% annual | 03/20/15 | 7.50 | 755,000 | 75,044 | 249,550 | ||||||||||||||
Nova Chemicals Corp., 4.54%, 11/15/13 | 5.00% annual | 12/20/13 | 5.00 | 1,400,000 | (1,727 | ) | 24,889 | |||||||||||||
Morgan Stanley Capital Services, Inc.: | ||||||||||||||||||||
Istar Financial, Inc., 5.95%,10/15/13 | 5.00% annual | 09/20/11 | 24.23 | 625,000 | 195,919 | 177,433 | ||||||||||||||
Istar Financial, Inc., 5.95%,10/15/13 | 5.00% annual | 09/20/11 | 24.23 | 625,000 | 195,919 | 174,395 | ||||||||||||||
Knight Inc., 6.50%,09/01/12 | 1.00% annual | 09/20/12 | 1.35 | 920,000 | 9,559 | 10,052 | ||||||||||||||
Macy’s Inc., 7.45%, 07/15/17 | 8.00% annual | 06/20/12 | 4.15 | 725,000 | (75,666 | ) | — | |||||||||||||
Macy’s Inc., 7.45%, 07/15/17 | 1.00% annual | 09/20/14 | 3.76 | 730,000 | 84,997 | 36,622 | ||||||||||||||
$ | 353,644 | $ | 2,223,571 | |||||||||||||||||
(1) | If the Series is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Series will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comparising the referenced index. | |
(2) | The maximum potential amount the Series could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | |
(3) | Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index. | |
(4) | Upfront premiums generally relate to payments made or received at the initiation of the agreement in lieu of all or a portion of future periodic payments. |
142
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | ||||||||
Interest Rate Swaps | Swap contracts, at value | $ | 332,816 | Swap contracts, at value | $ | 238,969 | ||||||
Open Futures Contracts | Variation margin receivable | — | Variation margin payable | 38,611 | ||||||||
Foreign Currency Contracts | Unrealized appreciation on foreign currency forward contracts | 79,650 | Unrealized depreciation on foreign currency forward contracts | 2,512 | ||||||||
Written Options | — | Written options, at value | 1,470,294 | |||||||||
Total | $ | 412,466 | $ | 1,750,386 | ||||||||
Derivatives not accounted for as hedging | Purchased | Written | ||||||||||||||||||||||
instruments under FASB Statement | Options and | Options and | Swap | Forward | ||||||||||||||||||||
No. 133 | Futures | Swaptions | Swaptions | Agreements | Contracts | Total | ||||||||||||||||||
Interest Rate Swaps | $ | — | $ | — | $ | — | $ | (49,656 | ) | $ | — | $ | (49,656 | ) | ||||||||||
Open Futures Contracts | (704,889 | ) | — | — | — | — | (704,889 | ) | ||||||||||||||||
Foreign Currency Contracts | — | — | — | — | (82,647 | ) | (82,647 | ) | ||||||||||||||||
Purchased Options | — | 25,701 | — | — | — | 25,701 | ||||||||||||||||||
Written Options | — | — | 24,207 | — | — | 24,207 | ||||||||||||||||||
Total | $ | (704,889 | ) | $ | 25,701 | $ | 24,207 | $ | (49,656 | ) | $ | (82,647 | ) | $ | (787,284 | ) | ||||||||
Derivatives not accounted for as hedging | Purchased | Written | ||||||||||||||||||||||
instruments under FASB Statement | Options and | Options and | Swap | Forward | ||||||||||||||||||||
No. 133 | Futures | Swaptions | Swaptions | Agreements | Contracts | Total | ||||||||||||||||||
Interest Rate Swaps | $ | — | $ | — | $ | — | $ | 93,847 | $ | — | $ | 93,847 | ||||||||||||
Open Futures Contracts | 578,686 | — | — | — | — | 578,686 | ||||||||||||||||||
Foreign Currency Contracts | — | — | — | — | 77,138 | 77,138 | ||||||||||||||||||
Purchased Options | — | (16,512 | ) | — | — | — | (16,512 | ) | ||||||||||||||||
Written Options | — | — | 9,996 | — | — | 9,996 | ||||||||||||||||||
Total | $ | 578,686 | $ | (16,512 | ) | $ | 9,996 | $ | 93,847 | $ | 77,138 | $ | 743,155 | |||||||||||
143
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | ||||||||
Interest Rate Swaps | Swap contracts, at value | $ | 11,371,981 | Swap contracts, at value | $ | 5,035,097 | ||||||
Credit Default Swaps | Swap contracts, at value | 1,048,093 | Swap contracts, at value | 694,449 | ||||||||
Open Futures Contracts | Variation margin receivable | — | Variation margin payable | 330,078 | ||||||||
Foreign Currency Contracts | Unrealized appreciation on foreign currency forward contracts | — | Unrealized depreciation on foreign currency forward contracts | 430,511 | ||||||||
Purchased Options | Securities, at value, including investments held as collateral for securities out on loan | 4,930,554 | ||||||||||
Written Options | — | Written options, at value | 30,456,348 | |||||||||
Total | $ | 17,350,628 | $ | 36,946,483 | ||||||||
Purchased | Written | |||||||||||||||||||||||
Options and | Options and | Swap | Forward | |||||||||||||||||||||
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | Futures | Swaptions | Swaptions | Agreements | Contracts | Total | ||||||||||||||||||
Interest Rate Swaps | $ | — | $ | — | $ | — | $ | 15,758,712 | $ | — | $ | 15,758,712 | ||||||||||||
Open Futures Contracts | 1,688,122 | — | — | — | — | 1,688,122 | ||||||||||||||||||
Foreign Currency Contracts | — | — | — | — | (634,415 | ) | (634,415 | ) | ||||||||||||||||
Purchased Options | — | (1,985,160 | ) | — | — | — | (1,985,160 | ) | ||||||||||||||||
Written Options | — | — | 190,265 | — | — | 190,265 | ||||||||||||||||||
Total | $ | 1,688,122 | $ | (1,985,160 | ) | $ | 190,265 | $ | 15,758,712 | $ | (634,415 | ) | $ | 15,017,524 | ||||||||||
Purchased | Written | |||||||||||||||||||||||
Options and | Options and | Swap | Forward | |||||||||||||||||||||
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | Futures | Swaptions | Swaptions | Agreements | Contracts | Total | ||||||||||||||||||
Interest Rate Swaps | $ | — | $ | — | $ | — | $ | (13,190,301 | ) | $ | — | $ | (13,190,301 | ) | ||||||||||
Open Futures Contracts | (1,293,227 | ) | — | — | — | — | (1,293,227 | ) | ||||||||||||||||
Foreign Currency Contracts | — | — | — | — | (876,269 | ) | (876,269 | ) | ||||||||||||||||
Purchased Options | — | 2,730,217 | — | — | — | 2,730,217 | ||||||||||||||||||
Written Options | — | — | 4,776,945 | — | — | 4,776,945 | ||||||||||||||||||
Total | $ | (1,293,227 | ) | $ | 2,730,217 | $ | 4,776,945 | $ | (13,190,301 | ) | $ | (876,269 | ) | $ | (7,852,635 | ) | ||||||||
144
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | ||||||||
Open Futures Contracts | Variation margin receivable | $ | — | Variation margin payable | $ | 342,229 | ||||||
Foreign Currency Contracts | Unrealized appreciation on foreign currency forward contracts | 187,369 | Unrealized depreciation on foreign currency forward contracts | 283,451 | ||||||||
Written Options | — | Written options, at value | 73,081 | |||||||||
Total | $ | 187,369 | $ | 698,761 | ||||||||
Purchased | Written | |||||||||||||||||||||||
Derivatives not accounted for as hedging instruments under FASB Statement | Options and | Options and | Swap | Forward | ||||||||||||||||||||
No. 133 | Futures | Swaptions | Swaptions | Agreements | Contracts | Total | ||||||||||||||||||
Open Futures Contracts | $ | (2,064,286 | ) | $ | — | $ | — | $ | — | $ | — | $ | (2,064,286 | ) | ||||||||||
Foreign Currency Contracts | — | — | — | — | 230,165 | 230,165 | ||||||||||||||||||
Purchased Options | — | (56,085 | ) | — | — | — | (56,085 | ) | ||||||||||||||||
Written Options | — | — | 720,011 | — | — | 720,011 | ||||||||||||||||||
Total | $ | (2,064,286 | ) | $ | (56,085 | ) | $ | 720,011 | $ | — | $ | 230,165 | $ | (1,170,195 | ) | |||||||||
Purchased | Written | |||||||||||||||||||||||
Options and | Options and | Swap | Forward | |||||||||||||||||||||
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | Futures | Swaptions | Swaptions | Agreements | Contracts | Total | ||||||||||||||||||
Open Futures Contracts | $ | (1,421,448 | ) | — | $ | — | $ | — | $ | — | $ | (1,421,448 | ) | |||||||||||
Foreign Currency Contracts | — | — | — | — | (249,895 | ) | (249,895 | ) | ||||||||||||||||
Written Options | — | — | 1,131,764 | — | — | 1,131,764 | ||||||||||||||||||
Total | $ | (1,421,448 | ) | $ | — | $ | 1,131,764 | $ | — | $ | (249,895 | ) | $ | (539,579 | ) | |||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | ||||||||
Open Futures Contracts | Variation margin receivable | $ | 214 | Variation margin payable | $ | 84,049 | ||||||
Foreign Currency Contracts | Unrealized appreciation on foreign currency forward contracts | 104,927 | Unrealized depreciation on foreign currency forward contracts | 127,207 | ||||||||
Written Options | — | Written options, at value | 36,044 | |||||||||
Total | $ | 105,141 | $ | 247,300 | ||||||||
145
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Purchased | Written | |||||||||||||||||||||||
Derivatives not accounted for as hedging instruments under FASB Statement | Options and | Options and | Swap | Forward | ||||||||||||||||||||
No. 133 | Futures | Swaptions | Swaptions | Agreements | Contracts | Total | ||||||||||||||||||
Open Futures Contracts | $ | (253,910 | ) | $ | — | $ | — | $ | — | $ | — | $ | (253,910 | ) | ||||||||||
Foreign Currency Contracts | — | — | — | — | 121,267 | 121,267 | ||||||||||||||||||
Purchased Options | — | (11,104 | ) | — | — | — | (11,104 | ) | ||||||||||||||||
Written Options | — | — | 177,470 | — | — | 177,470 | ||||||||||||||||||
Total | $ | (253,910 | ) | $ | (11,104 | ) | $ | 177,470 | $ | — | $ | 121,267 | $ | 33,723 | ||||||||||
Derivatives not accounted for as hedging | Purchased | Written | ||||||||||||||||||||||
instruments under FASB Statement | Options and | Options and | Swap | Forward | ||||||||||||||||||||
No. 133 | Futures | Swaptions | Swaptions | Agreements | Contracts | Total | ||||||||||||||||||
Open Futures Contracts | $ | (558,074 | ) | $ | — | $ | — | $ | — | $ | — | $ | (558,074 | ) | ||||||||||
Foreign Currency Contracts | — | — | — | — | (125,774 | ) | (125,774 | ) | ||||||||||||||||
Written Options | — | — | 273,128 | — | — | 273,128 | ||||||||||||||||||
Total | $ | (558,074 | ) | $ | — | $ | 273,128 | $ | — | $ | (125,774 | ) | $ | (410,720 | ) | |||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | ||||||||
Open Futures Contracts | Variation margin receivable | $ | — | Variation margin payable | $ | 1,950 | ||||||
Derivatives not accounted for as hedging | Purchased | Written | ||||||||||||||||||||||
instruments under FASB Statement | Options and | Options and | Swap | Forward | ||||||||||||||||||||
No. 133 | Futures | Swaptions | Swaptions | Agreements | Contracts | Total | ||||||||||||||||||
Open Futures Contracts | $ | (8,056 | ) | $ | — | $ | — | $ | — | $ | — | $ | (8,056 | ) | ||||||||||
Derivatives not accounted for as hedging | Purchased | Written | ||||||||||||||||||||||
instruments under FASB Statement | Options and | Options and | Swap | Forward | ||||||||||||||||||||
No. 133 | Futures | Swaptions | Swaptions | Agreements | Contracts | Total | ||||||||||||||||||
Open Futures Contracts | $ | (37,921 | ) | $ | — | $ | — | $ | — | $ | — | $ | (37,921 | ) | ||||||||||
146
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | ||||||||
Open Futures Contracts | Variation margin receivable | $ | — | Variation margin payable | $ | 2,404 | ||||||
Derivatives not accounted for as hedging | Purchased | Written | ||||||||||||||||||||||
instruments under FASB Statement | Options and | Options and | Swap | Forward | ||||||||||||||||||||
No. 133 | Futures | Swaptions | Swaptions | Agreements | Contracts | Total | ||||||||||||||||||
Open Futures Contracts | $ | (47,611 | ) | $ | — | $ | — | $ | — | $ | — | $ | (47,611 | ) | ||||||||||
Derivatives not accounted for as hedging | Purchased | Written | ||||||||||||||||||||||
instruments under FASB Statement | Options and | Options and | Swap | Forward | ||||||||||||||||||||
No. 133 | Futures | Swaptions | Swaptions | Agreements | Contracts | Total | ||||||||||||||||||
Open Futures Contracts | $ | (82,550 | ) | $ | — | $ | — | $ | — | $ | — | $ | (82,550 | ) | ||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | ||||||||
Foreign Currency Contracts | Unrealized appreciation on foreign currency forward contracts | $ | — | Unrealized depreciation on foreign currency forward contracts | $ | 110,737 | ||||||
Derivatives not accounted for as hedging | Purchased | Written | ||||||||||||||||||||||
instruments under FASB Statement | Options and | Options and | Swap | Forward | ||||||||||||||||||||
No. 133 | Futures | Swaptions | Swaptions | Agreements | Contracts | Total | ||||||||||||||||||
Foreign Currency Contracts | $ | — | $ | — | $ | — | $ | — | $ | (5,725,251 | ) | $ | (5,725,251 | ) | ||||||||||
Derivatives not accounted for as hedging | Purchased | Written | ||||||||||||||||||||||
instruments under FASB Statement | Options and | Options and | Swap | Forward | ||||||||||||||||||||
No. 133 | Futures | Swaptions | Swaptions | Agreements | Contracts | Total | ||||||||||||||||||
Foreign Currency Contracts | $ | — | $ | — | $ | — | $ | — | $ | (110,737 | ) | $ | (110,737 | ) | ||||||||||
147
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
148
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Series | Commissions | |||
Large Value | $ | 72,834 | ||
Large Core | 421 | |||
Large Growth | 31,081 | |||
Growth | 37,316 | |||
Mid Value | 158,397 | |||
Mid Growth | 34,874 | |||
Small Value | 24,933 | |||
Small Core | 50,213 | |||
Small Growth | 49,622 | |||
International Equity | 7,843 |
149
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Series | Amount | Percentage | ||||||
Core Bond | $ | 1,624,610 | 0.11 | % | ||||
Total Return Bond | 311,725 | 0.12 | ||||||
High Yield Bond | 10,126,294 | 1.91 | ||||||
Balanced | 463,237 | 0.31 | ||||||
Small Value | 4,599,871 | 3.30 |
Target Series | Destination Series | |
Total Return Bond | Core Bond | |
Value | Large Value | |
Growth | Large Growth |
150
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Investment in | ||||
TFLIC Sub-account | Series | |||
Money Market | 5.23 | % | ||
High Quality Bond | 14.43 | |||
Inflation-Protected Securities | 14.44 | |||
Core Bond | 9.10 | |||
High Yield Bond | 5.28 | |||
Balanced | 37.75 | |||
Large Value | 21.49 | |||
Large Core | 42.70 | |||
Large Growth | 18.85 | |||
Growth | 30.61 | |||
Mid Value | 4.23 | |||
Mid Growth | 1.68 | |||
Small Value | 1.96 | |||
Small Core | 37.17 | |||
Small Growth | 1.94 | |||
International Equity | 12.86 |
Advisory | ||||||
Series | Series Subadvisor | Fee (%) | ||||
Money Market | GE Asset Management, Inc. | 0.25 | ||||
High Quality Bond | Merganser Capital Management, LP | 0.35 | ||||
Inflation-Protected Securities | BlackRock Financial Management, Inc. | 0.35 | ||||
Core Bond | BlackRock Financial Management, Inc. | 0.35 | ||||
Total Return Bond | Western Asset Management Company | 0.35 | (1) | |||
Western Asset Management Company, Ltd. | ||||||
High Yield Bond | Eaton Vance Management | 0.55 |
151
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Advisory | ||||||
Series | Series Subadvisor | Fee (%) | ||||
Balanced | Goldman, Sachs Asset Management, LP | 0.45 | (1) | |||
Western Asset Management Company Western Asset Management Company, Ltd. | ||||||
Large Value | Aronson+Johnson+Ortiz, LP(a) | 0.45 | ||||
Value | Hotchkis and Wiley Capital Management, LLC | 0.50 | (1) | |||
Large Core | Aronson+Johnson+Ortiz, LP | 0.60 | ||||
Blackrock Financial Management, Inc. | ||||||
Large Growth | Marsico Capital Management, LLC | 0.62 | (1) | |||
OFI Institutional Asset Management, Inc. Wellington Management Company, LLP | ||||||
Growth | Turner Investment Partners, Inc. | 0.77 | (1) | |||
Mid Value | Cramer, Rosenthal, McGlynn, LLC | 0.67 | (1) | |||
LSV Asset Management | ||||||
RiverSource Investments, LLC | ||||||
Mid Growth | Columbus Circle Investors | 0.72 | (1) | |||
Small Value | Mesirow Financial Investment Management, Inc. | 0.82 | (1) | |||
OFI Institutional Asset Management, Inc. | ||||||
Small Core | Fort Washington Investment Advisors, Inc. | 0.80 | (1) | |||
INVESCO Institutional (NA), Inc. | ||||||
RS Investment Management Co., LLC(b) Wellington Management Company, LLP | ||||||
Small Growth | Perimeter Capital Partners LLC | 0.87 | (1) | |||
International Equity | Thornburg Investment Management, Inc.(c) | 0.75 | (1) |
(1) | For the period ended June 30, 2009, the Advisor voluntarily waived a portion of its fee. | |
(a) | Effective January 2, 2009, Aronson+Johnson+Ortiz, LP replaced AllianceBernstein, LP and TCW Investment Management Company. | |
(b) | Effective February 27, 2009, the Small Core Series terminated RS Investment Management Co., LLC as subadvisor. | |
(c) | Effective January 2, 2009, Thornburg Investment Management, Inc. replaced LSV Asset Management and Wellington Management Company, LLP. |
152
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Series | Expense Cap | |
Money Market | 30 basis points (b.p.) | |
High Quality Bond | 40 b.p. | |
Inflation-Protected Securities | 40 b.p. | |
Core Bond | 40 b.p. | |
Total Return Bond | 40 b.p. | |
High Yield Bond | 60 b.p. | |
Balanced | 50 b.p. | |
Large Value | 50 b.p. | |
Value | 55 b.p. | |
Large Core | 65 b.p. | |
Large Growth | 65 b.p. | |
Growth | 80 b.p. | |
Mid Value | 70 b.p. | |
Mid Growth | 75 b.p. | |
Small Value | 85 b.p. | |
Small Core | 85 b.p. | |
Small Growth | 90 b.p. | |
International Equity | 90 b.p. |
153
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Cost of | Proceeds | |||||||||
Series | Purchases | From Sales | ||||||||
High Quality Bond | US Government Obligations | $ | 68,524,990 | $ | 92,311,413 | |||||
Other | 80,536,961 | 104,628,394 | ||||||||
Inflation-Protected Securities | US Government Obligations | 212,675,837 | 249,916,558 | |||||||
Other | — | 11,936,117 | ||||||||
Core Bond | US Government Obligations | 7,834,748,270 | 7,929,073,031 | |||||||
Other | 316,873,980 | 400,483,295 | ||||||||
Total Return Bond | US Government Obligations | 373,552,591 | 439,310,424 | |||||||
Other | 13,905,769 | 32,480,787 | ||||||||
High Yield Bond | Other | 255,888,941 | 225,073,860 | |||||||
Balanced | US Government Obligations | 88,996,993 | 102,707,441 | |||||||
Other | 39,171,326 | 58,503,179 | ||||||||
Large Value | Other | 1,249,323,630 | 1,427,468,079 | |||||||
Value | Other | 17,354,589 | 36,023,100 | |||||||
Large Core | Other | 96,948,651 | 123,078,437 | |||||||
Large Growth | Other | 455,455,048 | 568,277,007 | |||||||
Growth | Other | 127,863,548 | 148,098,804 | |||||||
Mid Value | Other | 214,794,305 | 223,586,994 | |||||||
Mid Growth | Other | 235,306,110 | 244,205,486 | |||||||
Small Value | Other | 49,631,105 | 59,508,455 | |||||||
Small Core | Other | 202,948,874 | 284,271,744 | |||||||
Small Growth | Other | 70,978,874 | 86,430,051 | |||||||
International Equity | Other | 1,131,449,678 | 1,276,313,189 |
154
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Net Unrealized | ||||||||||||||||||||
Foreign | In Exchange | Settlement | Value At | Appreciation/ | ||||||||||||||||
Currency | For | Date | 06/30/09 | (Depreciation) | ||||||||||||||||
Inflation-Protected Securities Series | ||||||||||||||||||||
Purchase Contracts: | ||||||||||||||||||||
British Pound Sterling | 90,832 | $ | 150,313 | 07/01/09 | $ | 149,437 | $ | (876 | ) | |||||||||||
Canadian Dollar | 18,802 | 16,247 | 07/01/09 | 16,165 | (82 | ) | ||||||||||||||
Euro | 207,000 | 292,903 | 07/15/09 | 290,391 | (2,512 | ) | ||||||||||||||
Japanese Yen | 350,165,000 | 3,584,524 | 08/26/09 | 3,637,310 | 52,786 | |||||||||||||||
Total | $ | 49,316 | ||||||||||||||||||
Sale Contracts: | ||||||||||||||||||||
Euro | 172,514 | $ | 242,529 | 07/01/09 | $ | 242,011 | $ | 518 | ||||||||||||
Japanese Yen | 350,165,000 | 3,664,174 | 08/26/09 | 3,637,310 | 26,864 | |||||||||||||||
Total | $ | 27,382 | ||||||||||||||||||
155
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Net Unrealized | ||||||||||||||||||||
Foreign | In Exchange | Settlement | Value At | Appreciation/ | ||||||||||||||||
Currency | For | Date | 06/30/09 | (Depreciation) | ||||||||||||||||
Core Bond Series | ||||||||||||||||||||
Purchase Contracts: | ||||||||||||||||||||
British Pound Sterling | 3,743,867 | $ | 6,195,538 | 07/01/09 | $ | 6,159,408 | $ | (36,130 | ) | |||||||||||
Euro | 1,378,768 | 1,938,340 | 07/01/09 | 1,934,203 | (4,137 | ) | ||||||||||||||
Total | $ | (40,267 | ) | |||||||||||||||||
Sale Contracts: | ||||||||||||||||||||
British Pound Sterling | 5,877,500 | $ | 9,513,075 | 08/26/09 | $ | 9,668,959 | $ | (155,884 | ) | |||||||||||
Euro | 5,736,500 | 7,813,113 | 07/15/09 | 8,047,473 | (234,360 | ) | ||||||||||||||
Total | $ | (390,244 | ) | |||||||||||||||||
Total Return Bond Series | ||||||||||||||||||||
Purchase Contracts: | ||||||||||||||||||||
British Pound Sterling | 1,000,000 | $ | 1,457,730 | 08/19/09 | $ | 1,645,099 | $ | 187,369 | ||||||||||||
Sale Contracts: | ||||||||||||||||||||
British Pound Sterling | 999,000 | $ | 1,468,930 | 08/19/09 | $ | 1,643,454 | $ | (174,524 | ) | |||||||||||
Euro | 1,074,448 | 1,398,297 | 08/19/09 | 1,507,224 | (108,927 | ) | ||||||||||||||
Total | $ | (283,451 | ) | |||||||||||||||||
Balanced Series | ||||||||||||||||||||
Purchase Contracts: | ||||||||||||||||||||
British Pound Sterling | 560,000 | $ | 816,328 | 08/19/09 | $ | 921,255 | $ | 104,927 | ||||||||||||
Sale Contracts: | ||||||||||||||||||||
British Pound Sterling | 555,000 | $ | 816,072 | 08/19/09 | $ | 913,030 | $ | (96,958 | ) | |||||||||||
Euro | 298,380 | 388,315 | 08/19/09 | 418,564 | (30,249 | ) | ||||||||||||||
Total | $ | (127,207 | ) | |||||||||||||||||
International Equity Series | ||||||||||||||||||||
Purchase Contracts: | ||||||||||||||||||||
Brazilian Real | 5,095,500 | $ | 2,608,929 | 07/01/09 | $ | 2,600,408 | $ | (8,521 | ) | |||||||||||
Sale Contracts: | ||||||||||||||||||||
Mexican Peso | 406,534,000 | 30,112,515 | 11/30/09 | 30,214,731 | $ | (102,216 | ) | |||||||||||||
156
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Ratios to Average Net Assets | ||||||||||||||||||||||||
Net Investment | ||||||||||||||||||||||||
For the | Net Expenses | Income (Loss) | Net Assets, | |||||||||||||||||||||
Period/Year | Net | (Net of | (Net of | Portfolio | End of | Total | ||||||||||||||||||
Ended | Expenses | Reimbursements) | Reimbursements) | Turnover | Period/Year | Return | ||||||||||||||||||
Money Market | ||||||||||||||||||||||||
06/30/2009 | 0.27 | %* | 0.27 | %* | 0.63 | %* | N/A | $ | 1,233,418,125 | 0.31 | % | |||||||||||||
12/31/2008 | 0.27 | 0.27 | 2.43 | N/A | 1,325,801,749 | 2.44 | ||||||||||||||||||
12/31/2007 | 0.28 | 0.28 | 5.01 | N/A | 1,050,796,105 | 5.17 | ||||||||||||||||||
12/31/2006 | 0.28 | 0.28 | 4.77 | N/A | 925,940,609 | 4.86 | ||||||||||||||||||
12/31/2005 | 0.28 | 0.28 | 2.97 | N/A | 765,777,258 | 3.00 | ||||||||||||||||||
12/31/2004 | 0.28 | 0.28 | 1.17 | N/A | 809,352,385 | 1.17 | ||||||||||||||||||
High Quality Bond | ||||||||||||||||||||||||
06/30/2009 | 0.39 | * | 0.39 | * | 4.08 | * | 44 | % | 401,318,303 | 5.55 | ||||||||||||||
12/31/2008 | 0.38 | 0.38 | 4.24 | 64 | 421,231,503 | 0.55 | ||||||||||||||||||
12/31/2007 | 0.38 | 0.38 | 4.38 | 56 | 833,291,239 | 5.34 | ||||||||||||||||||
12/31/2006 | 0.38 | 0.38 | 4.03 | 55 | 817,623,186 | 4.38 | ||||||||||||||||||
12/31/2005 | 0.39 | 0.39 | 3.25 | 58 | 788,399,166 | 1.95 | ||||||||||||||||||
12/31/2004 | 0.38 | 0.38 | 2.96 | 48 | 690,594,378 | 1.48 | ||||||||||||||||||
Inflation-Protected Securities | ||||||||||||||||||||||||
06/30/2009 | 0.39 | * | 0.39 | * | (0.38 | )* | 60 | 361,674,511 | 4.53 | |||||||||||||||
12/31/2008 | 0.39 | 0.39 | 4.99 | 154 | 389,197,874 | (2.14 | ) | |||||||||||||||||
12/31/2007 | 0.42 | 0.40 | 5.26 | 340 | 149,013,396 | 10.16 | ||||||||||||||||||
12/31/2006 | 0.41 | 0.40 | 4.50 | 525 | 150,681,168 | 3.48 | ||||||||||||||||||
12/31/2005 | 0.40 | 0.40 | 3.45 | 756 | 261,106,523 | 1.34 | ||||||||||||||||||
12/31/2004 | 0.42 | 0.40 | 2.48 | 554 | 256,502,651 | 1.59 | ||||||||||||||||||
Core Bond | ||||||||||||||||||||||||
06/30/2009 | 0.38 | * | 0.38 | * | 4.84 | * | 462 | (a) | 1,473,806,436 | 5.75 | ||||||||||||||
12/31/2008 | 0.38 | 0.38 | 5.12 | 530 | (a) | 1,667,312,685 | (1.83 | ) | ||||||||||||||||
12/31/2007 | 0.38 | 0.38 | 4.81 | 503 | (a) | 2,248,879,516 | 6.67 | |||||||||||||||||
12/31/2006 | 0.38 | 0.38 | 4.50 | 487 | (a) | 2,077,821,449 | 4.17 | |||||||||||||||||
12/31/2005 | 0.39 | 0.39 | 3.99 | 1,003 | (a) | 2,052,893,035 | 2.38 | |||||||||||||||||
12/31/2004 | 0.39 | 0.39 | 3.62 | 885 | (a) | 1,655,367,885 | 4.65 | |||||||||||||||||
Total Return Bond | ||||||||||||||||||||||||
06/30/2009 | 0.41 | * | 0.40 | * | 5.83 | * | 130 | (a) | 256,797,082 | 7.25 | ||||||||||||||
12/31/2008 | 0.40 | 0.40 | 5.01 | 407 | (a) | 300,413,000 | (8.43 | ) | ||||||||||||||||
12/31/2007 | 0.41 | 0.40 | 5.05 | 521 | (a) | 390,287,496 | 3.81 | |||||||||||||||||
12/31/2006 | 0.50 | 0.40 | 4.74 | 470 | (a) | 120,636,427 | 4.96 | |||||||||||||||||
12/31/2005(1) | 0.55 | * | 0.40 | * | 4.08 | * | 327 | (a) | 70,072,859 | 2.35 |
157
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Ratios to Average Net Assets | ||||||||||||||||||||||||
Net Investment | ||||||||||||||||||||||||
For the | Net Expenses | Income (Loss) | Net Assets, | |||||||||||||||||||||
Period/Year | Net | (Net of | (Net of | Portfolio | End of | Total | ||||||||||||||||||
Ended | Expenses | Reimbursements) | Reimbursements) | Turnover | Period/Year | Return | ||||||||||||||||||
High Yield Bond | ||||||||||||||||||||||||
06/30/2009 | 0.59 | %* | 0.59 | %* | 11.15 | %* | 51 | % | $ | 530,009,429 | 29.69 | % | ||||||||||||
12/31/2008 | 0.58 | 0.58 | 9.57 | 54 | 439,863,454 | (28.90 | ) | |||||||||||||||||
12/31/2007 | 0.58 | 0.58 | 7.97 | 96 | 538,727,018 | 2.02 | ||||||||||||||||||
12/31/2006 | 0.59 | 0.59 | 7.86 | 93 | 502,330,056 | 11.99 | ||||||||||||||||||
12/31/2005 | 0.60 | 0.60 | 7.74 | 68 | 416,027,255 | 3.34 | ||||||||||||||||||
12/31/2004 | 0.60 | 0.60 | 8.06 | 80 | 351,772,536 | 10.32 | ||||||||||||||||||
Balanced | ||||||||||||||||||||||||
06/30/2009 | 0.58 | * | 0.50 | * | 3.54 | * | 85 | (a) | 147,656,981 | 5.11 | ||||||||||||||
12/31/2008 | 0.53 | 0.50 | 3.45 | 154 | (a) | 168,930,110 | (26.71 | ) | ||||||||||||||||
12/31/2007 | 0.52 | 0.50 | 2.87 | 226 | (a) | 318,635,183 | 1.79 | |||||||||||||||||
12/31/2006 | 0.53 | 0.50 | 2.72 | 224 | (a) | 381,648,801 | 11.74 | |||||||||||||||||
12/31/2005 | 0.54 | 0.50 | 2.25 | 367 | (a) | 410,747,655 | 5.59 | |||||||||||||||||
12/31/2004 | 0.52 | 0.50 | 2.21 | 338 | (a) | 419,726,689 | 8.31 | |||||||||||||||||
Large Value | ||||||||||||||||||||||||
06/30/2009 | 0.48 | * | 0.48 | * | 2.61 | * | 104 | 1,201,094,008 | (3.44 | ) | ||||||||||||||
12/31/2008 | 0.48 | 0.48 | 2.53 | 26 | 1,450,970,147 | (42.94 | ) | |||||||||||||||||
12/31/2007 | 0.48 | 0.48 | 1.68 | 30 | 3,165,024,775 | (1.75 | ) | |||||||||||||||||
12/31/2006 | 0.48 | 0.48 | 1.47 | 31 | 3,538,943,726 | 20.68 | ||||||||||||||||||
12/31/2005 | 0.48 | 0.48 | 1.38 | 89 | 3,018,060,297 | 6.88 | ||||||||||||||||||
12/31/2004 | 0.48 | 0.48 | 1.79 | 44 | 2,705,463,322 | 12.91 | ||||||||||||||||||
Value | ||||||||||||||||||||||||
06/30/2009 | 0.60 | * | 0.55 | * | 2.58 | * | 34 | 46,355,601 | 12.05 | |||||||||||||||
12/31/2008 | 0.56 | 0.55 | 2.46 | 101 | 60,703,564 | (46.62 | ) | |||||||||||||||||
12/31/2007 | 0.56 | 0.55 | 1.51 | 57 | 141,565,926 | (11.06 | ) | |||||||||||||||||
12/31/2006 | 0.71 | 0.55 | 1.42 | 74 | 101,282,906 | 15.44 | ||||||||||||||||||
12/31/2005(1) | 1.18 | * | 0.55 | * | 1.78 | * | 21 | 35,138,512 | 9.47 | |||||||||||||||
Large Core | ||||||||||||||||||||||||
06/30/2009 | 0.62 | * | 0.62 | * | 1.67 | * | 41 | 249,727,365 | 2.55 | |||||||||||||||
12/31/2008 | 0.65 | 0.65 | 1.31 | 99 | 281,773,981 | (36.65 | ) | |||||||||||||||||
12/31/2007 | 0.64 | 0.64 | 1.08 | 101 | 903,261,821 | 2.11 | ||||||||||||||||||
12/31/2006 | 0.63 | 0.63 | 1.11 | 73 | 1,159,020,245 | 11.77 | ||||||||||||||||||
12/31/2005 | 0.64 | 0.64 | 0.96 | 79 | 1,178,758,869 | 7.12 | ||||||||||||||||||
12/31/2004 | 0.64 | 0.64 | 1.22 | 184 | 1,135,948,434 | 10.79 |
158
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Ratios to Average Net Assets | ||||||||||||||||||||||||
Net Investment | ||||||||||||||||||||||||
For the | Net Expenses | Income (Loss) | Net Assets, | |||||||||||||||||||||
Period/Year | Net | (Net of | (Net of | Portfolio | End of | Total | ||||||||||||||||||
Ended | Expenses | Reimbursements) | Reimbursements) | Turnover | Period/Year | Return | ||||||||||||||||||
Large Growth | ||||||||||||||||||||||||
06/30/2009 | 0.65 | %* | 0.65 | %* | 1.25 | %* | 44 | % | $ | 1,118,219,346 | 9.04 | % | ||||||||||||
12/31/2008 | 0.65 | 0.65 | 0.92 | 102 | 1,130,782,753 | (39.87 | ) | |||||||||||||||||
12/31/2007 | 0.65 | 0.65 | 0.61 | 129 | 2,444,760,853 | 12.25 | ||||||||||||||||||
12/31/2006 | 0.64 | 0.64 | 0.43 | 84 | 2,526,917,456 | 4.12 | ||||||||||||||||||
12/31/2005 | 0.65 | 0.65 | 0.34 | 76 | 2,587,382,061 | 7.18 | ||||||||||||||||||
12/31/2004 | 0.65 | 0.65 | 0.68 | 129 | 2,290,559,947 | 7.75 | ||||||||||||||||||
Growth | ||||||||||||||||||||||||
06/30/2009 | 0.82 | * | 0.80 | * | 0.22 | * | 73 | 184,143,423 | 15.05 | |||||||||||||||
12/31/2008 | 0.81 | 0.80 | 0.02 | 212 | 182,527,808 | (51.00 | ) | |||||||||||||||||
12/31/2007 | 0.81 | 0.80 | (0.16 | ) | 134 | 427,372,994 | 28.50 | |||||||||||||||||
12/31/2006 | 0.81 | 0.80 | (0.17 | ) | 147 | 382,667,908 | 6.46 | |||||||||||||||||
12/31/2005 | 0.81 | 0.80 | (0.14 | ) | 187 | 382,129,060 | 8.20 | |||||||||||||||||
12/31/2004 | 0.95 | 0.94 | (0.48 | ) | 252 | 397,726,867 | 12.14 | |||||||||||||||||
Mid Value | ||||||||||||||||||||||||
06/30/2009 | 0.70 | * | 0.70 | * | 1.71 | * | 37 | 660,813,066 | 6.97 | |||||||||||||||
12/31/2008 | 0.70 | 0.70 | 1.69 | 68 | 630,249,484 | (37.73 | ) | |||||||||||||||||
12/31/2007 | 0.70 | 0.70 | 1.37 | 69 | 998,177,210 | 2.62 | ||||||||||||||||||
12/31/2006 | 0.71 | 0.70 | 1.17 | 80 | 936,974,205 | 18.33 | ||||||||||||||||||
12/31/2005 | 0.72 | 0.70 | 1.28 | 112 | 641,531,538 | 9.77 | ||||||||||||||||||
12/31/2004 | 0.71 | 0.70 | 0.79 | 147 | 414,710,679 | 25.47 | ||||||||||||||||||
Mid Growth | ||||||||||||||||||||||||
06/30/2009 | 0.76 | * | 0.75 | * | (0.29 | )* | 110 | 223,333,485 | 1.91 | |||||||||||||||
12/31/2008 | 0.75 | 0.75 | (0.02 | ) | 158 | 228,965,903 | (41.55 | ) | ||||||||||||||||
12/31/2007 | 0.75 | 0.75 | (0.23 | ) | 152 | 337,188,904 | 30.42 | |||||||||||||||||
12/31/2006 | 0.75 | 0.75 | (0.31 | ) | 151 | 309,909,061 | 2.17 | |||||||||||||||||
12/31/2005 | 0.76 | 0.75 | (0.38 | ) | 142 | 282,950,442 | 13.42 | |||||||||||||||||
12/31/2004 | 0.79 | 0.75 | (0.29 | ) | 223 | 210,100,872 | 15.38 | |||||||||||||||||
Small Value | ||||||||||||||||||||||||
06/30/2009 | 0.89 | * | 0.85 | * | 1.67 | * | 38 | 139,478,826 | (3.84 | ) | ||||||||||||||
12/31/2008 | 0.87 | 0.85 | 1.94 | 117 | 156,628,183 | (26.63 | ) | |||||||||||||||||
12/31/2007 | 0.87 | 0.85 | 1.36 | 94 | 185,136,605 | (7.74 | ) | |||||||||||||||||
12/31/2006 | 0.87 | 0.85 | 0.27 | 105 | 236,316,718 | 9.64 | ||||||||||||||||||
12/31/2005 | 0.88 | 0.85 | 0.10 | 143 | 218,749,221 | (4.70 | ) | |||||||||||||||||
12/31/2004 | 0.89 | 0.85 | 0.31 | 42 | 172,735,949 | 21.75 |
159
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Ratios to Average Net Assets | ||||||||||||||||||||||||
Net Investment | ||||||||||||||||||||||||
For the | Net Expenses | Income (Loss) | Net Assets, | |||||||||||||||||||||
Period/Year | Net | (Net of | (Net of | Portfolio | End of | Total | ||||||||||||||||||
Ended | Expenses | Reimbursements) | Reimbursements) | Turnover | Period/Year | Return | ||||||||||||||||||
Small Core | ||||||||||||||||||||||||
06/30/2009 | 0.86 | %* | 0.85 | %* | 0.78 | %* | 65 | % | $ | 314,025,664 | 3.62 | % | ||||||||||||
12/31/2008 | 0.85 | 0.85 | 0.94 | 106 | 389,662,463 | (36.06 | ) | |||||||||||||||||
12/31/2007 | 0.84 | 0.84 | 0.58 | 97 | 950,197,463 | (4.49 | ) | |||||||||||||||||
12/31/2006 | 0.85 | 0.85 | 0.29 | 86 | 1,211,556,459 | 11.77 | ||||||||||||||||||
12/31/2005 | 0.85 | 0.85 | 0.09 | 92 | 1,296,671,909 | 10.53 | ||||||||||||||||||
12/31/2004 | 0.84 | 0.84 | 0.15 | 103 | 1,227,530,742 | 12.63 | ||||||||||||||||||
Small Growth | ||||||||||||||||||||||||
06/30/2009 | 0.93 | 0.90 | (0.43 | ) | 49 | 156,336,496 | 13.42 | |||||||||||||||||
12/31/2008 | 0.93 | 0.90 | (0.18 | ) | 146 | 152,512,859 | (37.87 | ) | ||||||||||||||||
12/31/2007 | 0.92 | 0.90 | (0.42 | ) | 144 | 166,817,321 | 8.64 | |||||||||||||||||
12/30/2006 | 1.04 | 0.90 | (0.29 | ) | 173 | 155,003,004 | 8.71 | |||||||||||||||||
12/31/2005 | 0.98 | 0.90 | (0.41 | ) | 183 | 132,903,534 | 0.55 | |||||||||||||||||
12/31/2004 | 0.97 | 0.90 | (0.51 | ) | 84 | 108,429,152 | 11.94 | |||||||||||||||||
International Equity | ||||||||||||||||||||||||
06/30/2009 | 0.89 | * | 0.89 | * | 2.65 | * | 120 | 1,000,243,011 | 4.94 | |||||||||||||||
12/31/2008 | 0.84 | 0.84 | 2.78 | 174 | 1,100,059,644 | (49.94 | ) | |||||||||||||||||
12/31/2007 | 0.87 | 0.87 | 2.25 | 110 | 2,264,061,514 | 11.69 | ||||||||||||||||||
12/31/2006 | 0.87 | 0.87 | 1.78 | 81 | 2,101,152,473 | 27.31 | ||||||||||||||||||
12/31/2005 | 0.88 | 0.88 | 2.03 | 94 | 1,721,786,149 | 11.20 | ||||||||||||||||||
12/31/2004 | 0.87 | 0.87 | 1.85 | 171 | 1,401,617,944 | 19.66 |
(a) | Portfolio turnover calculation includes effect of buying and selling TBA securities used in dollar roll transactions. Refer to Note 2J. | |
* | Annualized. | |
(1) | Commencement of Operations, May 6, 2005. |
160
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL
June 30, 2009
(Unaudited)
161
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
162
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
163
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
164
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
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INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
166
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
167
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
168
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
169
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
170
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
171
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
172
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
173
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
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INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
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INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
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INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
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INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
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INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
179
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
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INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
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INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
182
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
183
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
184
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
185
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
186
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
187
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
188
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
189
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
190
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
191
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
192
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
193
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
194
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
195
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
196
197
4 Manhattanville Rd.
Purchase, New York 10577
(a) | The Registrant’s principal executive officer and principal financial officer evaluated the Registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) are appropriately designed to ensure that information required to be disclosed by the Registrant in |
2
the reports that it files on Form N-CSR (a) is accumulated and communicated to Registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. | |||
(b) | The Registrant’s principal executive officer and principal financial officer are aware of no change in the Registrant’s internal control over financial reporting that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
(a) | (1) | Not Applicable |
(2) | Separate certifications for Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(a) under the 1940 Act, are attached. | |
(3) | Not Applicable |
(b) | A certification for Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) under the 1940 Act, is attached. The certification furnished pursuant to this paragraph is not deemed to be “filed” for purposes of Section 18 of the Securities Act of 1934, or otherwise subject to liability of that section. Such certification is not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the Registrant specifically incorporates it by reference. |
3
Transamerica Asset Allocation Variable Funds (Registrant) | ||||
By: | /s/ John K. Carter | |||
John K. Carter | ||||
Chief Executive Officer | ||||
Date: August 28, 2009 | ||||
By: | /s/ John K. Carter | ||||
John K. Carter | |||||
Chief Executive Officer | |||||
Date: August 28, 2009 | |||||
By: | /s/ Joseph P. Carusone | ||||
Joseph P. Carusone | |||||
Principal Financial Officer | |||||
Date: August 28, 2009 |
4
Exhibit No. | Description of Exhibit | |
12(a)(2)(i) | Section 302 N-CSR Certification of Chief Executive Officer | |
12(a)(2)(ii) | Section 302 N-CSR Certification of Principal Financial Officer | |
12(b) | Section 906 N-CSR Certification of Chief Executive Officer and Principal Financial Officer |
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