UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-08189
J.P. Morgan Fleming Mutual Fund Group, Inc.
(Exact name of registrant as specified in charter)
245 Park Avenue
New York, NY 10167
(Address of principal executive offices) (Zip code)
Frank J. Nasta
245 Park Avenue
New York, NY 10167
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800) 480-4111
Date of fiscal year end: June 30
Date of reporting period: July 1, 2008 through June 30, 2009
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
JPMorgan Mid Cap Equity Fund
JPMorgan Mid Cap Growth Fund
(formerly JPMorgan Diversified Mid Cap Growth Fund)
JPMorgan Mid Cap Value Fund
JPMorgan Multi-Cap Market Neutral Fund
JPMorgan Value Advantage Fund
![](https://capedge.com/proxy/N-CSR/0001145443-09-002264/jpmorganlogo_k.jpg)
President’s Letter | 1 | |||||
Fund Commentaries: | ||||||
JPMorgan Growth Advantage Fund | 2 | |||||
JPMorgan Mid Cap Equity Fund | 4 | |||||
JPMorgan Mid Cap Growth Fund | 7 | |||||
JPMorgan Mid Cap Value Fund | 9 | |||||
JPMorgan Multi-Cap Market Neutral Fund | 12 | |||||
JPMorgan Value Advantage Fund | 15 | |||||
Schedules of Portfolio Investments | 18 | |||||
Financial Statements | 48 | |||||
Financial Highlights | 62 | |||||
Notes to Financial Statements | 74 | |||||
Report of Independent Registered Public Accounting Firm | 87 | |||||
Trustees | 88 | |||||
Officers | 90 | |||||
Schedule of Shareholder Expenses | 91 | |||||
Special Shareholder Meeting Results | 94 | |||||
Tax Letter | 95 |
JULY 15, 2009 (Unaudited)
![]() | “As we enter the second half of 2009, we have seen some hints of optimism in both the markets and economy, but we still face a long and bumpy road to recovery.” |
![](https://capedge.com/proxy/N-CSR/0001145443-09-002264/georgecwgatch-sig.jpg)
President and CEO
J.P. Morgan Funds
AS OF JUNE 30, 2009 (Unaudited)
FUND FACTS | ||||||
Fund Inception | October 29, 1999 | |||||
Fiscal Year End | June 30 | |||||
Net Assets as of 6/30/2009 (In Thousands) | $572,102 | |||||
Primary Benchmark | Russell 3000 Growth Index |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Growth Advantage Fund, which seeks to provide long-term capital growth,* returned –27.76%** (Class A Shares, no sales charge) for the 12 months ended June 30, 2009, compared to the –24.53% return for the Russell 3000 Growth Index for the same period. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | Throughout the first eight months of this period, the market traded down sharply due to such key themes as economic recession, weakness in the housing market, bad mortgages, troubled financial companies and the credit crisis. In response to the global economic environment, governments and central banks around the world began to intervene. Around mid-March, market sentiment began to change, with the financial sector leading the way higher as a few larger banks announced profitability for the first two months of 2009. During April, economic data reports were not as bad as previously forecasted, with first-quarter earnings generally better than expected. In May, the market continued to move higher by an impressive amount, as results of the U.S. banks’ stress test were received positively by the equity market. |
In addition to being affected by this market environment, the Fund underperformed its benchmark for the period due primarily to stock selection in the technology and producer durables sectors, as well as an underweight in the consumer staples sector. At the individual stock level, Forest Oil Corp. detracted from performance. Forest Oil, an oil and gas company that engages in the acquisition, exploration, development and production of natural gas, was negatively impacted by concerns over the amount of debt on its balance sheet. Fidelity National Financial Inc., which provides title insurance, specialty insurance, claims management and information services, also hindered performance. Because its business is sensitive to volumes of mortgage applications, the company was hurt by the correction in the U.S. Treasury market, which dampened the nascent refinancing boom. |
On the positive side, stock selection in the consumer discretionary and energy sectors as well as an overweight in the healthcare sector contributed to returns. At the individual stock level, ITT Educational Services Inc. aided returns. The company offers post-secondary degree programs focused on technology. Shares of ITT Educational advanced as the company raised its fiscal year guidance because students have been returning to school amid a deteriorating economy. Southwestern Energy Co., which engages in the exploration, development and production of natural gas and crude oil, also contributed to performance as shares advanced on strength in the energy sector. |
Q: | HOW WAS THE FUND MANAGED? |
A: | The Fund utilized a bottom-up approach to construct the Fund’s portfolio, basing stock selection on a combination of proprietary company research complemented by research derived from third-party sources. The research process was designed to identify companies with predictable and durable business models deemed capable of achieving sustainable growth. Potential investments were subjected to rigorous financial analysis and a disciplined approach to valuation. |
1. | Google, Inc., Class A | 3.3 | % | |||||||
2. | Apple, Inc. | 3.2 | ||||||||
3. | International Business Machines Corp. | 2.3 | ||||||||
4. | Microsoft Corp. | 2.2 | ||||||||
5. | Cisco Systems, Inc. | 2.1 | ||||||||
6. | QUALCOMM, Inc. | 2.1 | ||||||||
7. | Goldman Sachs Group, Inc. (The) | 1.8 | ||||||||
8. | DeVry, Inc. | 1.7 | ||||||||
9. | Amdocs Ltd., (United Kingdom) | 1.6 | ||||||||
10. | Wal-Mart Stores, Inc. | 1.6 |
Information Technology | 30.2 | % | ||||
Health Care | 15.3 | |||||
Industrials | 14.1 | |||||
Consumer Discretionary | 12.1 | |||||
Financials | 9.8 | |||||
Energy | 5.9 | |||||
Consumer Staples | 4.3 | |||||
Materials | 2.4 | |||||
Telecommunication Services | 2.1 | |||||
Short-Term Investment | 3.8 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2009. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 10/29/99 | |||||||||||||||||
Without Sales Charge | (27.76 | )% | 1.95 | % | (5.12 | )% | ||||||||||||
With Sales Charge* | (31.55 | ) | 0.84 | (5.65 | ) | |||||||||||||
CLASS B SHARES | 10/29/99 | |||||||||||||||||
Without CDSC | (28.16 | ) | 1.28 | (5.66 | ) | |||||||||||||
With CDSC** | (33.16 | ) | 0.90 | (5.66 | ) | |||||||||||||
CLASS C SHARES | 5/1/06 | |||||||||||||||||
Without CDSC | (28.13 | ) | 1.32 | (5.74 | ) | |||||||||||||
With CDSC*** | (29.13 | ) | 1.32 | (5.74 | ) | |||||||||||||
CLASS R5 SHARES | 1/8/09 | (27.51 | ) | 2.12 | (5.04 | ) | ||||||||||||
SELECT CLASS SHARES | 5/1/06 | (27.51 | ) | 2.12 | (5.04 | ) |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSR/0001145443-09-002264/d25142ga_line.jpg)
AS OF JUNE 30, 2009 (Unaudited)
FUND FACTS | ||||||
Fund Inception | January 1, 1997 | |||||
Fiscal Year End | June 30 | |||||
Net Assets as of 6/30/2009 (In Thousands) | $195,785 | |||||
Primary Benchmark | Russell Midcap Index |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Mid Cap Equity Fund, which seeks long-term capital growth,* returned –28.02%** (Select Class Shares) for the 12 months ended June 30, 2009, compared to the –30.36% return for the Russell Midcap Index for the same period. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | Looking back, the last 12 months will most certainly be remembered as one of the most volatile periods of the U.S. equity markets. The deterioration in the equity markets began to accelerate in October 2008, as the effects of the Lehman Brothers bankruptcy instilled fear and panic among investors. The onslaught of continuously poor economic data continued well into 2009. The U.S. economy experienced a surge in unemployment claims, a wave of announcements on corporate layoffs, and an extremely poor level of consumer confidence. In response, a barrage of governmental policy announcements and actions by the Federal Reserve (Fed) were put into place to restore confidence in the financial system. Equity markets continued to remain volatile and hit fresh lows in early March 2009. |
In the latter half of March and throughout April there appeared to be signs the rate of global economic decline was beginning to moderate, and markets began to rebound. The U.S. Treasury released the much-anticipated bank stress test results in May, and the additional equity capital required for largest 19 financial institutions was lower than expected. These lower-than-expected capital requirements, and news of successful capital raises by a handful of banks shortly thereafter, greatly reduced systemic fears, spurred further advances and helped to ease losses suffered by equity investors over the past year. |
Despite being affected by these market conditions on an absolute basis, the Fund outperformed its benchmark, due mostly to stock selection in the financials and consumer discretionary sectors. |
At the individual stock level, Philadelphia Consolidated Holding Corp., a provider of specialty commercial and personal property insurance products, was a top contributor to performance. The company was acquired by Tokio Marine Holdings, Inc., a Japan-based insurance company providing property and casualty insurance, reinsurance and life insurance products, for a purchase price of $4.7 billion in cash or $61.50 per share. |
ITT Educational Services Inc. also positively contributed to performance. The company offers post-secondary degree programs focused on technology. Shares of ITT Educational advanced after the company raised its fiscal-year guidance as students headed back to school amid a deteriorating economy. The company experienced exceptionally strong results driven by record enrollment growth, but we felt it best to sell the stock and deploy the proceeds toward more attractive risk/reward opportunities. |
Stock selection in the information technology sector and an underweight in the consumer staples sector detracted from results. Forest Oil Corp., engaged in the exploration, acquisition, development, production and marketing of natural gas and crude oil, was a top detractor to performance. The company significantly reduced its capital spending plans, given the steep drop in energy prices. Investors feared a potential decrease in the level of production and fewer new projects would eventually lead to lower revenues and profits. To offset commodity price pressures, the company took action to reduce costs by pressuring margins received by third parties for services rendered and more effectively deploying resources where needed. |
Century Aluminum Co., an aluminum producer, was also a top detractor to results, as aluminum prices declined on increasing inventories. We viewed the company as having a significant competitive advantage with very attractive low-cost production facilities in Iceland. Given the downturn in global demand, the company’s decision to issue additional common equity in lieu of reducing operational capacity caused us to question the company’s allocation of capital. Given these developments, we removed the stock from the portfolio and deployed the proceeds to companies in which we have more confidence in the fundamentals. |
Q: | HOW WAS THE FUND MANAGED? |
A: | The Fund employed a bottom-up approach to stock selection, constructing portfolios based on company fundamentals, quantitative screening and proprietary fundamental analysis. We looked for dominant franchises with predictable business models deemed capable of achieving sustained growth and undervalued companies with the potential to grow their intrinsic value per share. Over the course of the year the Fund favored the financials and industrials sectors, while being underweight in the consumer staples and utilities sectors. Potential investments were subjected to rigorous financial analysis and a disciplined approach to valuation. |
1. | Precision Castparts Corp. | 1.3 | % | |||||||
2. | TJX Cos., Inc. | 1.3 | ||||||||
3. | Old Republic International Corp. | 1.2 | ||||||||
4. | VCA Antech, Inc. | 1.1 | ||||||||
5. | Amphenol Corp. | 1.1 | ||||||||
6. | Safeway, Inc. | 1.1 | ||||||||
7. | Amdocs Ltd. | 1.1 | ||||||||
8. | DeVry, Inc. | 1.0 | ||||||||
9. | Cincinnati Financial Corp. | 1.0 | ||||||||
10. | Staples, Inc. | 1.0 |
Financials | 18.9 | % | ||||
Consumer Discretionary | 17.3 | |||||
Industrials | 13.7 | |||||
Information Technology | 12.5 | |||||
Health Care | 9.6 | |||||
Utilities | 6.3 | |||||
Energy | 6.0 | |||||
Materials | 5.5 | |||||
Consumer Staples | 3.4 | |||||
Telecommunication Services | 2.7 | |||||
Short-Term Investment | 4.1 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2009. The Fund’s composition is subject to change. |
AS OF JUNE 30, 2009 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SELECT CLASS SHARES | 1/1/97 | (28.02 | )% | 0.00 | % | 4.64 | % |
![](https://capedge.com/proxy/N-CSR/0001145443-09-002264/d25142mce_line.jpg)
(formerly JPMorgan Diversified Mid Cap Growth Fund)*
AS OF JUNE 30, 2009 (Unaudited)
FUND FACTS | ||||||
Fund Inception | March 2, 1989 | |||||
Fiscal Year End | June 30 | |||||
Net Assets as of 6/30/2009 (In Thousands) | $1,207,251 | |||||
Primary Benchmark | Russell Midcap Growth Index |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Mid Cap Growth Fund, which seeks growth of capital and, secondarily, current income by investing primarily in equity securities,** returned –30.82%*** (Select Class Shares) for the 12 months ended June 30, 2009, compared to the –30.33% return for the Russell Midcap Growth Index for the same period. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | Throughout the first eight months of this period, the market traded down sharply due to such key themes as economic recession, weakness in the housing market, bad mortgages, troubled financial companies and the credit crisis. In response to the global economic environment, governments and central banks around the world began to intervene. Around mid-March market, sentiment began to change, with the financial sector leading the way higher as a few larger banks announced profitability for the first two months of 2009. During April, economic data reports were not as bad as previously forecasted, with first-quarter earnings generally better than expected. In May, the market continued to move higher by an impressive amount, as results of the U.S. banks’ stress test were received positively by the equity market. |
In addition to being affected by this market environment, the Fund underperformed its benchmark for the period due primarily to stock selection in the producer durables, materials and processing and technology sectors. At the individual stock level, Forest Oil Corp., which engages in the acquisition, exploration, development and production of natural gas, detracted from performance. Forest Oil was negatively impacted by concerns over the amount of debt on its balance sheet. Fidelity National Financial Inc., which provides title insurance, specialty insurance, claims management and information services, also hindered performance. Because its business is sensitive to volumes of mortgage applications, the company was hurt by the correction in the U.S. Treasury market, which dampened the nascent refinancing boom. |
On the positive side, stock selection in the consumer discretionary sector as well as an underweight in the utilities sector and an overweight in the healthcare sector contributed to returns. At the individual stock level, ITT Educational Services Inc., which offers post-secondary degree programs focused on technology, aided returns. Shares of ITT Educational advanced as the company raised its fiscal year guidance because students have been returning to school amid a deteriorating economy. Philadelphia Consolidated Holding Corp., which engages in designing, marketing and underwriting specialty commercial and personal property insurance products, also contributed to performance. Shares of Philadelphia Consolidated advanced as it was acquired at a premium. |
Q: | HOW WAS THE FUND MANAGED? |
A: | The Fund employed a bottom-up approach to stock selection, constructing portfolios based on company fundamentals, quantitative screening and proprietary fundamental analysis. We looked for dominant franchises with predictable business models deemed capable of achieving sustained growth. Potential investments were subjected to rigorous financial analysis and a disciplined approach to valuation. We attempted to maintain sector diversification in the Fund by avoiding large allocations that were contingent on macroeconomic or sector trends. |
1. | Amdocs Ltd. | 2.4 | % | |||||||
2. | DeVry, Inc. | 2.1 | ||||||||
3. | Landstar System, Inc. | 1.8 | ||||||||
4. | Waste Connections, Inc. | 1.8 | ||||||||
5. | Express Scripts, Inc. | 1.6 | ||||||||
6. | Precision Castparts Corp. | 1.6 | ||||||||
7. | Corrections Corp. of America | 1.6 | ||||||||
8. | Praxair, Inc. | 1.6 | ||||||||
9. | Illumina, Inc. | 1.5 | ||||||||
10. | VCA Antech, Inc. | 1.5 |
Industrials | 20.3 | % | ||||
Information Technology | 20.0 | |||||
Consumer Discretionary | 17.9 | |||||
Health Care | 13.9 | |||||
Financials | 12.3 | |||||
Energy | 6.2 | |||||
Materials | 4.5 | |||||
Telecommunication Services | 2.4 | |||||
Consumer Staples | 0.2 | |||||
Short-Term Investment | 2.3 |
* | The Fund’s name was changed from JPMorgan Diversified Mid Cap Growth Fund to JPMorgan Mid Cap Growth Fund on June 27, 2009. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
**** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2009. The Fund’s composition is subject to change. |
(formerly JPMorgan Diversified Mid Cap Growth Fund)*
AS OF JUNE 30, 2009 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 2/18/92 | |||||||||||||||||
Without Sales Charge | (31.02 | )% | (0.48 | )% | 1.51 | % | ||||||||||||
With Sales Charge* | (34.63 | ) | (1.55 | ) | 0.96 | |||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||||
Without CDSC | (31.46 | ) | (1.11 | ) | 0.93 | |||||||||||||
With CDSC** | (36.46 | ) | (1.53 | ) | 0.93 | |||||||||||||
CLASS C SHARES | 11/4/97 | |||||||||||||||||
Without CDSC | (31.43 | ) | (1.11 | ) | 0.83 | |||||||||||||
With CDSC*** | (32.43 | ) | (1.11 | ) | 0.83 | |||||||||||||
CLASS R2 SHARES | 6/19/09 | (31.10 | ) | (0.63 | ) | 1.33 | ||||||||||||
SELECT CLASS SHARES | 3/2/89 | (30.82 | ) | (0.21 | ) | 1.78 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSR/0001145443-09-002264/d25142dmcg_line.jpg)
AS OF JUNE 30, 2009 (Unaudited)
FUND FACTS | ||||||
Fund Inception | November 13, 1997 | |||||
Fiscal Year End | June 30 | |||||
Net Assets as of 6/30/2009 (In Thousands) | $4,199,377 | |||||
Primary Benchmark | Russell Midcap Value Index |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Mid Cap Value Fund, which seeks growth from capital appreciation,* returned –25.15%** (Institutional Class Shares) for the 12 months ended June 30, 2009, compared to the –30.52% return for the Russell Midcap Value Index for the same period. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | Looking back, the last 12 months will most certainly be remembered as one of the most volatile periods of the U.S. equity markets. The deterioration in the equity markets began to accelerate in October 2008, as the effects of the Lehman Brothers bankruptcy instilled fear and panic among investors. The onslaught of continuously poor economic data continued well into 2009. The U.S. economy experienced a surge in unemployment claims, a wave of announcements on corporate layoffs, and an extremely poor level of consumer confidence. In response, a barrage of governmental policy announcements and actions by the Federal Reserve (Fed) were put into place to restore confidence in the financial system. Equity markets continued to remain volatile and hit fresh lows in early March 2009. |
In the latter half of March and throughout April there appeared to be signs that the rate of global economic decline was beginning to moderate, and markets began to rebound. The U.S. Treasury released the much-anticipated bank stress test results in May, and the additional equity capital required for largest 19 financial institutions was lower than expected. These lower-than-expected capital requirements, and news of successful capital raises by a handful of banks shortly thereafter, greatly reduced systemic fears, spurred further advances and helped ease losses suffered by equity investors over the past year. |
Despite being affected by these market conditions on an absolute basis, the Fund outperformed its benchmark, due mostly to stock selection in the financials and consumer discretionary sectors. |
AutoNation Inc., an auto retailer operating predominantly in the Sunbelt region of the United States, was a strong performer toward the latter half of the year. Despite significantly lower vehicle sales, AutoNation posted solid results in the fourth quarter of 2008, highlighted by margin improvements and increased contributions from parts and service. Although the company has significant exposure to the “Big 3” U.S. auto manufacturers, such exposure has drastically fallen over the past few years. AutoNation’s import and luxury segments now account for more than two-thirds of unit sales. One benefit of the decline in vehicle sales was a decrease in working capital requirements, which allowed the company to reallocate cash to pay down debt. We view management’s decision to slow down its share repurchases and reallocate free cash flow to reduce leverage positively. |
Another contributor to results was AutoZone Inc., the largest retailer and distributor of automotive replacement parts and accessories for the do-it-yourself customer. The company experienced an increase in same store sales, as the as demand for replacement parts increased due to consumers looking to extend the life of their existing cars in today’s economic environment. As individuals look to scale back discretionary expenses, many more car owners are servicing their own vehicles — another trend benefitting the company. The company has been able to maintain profitability even during times of slower sales growth by using its size and scale to pressure suppliers to give them more favorable pricing. AutoZone is an excellent example of the type of earnings consistency we look for in our investments. |
Stock selection in the information technology sector and an underweight in the consumer staples sector detracted from results. A top individual detractor to performance was Helix Energy Solutions Group Inc., a provider of sub-sea construction, maintenance and salvage services for the offshore oil and natural gas industry. A combination of lower energy prices, lost production following last year’s hurricane season and continuous project delays resulted in lower revenue and profits. After numerous earnings preannouncements, we removed the stock from the portfolio and deployed proceeds to companies in which we have more confidence in the fundamentals. |
Another detractor from performance was Williams Companies Inc. Stock in Williams Companies, an integrated natural gas company, came under pressure, mostly due to the weakening economy and the oversupply of natural gas. As energy prices fell significantly from 2008 highs, Williams Companies looked to add shareholder value by selling assets into its own Master Limited Partnership, which enabled the company to raise proceeds to fund growth projects. |
AS OF JUNE 30, 2009 (Unaudited) (continued)
Q: | HOW WAS THE FUND MANAGED? |
A: | The cornerstone of our investment philosophy is the belief that companies possessing the ability to consistently generate free cash flow and effectively allocate capital to generate growth in value per share will maximize our probability of providing consistent returns for the Fund and lower levels of volatility over the long term. We employ a bottom-up approach to stock selection, constructing portfolios based on company fundamentals, quantitative screening and proprietary fundamental analysis. Our purpose is to discover those companies offering the greatest potential against their current market value. Many companies may be considered cheap, and our research process helps us eliminate those that do not possess the characteristics of a sound, long-term business and identify those we believe are underrated or overlooked by the market. |
1. | Old Republic International Corp. | 2.4 | % | |||||||
2. | Safeway, Inc. | 2.2 | ||||||||
3. | Cincinnati Financial Corp. | 2.0 | ||||||||
4. | Assurant, Inc. | 2.0 | ||||||||
5. | Republic Services, Inc. | 2.0 | ||||||||
6. | Energen Corp. | 1.8 | ||||||||
7. | Ball Corp. | 1.8 | ||||||||
8. | American Electric Power Co., Inc. | 1.8 | ||||||||
9. | M&T Bank Corp. | 1.8 | ||||||||
10. | Becton, Dickinson & Co. | 1.8 |
Financials | 26.4 | % | ||||
Consumer Discretionary | 17.2 | |||||
Utilities | 12.7 | |||||
Industrials | 7.5 | |||||
Consumer Staples | 6.7 | |||||
Materials | 6.6 | |||||
Energy | 5.9 | |||||
Health Care | 5.6 | |||||
Information Technology | 5.5 | |||||
Telecommunication Services | 3.1 | |||||
Short-Term Investment | 2.8 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2009. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 4/30/01 | |||||||||||||||||
Without Sales Charge | (25.49 | )% | (0.31 | )% | 7.48 | % | ||||||||||||
With Sales Charge* | (29.39 | ) | (1.38 | ) | 6.90 | |||||||||||||
CLASS B SHARES | 4/30/01 | |||||||||||||||||
Without CDSC | (25.89 | ) | (0.83 | ) | 6.97 | |||||||||||||
With CDSC** | (30.89 | ) | (1.25 | ) | 6.97 | |||||||||||||
CLASS C SHARES | 4/30/01 | |||||||||||||||||
Without CDSC | (25.84 | ) | (0.82 | ) | 6.98 | |||||||||||||
With CDSC*** | (26.84 | ) | (0.82 | ) | 6.98 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | (25.60 | ) | (0.34 | ) | 7.46 | ||||||||||||
INSTITUTIONAL CLASS SHARES | 11/13/97 | (25.15 | ) | 0.18 | 7.92 | |||||||||||||
SELECT CLASS SHARES | 10/31/01 | (25.31 | ) | (0.06 | ) | 7.71 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSR/0001145443-09-002264/d25142mcv_line.jpg)
AS OF JUNE 30, 2009 (Unaudited)
FUND FACTS | ||||||
Fund Inception | May 23, 2003 | |||||
Fiscal Year End | June 30 | |||||
Net Assets as of 6/30/2009 (In Thousands) | $670,595 | |||||
Primary Benchmark | Merrill Lynch 3-Month U.S. Treasury Bill Index |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Multi-Cap Market Neutral Fund, which seeks long-term capital preservation and growth by using strategies designed to produce returns that have no correlation to general domestic market performance,* returned 0.00%** (Select Class Shares) for the 12 months ended June 30, 2009, compared to the 0.95% return for the Merrill Lynch 3-Month U.S. Treasury Bill Index for the same period. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund underperformed its benchmark for the 12 months ended June 30, 2009. Stock selection remained the primary source of returns for the Fund, as we sought to neutralize macro and sector influences on performance. |
The overall stock-selection process, combined with portfolio implementation (trading costs), generated returns which trailed the benchmark returns for the 12 months. Fundamentals (how healthy a company’s short-term operating trends are) did not work on the short or long sides of the Portfolio. Valuation (how a stock is priced relative to its intrinsic value) worked on both the short and long sides, although performance on the short side was better. The underperformance in fundamentals was primarily driven by operating momentum factors, while the outperformance in valuation came from earnings and cash-flow-based factors. Our overall stock selection process added value on the short side but not on the long side. The overall spread between the top and bottom quintiles in our quantitative stock selection process was also slightly positive for the period. No individual stock had a material impact on the Fund’s performance. |
The Fund categorizes its stock selection universe into five supersectors and 20 sectors within the supersectors. Of the Fund’s five supersector categories, financials performed the best. Healthcare was the worst-performing supersector for the 12 months |
Q: | HOW WAS THE FUND MANAGED? |
A: | We ranked stocks within a universe of approximately 1,300 large-cap, mid-cap and high-end small-cap stocks. We owned more than 350 positions each on the long and short sides of the Fund during the period. Our disciplined investment process involves assessing and applying approximately equal emphasis to the valuation of each stock within its respective sector in the portfolio utilizing a quantitative model, with the help of several factors. On a long-term basis, this quantitative approach of using valuation factors and fundamentals factors in creating long and short portfolios is designed in an effort to generate a positive spread return (net return) between the long and short portfolios across all the sectors. The Fund was well diversified and sector-neutral. In essence, we sought to go long on inexpensive stocks with improving fundamentals and short on expensive stocks with deteriorating fundamentals. |
We continued to pursue our objective of generating returns uncorrelated to the broad stock and bond markets. We looked to generate returns above our cash benchmark over the long-term investment horizon. |
1. | Valeant Pharmaceuticals International | 0.5 | % | |||||||
2. | Alpha Natural Resources, Inc. | 0.4 | ||||||||
3. | American Financial Group, Inc. | 0.4 | ||||||||
4. | Polaris Industries, Inc. | 0.4 | ||||||||
5. | Wyndham Worldwide Corp. | 0.4 | ||||||||
6. | Expedia, Inc. | 0.4 | ||||||||
7. | Del Monte Foods Co. | 0.4 | ||||||||
8. | Fluor Corp | 0.4 | ||||||||
9. | Newell Rubbermaid, Inc. | 0.4 | ||||||||
10. | El Paso Corp. | 0.4 |
1. | Legg Mason, Inc. | 0.5 | % | |||||||
2. | United Therapeutics Corp. | 0.5 | ||||||||
3. | American Tower Corp. | 0.5 | ||||||||
4. | Republic Services, Inc. | 0.5 | ||||||||
5. | Discover Financial Services, Inc. | 0.5 | ||||||||
6. | Molson Coors Brewing Co. | 0.5 | ||||||||
7. | Alcoa, Inc. | 0.5 | ||||||||
8. | EQT CORP | 0.5 | ||||||||
9. | Nvidia Corp. | 0.5 | ||||||||
10. | Smithfield Foods, Inc. | 0.5 |
Information Technology | 15.9 | % | ||||
Consumer Discretionary | 15.6 | |||||
Industrials | 12.5 | |||||
Health Care | 10.2 | |||||
Financials | 9.5 | |||||
Energy | 8.7 | |||||
Utilities | 5.2 | |||||
Materials | 4.5 | |||||
Consumer Staples | 4.4 | |||||
Telecommunication Services | 1.1 | |||||
Short-Term Investment | 12.4 |
Industrials | 17.9 | % | ||||
Information Technology | 16.0 | |||||
Consumer Discretionary | 13.6 | |||||
Financials | 11.7 | |||||
Health Care | 11.5 | |||||
Energy | 7.3 | |||||
Utilities | 7.1 | |||||
Materials | 6.9 | |||||
Consumer Staples | 6.2 | |||||
Telecommunication Services | 1.8 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** | Percentages indicated are based upon total long investments as of June 30, 2009. The Fund’s composition is subject to change. |
**** | Percentages indicated are based upon total short investments as of June 30, 2009. The Fund’s composition is subject to change. |
AS OF JUNE 30, 2009 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 5/23/03 | |||||||||||||||||
Without Sales Charge | (0.20 | )% | 2.02 | % | 2.69 | % | ||||||||||||
With Sales Charge* | (5.46 | ) | 0.92 | 1.79 | ||||||||||||||
CLASS B SHARES | 5/23/03 | |||||||||||||||||
Without CDSC | (0.89 | ) | 1.26 | 1.93 | ||||||||||||||
With CDSC** | (5.89 | ) | 0.88 | 1.93 | ||||||||||||||
CLASS C SHARES | 5/23/03 | |||||||||||||||||
Without CDSC | (0.99 | ) | 1.26 | 1.93 | ||||||||||||||
With CDSC*** | (1.99 | ) | 1.26 | 1.93 | ||||||||||||||
SELECT CLASS SHARES | 5/23/03 | 0.00 | 2.28 | 2.94 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSR/0001145443-09-002264/d25142mcmn_line.jpg)
AS OF JUNE 30, 2009 (Unaudited)
FUND FACTS | ||||||
Fund Inception | February 28, 2005 | |||||
Fiscal Year End | June 30 | |||||
Net Assets as of 6/30/2009 (In Thousands) | $332,287 | |||||
Primary Benchmark | Russell 3000 Value Index |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Value Advantage Fund, which seeks to provide long-term total return from a combination of income and capital gains,* returned –24.82%** (Class A Shares, no sales charge) for the 12 months ended June 30, 2009, compared to the –28.73% for the Russell 3000 Value Index for the same period. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | Looking back, the last 12 months will most certainly be remembered as one of the most volatile periods of the U.S. equity markets. The deterioration in the equity markets began to accelerate in October 2008, as the effects of the Lehman Brothers bankruptcy instilled fear and panic among investors. The onslaught of continuously poor economic data continued well into 2009. The U.S. economy experienced a surge in unemployment claims, a wave of announcements on corporate layoffs, and an extremely poor level of consumer confidence. In response, a barrage of governmental policy announcements and actions by the Federal Reserve (Fed) were put into place to restore confidence in the financial system. Equity markets continued to remain volatile and hit fresh lows in early March 2009. |
Through the latter half of March and April there appeared to be signs the rate of global economic decline was beginning to moderate, and markets began to rebound. The U.S. Treasury released the much-anticipated bank stress test results in May, and the additional equity capital required for largest 19 financial institutions was lower than expected. These lower-than-expected capital requirements, and news of successful capital raises by a handful of banks shortly thereafter, greatly reduced systemic fears, spurred further advances and helped ease losses suffered by equity investors over the past year. |
Despite being affected by these market conditions on an absolute basis, the Fund outperformed its benchmark for the period, due mostly to stock selection and an overweight in the financials sector and an underweight and stock selection in the industrials sector. A top contributor to performance was United Community Banks Inc., a regional bank operating in northern Georgia, metro Atlanta, coastal Georgia, western North Carolina and eastern Tennessee. The company continued to become more aggressive in removing problem loans from its residential construction portfolio. In addition, the company replaced its cash dividend in favor of a stock dividend and secured additional capital that significantly added to its capital cushion. |
ProAssurance Corp., a specialty insurer engaged in medical professional liability, was also a strong contributor to performance. The company was rather isolated from many of the factors affecting insurance companies during the current crisis, such as sub-prime mortgage exposure and sizable variable annuity guarantees. Despite its difficulties attracting new business, which led to net declines in net premiums written, the company delivered consistent earnings throughout the year due to its conservative underwriting culture. ProAssurance is known for setting aside generous reserves in anticipation of future losses. When losses do not materialize, the company can release those reserves back to the bottom line, which can help maintain profitability in a challenging business environment. |
The Fund’s underweight and stock selection in the healthcare sector and underweight and stock selection in the consumer staples sector detracted from results. A top detractor to our results was Devon Energy Corp. Devon Energy is an independent energy company engaged primarily in the exploration, development, production and transportation of oil, gas and natural gas liquids and the processing of natural gas. The stock experienced weakness throughout most of the year, as the company significantly reduced production guidance and capital spending plans due to the steep fall in energy prices. |
Another detractor from performance was Williams Companies Inc. Stock in Williams Companies, an integrated natural gas company, came under pressure mostly due to the weakening economy and the oversupply of natural gas. As energy prices fell significantly from 2008 highs, Williams Companies looked to add shareholder value by selling assets into its own Master Limited Partnership, which enabled the company to raise proceeds needed to fund growth projects. |
Q: | HOW WAS THE FUND MANAGED? |
A: | The Fund employed a bottom-up approach to stock selection. We look to identify undervalued companies that have the potential to grow intrinsic value per share. The research process is designed to find companies with durable business models deemed capable of generating significant free cash flow. All potential investments are subjected to rigorous financial analysis and a disciplined approach to valuation. |
AS OF JUNE 30, 2009 (Unaudited) (continued)
1. | Wells Fargo & Co. | 3.9 | % | |||||||
2. | Loews Corp. | 2.9 | ||||||||
3. | Devon Energy Corp. | 2.8 | ||||||||
4. | Agree Realty Corp. | 2.7 | ||||||||
5. | Old Republic International Corp. | 2.5 | ||||||||
6. | Assurant, Inc. | 2.4 | ||||||||
7. | Telephone & Data Systems, Inc. | 2.4 | ||||||||
8. | Berkshire Hathaway, Inc., Class A | 2.3 | ||||||||
9. | Carlisle Cos., Inc. | 2.3 | ||||||||
10. | �� | W.P. Carey & Co. LLC | 2.2 |
Financials | 41.4 | % | ||||
Energy | 15.9 | |||||
Consumer Discretionary | 13.0 | |||||
Health Care | 5.3 | |||||
Utilities | 5.1 | |||||
Consumer Staples | 4.4 | |||||
Industrials | 4.4 | |||||
Telecommunication Services | 3.1 | |||||
Information Technology | 2.6 | |||||
Materials | 2.4 | |||||
Short-Term Investment | 2.4 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** | Percentages indicated are based upon total investments as of June 30, 2009. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 YEAR | 3 YEAR | SINCE INCEPTION | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 2/28/05 | |||||||||||||||||
Without Sales Charge | (24.82 | )% | (7.86 | )% | (2.18 | )% | ||||||||||||
With Sales Charge* | (28.78 | ) | (9.50 | ) | (3.39 | ) | ||||||||||||
CLASS C SHARES | 2/28/05 | |||||||||||||||||
Without CDSC | (25.19 | ) | (8.32 | ) | (2.67 | ) | ||||||||||||
With CDSC** | (26.19 | ) | (8.32 | ) | (2.67 | ) | ||||||||||||
INSTITUTIONAL CLASS SHARES | 2/28/05 | (24.41 | ) | (7.39 | ) | (1.80 | ) | |||||||||||
SELECT CLASS SHARES | 2/28/05 | (24.62 | ) | (7.62 | ) | (1.93 | ) |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSR/0001145443-09-002264/d25142va_line.jpg)
AS OF JUNE 30, 2009
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 95.4% | |||||||||||
Common Stocks — 95.4% | |||||||||||
Aerospace & Defense — 1.0% | |||||||||||
82 | Precision Castparts Corp. | 5,956 | |||||||||
Airlines — 0.5% | |||||||||||
463 | Delta Air Lines, Inc. (a) (c) | 2,678 | |||||||||
Biotechnology — 1.2% | |||||||||||
151 | Gilead Sciences, Inc. (a) | 7,073 | |||||||||
Building Products — 0.7% | |||||||||||
134 | Lennox International, Inc. | 4,303 | |||||||||
Capital Markets — 5.0% | |||||||||||
26 | BlackRock, Inc. (c) | 4,579 | |||||||||
68 | Goldman Sachs Group, Inc. (The) | 9,952 | |||||||||
131 | Northern Trust Corp. | 7,032 | |||||||||
270 | Och-Ziff Capital Management Group LLC, Class A | 2,401 | |||||||||
112 | T. Rowe Price Group, Inc. (c) | 4,680 | |||||||||
28,644 | |||||||||||
Chemicals — 2.4% | |||||||||||
144 | Ecolab, Inc. (c) | 5,630 | |||||||||
114 | Praxair, Inc. | 8,074 | |||||||||
13,704 | |||||||||||
Commercial Banks — 0.9% | |||||||||||
147 | Wells Fargo & Co. (c) | 3,561 | |||||||||
126 | Zions Bancorp (c) | 1,460 | |||||||||
5,021 | |||||||||||
Commercial Services & Supplies — 3.2% | |||||||||||
337 | Corrections Corp. of America (a) (c) | 5,731 | |||||||||
78 | Stericycle, Inc. (a) | 3,993 | |||||||||
327 | Waste Connections, Inc. (a) | 8,461 | |||||||||
18,185 | |||||||||||
Communications Equipment — 7.3% | |||||||||||
640 | Cisco Systems, Inc. (a) | 11,928 | |||||||||
121 | CommScope, Inc. (a) | 3,175 | |||||||||
157 | F5 Networks, Inc. (a) | 5,431 | |||||||||
258 | QUALCOMM, Inc. | 11,652 | |||||||||
74 | Research In Motion Ltd., (Canada) (a) | 5,272 | |||||||||
167 | ViaSat, Inc. (a) | 4,279 | |||||||||
41,737 | |||||||||||
Computers & Peripherals — 6.4% | |||||||||||
129 | Apple, Inc. (a) | 18,409 | |||||||||
127 | International Business Machines Corp. | 13,261 | |||||||||
243 | NetApp, Inc. (a) (c) | 4,796 | |||||||||
36,466 | |||||||||||
Construction & Engineering — 1.5% | |||||||||||
172 | Aecom Technology Corp. (a) | 5,495 | |||||||||
120 | Shaw Group, Inc. (The) (a) | 3,289 | |||||||||
8,784 | |||||||||||
Diversified Consumer Services — 2.7% | |||||||||||
191 | DeVry, Inc. | 9,558 | |||||||||
281 | Lincoln Educational Services Corp. (a) | 5,873 | |||||||||
15,431 | |||||||||||
Diversified Financial Services — 1.7% | |||||||||||
36 | IntercontinentalExchange, Inc. (a) (c) | 4,056 | |||||||||
234 | MSCI, Inc., Class A (a) | 5,726 | |||||||||
�� | 9,782 | ||||||||||
Diversified Telecommunication Services — 0.9% | |||||||||||
498 | tw telecom, inc. (a) | 5,115 | |||||||||
Electrical Equipment — 1.5% | |||||||||||
23 | First Solar, Inc. (a) (c) | 3,777 | |||||||||
106 | Roper Industries, Inc. | 4,785 | |||||||||
8,562 | |||||||||||
Electronic Equipment, Instruments & Components — 1.4% | |||||||||||
141 | Amphenol Corp., Class A | 4,468 | |||||||||
99 | Dolby Laboratories, Inc., Class A (a) | 3,702 | |||||||||
8,170 | |||||||||||
Energy Equipment & Services — 2.3% | |||||||||||
214 | Cameron International Corp. (a) | 6,058 | |||||||||
108 | Oceaneering International, Inc. (a) (c) | 4,864 | |||||||||
134 | ShawCor Ltd., (Canada), Class A | 2,324 | |||||||||
13,246 | |||||||||||
Food & Staples Retailing — 3.3% | |||||||||||
172 | CVS/Caremark Corp. | 5,494 | |||||||||
132 | Walgreen Co. | 3,872 | |||||||||
192 | Wal-Mart Stores, Inc. | 9,301 | |||||||||
18,667 | |||||||||||
Food Products — 0.8% | |||||||||||
85 | General Mills, Inc. | 4,734 | |||||||||
Health Care Equipment & Supplies — 0.5% | |||||||||||
109 | Thoratec Corp. (a) (c) | 2,916 | |||||||||
Health Care Providers & Services — 5.7% | |||||||||||
124 | Express Scripts, Inc. (a) | 8,546 | |||||||||
258 | Gentiva Health Services, Inc. (a) | 4,250 | |||||||||
228 | Psychiatric Solutions, Inc. (a) (c) | 5,182 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Health Care Providers & Services — Continued | |||||||||||
320 | UnitedHealth Group, Inc. | 7,999 | |||||||||
243 | VCA Antech, Inc. (a) (c) | 6,477 | |||||||||
32,454 | |||||||||||
Health Care Technology — 1.9% | |||||||||||
72 | Cerner Corp. (a) | 4,485 | |||||||||
320 | MedAssets, Inc. (a) | 6,228 | |||||||||
10,713 | |||||||||||
Hotels, Restaurants & Leisure — 0.9% | |||||||||||
35 | Chipotle Mexican Grill, Inc., Class A (a) (c) | 2,784 | |||||||||
296 | Las Vegas Sands Corp. (a) | 2,330 | |||||||||
5,114 | |||||||||||
Industrial Conglomerates — 0.8% | |||||||||||
180 | Carlisle Cos., Inc. | 4,318 | |||||||||
Insurance — 2.1% | |||||||||||
165 | ACE Ltd., (Switzerland) | 7,289 | |||||||||
192 | HCC Insurance Holdings, Inc. (c) | 4,598 | |||||||||
11,887 | |||||||||||
Internet & Catalog Retail — 1.2% | |||||||||||
82 | Amazon.com, Inc. (a) | 6,843 | |||||||||
Internet Software & Services — 4.9% | |||||||||||
263 | Akamai Technologies, Inc. (a) | 5,039 | |||||||||
58 | Equinix, Inc. (a) (c) | 4,233 | |||||||||
44 | Google, Inc., Class A (a) (c) | 18,508 | |||||||||
27,780 | |||||||||||
IT Services — 0.9% | |||||||||||
31 | MasterCard, Inc., Class A (c) | 5,153 | |||||||||
Life Sciences Tools & Services — 2.1% | |||||||||||
270 | Icon plc, (Ireland), ADR (a) | 5,816 | |||||||||
164 | Illumina, Inc. (a) (c) | 6,382 | |||||||||
12,198 | |||||||||||
Machinery — 0.8% | |||||||||||
137 | Wabtec Corp. (c) | 4,394 | |||||||||
Media — 1.1% | |||||||||||
281 | Discovery Communications, Inc., Class A (a) | 6,343 | |||||||||
Multiline Retail — 0.9% | |||||||||||
123 | Kohl’s Corp. (a) (c) | 5,245 | |||||||||
Oil, Gas & Consumable Fuels — 3.5% | |||||||||||
74 | Apache Corp. | 5,339 | |||||||||
208 | Concho Resources, Inc. (a) (c) | 5,970 | |||||||||
57 | Noble Energy, Inc. (c) | 3,350 | |||||||||
137 | Southwestern Energy Co. (a) | 5,326 | |||||||||
19,985 | |||||||||||
Personal Products — 0.2% | |||||||||||
40 | NBTY, Inc. (a) | 1,116 | |||||||||
Pharmaceuticals — 3.7% | |||||||||||
186 | Abbott Laboratories | 8,764 | |||||||||
81 | Allergan, Inc. | 3,849 | |||||||||
179 | Teva Pharmaceutical Industries Ltd., (Israel), ADR (c) | 8,812 | |||||||||
21,425 | |||||||||||
Professional Services — 0.9% | |||||||||||
100 | FTI Consulting, Inc. (a) (c) | 5,092 | |||||||||
Road & Rail — 2.5% | |||||||||||
124 | Canadian National Railway Co., (Canada) | 5,344 | |||||||||
251 | Landstar System, Inc. | 9,021 | |||||||||
14,365 | |||||||||||
Semiconductors & Semiconductor Equipment — 3.4% | |||||||||||
156 | Broadcom Corp., Class A (a) (c) | 3,855 | |||||||||
116 | Lam Research Corp. (a) (c) | 3,021 | |||||||||
351 | Marvell Technology Group Ltd., (Bermuda) (a) | 4,088 | |||||||||
459 | Taiwan Semiconductor Manufacturing Co., Ltd., (Taiwan), ADR | 4,322 | |||||||||
200 | Xilinx, Inc. (c) | 4,098 | |||||||||
19,384 | |||||||||||
Software — 5.7% | |||||||||||
436 | Amdocs Ltd., (United Kingdom) (a) | 9,357 | |||||||||
139 | Blackboard, Inc. (a) (c) | 4,023 | |||||||||
532 | Microsoft Corp. | 12,646 | |||||||||
321 | Nuance Communications, Inc. (a) (c) | 3,882 | |||||||||
88 | Sybase, Inc. (a) (c) | 2,767 | |||||||||
32,675 | |||||||||||
Specialty Retail — 5.2% | |||||||||||
107 | Advance Auto Parts, Inc. | 4,435 | |||||||||
269 | J Crew Group, Inc. (a) (c) | 7,266 | |||||||||
82 | Sherwin-Williams Co. (The) | 4,402 | |||||||||
390 | Staples, Inc. | 7,860 | |||||||||
183 | TJX Cos., Inc. | 5,751 | |||||||||
29,714 | |||||||||||
Trading Companies & Distributors — 0.6% | |||||||||||
44 | W.W. Grainger, Inc. (c) | 3,611 |
AS OF JUNE 30, 2009 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Wireless Telecommunication Services — 1.2% | |||||||||||
209 | Leap Wireless International, Inc. (a) (c) | 6,879 | |||||||||
Total Long-Term Investments (Cost $523,031) | 545,862 | ||||||||||
Short-Term Investment — 3.7% | |||||||||||
Investment Company — 3.7% | |||||||||||
21,405 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.410% (b) (l) (Cost $21,405) | 21,405 | |||||||||
Investments of Cash Collateral for Securities on Loan — 17.5% | |||||||||||
Investment Company — 17.5% | |||||||||||
99,987 | JPMorgan Prime Money Market Fund, Capital Shares, 0.450% (b) (l) (Cost $99,987) | 99,987 | |||||||||
Total Investments — 116.6% (Cost $644,423) | 667,254 | ||||||||||
Liabilities in Excess of Other Assets — (16.6)% | (95,152 | ) | |||||||||
NET ASSETS — 100.0% | $ | 572,102 |
AS OF JUNE 30, 2009
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 97.0% | |||||||||||
Common Stocks — 97.0% | |||||||||||
Aerospace & Defense — 2.0% | |||||||||||
8 | Alliant Techsystems, Inc. (a) | 618 | |||||||||
11 | L-3 Communications Holdings, Inc. | 735 | |||||||||
36 | Precision Castparts Corp. | 2,631 | |||||||||
3,984 | |||||||||||
Airlines — 0.2% | |||||||||||
84 | Delta Air Lines, Inc. (a) (c) | 484 | |||||||||
Auto Components — 0.6% | |||||||||||
47 | Gentex Corp. | 544 | |||||||||
32 | WABCO Holdings, Inc. | 574 | |||||||||
1,118 | |||||||||||
Automobiles — 0.2% | |||||||||||
23 | Harley-Davidson, Inc. | 366 | |||||||||
Beverages — 0.2% | |||||||||||
8 | Brown-Forman Corp., Class B | 326 | |||||||||
Biotechnology — 0.6% | |||||||||||
10 | Alexion Pharmaceuticals, Inc. (a) | 428 | |||||||||
18 | Myriad Genetics, Inc. (a) (c) | 652 | |||||||||
4 | Myriad Pharmaceuticals, Inc. (a) | 19 | |||||||||
�� | 1,099 | ||||||||||
Building Products — 0.4% | |||||||||||
25 | Lennox International, Inc. (c) | 790 | |||||||||
Capital Markets — 3.9% | |||||||||||
16 | Affiliated Managers Group, Inc. (a) (c) | 941 | |||||||||
5 | BlackRock, Inc. (c) | 842 | |||||||||
20 | Lazard Ltd., (Bermuda), Class A | 541 | |||||||||
34 | Northern Trust Corp. | 1,800 | |||||||||
66 | Och-Ziff Capital Management Group LLC, Class A | 587 | |||||||||
46 | T. Rowe Price Group, Inc. (c) | 1,911 | |||||||||
58 | TD AMERITRADE Holding Corp. (a) (c) | 1,013 | |||||||||
7,635 | |||||||||||
Chemicals — 3.6% | |||||||||||
9 | Air Products & Chemicals, Inc. | 601 | |||||||||
11 | Airgas, Inc. | 462 | |||||||||
50 | Albemarle Corp. | 1,289 | |||||||||
32 | Ecolab, Inc. (c) | 1,246 | |||||||||
21 | PPG Industries, Inc. | 900 | |||||||||
21 | Praxair, Inc. | 1,514 | |||||||||
21 | Sigma-Aldrich Corp. | 1,031 | |||||||||
7,043 | |||||||||||
Commercial Banks — 3.5% | |||||||||||
14 | BancorpSouth, Inc. | 294 | |||||||||
29 | BB&T Corp. | 646 | |||||||||
12 | BOK Financial Corp. (c) | 456 | |||||||||
8 | City National Corp. | 280 | |||||||||
22 | Cullen/Frost Bankers, Inc. | 1,033 | |||||||||
34 | M&T Bank Corp. | 1,747 | |||||||||
23 | SunTrust Banks, Inc. | 382 | |||||||||
109 | Synovus Financial Corp. | 326 | |||||||||
52 | TCF Financial Corp. | 696 | |||||||||
30 | Wilmington Trust Corp. | 415 | |||||||||
46 | Zions Bancorp | 527 | |||||||||
6,802 | |||||||||||
Commercial Services & Supplies — 3.2% | |||||||||||
86 | Corrections Corp. of America (a) (c) | 1,462 | |||||||||
80 | Republic Services, Inc. | 1,940 | |||||||||
22 | Stericycle, Inc. (a) (c) | 1,116 | |||||||||
66 | Waste Connections, Inc. (a) (c) | 1,709 | |||||||||
6,227 | |||||||||||
Communications Equipment — 1.4% | |||||||||||
35 | CommScope, Inc. (a) | 930 | |||||||||
36 | F5 Networks, Inc. (a) (c) | 1,245 | |||||||||
27 | Juniper Networks, Inc. (a) | 632 | |||||||||
2,807 | |||||||||||
Computers & Peripherals — 0.6% | |||||||||||
59 | NetApp, Inc. (a) (c) | 1,154 | |||||||||
Construction & Engineering — 0.8% | |||||||||||
31 | Aecom Technology Corp. (a) | 992 | |||||||||
24 | Shaw Group, Inc. (The) (a) | 660 | |||||||||
1,652 | |||||||||||
Construction Materials — 0.2% | |||||||||||
9 | Vulcan Materials Co. | 371 | |||||||||
Containers & Packaging — 1.3% | |||||||||||
40 | Ball Corp. | 1,815 | |||||||||
16 | Greif, Inc., Class A | 699 | |||||||||
2,514 | |||||||||||
Distributors — 0.7% | |||||||||||
39 | Genuine Parts Co. | 1,308 | |||||||||
Diversified Consumer Services — 1.5% | |||||||||||
41 | DeVry, Inc. (c) | 2,027 | |||||||||
50 | H&R Block, Inc. | 853 | |||||||||
2,880 |
AS OF JUNE 30, 2009 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Diversified Financial Services — 0.8% | |||||||||||
6 | IntercontinentalExchange, Inc. (a) (c) | 731 | |||||||||
35 | MSCI, Inc., Class A (a) | 846 | |||||||||
1,577 | |||||||||||
Diversified Telecommunication Services — 1.4% | |||||||||||
36 | CenturyTel, Inc. | 1,102 | |||||||||
115 | tw telecom, inc. (a) | 1,181 | |||||||||
64 | Windstream Corp. | 536 | |||||||||
2,819 | |||||||||||
Electric Utilities — 1.7% | |||||||||||
62 | American Electric Power Co., Inc. | 1,794 | |||||||||
6 | FirstEnergy Corp. | 221 | |||||||||
66 | Westar Energy, Inc. | 1,233 | |||||||||
3,248 | |||||||||||
Electrical Equipment — 1.0% | |||||||||||
19 | Cooper Industries Ltd., Class A | 581 | |||||||||
3 | First Solar, Inc. (a) (c) | 493 | |||||||||
21 | Roper Industries, Inc. | 971 | |||||||||
2,045 | |||||||||||
Electronic Equipment, Instruments & Components — 2.9% | |||||||||||
70 | Amphenol Corp., Class A | 2,226 | |||||||||
60 | Arrow Electronics, Inc. (a) | 1,272 | |||||||||
23 | Dolby Laboratories, Inc., Class A (a) | 853 | |||||||||
68 | Tyco Electronics Ltd., (Switzerland) | 1,258 | |||||||||
5,609 | |||||||||||
Energy Equipment & Services — 1.1% | |||||||||||
34 | Cameron International Corp. (a) | 949 | |||||||||
16 | Oceaneering International, Inc. (a) (c) | 702 | |||||||||
27 | Weatherford International Ltd. (a) | 522 | |||||||||
2,173 | |||||||||||
Food & Staples Retailing — 1.2% | |||||||||||
105 | Safeway, Inc. | 2,128 | |||||||||
10 | SYSCO Corp. | 234 | |||||||||
2,362 | |||||||||||
Food Products — 0.8% | |||||||||||
33 | JM Smucker Co. (The) | 1,606 | |||||||||
Gas Utilities — 2.0% | |||||||||||
45 | Energen Corp. | 1,784 | |||||||||
34 | EQT Corp. | 1,201 | |||||||||
31 | ONEOK, Inc. | 923 | |||||||||
3,908 | |||||||||||
Health Care Equipment & Supplies — 1.7% | |||||||||||
24 | Becton, Dickinson & Co. | 1,719 | |||||||||
28 | DENTSPLY International, Inc. | 855 | |||||||||
17 | Zimmer Holdings, Inc. (a) (c) | 741 | |||||||||
3,315 | |||||||||||
Health Care Providers & Services — 4.9% | |||||||||||
34 | Community Health Systems, Inc. (a) | 861 | |||||||||
48 | Coventry Health Care, Inc. (a) | 897 | |||||||||
21 | DaVita, Inc. (a) | 1,063 | |||||||||
23 | Express Scripts, Inc. (a) | 1,561 | |||||||||
25 | Humana, Inc. (a) | 815 | |||||||||
53 | Lincare Holdings, Inc. (a) | 1,237 | |||||||||
38 | UnitedHealth Group, Inc. | 937 | |||||||||
84 | VCA Antech, Inc. (a) (c) | 2,245 | |||||||||
9,616 | |||||||||||
Health Care Technology — 0.7% | |||||||||||
21 | Cerner Corp. (a) | 1,322 | |||||||||
Hotels, Restaurants & Leisure — 2.0% | |||||||||||
27 | Burger King Holdings, Inc. | 473 | |||||||||
6 | Chipotle Mexican Grill, Inc., Class A (a) (c) | 488 | |||||||||
22 | Darden Restaurants, Inc. | 722 | |||||||||
53 | Las Vegas Sands Corp. (a) | 417 | |||||||||
85 | Marriott International, Inc., Class A (c) | 1,885 | |||||||||
3,985 | |||||||||||
Household Durables — 0.8% | |||||||||||
33 | Fortune Brands, Inc. | 1,136 | |||||||||
20 | Jarden Corp. (a) | 379 | |||||||||
1,515 | |||||||||||
Household Products — 0.8% | |||||||||||
18 | Clorox Co. | 977 | |||||||||
10 | Energizer Holdings, Inc. (a) | 522 | |||||||||
1,499 | |||||||||||
Industrial Conglomerates — 1.3% | |||||||||||
78 | Carlisle Cos., Inc. | 1,875 | |||||||||
33 | McDermott International, Inc. (a) | 674 | |||||||||
2,549 | |||||||||||
Insurance — 7.9% | |||||||||||
30 | ACE Ltd., (Switzerland) (c) | 1,314 | |||||||||
20 | AON Corp. | 742 | |||||||||
81 | Assurant, Inc. | 1,946 | |||||||||
88 | Cincinnati Financial Corp. | 1,970 | |||||||||
10 | Everest Re Group Ltd., (Bermuda) | 737 | |||||||||
43 | Fidelity National Financial, Inc., Class A | 578 | |||||||||
40 | HCC Insurance Holdings, Inc. (c) | 956 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Insurance — Continued | |||||||||||
32 | Loews Corp. | 869 | |||||||||
239 | Old Republic International Corp. | 2,356 | |||||||||
89 | OneBeacon Insurance Group Ltd., Class A | 1,038 | |||||||||
45 | Principal Financial Group, Inc. | 840 | |||||||||
22 | Transatlantic Holdings, Inc. | 945 | |||||||||
52 | W.R. Berkley Corp. | 1,106 | |||||||||
15,397 | |||||||||||
Internet & Catalog Retail — 0.4% | |||||||||||
9 | Amazon.com, Inc. (a) | 770 | |||||||||
Internet Software & Services — 1.0% | |||||||||||
54 | Akamai Technologies, Inc. (a) (c) | 1,042 | |||||||||
13 | Equinix, Inc. (a) (c) | 946 | |||||||||
1,988 | |||||||||||
IT Services — 1.7% | |||||||||||
46 | Cognizant Technology Solutions Corp., Class A (a) | 1,233 | |||||||||
5 | MasterCard, Inc., Class A | 778 | |||||||||
44 | SAIC, Inc. (a) | 809 | |||||||||
32 | Western Union Co. (The) | 517 | |||||||||
3,337 | |||||||||||
Life Sciences Tools & Services — 1.5% | |||||||||||
23 | Covance, Inc. (a) (c) | 1,116 | |||||||||
37 | Illumina, Inc. (a) (c) | 1,460 | |||||||||
11 | Life Technologies Corp. (a) | 471 | |||||||||
3,047 | |||||||||||
Machinery — 2.5% | |||||||||||
20 | AGCO Corp. (a) (c) | 577 | |||||||||
17 | Bucyrus International, Inc. (c) | 487 | |||||||||
22 | Cummins, Inc. | 786 | |||||||||
19 | Dover Corp. | 639 | |||||||||
18 | Illinois Tool Works, Inc. | 672 | |||||||||
29 | Pall Corp. | 782 | |||||||||
28 | Wabtec Corp. (c) | 906 | |||||||||
4,849 | |||||||||||
Media — 3.6% | |||||||||||
38 | Cablevision Systems Corp., Class A | 745 | |||||||||
89 | Clear Channel Outdoor Holdings, Inc., Class A (a) | 471 | |||||||||
52 | Discovery Communications, Inc., Class A (a) | 1,175 | |||||||||
35 | John Wiley & Sons, Inc., Class A | 1,155 | |||||||||
27 | Lamar Advertising Co., Class A (a) (c) | 418 | |||||||||
12 | Morningstar, Inc. (a) (c) | 506 | |||||||||
16 | Omnicom Group, Inc. | 508 | |||||||||
34 | Scripps Networks Interactive, Inc., Class A | 941 | |||||||||
3 | Washington Post Co. (The), Class B | 1,132 | |||||||||
7,051 | |||||||||||
Metals & Mining — 0.5% | |||||||||||
10 | Freeport-McMoRan Copper & Gold, Inc. (c) | 486 | |||||||||
11 | Nucor Corp. | 489 | |||||||||
975 | |||||||||||
Multiline Retail — 0.5% | |||||||||||
25 | Kohl’s Corp. (a) (c) | 1,077 | |||||||||
Multi-Utilities — 2.3% | |||||||||||
116 | CMS Energy Corp. | 1,399 | |||||||||
40 | PG&E Corp. | 1,546 | |||||||||
80 | Xcel Energy, Inc. | 1,480 | |||||||||
4,425 | |||||||||||
Oil, Gas & Consumable Fuels — 4.9% | |||||||||||
30 | Cabot Oil & Gas Corp. | 923 | |||||||||
64 | CVR Energy, Inc. (a) | 472 | |||||||||
23 | Devon Energy Corp. | 1,270 | |||||||||
60 | Forest Oil Corp. (a) | 895 | |||||||||
29 | Kinder Morgan Management LLC (a) | 1,297 | |||||||||
13 | Noble Energy, Inc. (c) | 737 | |||||||||
35 | Southwestern Energy Co. (a) | 1,352 | |||||||||
47 | Teekay Corp., (Bahamas) | 986 | |||||||||
108 | Williams Cos., Inc. (The) | 1,692 | |||||||||
9,624 | |||||||||||
Personal Products — 0.1% | |||||||||||
7 | NBTY, Inc. (a) | 194 | |||||||||
Pharmaceuticals — 0.3% | |||||||||||
15 | Allergan, Inc. | 699 | |||||||||
Professional Services — 0.6% | |||||||||||
22 | FTI Consulting, Inc. (a) (c) | 1,138 | |||||||||
Real Estate Investment Trusts (REITs) — 2.2% | |||||||||||
91 | Kimco Realty Corp. | 917 | |||||||||
9 | Public Storage | 596 | |||||||||
6 | Rayonier, Inc. | 201 | |||||||||
27 | Regency Centers Corp. | 932 | |||||||||
27 | Ventas, Inc. | 794 | |||||||||
20 | Vornado Realty Trust | 891 | |||||||||
4,331 | |||||||||||
Real Estate Management & Development — 0.4% | |||||||||||
101 | Brookfield Properties Corp., (Canada) | 806 | |||||||||
Road & Rail — 1.4% | |||||||||||
22 | Canadian National Railway Co., (Canada) | 962 |
AS OF JUNE 30, 2009 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Road & Rail — Continued | |||||||||||
49 | Landstar System, Inc. | 1,749 | |||||||||
2,711 | |||||||||||
Semiconductors & Semiconductor Equipment — 2.2% | |||||||||||
51 | Broadcom Corp., Class A (a) (c) | 1,265 | |||||||||
31 | KLA-Tencor Corp. (c) | 775 | |||||||||
21 | Lam Research Corp. (a) (c) | 549 | |||||||||
87 | Marvell Technology Group Ltd., (Bermuda) (a) | 1,014 | |||||||||
37 | Xilinx, Inc. (c) | 751 | |||||||||
4,354 | |||||||||||
Software — 2.8% | |||||||||||
98 | Amdocs Ltd., (United Kingdom) (a) | 2,110 | |||||||||
24 | ANSYS, Inc. (a) (c) | 750 | |||||||||
62 | Jack Henry & Associates, Inc. | 1,285 | |||||||||
67 | Nuance Communications, Inc. (a) (c) | 812 | |||||||||
17 | Sybase, Inc. (a) (c) | 523 | |||||||||
5,480 | |||||||||||
Specialty Retail — 6.4% | |||||||||||
26 | Advance Auto Parts, Inc. | 1,095 | |||||||||
41 | AutoNation, Inc. (a) | 703 | |||||||||
6 | AutoZone, Inc. (a) | 846 | |||||||||
45 | Bed Bath & Beyond, Inc. (a) | 1,387 | |||||||||
52 | CarMax, Inc. (a) | 763 | |||||||||
65 | Gap, Inc. (The) | 1,071 | |||||||||
29 | Sherwin-Williams Co. (The) | 1,543 | |||||||||
97 | Staples, Inc. | 1,954 | |||||||||
24 | Tiffany & Co. | 616 | |||||||||
81 | TJX Cos., Inc. (c) | 2,558 | |||||||||
12,536 | |||||||||||
Textiles, Apparel & Luxury Goods — 0.8% | |||||||||||
13 | Polo Ralph Lauren Corp. (c) | 712 | |||||||||
17 | V.F. Corp. | 936 | |||||||||
1,648 | |||||||||||
Thrifts & Mortgage Finance — 0.5% | |||||||||||
64 | People’s United Financial, Inc. | 961 | |||||||||
Tobacco — 0.4% | |||||||||||
10 | Lorillard, Inc. | 705 | |||||||||
Trading Companies & Distributors — 0.4% | |||||||||||
10 | W.W. Grainger, Inc. (c) | 778 | |||||||||
Water Utilities — 0.4% | |||||||||||
45 | American Water Works Co., Inc. | 850 | |||||||||
Wireless Telecommunication Services — 1.3% | |||||||||||
37 | Leap Wireless International, Inc. (a) (c) | 1,212 | |||||||||
54 | Telephone & Data Systems, Inc. | 1,391 | |||||||||
2,603 | |||||||||||
Total Long-Term Investments (Cost $185,319) | 190,042 | ||||||||||
Short-Term Investment — 4.2% | |||||||||||
Investment Company — 4.2% | |||||||||||
8,171 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.410% (b) (l) (m) (Cost $8,171) | 8,171 | |||||||||
Investments of Cash Collateral for Securities on Loan — 18.1% | |||||||||||
Investment Company — 18.1% | |||||||||||
35,428 | JPMorgan Prime Money Market Fund, Capital Shares, 0.450% (b) (l) (Cost $35,428) | 35,428 | |||||||||
Total Investments — 119.3% (Cost $228,918) | 233,641 | ||||||||||
Liabilities in Excess of Other Assets — (19.3)% | (37,856 | ) | |||||||||
NET ASSETS — 100.0% | $ | 195,785 |
(formerly JPMorgan Diversified Mid Cap Growth Fund)
AS OF JUNE 30, 2009
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 99.0% | |||||||||||
Common Stocks — 99.0% | |||||||||||
Aerospace & Defense — 1.6% | |||||||||||
261 | Precision Castparts Corp. | 19,043 | |||||||||
Airlines — 0.5% | |||||||||||
1,034 | Delta Air Lines, Inc. (a) | 5,985 | |||||||||
Auto Components — 0.6% | |||||||||||
581 | Gentex Corp. | 6,734 | |||||||||
Automobiles — 0.4% | |||||||||||
279 | Harley-Davidson, Inc. (c) | 4,516 | |||||||||
Biotechnology — 1.1% | |||||||||||
129 | Alexion Pharmaceuticals, Inc. (a) | 5,309 | |||||||||
228 | Myriad Genetics, Inc. (a) | 8,128 | |||||||||
38 | Myriad Pharmaceuticals, Inc. (a) | 179 | |||||||||
13,616 | |||||||||||
Building Products — 0.8% | |||||||||||
304 | Lennox International, Inc. | 9,765 | |||||||||
Capital Markets — 6.2% | |||||||||||
119 | Affiliated Managers Group, Inc. (a) | 6,927 | |||||||||
59 | BlackRock, Inc. | 10,385 | |||||||||
249 | Lazard Ltd., (Bermuda), Class A | 6,695 | |||||||||
310 | Northern Trust Corp. | 16,647 | |||||||||
907 | Och-Ziff Capital Management Group LLC, Class A | 8,077 | |||||||||
336 | T. Rowe Price Group, Inc. (c) | 13,987 | |||||||||
721 | TD AMERITRADE Holding Corp. (a) | 12,638 | |||||||||
75,356 | |||||||||||
Chemicals — 2.9% | |||||||||||
399 | Ecolab, Inc. | 15,548 | |||||||||
266 | Praxair, Inc. | 18,890 | |||||||||
34,438 | |||||||||||
Commercial Banks — 0.7% | |||||||||||
149 | BOK Financial Corp. (c) | 5,628 | |||||||||
272 | Zions Bancorp (c) | 3,148 | |||||||||
8,776 | |||||||||||
Commercial Services & Supplies — 4.5% | |||||||||||
1,118 | Corrections Corp. of America (a) | 18,987 | |||||||||
271 | Stericycle, Inc. (a) | 13,943 | |||||||||
825 | Waste Connections, Inc. (a) | 21,387 | |||||||||
54,317 | |||||||||||
Communications Equipment — 2.9% | |||||||||||
441 | CommScope, Inc. (a) | 11,567 | |||||||||
450 | F5 Networks, Inc. (a) | 15,552 | |||||||||
333 | Juniper Networks, Inc. (a) | 7,859 | |||||||||
34,978 | |||||||||||
Computers & Peripherals — 1.3% | |||||||||||
795 | NetApp, Inc. (a) | 15,677 | |||||||||
Construction & Engineering — 1.7% | |||||||||||
386 | Aecom Technology Corp. (a) | 12,359 | |||||||||
299 | Shaw Group, Inc. (The) (a) | 8,203 | |||||||||
20,562 | |||||||||||
Containers & Packaging — 0.7% | |||||||||||
197 | Greif, Inc., Class A | 8,702 | |||||||||
Diversified Consumer Services — 2.1% | |||||||||||
507 | DeVry, Inc. (c) | 25,380 | |||||||||
Diversified Financial Services — 1.6% | |||||||||||
79 | IntercontinentalExchange, Inc. (a) | 9,025 | |||||||||
431 | MSCI, Inc., Class A (a) | 10,541 | |||||||||
19,566 | |||||||||||
Diversified Telecommunication Services — 1.2% | |||||||||||
1,438 | tw telecom, inc. (a) (c) | 14,766 | |||||||||
Electrical Equipment — 1.5% | |||||||||||
38 | First Solar, Inc. (a) | 6,199 | |||||||||
268 | Roper Industries, Inc. | 12,127 | |||||||||
18,326 | |||||||||||
Electronic Equipment, Instruments & Components — 2.1% | |||||||||||
461 | Amphenol Corp., Class A | 14,582 | |||||||||
285 | Dolby Laboratories, Inc., Class A (a) | 10,628 | |||||||||
25,210 | |||||||||||
Energy Equipment & Services — 2.2% | |||||||||||
420 | Cameron International Corp. (a) | 11,899 | |||||||||
193 | Oceaneering International, Inc. (a) | 8,724 | |||||||||
331 | Weatherford International Ltd. (a) | 6,465 | |||||||||
27,088 | |||||||||||
Health Care Equipment & Supplies — 1.6% | |||||||||||
349 | DENTSPLY International, Inc. | 10,641 | |||||||||
217 | Zimmer Holdings, Inc. (a) | 9,223 | |||||||||
19,864 | |||||||||||
Health Care Providers & Services — 6.0% | |||||||||||
269 | DaVita, Inc. (a) | 13,297 | |||||||||
284 | Express Scripts, Inc. (a) | 19,545 | |||||||||
314 | Humana, Inc. (a) | 10,124 | |||||||||
467 | UnitedHealth Group, Inc. | 11,666 | |||||||||
675 | VCA Antech, Inc. (a) | 18,021 | |||||||||
72,653 | |||||||||||
Health Care Technology — 1.4% | |||||||||||
265 | Cerner Corp. (a) (c) | 16,525 |
(formerly JPMorgan Diversified Mid Cap Growth Fund)
AS OF JUNE 30, 2009 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Hotels, Restaurants & Leisure — 2.5% | |||||||||||
77 | Chipotle Mexican Grill, Inc., Class A (a) (c) | 6,160 | |||||||||
273 | Darden Restaurants, Inc. | 8,990 | |||||||||
653 | Las Vegas Sands Corp. (a) (c) | 5,133 | |||||||||
431 | Marriott International, Inc., Class A | 9,510 | |||||||||
29,793 | |||||||||||
Industrial Conglomerates — 1.5% | |||||||||||
401 | Carlisle Cos., Inc. | 9,640 | |||||||||
412 | McDermott International, Inc. (a) | 8,366 | |||||||||
18,006 | |||||||||||
Insurance — 3.9% | |||||||||||
371 | ACE Ltd., (Switzerland) | 16,418 | |||||||||
271 | AON Corp. | 10,244 | |||||||||
607 | Fidelity National Financial, Inc., Class A | 8,206 | |||||||||
499 | HCC Insurance Holdings, Inc. (c) | 11,971 | |||||||||
46,839 | |||||||||||
Internet & Catalog Retail — 0.8% | |||||||||||
115 | Amazon.com, Inc. (a) | 9,587 | |||||||||
Internet Software & Services — 2.1% | |||||||||||
678 | Akamai Technologies, Inc. (a) | 13,010 | |||||||||
163 | Equinix, Inc. (a) | 11,828 | |||||||||
24,838 | |||||||||||
IT Services — 2.9% | |||||||||||
575 | Cognizant Technology Solutions Corp., Class A (a) | 15,352 | |||||||||
58 | MasterCard, Inc., Class A | 9,734 | |||||||||
542 | SAIC, Inc. (a) | 10,062 | |||||||||
35,148 | |||||||||||
Life Sciences Tools & Services — 3.2% | |||||||||||
283 | Covance, Inc. (a) | 13,927 | |||||||||
469 | Illumina, Inc. (a) | 18,255 | |||||||||
141 | Life Technologies Corp. (a) | 5,899 | |||||||||
38,081 | |||||||||||
Machinery — 3.6% | |||||||||||
246 | AGCO Corp. (a) | 7,140 | |||||||||
211 | Bucyrus International, Inc. | 6,012 | |||||||||
278 | Cummins, Inc. | 9,783 | |||||||||
366 | Pall Corp. | 9,724 | |||||||||
351 | Wabtec Corp. | 11,302 | |||||||||
43,961 | |||||||||||
Media — 3.5% | |||||||||||
651 | Discovery Communications, Inc., Class A (a) | 14,678 | |||||||||
433 | John Wiley & Sons, Inc., Class A | 14,407 | |||||||||
338 | Lamar Advertising Co., Class A (a) (c) | 5,167 | |||||||||
182 | Morningstar, Inc. (a) (c) | 7,516 | |||||||||
41,768 | |||||||||||
Metals & Mining — 1.0% | |||||||||||
120 | Freeport-McMoRan Copper & Gold, Inc. | 6,013 | |||||||||
137 | Nucor Corp. | 6,069 | |||||||||
12,082 | |||||||||||
Multiline Retail — 1.1% | |||||||||||
315 | Kohl’s Corp. (a) | 13,462 | |||||||||
Oil, Gas & Consumable Fuels — 4.1% | |||||||||||
385 | Cabot Oil & Gas Corp. | 11,798 | |||||||||
748 | Forest Oil Corp. (a) | 11,164 | |||||||||
155 | Noble Energy, Inc. | 9,141 | |||||||||
445 | Southwestern Energy Co. (a) | 17,271 | |||||||||
49,374 | |||||||||||
Personal Products — 0.2% | |||||||||||
86 | NBTY, Inc. (a) | 2,421 | |||||||||
Pharmaceuticals — 0.7% | |||||||||||
182 | Allergan, Inc. | 8,679 | |||||||||
Professional Services — 1.2% | |||||||||||
280 | FTI Consulting, Inc. (a) | 14,222 | |||||||||
Road & Rail — 2.8% | |||||||||||
280 | Canadian National Railway Co., (Canada) | 12,016 | |||||||||
610 | Landstar System, Inc. | 21,887 | |||||||||
�� | 33,903 | ||||||||||
Semiconductors & Semiconductor Equipment — 4.5% | |||||||||||
638 | Broadcom Corp., Class A (a) | 15,813 | |||||||||
382 | KLA-Tencor Corp. | 9,650 | |||||||||
261 | Lam Research Corp. (a) | 6,778 | |||||||||
1,085 | Marvell Technology Group Ltd., (Bermuda) (a) | 12,625 | |||||||||
457 | Xilinx, Inc. | 9,342 | |||||||||
54,208 | |||||||||||
Software — 4.5% | |||||||||||
1,315 | Amdocs Ltd., (United Kingdom) (a) | 28,216 | |||||||||
300 | ANSYS, Inc. (a) | 9,339 | |||||||||
837 | Nuance Communications, Inc. (a) (c) | 10,115 | |||||||||
207 | Sybase, Inc. (a) | 6,475 | |||||||||
54,145 | |||||||||||
Specialty Retail — 6.5% | |||||||||||
330 | Advance Auto Parts, Inc. | 13,679 | |||||||||
369 | Bed Bath & Beyond, Inc. (a) | 11,356 | |||||||||
646 | CarMax, Inc. (a) (c) | 9,500 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Specialty Retail — Continued | |||||||||||
231 | Sherwin-Williams Co. (The) | 12,395 | |||||||||
705 | Staples, Inc. | 14,224 | |||||||||
568 | TJX Cos., Inc. | 17,879 | |||||||||
79,033 | |||||||||||
Textiles, Apparel & Luxury Goods — 0.7% | |||||||||||
165 | Polo Ralph Lauren Corp. | 8,855 | |||||||||
Trading Companies & Distributors — 0.8% | |||||||||||
119 | W.W. Grainger, Inc. | 9,703 | |||||||||
Wireless Telecommunication Services — 1.3% | |||||||||||
460 | Leap Wireless International, Inc. (a) (c) | 15,135 | |||||||||
Total Long-Term Investments (Cost $1,173,011) | 1,195,086 | ||||||||||
Short-Term Investment — 2.3% | |||||||||||
Investment Company — 2.3% | |||||||||||
27,656 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.440%, (b) (l) (Cost $27,656) | 27,656 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Investments of Cash Collateral for Securities on Loan — 4.3% | |||||||||||
Certificate of Deposit — 0.3% | |||||||||||
4,500 | Calyon, New York, VAR, 0.396%, 03/15/10 | 4,442 | |||||||||
Corporate Notes — 1.7% | |||||||||||
5,000 | BBVA U.S. Senior S.A., (Spain), VAR, 0.689%, 03/12/10 (e) | 4,934 | |||||||||
6,000 | General Electric Capital Corp., VAR, 0.400%, 03/12/10 | 5,900 | |||||||||
1,000 | Monumental Global Funding III, VAR, 0.395%, 03/26/10 (e) | 962 | |||||||||
7,000 | Monumental Global Funding III, VAR, 0.711%, 05/24/10 (e) | 6,713 | |||||||||
2,000 | Pricoa Global Funding I, VAR, 0.405%, 12/15/09 (e) | 1,928 | |||||||||
20,437 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company — 2.3% | ||||||||||
27,503 | JPMorgan Prime Money Market Fund, Capital Shares, 0.450% (b) (l) | 27,503 | ||||||||
Total Investments of Cash Collateral for Securities on Loan (Cost $53,003) | 52,382 | |||||||||
Total Investments — 105.6% (Cost $1,253,670) | 1,275,124 | |||||||||
Liabilities in Excess of Other Assets — (5.6)% | (67,873 | ) | ||||||||
NET ASSETS — 100.0% | $ | 1,207,251 |
AS OF JUNE 30, 2009
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 97.4% | |||||||||||
Common Stocks — 97.4% | |||||||||||
Aerospace & Defense — 2.5% | |||||||||||
321 | Alliant Techsystems, Inc. (a) | 26,399 | |||||||||
459 | L-3 Communications Holdings, Inc. | 31,811 | |||||||||
650 | Precision Castparts Corp. | 47,455 | |||||||||
105,665 | |||||||||||
Auto Components — 0.6% | |||||||||||
1,369 | WABCO Holdings, Inc. | 24,224 | |||||||||
Beverages — 0.3% | |||||||||||
324 | Brown-Forman Corp., Class B | 13,904 | |||||||||
Capital Markets — 1.7% | |||||||||||
278 | Affiliated Managers Group, Inc. (a) (c) | 16,156 | |||||||||
61 | Charles Schwab Corp. (The) | 1,066 | |||||||||
61 | Cohen & Steers, Inc. (c) | 911 | |||||||||
369 | Northern Trust Corp. | 19,819 | |||||||||
819 | T. Rowe Price Group, Inc. (c) | 34,131 | |||||||||
72,083 | |||||||||||
Chemicals — 4.4% | |||||||||||
397 | Air Products & Chemicals, Inc. | 25,655 | |||||||||
492 | Airgas, Inc. | 19,921 | |||||||||
2,142 | Albemarle Corp. | 54,775 | |||||||||
12 | Intrepid Potash, Inc. (a) (c) | 323 | |||||||||
25 | Lubrizol Corp. | 1,164 | |||||||||
866 | PPG Industries, Inc. | 38,013 | |||||||||
886 | Sigma-Aldrich Corp. | 43,890 | |||||||||
183,741 | |||||||||||
Commercial Banks — 6.4% | |||||||||||
605 | BancorpSouth, Inc. | 12,419 | |||||||||
1,261 | BB&T Corp. | 27,723 | |||||||||
342 | City National Corp. (c) | 12,577 | |||||||||
964 | Cullen/Frost Bankers, Inc. | 44,446 | |||||||||
1,466 | M&T Bank Corp. (c) | 74,686 | |||||||||
995 | SunTrust Banks, Inc. | 16,369 | |||||||||
4,651 | Synovus Financial Corp. (c) | 13,907 | |||||||||
2,248 | TCF Financial Corp. (c) | 30,056 | |||||||||
42 | United Community Banks, Inc. (a) (c) | 251 | |||||||||
1,756 | Wilmington Trust Corp. | 23,983 | |||||||||
1,025 | Zions Bancorp (c) | 11,852 | |||||||||
268,269 | |||||||||||
Commercial Services & Supplies — 1.9% | |||||||||||
3,354 | Republic Services, Inc. | 81,870 | |||||||||
Construction Materials — 0.4% | |||||||||||
371 | Vulcan Materials Co. (c) | 15,999 | |||||||||
Containers & Packaging — 1.8% | |||||||||||
1,702 | Ball Corp. | 76,857 | |||||||||
Distributors — 1.3% | |||||||||||
1,655 | Genuine Parts Co. | 55,552 | |||||||||
Diversified Consumer Services — 0.9% | |||||||||||
2,119 | H&R Block, Inc. | 36,517 | |||||||||
Diversified Telecommunication Services — 1.7% | |||||||||||
1,531 | CenturyTel, Inc. (c) | 47,005 | |||||||||
2,717 | Windstream Corp. | 22,718 | |||||||||
69,723 | |||||||||||
Electric Utilities — 3.3% | |||||||||||
2,656 | American Electric Power Co., Inc. | 76,729 | |||||||||
47 | Edison International | 1,473 | |||||||||
246 | FirstEnergy Corp. (c) | 9,517 | |||||||||
2,814 | Westar Energy, Inc. | 52,821 | |||||||||
140,540 | |||||||||||
Electrical Equipment — 0.6% | |||||||||||
797 | Cooper Industries Ltd., Class A | 24,753 | |||||||||
Electronic Equipment, Instruments & Components — 3.6% | |||||||||||
1,427 | Amphenol Corp., Class A | 45,157 | |||||||||
2,545 | Arrow Electronics, Inc. (a) | 54,051 | |||||||||
2,890 | Tyco Electronics Ltd., (Switzerland) | 53,727 | |||||||||
152,935 | |||||||||||
Energy Equipment & Services — 0.0% (g) | |||||||||||
21 | Unit Corp. (a) | 576 | |||||||||
Food & Staples Retailing — 2.5% | |||||||||||
13 | Costco Wholesale Corp. | 571 | |||||||||
72 | Great Atlantic & Pacific Tea Co. (a) (c) | 306 | |||||||||
4,486 | Safeway, Inc. (c) | 91,384 | |||||||||
446 | SYSCO Corp. | 10,024 | |||||||||
34 | Walgreen Co. | 994 | |||||||||
103,279 | |||||||||||
Food Products — 1.7% | |||||||||||
29 | Archer-Daniels-Midland Co. | 768 | |||||||||
1,413 | JM Smucker Co. (The) | 68,737 | |||||||||
34 | Smithfield Foods, Inc. (a) (c) | 478 | |||||||||
69,983 | |||||||||||
Gas Utilities — 4.0% | |||||||||||
1,939 | Energen Corp. | 77,358 | |||||||||
1,477 | EQT Corp. | 51,562 | |||||||||
1,338 | ONEOK, Inc. | 39,469 | |||||||||
168,389 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Health Care Equipment & Supplies — 1.8% | |||||||||||
1,035 | Becton, Dickinson & Co. | 73,834 | |||||||||
Health Care Providers & Services — 3.9% | |||||||||||
1,459 | Community Health Systems, Inc. (a) | 36,843 | |||||||||
2,030 | Coventry Health Care, Inc. (a) | 37,976 | |||||||||
2,232 | Lincare Holdings, Inc. (a) (c) | 52,487 | |||||||||
1,293 | VCA Antech, Inc. (a) (c) | 34,534 | |||||||||
161,840 | |||||||||||
Hotels, Restaurants & Leisure — 1.7% | |||||||||||
1,210 | Burger King Holdings, Inc. (c) | 20,896 | |||||||||
2,207 | Marriott International, Inc., Class A (c) | 48,698 | |||||||||
23 | Vail Resorts, Inc. (a) | 625 | |||||||||
70,219 | |||||||||||
Household Durables — 1.6% | |||||||||||
1,393 | Fortune Brands, Inc. | 48,407 | |||||||||
884 | Jarden Corp. (a) | 16,568 | |||||||||
35 | MDC Holdings, Inc. | 1,048 | |||||||||
16 | Mohawk Industries, Inc. (a) (c) | 578 | |||||||||
66,601 | |||||||||||
Household Products — 1.5% | |||||||||||
736 | Clorox Co. | 41,083 | |||||||||
429 | Energizer Holdings, Inc. (a) | 22,411 | |||||||||
63,494 | |||||||||||
Industrial Conglomerates — 1.1% | |||||||||||
1,929 | Carlisle Cos., Inc. | 46,364 | |||||||||
Insurance — 12.0% | |||||||||||
3,445 | Assurant, Inc. | 82,984 | |||||||||
3,725 | Cincinnati Financial Corp. | 83,246 | |||||||||
444 | Everest Re Group Ltd., (Bermuda) | 31,788 | |||||||||
1,369 | Loews Corp. | 37,500 | |||||||||
10,151 | Old Republic International Corp. (c) | 99,989 | |||||||||
3,808 | OneBeacon Insurance Group Ltd., Class A | 44,520 | |||||||||
1,895 | Principal Financial Group, Inc. | 35,700 | |||||||||
44 | ProAssurance Corp. (a) | 2,015 | |||||||||
26 | Protective Life Corp. (c) | 296 | |||||||||
937 | Transatlantic Holdings, Inc. | 40,596 | |||||||||
2,164 | W.R. Berkley Corp. | 46,463 | |||||||||
505,097 | |||||||||||
Internet & Catalog Retail — 0.1% | |||||||||||
17 | Amazon.com, Inc. (a) | 1,456 | |||||||||
65 | Expedia, Inc. (a) | 977 | |||||||||
2,433 | |||||||||||
IT Services — 0.6% | |||||||||||
52 | Fidelity National Information Services, Inc. | 1,029 | |||||||||
26 | Lender Processing Services, Inc. | 714 | |||||||||
1,316 | Western Union Co. (The) | 21,582 | |||||||||
23,325 | |||||||||||
Machinery — 1.4% | |||||||||||
812 | Dover Corp. | 26,874 | |||||||||
23 | Harsco Corp. | 659 | |||||||||
770 | Illinois Tool Works, Inc. | 28,767 | |||||||||
45 | Kennametal, Inc. | 867 | |||||||||
57,167 | |||||||||||
Media — 3.8% | |||||||||||
65 | AH Belo Corp., Class A (c) | 63 | |||||||||
1,631 | Cablevision Systems Corp., Class A | 31,652 | |||||||||
3,759 | Clear Channel Outdoor Holdings, Inc., Class A (a) | 19,924 | |||||||||
676 | Omnicom Group, Inc. | 21,336 | |||||||||
1,446 | Scripps Networks Interactive, Inc., Class A | 40,253 | |||||||||
135 | Washington Post Co. (The), Class B | 47,696 | |||||||||
160,924 | |||||||||||
Multiline Retail — 0.0% (g) | |||||||||||
34 | Nordstrom, Inc. (c) | 676 | |||||||||
Multi-Utilities — 4.5% | |||||||||||
4,964 | CMS Energy Corp. (c) | 59,963 | |||||||||
54 | MDU Resources Group, Inc. | 1,032 | |||||||||
46 | NSTAR | 1,480 | |||||||||
1,717 | PG&E Corp. | 66,009 | |||||||||
3,387 | Xcel Energy, Inc. | 62,354 | |||||||||
190,838 | |||||||||||
Oil, Gas & Consumable Fuels — 5.9% | |||||||||||
2,722 | CVR Energy, Inc. (a) | 19,953 | |||||||||
1,003 | Devon Energy Corp. | 54,682 | |||||||||
1,235 | Kinder Morgan Management LLC (a) | 55,771 | |||||||||
18 | Murphy Oil Corp. | 956 | |||||||||
24 | Newfield Exploration Co. (a) | 778 | |||||||||
6 | Penn Virginia Corp. | 103 | |||||||||
2,021 | Teekay Corp., (Bahamas) | 42,505 | |||||||||
4,577 | Williams Cos., Inc. (The) | 71,445 | |||||||||
246,193 | |||||||||||
Personal Products — 0.0% (g) | |||||||||||
38 | Mead Johnson Nutrition Co., Class A (a) | 1,202 | |||||||||
Real Estate Investment Trusts (REITs) — 4.4% | |||||||||||
62 | Cousins Properties, Inc. (c) | 526 | |||||||||
71 | Host Hotels & Resorts, Inc. | 592 | |||||||||
3,908 | Kimco Realty Corp. | 39,277 | |||||||||
19 | PS Business Parks, Inc. | 925 |
AS OF JUNE 30, 2009 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Real Estate Investment Trusts (REITs) — Continued | |||||||||||
385 | Public Storage | 25,180 | |||||||||
230 | Rayonier, Inc. | 8,353 | |||||||||
1,139 | Regency Centers Corp. | 39,745 | |||||||||
1,131 | Ventas, Inc. | 33,763 | |||||||||
833 | Vornado Realty Trust (c) | 37,507 | |||||||||
185,868 | |||||||||||
Real Estate Management & Development — 0.8% | |||||||||||
57 | Brookfield Asset Management, Inc., (Canada), Class A | 975 | |||||||||
4,283 | Brookfield Properties Corp., (Canada) | 34,132 | |||||||||
21 | Jones Lang LaSalle, Inc. | 671 | |||||||||
35,778 | |||||||||||
Software — 1.3% | |||||||||||
26 | Adobe Systems, Inc. (a) | 739 | |||||||||
2,636 | Jack Henry & Associates, Inc. | 54,695 | |||||||||
31 | MICROS Systems, Inc. (a) (c) | 772 | |||||||||
56,206 | |||||||||||
Specialty Retail — 6.4% | |||||||||||
8 | Abercrombie & Fitch Co., Class A | 198 | |||||||||
1,751 | AutoNation, Inc. (a) (c) | 30,379 | |||||||||
241 | AutoZone, Inc. (a) | 36,354 | |||||||||
661 | Bed Bath & Beyond, Inc. (a) | 20,323 | |||||||||
2,803 | Gap, Inc. (The) (c) | 45,967 | |||||||||
37 | Lowe’s Cos., Inc. | 714 | |||||||||
442 | Sherwin-Williams Co. (The) | 23,762 | |||||||||
1,733 | Staples, Inc. | 34,957 | |||||||||
1,060 | Tiffany & Co. (c) | 26,883 | |||||||||
1,548 | TJX Cos., Inc. | 48,694 | |||||||||
268,231 | |||||||||||
Textiles, Apparel & Luxury Goods — 1.0% | |||||||||||
11 | Nike, Inc., Class B | 544 | |||||||||
21 | Phillips-Van Heusen Corp. | 591 | |||||||||
715 | V.F. Corp. | 39,567 | |||||||||
40,702 | |||||||||||
Thrifts & Mortgage Finance — 1.0% | |||||||||||
46 | Hudson City Bancorp, Inc. | 617 | |||||||||
2,758 | People’s United Financial, Inc. | 41,480 | |||||||||
42,097 | |||||||||||
Tobacco — 0.7% | |||||||||||
449 | Lorillard, Inc. | 30,436 | |||||||||
Water Utilities — 0.9% | |||||||||||
1,901 | American Water Works Co., Inc. | 36,328 | |||||||||
Wireless Telecommunication Services — 1.4% | |||||||||||
2,249 | Telephone & Data Systems, Inc. | 58,395 | |||||||||
30 | U.S. Cellular Corp. (a) | 1,153 | |||||||||
59,548 | |||||||||||
Total Long-Term Investments (Cost $4,770,771) | 4,090,260 | ||||||||||
Short-Term Investment — 2.8% | |||||||||||
Investment Company — 2.8% | |||||||||||
118,233 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.410% (b) (l) (Cost $118,233) | 118,233 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Investments of Cash Collateral for Securities on Loan — 5.5% | |||||||||||
Certificate of Deposit — 0.1% | |||||||||||
2,500 | Calyon, New York, VAR, 0.396%, 03/15/10 | 2,468 | |||||||||
Corporate Notes — 0.3% | |||||||||||
4,000 | BBVA U.S. Senior S.A., (Spain), VAR, 0.689%, 03/12/10 (e) | 3,947 | |||||||||
4,000 | General Electric Capital Corp., VAR, 0.400%, 03/12/10 | 3,933 | |||||||||
3,000 | Monumental Global Funding III, VAR, 0.711%, 05/24/10 (e) | 2,877 | |||||||||
3,000 | Pricoa Global Funding I, VAR, 0.405%, 12/15/09 (e) | 2,893 | |||||||||
13,650 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company — 5.1% | ||||||||||
213,684 | JPMorgan Prime Money Market Fund, Capital Shares, 0.450% (b) (l) | 213,684 | ||||||||
Total Investments of Cash Collateral for Securities on Loan (Cost $230,183) | 229,802 | |||||||||
Total Investments — 105.7% (Cost $5,119,187) | 4,438,295 | |||||||||
Liabilities in Excess of Other Assets — (5.7)% | (238,918 | ) | ||||||||
NET ASSETS — 100.0% | $ | 4,199,377 |
AS OF JUNE 30, 2009
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Positions — 99.6% (j) | |||||||||||
Long-Term Investments — 87.2% | |||||||||||
Common Stocks — 87.2% | |||||||||||
Aerospace & Defense — 2.5% | |||||||||||
15 | Alliant Techsystems, Inc. (a) | 1,229 | |||||||||
48 | General Dynamics Corp. | 2,668 | |||||||||
33 | Goodrich Corp. | 1,655 | |||||||||
48 | ITT Corp. | 2,145 | |||||||||
34 | L-3 Communications Holdings, Inc. | 2,354 | |||||||||
6 | Lockheed Martin Corp. | 489 | |||||||||
47 | Northrop Grumman Corp. | 2,143 | |||||||||
112 | Orbital Sciences Corp. (a) | 1,698 | |||||||||
40 | Raytheon Co. | 1,765 | |||||||||
21 | TransDigm Group, Inc. (a) | 752 | |||||||||
16,898 | |||||||||||
Air Freight & Logistics — 0.3% | |||||||||||
15 | United Parcel Service, Inc., Class B | 770 | |||||||||
125 | UTi Worldwide, Inc., (United Kingdom) (a) | 1,424 | |||||||||
2,194 | |||||||||||
Airlines — 0.8% | |||||||||||
234 | Airtran Holdings, Inc. (a) | 1,447 | |||||||||
6 | Alaska Air Group, Inc. (a) | 112 | |||||||||
27 | Allegiant Travel Co. (a) | 1,065 | |||||||||
107 | SkyWest, Inc. | 1,095 | |||||||||
642 | U.S. Airways Group, Inc. (a) | 1,561 | |||||||||
5,280 | |||||||||||
Auto Components — 0.3% | |||||||||||
91 | TRW Automotive Holdings Corp. (a) | 1,030 | |||||||||
68 | WABCO Holdings, Inc. | 1,197 | |||||||||
2,227 | |||||||||||
Beverages — 0.5% | |||||||||||
127 | Coca-Cola Enterprises, Inc. | 2,112 | |||||||||
102 | Constellation Brands, Inc., Class A (a) | 1,298 | |||||||||
3,410 | |||||||||||
Biotechnology — 1.4% | |||||||||||
66 | Alkermes, Inc. (a) | 716 | |||||||||
40 | Amgen, Inc. (a) | 2,091 | |||||||||
114 | Amylin Pharmaceuticals, Inc. (a) | 1,535 | |||||||||
34 | Biogen Idec, Inc. (a) | 1,527 | |||||||||
33 | Cephalon, Inc. (a) | 1,847 | |||||||||
45 | Isis Pharmaceuticals, Inc. (a) | 745 | |||||||||
99 | PDL BioPharma, Inc. | 780 | |||||||||
9,241 | |||||||||||
Building Products — 0.3% | |||||||||||
61 | Armstrong World Industries, Inc. (a) | 1,013 | |||||||||
117 | Masco Corp. | 1,118 | |||||||||
2,131 | |||||||||||
Capital Markets — 0.3% | |||||||||||
97 | American Capital Ltd. | 310 | |||||||||
178 | Apollo Investment Corp. | 1,071 | |||||||||
6 | Charles Schwab Corp. (The) | 103 | |||||||||
1 | Jefferies Group, Inc. (a) | 21 | |||||||||
36 | Knight Capital Group, Inc., Class A (a) | 619 | |||||||||
2,124 | |||||||||||
Chemicals — 1.4% | |||||||||||
115 | Dow Chemical Co. (The) | 1,861 | |||||||||
41 | Lubrizol Corp. | 1,955 | |||||||||
15 | NewMarket Corp. | 1,038 | |||||||||
132 | Olin Corp. | 1,565 | |||||||||
93 | OM Group, Inc. (a) | 2,688 | |||||||||
9,107 | |||||||||||
Commercial Banks — 2.5% | |||||||||||
33 | BancorpSouth, Inc. | 670 | |||||||||
32 | Bank of Hawaii Corp. | 1,153 | |||||||||
52 | BB&T Corp. | 1,134 | |||||||||
16 | BOK Financial Corp. | 620 | |||||||||
23 | Commerce Bancshares, Inc. | 743 | |||||||||
98 | FirstMerit Corp. | 1,657 | |||||||||
104 | International Bancshares Corp. | 1,074 | |||||||||
41 | M&T Bank Corp. | 2,073 | |||||||||
37 | Prosperity Bancshares, Inc. | 1,104 | |||||||||
132 | Regions Financial Corp. | 534 | |||||||||
184 | Susquehanna Bancshares, Inc. | 902 | |||||||||
35 | SVB Financial Group (a) | 942 | |||||||||
62 | TCF Financial Corp. | 823 | |||||||||
84 | Trustmark Corp. | 1,624 | |||||||||
70 | United Bankshares, Inc. | 1,369 | |||||||||
16,422 | |||||||||||
Commercial Services & Supplies — 1.1% | |||||||||||
66 | Brink’s Co. (The) | 1,916 | |||||||||
125 | Herman Miller, Inc. | 1,922 | |||||||||
23 | Pitney Bowes, Inc. | 499 | |||||||||
233 | R.R. Donnelley & Sons Co. | 2,711 | |||||||||
7,048 | |||||||||||
Communications Equipment — 2.6% | |||||||||||
533 | 3Com Corp. (a) | 2,509 | |||||||||
307 | ADC Telecommunications, Inc. (a) | 2,446 |
AS OF JUNE 30, 2009 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Positions — Continued | |||||||||||
217 | Arris Group, Inc. (a) | 2,637 | |||||||||
118 | Avocent Corp. (a) | 1,642 | |||||||||
76 | CommScope, Inc. (a) | 1,994 | |||||||||
4 | F5 Networks, Inc. (a) | 130 | |||||||||
64 | Harris Corp. | 1,821 | |||||||||
84 | Starent Networks Corp. (a) | 2,039 | |||||||||
22 | Tekelec (a) | 370 | |||||||||
323 | Tellabs, Inc. (a) | 1,851 | |||||||||
17,439 | |||||||||||
Computers & Peripherals — 1.9% | |||||||||||
125 | Dell, Inc. (a) | 1,710 | |||||||||
78 | Diebold, Inc. | 2,048 | |||||||||
120 | Lexmark International, Inc., Class A (a) | 1,895 | |||||||||
234 | NCR Corp. (a) | 2,768 | |||||||||
104 | NetApp, Inc. (a) | 2,046 | |||||||||
51 | Synaptics, Inc. (a) | 1,958 | |||||||||
12,425 | |||||||||||
Construction & Engineering — 2.6% | |||||||||||
137 | EMCOR Group, Inc. (a) | 2,753 | |||||||||
55 | Fluor Corp. | 2,844 | |||||||||
43 | Granite Construction, Inc. | 1,432 | |||||||||
37 | Jacobs Engineering Group, Inc. (a) | 1,577 | |||||||||
113 | KBR, Inc. | 2,081 | |||||||||
87 | Shaw Group, Inc. (The) (a) | 2,374 | |||||||||
122 | Tutor Perini Corp. (a) | 2,121 | |||||||||
40 | URS Corp. (a) | 1,961 | |||||||||
17,143 | |||||||||||
Consumer Finance — 0.1% | |||||||||||
22 | Cash America International, Inc. | 522 | |||||||||
Containers & Packaging — 1.4% | |||||||||||
80 | Owens-Illinois, Inc. (a) | 2,236 | |||||||||
64 | Pactiv Corp. (a) | 1,382 | |||||||||
38 | Rock-Tenn Co., Class A | 1,469 | |||||||||
102 | Sealed Air Corp. | 1,876 | |||||||||
36 | Silgan Holdings, Inc. | 1,744 | |||||||||
70 | Temple-Inland, Inc. | 921 | |||||||||
9,628 | |||||||||||
Diversified Consumer Services — 1.0% | |||||||||||
23 | Apollo Group, Inc., Class A (a) | 1,641 | |||||||||
94 | Corinthian Colleges, Inc. (a) | 1,596 | |||||||||
6 | ITT Educational Services, Inc. (a) | 566 | |||||||||
73 | Regis Corp. | 1,262 | |||||||||
73 | Weight Watchers International, Inc. | 1,892 | |||||||||
6,957 | |||||||||||
Diversified Financial Services — 0.3% | |||||||||||
37 | Bank of America Corp. | 483 | |||||||||
529 | Citigroup, Inc. | 1,570 | |||||||||
2,053 | |||||||||||
Diversified Telecommunication Services — 0.4% | |||||||||||
28 | CenturyTel, Inc. | 862 | |||||||||
59 | Neutral Tandem, Inc. (a) | 1,740 | |||||||||
2,602 | |||||||||||
Electric Utilities — 1.4% | |||||||||||
11 | DPL, Inc. | 260 | |||||||||
43 | Edison International | 1,347 | |||||||||
44 | FirstEnergy Corp. | 1,689 | |||||||||
10 | Idacorp, Inc. | 261 | |||||||||
163 | Pepco Holdings, Inc. | 2,191 | |||||||||
67 | Pinnacle West Capital Corp. | 2,011 | |||||||||
91 | Portland General Electric Co. | 1,764 | |||||||||
9,523 | |||||||||||
Electrical Equipment — 1.6% | |||||||||||
60 | Acuity Brands, Inc. | 1,676 | |||||||||
79 | Belden, Inc. | 1,327 | |||||||||
14 | Cooper Industries Ltd., Class A | 428 | |||||||||
110 | EnerSys (a) | 2,007 | |||||||||
33 | General Cable Corp. (a) | 1,242 | |||||||||
49 | Hubbell, Inc., Class B | 1,557 | |||||||||
78 | Thomas & Betts Corp. (a) | 2,239 | |||||||||
10,476 | |||||||||||
Electronic Equipment, Instruments & Components — 2.3% | |||||||||||
86 | Avnet, Inc. (a) | 1,808 | |||||||||
114 | Benchmark Electronics, Inc. (a) | 1,647 | |||||||||
384 | Celestica, Inc., (Canada) (a) | 2,620 | |||||||||
582 | Flextronics International Ltd., (Singapore) (a) | 2,391 | |||||||||
132 | Ingram Micro, Inc., Class A (a) | 2,306 | |||||||||
250 | Jabil Circuit, Inc. | 1,858 | |||||||||
49 | Tech Data Corp. (a) | 1,595 | |||||||||
199 | Vishay Intertechnology, Inc. (a) | 1,351 | |||||||||
15,576 | |||||||||||
Energy Equipment & Services — 3.6% | |||||||||||
46 | Cameron International Corp. (a) | 1,290 | |||||||||
39 | CARBO Ceramics, Inc. | 1,327 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Positions — Continued | |||||||||||
Energy Equipment & Services — Continued | |||||||||||
18 | Diamond Offshore Drilling, Inc. | 1,516 | |||||||||
62 | Dresser-Rand Group, Inc. (a) | 1,606 | |||||||||
75 | ENSCO International, Inc. | 2,609 | |||||||||
39 | Gulfmark Offshore, Inc. (a) | 1,073 | |||||||||
50 | Noble Corp. | 1,516 | |||||||||
67 | Oil States International, Inc. (a) | 1,625 | |||||||||
201 | Patterson-UTI Energy, Inc. | 2,590 | |||||||||
44 | Pride International, Inc. (a) | 1,104 | |||||||||
89 | Rowan Cos., Inc. | 1,724 | |||||||||
22 | SEACOR Holdings, Inc. (a) | 1,630 | |||||||||
40 | Tidewater, Inc. | 1,708 | |||||||||
8 | Transocean Ltd., (Switzerland) (a) | 586 | |||||||||
81 | Unit Corp. (a) | 2,235 | |||||||||
24,139 | |||||||||||
Food & Staples Retailing — 0.4% | |||||||||||
145 | SUPERVALU, Inc. | 1,874 | |||||||||
22 | SYSCO Corp. | 500 | |||||||||
2,374 | |||||||||||
Food Products — 2.2% | |||||||||||
85 | Archer-Daniels-Midland Co. | 2,275 | |||||||||
97 | Dean Foods Co. (a) | 1,865 | |||||||||
303 | Del Monte Foods Co. | 2,846 | |||||||||
95 | Fresh Del Monte Produce, Inc., (Cayman Islands) (a) | 1,551 | |||||||||
72 | Kraft Foods, Inc., Class A | 1,823 | |||||||||
248 | Sara Lee Corp. | 2,419 | |||||||||
66 | TreeHouse Foods, Inc. (a) | 1,900 | |||||||||
14,679 | |||||||||||
Gas Utilities — 0.8% | |||||||||||
55 | AGL Resources, Inc. | 1,743 | |||||||||
60 | Atmos Energy Corp. | 1,494 | |||||||||
90 | UGI Corp. | 2,290 | |||||||||
5,527 | |||||||||||
Health Care Equipment & Supplies — 1.1% | |||||||||||
116 | American Medical Systems Holdings, Inc. (a) | 1,830 | |||||||||
34 | Gen-Probe, Inc. (a) | 1,465 | |||||||||
39 | Hill-Rom Holdings, Inc. | 630 | |||||||||
134 | Hologic, Inc. (a) | 1,910 | |||||||||
2 | ResMed, Inc. (a) | 101 | |||||||||
4 | STERIS Corp. | 102 | |||||||||
60 | Thoratec Corp. (a) | 1,597 | |||||||||
7,635 | |||||||||||
Health Care Providers & Services — 4.1% | |||||||||||
68 | Aetna, Inc. | 1,714 | |||||||||
67 | Amedisys, Inc. (a) | 2,210 | |||||||||
56 | AMERIGROUP Corp. (a) | 1,515 | |||||||||
6 | AmerisourceBergen Corp. | 100 | |||||||||
103 | Centene Corp. (a) | 2,049 | |||||||||
93 | CIGNA Corp. | 2,241 | |||||||||
76 | Community Health Systems, Inc. (a) | 1,918 | |||||||||
113 | Coventry Health Care, Inc. (a) | 2,116 | |||||||||
103 | Health Net, Inc. (a) | 1,609 | |||||||||
135 | Healthsouth Corp. (a) | 1,946 | |||||||||
143 | Healthspring, Inc. (a) | 1,551 | |||||||||
40 | HMS Holdings Corp. (a) | 1,640 | |||||||||
63 | Humana, Inc. (a) | 2,032 | |||||||||
4 | LifePoint Hospitals, Inc. (a) | 105 | |||||||||
29 | Magellan Health Services, Inc. (a) | 939 | |||||||||
13 | McKesson Corp. | 584 | |||||||||
80 | Omnicare, Inc. | 2,067 | |||||||||
21 | WellPoint, Inc. (a) | 1,054 | |||||||||
27,390 | |||||||||||
Health Care Technology — 0.1% | |||||||||||
42 | IMS Health, Inc. | 532 | |||||||||
Hotels, Restaurants & Leisure — 2.1% | |||||||||||
73 | Ameristar Casinos, Inc. | 1,398 | |||||||||
61 | Bally Technologies, Inc. (a) | 1,837 | |||||||||
88 | Brinker International, Inc. | 1,502 | |||||||||
94 | Cheesecake Factory, Inc. (The) (a) | 1,624 | |||||||||
37 | Darden Restaurants, Inc. | 1,223 | |||||||||
54 | Jack in the Box, Inc. (a) | 1,218 | |||||||||
7 | Panera Bread Co., Class A (a) | 332 | |||||||||
55 | Penn National Gaming, Inc. (a) | 1,590 | |||||||||
22 | Vail Resorts, Inc. (a) | 602 | |||||||||
235 | Wyndham Worldwide Corp. | 2,854 | |||||||||
14,180 | |||||||||||
Household Durables — 2.7% | |||||||||||
119 | D.R. Horton, Inc. | 1,114 | |||||||||
62 | Garmin Ltd., (Cayman Islands) | 1,484 | |||||||||
103 | Jarden Corp. (a) | 1,924 | |||||||||
25 | KB Home | 344 | |||||||||
108 | Leggett & Platt, Inc. | 1,646 | |||||||||
272 | Newell Rubbermaid, Inc. | 2,833 | |||||||||
5 | NVR, Inc. (a) | 2,493 | |||||||||
88 | Pulte Homes, Inc. | 776 | |||||||||
87 | Ryland Group, Inc. | 1,457 | |||||||||
3 | Snap-On, Inc. | 95 | |||||||||
129 | Tempur-Pedic International, Inc. | 1,682 |
AS OF JUNE 30, 2009 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Positions — Continued | |||||||||||
Household Durables — Continued | |||||||||||
84 | Toll Brothers, Inc. (a) | 1,429 | |||||||||
14 | Whirlpool Corp. | 616 | |||||||||
17,893 | |||||||||||
Independent Power Producers & Energy Traders — 1.0% | |||||||||||
34 | AES Corp. (The) (a) | 395 | |||||||||
91 | Constellation Energy Group, Inc. | 2,426 | |||||||||
568 | Dynegy, Inc., Class A (a) | 1,289 | |||||||||
164 | Mirant Corp. (a) | 2,584 | |||||||||
4 | NRG Energy, Inc. (a) | 114 | |||||||||
6,808 | |||||||||||
Industrial Conglomerates — 0.6% | |||||||||||
5 | Carlisle Cos., Inc. | 109 | |||||||||
174 | General Electric Co. | 2,039 | |||||||||
63 | Tyco International Ltd., (Bermuda) | 1,632 | |||||||||
3,780 | |||||||||||
Insurance — 5.7% | |||||||||||
34 | ACE Ltd., (Switzerland) | 1,496 | |||||||||
49 | Aflac, Inc. | 1,514 | |||||||||
50 | Allied World Assurance Co. Holdings Ltd., (Bermuda) | 2,054 | |||||||||
7 | Allstate Corp. (The) | 176 | |||||||||
136 | American Financial Group, Inc. | 2,926 | |||||||||
33 | Arch Capital Group Ltd., (Bermuda) (a) | 1,933 | |||||||||
64 | Aspen Insurance Holdings Ltd., (Bermuda) | 1,426 | |||||||||
67 | Assurant, Inc. | 1,611 | |||||||||
34 | Assured Guaranty Ltd., (Bermuda) | 417 | |||||||||
17 | Chubb Corp. (The) | 694 | |||||||||
87 | CNA Financial Corp. | 1,341 | |||||||||
29 | Delphi Financial Group, Inc., Class A | 571 | |||||||||
47 | Endurance Specialty Holdings Ltd., (Bermuda) | 1,380 | |||||||||
44 | Fidelity National Financial, Inc., Class A | 600 | |||||||||
63 | First American Corp. | 1,622 | |||||||||
36 | HCC Insurance Holdings, Inc. | 859 | |||||||||
41 | IPC Holdings Ltd., (Bermuda) | 1,134 | |||||||||
58 | Lincoln National Corp. | 1,003 | |||||||||
15 | Loews Corp. | 404 | |||||||||
110 | Montpelier Re Holdings Ltd., (Bermuda) | 1,467 | |||||||||
7 | Odyssey Re Holdings Corp. | 290 | |||||||||
17 | PartnerRe Ltd., (Bermuda) | 1,096 | |||||||||
81 | Platinum Underwriters Holdings Ltd., (Bermuda) | 2,309 | |||||||||
4 | Prudential Financial, Inc. | 166 | |||||||||
20 | RenaissanceRe Holdings Ltd., (Bermuda) | 929 | |||||||||
57 | StanCorp Financial Group, Inc. | 1,648 | |||||||||
26 | Torchmark Corp. | 957 | |||||||||
27 | Tower Group, Inc. | 658 | |||||||||
10 | Transatlantic Holdings, Inc. | 437 | |||||||||
41 | Travelers Cos., Inc. (The) | 1,677 | |||||||||
139 | Unum Group | 2,206 | |||||||||
128 | XL Capital Ltd., (Bermuda), Class A | 1,466 | |||||||||
38,467 | |||||||||||
Internet & Catalog Retail — 0.7% | |||||||||||
189 | Expedia, Inc. (a) | 2,849 | |||||||||
48 | Netflix, Inc. (a) | 2,003 | |||||||||
4,852 | |||||||||||
Internet Software & Services — 0.7% | |||||||||||
211 | EarthLink, Inc. (a) | 1,564 | |||||||||
6 | IAC/InterActiveCorp. (a) | 92 | |||||||||
98 | VeriSign, Inc. (a) | 1,816 | |||||||||
65 | Websense, Inc. (a) | 1,167 | |||||||||
4,639 | |||||||||||
IT Services — 3.3% | |||||||||||
79 | Accenture Ltd., (Bermuda), Class A | 2,659 | |||||||||
57 | Alliance Data Systems Corp. (a) | 2,366 | |||||||||
114 | Broadridge Financial Solutions, Inc. | 1,895 | |||||||||
30 | CACI International, Inc., Class A (a) | 1,273 | |||||||||
50 | Computer Sciences Corp. (a) | 2,231 | |||||||||
140 | Convergys Corp. (a) | 1,296 | |||||||||
37 | DST Systems, Inc. (a) | 1,353 | |||||||||
39 | Fidelity National Information Services, Inc. | 774 | |||||||||
9 | Global Payments, Inc. | 347 | |||||||||
65 | Hewitt Associates, Inc., Class A (a) | 1,937 | |||||||||
47 | NeuStar, Inc., Class A (a) | 1,032 | |||||||||
72 | SAIC, Inc. (a) | 1,334 | |||||||||
143 | Western Union Co. (The) | 2,344 | |||||||||
58 | Wright Express Corp. (a) | 1,480 | |||||||||
22,321 | |||||||||||
Leisure Equipment & Products — 0.4% | |||||||||||
90 | Polaris Industries, Inc. | 2,883 | |||||||||
Life Sciences Tools & Services — 0.3% | |||||||||||
7 | Millipore Corp. (a) | 476 | |||||||||
75 | PerkinElmer, Inc. | 1,310 | |||||||||
2 | Waters Corp. (a) | 123 | |||||||||
1,909 | |||||||||||
Machinery — 1.0% | |||||||||||
17 | Bucyrus International, Inc. | 472 | |||||||||
24 | Crane Co. | 529 | |||||||||
39 | Joy Global, Inc. | 1,402 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Positions — Continued | |||||||||||
Machinery — Continued | |||||||||||
140 | Oshkosh Corp. | 2,039 | |||||||||
42 | SPX Corp. | 2,063 | |||||||||
17 | Toro Co. | 520 | |||||||||
7,025 | |||||||||||
Media — 1.5% | |||||||||||
6 | Comcast Corp., Class A | 93 | |||||||||
33 | DISH Network Corp., Class A (a) | 531 | |||||||||
337 | Interpublic Group of Cos., Inc. (The) (a) | 1,701 | |||||||||
41 | Liberty Global, Inc., Class A (a) | 655 | |||||||||
78 | McGraw-Hill Cos., Inc. (The) | 2,349 | |||||||||
36 | Omnicom Group, Inc. | 1,141 | |||||||||
66 | Scripps Networks Interactive, Inc., Class A | 1,835 | |||||||||
76 | Time Warner, Inc. | 1,907 | |||||||||
10,212 | |||||||||||
Metals & Mining — 1.5% | |||||||||||
122 | AK Steel Holding Corp. | 2,337 | |||||||||
20 | Allegheny Technologies, Inc. | 686 | |||||||||
6 | Carpenter Technology Corp. | 116 | |||||||||
11 | Compass Minerals International, Inc. | 582 | |||||||||
63 | Reliance Steel & Aluminum Co. | 2,424 | |||||||||
58 | United States Steel Corp. | 2,065 | |||||||||
126 | Worthington Industries, Inc. | 1,608 | |||||||||
9,818 | |||||||||||
Multiline Retail — 0.6% | |||||||||||
2 | Dollar Tree, Inc. (a) | 92 | |||||||||
165 | Macy’s, Inc. | 1,936 | |||||||||
27 | Sears Holdings Corp. (a) | 1,820 | |||||||||
3,848 | |||||||||||
Multi-Utilities — 1.7% | |||||||||||
90 | Ameren Corp. | 2,241 | |||||||||
73 | Avista Corp. | 1,292 | |||||||||
215 | CenterPoint Energy, Inc. | 2,381 | |||||||||
190 | CMS Energy Corp. | 2,293 | |||||||||
62 | DTE Energy Co. | 1,974 | |||||||||
2 | MDU Resources Group, Inc. | 46 | |||||||||
22 | NiSource, Inc. | 255 | |||||||||
48 | PNM Resources, Inc. | 517 | |||||||||
16 | Public Service Enterprise Group, Inc. | 514 | |||||||||
11,513 | |||||||||||
Oil, Gas & Consumable Fuels — 5.1% | |||||||||||
112 | Alpha Natural Resources, Inc. (a) | 2,932 | |||||||||
41 | Bill Barrett Corp. (a) | 1,136 | |||||||||
81 | Chesapeake Energy Corp. | 1,603 | |||||||||
30 | CNX Gas Corp. (a) | 775 | |||||||||
55 | Comstock Resources, Inc. (a) | 1,805 | |||||||||
52 | ConocoPhillips | 2,179 | |||||||||
34 | Consol Energy, Inc. | 1,154 | |||||||||
30 | Devon Energy Corp. | 1,618 | |||||||||
303 | El Paso Corp. | 2,793 | |||||||||
115 | Frontier Oil Corp. | 1,507 | |||||||||
152 | Mariner Energy, Inc. (a) | 1,782 | |||||||||
79 | Overseas Shipholding Group, Inc. | 2,675 | |||||||||
27 | Peabody Energy Corp. | 828 | |||||||||
82 | St. Mary Land & Exploration Co. | 1,711 | |||||||||
117 | Teekay Corp., (Bahamas) | 2,467 | |||||||||
6 | Tesoro Corp. | 82 | |||||||||
106 | Valero Energy Corp. | 1,799 | |||||||||
38 | Walter Industries, Inc. | 1,384 | |||||||||
61 | World Fuel Services Corp. | 2,508 | |||||||||
33 | XTO Energy, Inc. | 1,274 | |||||||||
34,012 | |||||||||||
Paper & Forest Products — 0.2% | |||||||||||
8 | International Paper Co. | 121 | |||||||||
74 | MeadWestvaco Corp. | 1,222 | |||||||||
1,343 | |||||||||||
Personal Products — 0.5% | |||||||||||
49 | Alberto-Culver Co. | 1,250 | |||||||||
76 | Herbalife Ltd., (Cayman Islands) | 2,402 | |||||||||
3,652 | |||||||||||
Pharmaceuticals — 3.2% | |||||||||||
146 | Biovail Corp., (Canada) | 1,958 | |||||||||
86 | Bristol-Myers Squibb Co. | 1,737 | |||||||||
55 | Eli Lilly & Co. | 1,905 | |||||||||
124 | Endo Pharmaceuticals Holdings, Inc. (a) | 2,222 | |||||||||
103 | Forest Laboratories, Inc. (a) | 2,593 | |||||||||
50 | King Pharmaceuticals, Inc. (a) | 485 | |||||||||
131 | Mylan, Inc. (a) | 1,710 | |||||||||
163 | Pfizer, Inc. | 2,444 | |||||||||
129 | Sepracor, Inc. (a) | 2,239 | |||||||||
117 | Valeant Pharmaceuticals International (a) | 3,009 | |||||||||
37 | Watson Pharmaceuticals, Inc. (a) | 1,230 | |||||||||
21,532 | |||||||||||
Professional Services — 0.5% | |||||||||||
54 | Manpower, Inc. | 2,268 | |||||||||
29 | Watson Wyatt Worldwide, Inc., Class A | 1,107 | |||||||||
3,375 |
AS OF JUNE 30, 2009 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Positions — Continued | |||||||||||
Real Estate Investment Trusts (REITs) — 0.4% | |||||||||||
96 | DCT Industrial Trust, Inc. | 392 | |||||||||
8 | Essex Property Trust, Inc. | 468 | |||||||||
36 | Kilroy Realty Corp. | 737 | |||||||||
48 | Macerich Co. (The) | 849 | |||||||||
2,446 | |||||||||||
Road & Rail — 0.5% | |||||||||||
5 | Con-way, Inc. | 192 | |||||||||
55 | CSX Corp. | 1,916 | |||||||||
42 | Norfolk Southern Corp. | 1,571 | |||||||||
3,679 | |||||||||||
Semiconductors & Semiconductor Equipment — 2.5% | |||||||||||
361 | Amkor Technology, Inc. (a) | 1,710 | |||||||||
231 | Cypress Semiconductor Corp. (a) | 2,122 | |||||||||
358 | Integrated Device Technology, Inc. (a) | 2,163 | |||||||||
92 | Intersil Corp., Class A | 1,154 | |||||||||
125 | LSI Corp. (a) | 571 | |||||||||
56 | Marvell Technology Group Ltd., (Bermuda) (a) | 650 | |||||||||
16 | ON Semiconductor Corp. (a) | 111 | |||||||||
47 | Silicon Laboratories, Inc. (a) | 1,773 | |||||||||
192 | Skyworks Solutions, Inc. (a) | 1,874 | |||||||||
269 | STMicroelectronics N.V., (Switzerland) | 2,018 | |||||||||
96 | Tessera Technologies, Inc. (a) | 2,432 | |||||||||
16,578 | |||||||||||
Software — 2.5% | |||||||||||
96 | CA, Inc. | 1,679 | |||||||||
74 | Fair Isaac Corp. | 1,142 | |||||||||
479 | Novell, Inc. (a) | 2,171 | |||||||||
140 | Parametric Technology Corp. (a) | 1,641 | |||||||||
132 | Quest Software, Inc. (a) | 1,847 | |||||||||
19 | Sybase, Inc. (a) | 608 | |||||||||
136 | Symantec Corp. (a) | 2,118 | |||||||||
89 | Synopsys, Inc. (a) | 1,739 | |||||||||
159 | Take-Two Interactive Software, Inc. (a) | 1,508 | |||||||||
335 | TIBCO Software, Inc. (a) | 2,401 | |||||||||
16,854 | |||||||||||
Specialty Retail — 4.7% | |||||||||||
45 | Aaron Rents, Inc. | 1,338 | |||||||||
36 | Advance Auto Parts, Inc. | 1,510 | |||||||||
52 | Aeropostale, Inc. (a) | 1,794 | |||||||||
3 | AutoZone, Inc. (a) | 523 | |||||||||
49 | Barnes & Noble, Inc. | 1,009 | |||||||||
93 | Cabela’s, Inc. (a) | 1,141 | |||||||||
91 | Children’s Place Retail Stores, Inc. (The) (a) | 2,393 | |||||||||
167 | Collective Brands, Inc. (a) | 2,430 | |||||||||
89 | Dress Barn, Inc. (a) | 1,279 | |||||||||
253 | Foot Locker, Inc. | 2,647 | |||||||||
61 | Gymboree Corp. (a) | 2,148 | |||||||||
220 | Limited Brands, Inc. | 2,634 | |||||||||
260 | Office Depot, Inc. (a) | 1,186 | |||||||||
24 | PetSmart, Inc. | 511 | |||||||||
172 | RadioShack Corp. | 2,401 | |||||||||
76 | Rent-A-Center, Inc. (a) | 1,347 | |||||||||
42 | Ross Stores, Inc. | 1,629 | |||||||||
37 | Sherwin-Williams Co. (The) | 2,005 | |||||||||
43 | Tractor Supply Co. (a) | 1,760 | |||||||||
31,685 | |||||||||||
Textiles, Apparel & Luxury Goods — 1.5% | |||||||||||
94 | Carter’s, Inc. (a) | 2,306 | |||||||||
35 | Columbia Sportswear Co. | 1,087 | |||||||||
36 | Deckers Outdoor Corp. (a) | 2,545 | |||||||||
196 | Jones Apparel Group, Inc. | 2,106 | |||||||||
17 | Phillips-Van Heusen Corp. | 499 | |||||||||
23 | Polo Ralph Lauren Corp. | 1,209 | |||||||||
9,752 | |||||||||||
Thrifts & Mortgage Finance — 0.2% | |||||||||||
132 | New York Community Bancorp, Inc. | 1,409 | |||||||||
Tobacco — 0.8% | |||||||||||
122 | Altria Group, Inc. | 2,000 | |||||||||
53 | Reynolds American, Inc. | 2,030 | |||||||||
34 | Universal Corp. | 1,121 | |||||||||
5,151 | |||||||||||
Trading Companies & Distributors — 0.6% | |||||||||||
73 | GATX Corp. | 1,889 | |||||||||
98 | WESCO International, Inc. (a) | 2,446 | |||||||||
4,335 | |||||||||||
Water Utilities — 0.2% | |||||||||||
72 | American Water Works Co., Inc. | 1,379 | |||||||||
Wireless Telecommunication Services — 0.7% | |||||||||||
45 | Leap Wireless International, Inc. (a) | 1,486 | |||||||||
466 | Sprint Nextel Corp. (a) | 2,242 | |||||||||
54 | Syniverse Holdings, Inc. (a) | 858 | |||||||||
4,586 | |||||||||||
Total Long-Term Investments (Cost $539,171) | 584,618 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment — 12.4% | |||||||||||
Investment Company — 12.4% | |||||||||||
83,454 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.440% (b) (l) (Cost $83,454) | 83,454 | |||||||||
Total Investments — 99.6% (Cost $622,625) | 668,072 | ||||||||||
Other Assets in Excess of Liabilities — 0.4% | 2,523 | ||||||||||
NET ASSETS — 100.0% | $ | 670,595 | |||||||||
Short Positions — 86.4% | |||||||||||
Common Stocks — 86.4% | |||||||||||
Aerospace & Defense — 1.2% | |||||||||||
61 | Boeing Co. | 2,590 | |||||||||
49 | Curtiss-Wright Corp. | 1,471 | |||||||||
207 | Hexcel Corp. (a) | 1,970 | |||||||||
134 | Spirit Aerosystems Holdings, Inc., Class A (a) | 1,836 | |||||||||
7,867 | |||||||||||
Airlines — 0.9% | |||||||||||
182 | Continental Airlines, Inc., Class B (a) | 1,612 | |||||||||
114 | Delta Air Lines, Inc. (a) | 659 | |||||||||
471 | JetBlue Airways Corp. (a) | 2,011 | |||||||||
266 | Southwest Airlines Co. | 1,791 | |||||||||
6,073 | |||||||||||
Auto Components — 1.2% | |||||||||||
74 | Autoliv, Inc., (Sweden) | 2,119 | |||||||||
60 | BorgWarner, Inc. | 2,041 | |||||||||
190 | Gentex Corp. | 2,206 | |||||||||
163 | Goodyear Tire & Rubber Co. (The) (a) | 1,836 | |||||||||
8,202 | |||||||||||
Automobiles — 0.2% | |||||||||||
85 | Harley-Davidson, Inc. | 1,383 | |||||||||
Beverages — 0.7% | |||||||||||
12 | Brown-Forman Corp., Class B | 521 | |||||||||
60 | Central European Distribution Corp. (a) | 1,603 | |||||||||
68 | Molson Coors Brewing Co., Class B | 2,874 | |||||||||
4,998 | |||||||||||
Biotechnology — 1.3% | |||||||||||
28 | Acorda Therapeutics, Inc. (a) | 779 | |||||||||
31 | Celgene Corp. (a) | 1,475 | |||||||||
23 | Genzyme Corp. (a) | 1,307 | |||||||||
29 | Medarex, Inc. (a) | 240 | |||||||||
27 | Myriad Genetics, Inc. (a) | 976 | |||||||||
7 | Myriad Pharmaceuticals, Inc. (a) | 32 | |||||||||
29 | OSI Pharmaceuticals, Inc. (a) | 824 | |||||||||
38 | United Therapeutics Corp. (a) | 3,129 | |||||||||
8,762 | |||||||||||
Building Products — 0.3% | |||||||||||
25 | Simpson Manufacturing Co., Inc. | 532 | |||||||||
114 | USG Corp. (a) | 1,146 | |||||||||
1,678 | |||||||||||
Capital Markets — 2.9% | |||||||||||
1,249 | E*Trade Financial Corp. (a) | 1,598 | |||||||||
62 | Federated Investors, Inc., Class B | 1,495 | |||||||||
19 | Franklin Resources, Inc. | 1,383 | |||||||||
16 | Greenhill & Co., Inc. | 1,151 | |||||||||
79 | Invesco Ltd. | 1,415 | |||||||||
179 | Janus Capital Group, Inc. | 2,046 | |||||||||
22 | KBW, Inc. (a) | 622 | |||||||||
130 | Legg Mason, Inc. | 3,161 | |||||||||
151 | SEI Investments Co. | 2,733 | |||||||||
26 | Stifel Financial Corp. (a) | 1,266 | |||||||||
11 | T. Rowe Price Group, Inc. | 474 | |||||||||
69 | Waddell & Reed Financial, Inc., Class A | 1,809 | |||||||||
19,153 | |||||||||||
Chemicals — 2.5% | |||||||||||
91 | Albemarle Corp. | 2,337 | |||||||||
58 | Cabot Corp. | 733 | |||||||||
114 | Calgon Carbon Corp. (a) | 1,580 | |||||||||
24 | Celanese Corp., Class A | 564 | |||||||||
80 | Cytec Industries, Inc. | 1,494 | |||||||||
23 | E.l. du Pont de Nemours & Co. | 577 | |||||||||
21 | FMC Corp. | 985 | |||||||||
281 | Huntsman Corp. | 1,414 | |||||||||
65 | Intrepid Potash, Inc. (a) | 1,832 | |||||||||
17 | Monsanto Co. | 1,236 | |||||||||
17 | Mosaic Co. (The) | 750 | |||||||||
22 | Praxair, Inc. | 1,571 | |||||||||
77 | Sensient Technologies Corp. | 1,744 | |||||||||
1 | Westlake Chemical Corp. | 15 | |||||||||
16,832 | |||||||||||
Commercial Banks — 2.7% | |||||||||||
191 | CapitalSource, Inc. | 932 | |||||||||
42 | East West Bancorp, Inc. | 273 | |||||||||
224 | Fifth Third Bancorp | 1,592 | |||||||||
86 | First Commonwealth Financial Corp. | 545 | |||||||||
171 | First Horizon National Corp. (a) | 2,053 | |||||||||
84 | Glacier Bancorp, Inc. | 1,241 |
AS OF JUNE 30, 2009 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short Positions — Continued | |||||||||||
Commercial Banks — Continued | |||||||||||
149 | Huntington Bancshares, Inc. | 623 | |||||||||
356 | KeyCorp | 1,867 | |||||||||
177 | Marshall & Ilsley Corp. | 848 | |||||||||
36 | PrivateBancorp, Inc. | 801 | |||||||||
47 | Signature Bank (a) | 1,261 | |||||||||
595 | Synovus Financial Corp. | 1,780 | |||||||||
64 | Wells Fargo & Co. | 1,564 | |||||||||
108 | Whitney Holding Corp. | 993 | |||||||||
3 | Wilmington Trust Corp. | 37 | |||||||||
170 | Zions Bancorp | 1,963 | |||||||||
18,373 | |||||||||||
Commercial Services & Supplies — 3.2% | |||||||||||
22 | Cintas Corp. | 505 | |||||||||
33 | Clean Harbors, Inc. (a) | 1,777 | |||||||||
73 | Copart, Inc. (a) | 2,539 | |||||||||
128 | Corrections Corp. of America (a) | 2,178 | |||||||||
118 | Covanta Holding Corp. (a) | 2,007 | |||||||||
78 | GEO Group, Inc. (The) (a) | 1,455 | |||||||||
49 | Iron Mountain, Inc. (a) | 1,416 | |||||||||
121 | Republic Services, Inc. | 2,957 | |||||||||
34 | Stericycle, Inc. (a) | 1,728 | |||||||||
77 | Tetra Tech, Inc. (a) | 2,218 | |||||||||
30 | United Stationers, Inc. (a) | 1,059 | |||||||||
65 | Waste Connections, Inc. (a) | 1,688 | |||||||||
21,527 | |||||||||||
Communications Equipment — 2.2% | |||||||||||
313 | Brocade Communications Systems, Inc. (a) | 2,447 | |||||||||
100 | Ciena Corp. (a) | 1,031 | |||||||||
45 | Comtech Telecommunications Corp. (a) | 1,421 | |||||||||
144 | Corning, Inc. | 2,305 | |||||||||
25 | InterDigital, Inc. (a) | 616 | |||||||||
88 | JDS Uniphase Corp. (a) | 501 | |||||||||
105 | Juniper Networks, Inc. (a) | 2,473 | |||||||||
102 | Palm, Inc. (a) | 1,683 | |||||||||
10 | QUALCOMM, Inc. | 430 | |||||||||
24 | Research In Motion Ltd., (Canada) (a) | 1,713 | |||||||||
14,620 | |||||||||||
Computers & Peripherals — 0.2% | |||||||||||
71 | SanDisk Corp. (a) | 1,045 | |||||||||
Construction & Engineering — 0.5% | |||||||||||
42 | Aecom Technology Corp. (a) | 1,333 | |||||||||
100 | Quanta Services, Inc. (a) | 2,302 | |||||||||
3,635 | |||||||||||
Construction Materials — 1.0% | |||||||||||
80 | Eagle Materials, Inc. | 2,021 | |||||||||
30 | Martin Marietta Materials, Inc. | 2,370 | |||||||||
28 | Texas Industries, Inc. | 873 | |||||||||
26 | Vulcan Materials Co. | 1,123 | |||||||||
6,387 | |||||||||||
Consumer Finance — 0.8% | |||||||||||
47 | AmeriCredit Corp. (a) | 638 | |||||||||
82 | Capital One Financial Corp. | 1,799 | |||||||||
284 | Discover Financial Services | 2,921 | |||||||||
5,358 | |||||||||||
Containers & Packaging — 0.8% | |||||||||||
50 | AptarGroup, Inc. | 1,693 | |||||||||
55 | Greif, Inc., Class A | 2,411 | |||||||||
93 | Packaging Corp. of America | 1,502 | |||||||||
5,606 | |||||||||||
Distributors — 0.2% | |||||||||||
92 | LKQ Corp. (a) | 1,515 | |||||||||
Diversified Consumer Services — 0.9% | |||||||||||
32 | Brink’s Home Security Holdings, Inc. (a) | 911 | |||||||||
43 | DeVry, Inc. | 2,135 | |||||||||
95 | Sotheby’s | 1,338 | |||||||||
8 | Strayer Education, Inc. | 1,774 | |||||||||
6,158 | |||||||||||
Diversified Financial Services — 1.1% | |||||||||||
610 | CIT Group, Inc. | 1,312 | |||||||||
8 | CME Group, Inc. | 2,643 | |||||||||
21 | Interactive Brokers Group, Inc., Class A (a) | 332 | |||||||||
5 | IntercontinentalExchange, Inc. (a) | 617 | |||||||||
104 | Moody’s Corp. | 2,749 | |||||||||
7,653 | |||||||||||
Diversified Telecommunication Services — 0.8% | |||||||||||
17 | AT&T, Inc. | 413 | |||||||||
119 | Frontier Communications Corp. | 848 | |||||||||
802 | Level 3 Communications, Inc. (a) | 1,210 | |||||||||
143 | tw telecom, inc. (a) | 1,466 | |||||||||
30 | Verizon Communications, Inc. | 937 | |||||||||
45 | Windstream Corp. | 379 | |||||||||
5,253 | |||||||||||
Electric Utilities — 2.9% | |||||||||||
68 | Allegheny Energy, Inc. | 1,748 | |||||||||
50 | Allete, Inc. | 1,438 | |||||||||
116 | Cleco Corp. | 2,610 | |||||||||
30 | FPL Group, Inc. | 1,724 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short Positions — Continued | |||||||||||
Electric Utilities — Continued | |||||||||||
102 | Great Plains Energy, Inc. | 1,581 | |||||||||
10 | Hawaiian Electric Industries, Inc. | 200 | |||||||||
9 | ITC Holdings Corp. | 395 | |||||||||
117 | Northeast Utilities | 2,615 | |||||||||
148 | NV Energy, Inc. | 1,602 | |||||||||
44 | Southern Co. | 1,357 | |||||||||
57 | UniSource Energy Corp. | 1,525 | |||||||||
130 | Westar Energy, Inc. | 2,442 | |||||||||
19,237 | |||||||||||
Electrical Equipment — 1.6% | |||||||||||
53 | AMETEK, Inc. | 1,832 | |||||||||
69 | Baldor Electric Co. | 1,637 | |||||||||
6 | First Solar, Inc. (a) | 996 | |||||||||
190 | GrafTech International Ltd. (a) | 2,145 | |||||||||
17 | Regal-Beloit Corp. | 665 | |||||||||
14 | Rockwell Automation, Inc. | 452 | |||||||||
14 | Roper Industries, Inc. | 627 | |||||||||
113 | Woodward Governor Co. | 2,243 | |||||||||
10,597 | |||||||||||
Electronic Equipment, Instruments & Components — 2.0% | |||||||||||
109 | Agilent Technologies, Inc. (a) | 2,210 | |||||||||
54 | Amphenol Corp., Class A | 1,704 | |||||||||
50 | Anixter International, Inc. (a) | 1,885 | |||||||||
19 | FLIR Systems, Inc. (a) | 421 | |||||||||
34 | Itron, Inc. (a) | 1,845 | |||||||||
126 | Molex, Inc. | 1,966 | |||||||||
71 | National Instruments Corp. | 1,609 | |||||||||
94 | Trimble Navigation Ltd. (a) | 1,844 | |||||||||
13,484 | |||||||||||
Energy Equipment & Services — 1.8% | |||||||||||
63 | BJ Services Co. | 860 | |||||||||
63 | Dril-Quip, Inc. (a) | 2,406 | |||||||||
44 | FMC Technologies, Inc. (a) | 1,656 | |||||||||
45 | Schlumberger Ltd. | 2,410 | |||||||||
51 | Smith International, Inc. | 1,321 | |||||||||
61 | Superior Energy Services, Inc. (a) | 1,050 | |||||||||
129 | Weatherford International Ltd. (a) | 2,514 | |||||||||
12,217 | |||||||||||
Food & Staples Retailing — 0.9% | |||||||||||
30 | Costco Wholesale Corp. | 1,373 | |||||||||
13 | CVS/Caremark Corp. | 424 | |||||||||
65 | Ruddick Corp. | 1,525 | |||||||||
55 | Walgreen Co. | 1,605 | |||||||||
42 | Whole Foods Market, Inc. | 793 | |||||||||
5,720 | |||||||||||
Food Products — 2.7% | |||||||||||
13 | Campbell Soup Co. | 370 | |||||||||
90 | ConAgra Foods, Inc. | 1,719 | |||||||||
79 | Corn Products International, Inc. | 2,115 | |||||||||
97 | Flowers Foods, Inc. | 2,112 | |||||||||
55 | JM Smucker Co. (The) | 2,684 | |||||||||
66 | McCormick & Co., Inc. (Non-Voting) | 2,142 | |||||||||
42 | Ralcorp Holdings, Inc. (a) | 2,546 | |||||||||
201 | Smithfield Foods, Inc. (a) | 2,810 | |||||||||
145 | Tyson Foods, Inc., Class A | 1,829 | |||||||||
18,327 | |||||||||||
Gas Utilities — 1.8% | |||||||||||
81 | EQT Corp. | 2,832 | |||||||||
49 | Nicor, Inc. | 1,695 | |||||||||
55 | Northwest Natural Gas Co. | 2,435 | |||||||||
33 | ONEOK, Inc. | 970 | |||||||||
91 | Piedmont Natural Gas Co., Inc. | 2,196 | |||||||||
51 | Southwest Gas Corp. | 1,130 | |||||||||
18 | WGL Holdings, Inc. | 580 | |||||||||
11,838 | |||||||||||
Health Care Equipment & Supplies — 3.0% | |||||||||||
16 | Alcon, Inc., (Switzerland) | 1,851 | |||||||||
97 | Align Technology, Inc. (a) | 1,032 | |||||||||
11 | Covidien plc, (Ireland) | 410 | |||||||||
79 | DENTSPLY International, Inc. | 2,426 | |||||||||
30 | Edwards Lifesciences Corp. (a) | 2,040 | |||||||||
21 | Haemonetics Corp. (a) | 1,178 | |||||||||
43 | IDEXX Laboratories, Inc. (a) | 1,998 | |||||||||
79 | Immucor, Inc. (a) | 1,083 | |||||||||
11 | Intuitive Surgical, Inc. (a) | 1,868 | |||||||||
11 | Medtronic, Inc. | 377 | |||||||||
81 | Meridian Bioscience, Inc. | 1,819 | |||||||||
52 | West Pharmaceutical Services, Inc. | 1,817 | |||||||||
55 | Zimmer Holdings, Inc. (a) | 2,339 | |||||||||
20,238 | |||||||||||
Health Care Providers & Services — 2.1% | |||||||||||
98 | Brookdale Senior Living, Inc. | 954 | |||||||||
39 | Cardinal Health, Inc. | 1,189 | |||||||||
9 | DaVita, Inc. (a) | 426 | |||||||||
40 | Henry Schein, Inc. (a) | 1,899 | |||||||||
53 | Owens & Minor, Inc. | 2,333 | |||||||||
89 | Patterson Cos., Inc. (a) | 1,925 |
AS OF JUNE 30, 2009 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short Positions — Continued | |||||||||||
Health Care Providers & Services — Continued | |||||||||||
48 | PSS World Medical, Inc. (a) | 884 | |||||||||
85 | Psychiatric Solutions, Inc. (a) | 1,930 | |||||||||
86 | VCA Antech, Inc. (a) | 2,307 | |||||||||
13,847 | |||||||||||
Health Care Technology — 1.3% | |||||||||||
124 | Allscripts-Misys Healthcare Solutions, Inc. | 1,969 | |||||||||
59 | athenahealth, Inc. (a) | 2,184 | |||||||||
31 | Cerner Corp. (a) | 1,958 | |||||||||
146 | Eclipsys Corp. (a) | 2,600 | |||||||||
8,711 | |||||||||||
Hotels, Restaurants & Leisure — 1.8% | |||||||||||
68 | Burger King Holdings, Inc. | 1,175 | |||||||||
72 | Gaylord Entertainment Co. (a) | 916 | |||||||||
44 | International Game Technology | 705 | |||||||||
112 | Las Vegas Sands Corp. (a) | 880 | |||||||||
17 | Marriott International, Inc., Class A | 371 | |||||||||
32 | Royal Caribbean Cruises Ltd. | 432 | |||||||||
60 | Scientific Games Corp., Class A (a) | 947 | |||||||||
151 | Sonic Corp. (a) | 1,510 | |||||||||
72 | Starwood Hotels & Resorts Worldwide, Inc. | 1,589 | |||||||||
81 | Tim Hortons, Inc., (Canada) | 1,998 | |||||||||
457 | Wendy’s/Arby’s Group, Inc., Class A | 1,827 | |||||||||
12,350 | |||||||||||
Household Durables — 0.4% | |||||||||||
70 | Harman International Industries, Inc. | 1,319 | |||||||||
112 | Lennar Corp., Class A | 1,089 | |||||||||
15 | MDC Holdings, Inc. | 439 | |||||||||
2,847 | |||||||||||
Household Products — 0.2% | |||||||||||
18 | Church & Dwight Co., Inc. | 989 | |||||||||
Independent Power Producers & Energy Traders — 0.4% | |||||||||||
11 | Ormat Technologies, Inc. | 428 | |||||||||
445 | RRI Energy, Inc. (a) | 2,229 | |||||||||
2,657 | |||||||||||
Industrial Conglomerates — 0.6% | |||||||||||
28 | 3M Co. | 1,680 | |||||||||
122 | McDermott International, Inc. (a) | 2,481 | |||||||||
4,161 | |||||||||||
Insurance — 1.5% | |||||||||||
168 | Genworth Financial, Inc., Class A | 1,175 | |||||||||
129 | Hartford Financial Services Group, Inc. | 1,526 | |||||||||
76 | MBIA, Inc. (a) | 329 | |||||||||
80 | MetLife, Inc. | 2,411 | |||||||||
198 | Old Republic International Corp. | 1,953 | |||||||||
37 | Reinsurance Group of America, Inc. | 1,281 | |||||||||
60 | Zenith National Insurance Corp. | 1,302 | |||||||||
9,977 | |||||||||||
Internet & Catalog Retail — 0.3% | |||||||||||
432 | Liberty Media Corp. - Interactive, Class A (a) | 2,162 | |||||||||
Internet Software & Services — 1.6% | |||||||||||
125 | Akamai Technologies, Inc. (a) | 2,395 | |||||||||
146 | eBay, Inc. (a) | 2,498 | |||||||||
4 | Google, Inc., Class A (a) | 1,674 | |||||||||
9 | j2 Global Communications, Inc. (a) | 210 | |||||||||
151 | Omniture, Inc. (a) | 1,900 | |||||||||
116 | Yahoo!, Inc. (a) | 1,814 | |||||||||
10,491 | |||||||||||
IT Services — 1.3% | |||||||||||
74 | Cognizant Technology Solutions Corp., Class A (a) | 1,980 | |||||||||
137 | Cybersource Corp. (a) | 2,090 | |||||||||
36 | ManTech International Corp., Class A (a) | 1,552 | |||||||||
90 | SRA International, Inc., Class A (a) | 1,589 | |||||||||
116 | Total System Services, Inc. | 1,550 | |||||||||
8,761 | |||||||||||
Leisure Equipment & Products — 0.3% | |||||||||||
579 | Eastman Kodak Co. | 1,713 | |||||||||
Life Sciences Tools & Services — 1.4% | |||||||||||
60 | Charles River Laboratories International, Inc. (a) | 2,039 | |||||||||
45 | Covance, Inc. (a) | 2,205 | |||||||||
12 | Illumina, Inc. (a) | 482 | |||||||||
21 | Luminex Corp. (a) | 394 | |||||||||
65 | Pharmaceutical Product Development, Inc. | 1,511 | |||||||||
30 | Techne Corp. | 1,894 | |||||||||
29 | Thermo Fisher Scientific, Inc. (a) | 1,167 | |||||||||
9,692 | |||||||||||
Machinery — 4.5% | |||||||||||
51 | Caterpillar, Inc. | 1,676 | |||||||||
59 | CLARCOR, Inc. | 1,734 | |||||||||
38 | Cummins, Inc. | 1,344 | |||||||||
58 | Deere & Co. | 2,337 | |||||||||
52 | Donaldson Co., Inc. | 1,800 | |||||||||
28 | Eaton Corp. | 1,261 | |||||||||
119 | Graco, Inc. | 2,628 | |||||||||
25 | IDEX Corp. | 604 | |||||||||
127 | Ingersoll-Rand Co., Ltd., (Ireland), Class A (a) | 2,663 | |||||||||
83 | Kaydon Corp. | 2,696 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short Positions — Continued | |||||||||||
Machinery — Continued | |||||||||||
67 | Kennametal, Inc. | 1,288 | |||||||||
5 | Lincoln Electric Holdings, Inc. | 177 | |||||||||
9 | Middleby Corp. (a) | 382 | |||||||||
54 | Nordson Corp. | 2,107 | |||||||||
81 | PACCAR, Inc. | 2,636 | |||||||||
31 | Parker Hannifin Corp. | 1,327 | |||||||||
56 | Pentair, Inc. | 1,446 | |||||||||
32 | Valmont Industries, Inc. | 2,301 | |||||||||
30,407 | |||||||||||
Marine — 0.4% | |||||||||||
53 | Alexander & Baldwin, Inc. | 1,252 | |||||||||
46 | Kirby Corp. (a) | 1,458 | |||||||||
2,710 | |||||||||||
Media — 0.9% | |||||||||||
77 | Cablevision Systems Corp., Class A | 1,502 | |||||||||
85 | Discovery Communications, Inc., Class A (a) | 1,906 | |||||||||
31 | Lamar Advertising Co., Class A (a) | 475 | |||||||||
14 | Morningstar, Inc. (a) | 573 | |||||||||
68 | Walt Disney Co. (The) | 1,579 | |||||||||
6,035 | |||||||||||
Metals & Mining — 1.4% | |||||||||||
277 | Alcoa, Inc. | 2,863 | |||||||||
74 | Coeur D’Alene Mines Corp. (a) | 906 | |||||||||
27 | Commercial Metals Co. | 427 | |||||||||
71 | Southern Copper Corp. | 1,455 | |||||||||
127 | Steel Dynamics, Inc. | 1,872 | |||||||||
176 | Titanium Metals Corp. | 1,614 | |||||||||
9,137 | |||||||||||
Multiline Retail — 0.6% | |||||||||||
26 | Kohl’s Corp. (a) | 1,092 | |||||||||
95 | Nordstrom, Inc. | 1,887 | |||||||||
26 | Target Corp. | 1,034 | |||||||||
4,013 | |||||||||||
Multi-Utilities — 1.1% | |||||||||||
47 | Consolidated Edison, Inc. | 1,754 | |||||||||
78 | OGE Energy Corp. | 2,210 | |||||||||
152 | TECO Energy, Inc. | 1,819 | |||||||||
46 | Vectren Corp. | 1,072 | |||||||||
14 | Wisconsin Energy Corp. | 573 | |||||||||
7,428 | |||||||||||
Office Electronics — 0.1% | |||||||||||
20 | Zebra Technologies Corp., Class A (a) | 464 | |||||||||
Oil, Gas & Consumable Fuels — 4.4% | |||||||||||
12 | Cabot Oil & Gas Corp. | 368 | |||||||||
89 | Cimarex Energy Co. | 2,511 | |||||||||
59 | Concho Resources, Inc. (a) | 1,687 | |||||||||
84 | Continental Resources, Inc. (a) | 2,331 | |||||||||
140 | EXCO Resources, Inc. (a) | 1,807 | |||||||||
92 | Goodrich Petroleum Corp. (a) | 2,252 | |||||||||
27 | Hess Corp. | 1,465 | |||||||||
83 | Holly Corp. | 1,501 | |||||||||
17 | Marathon Oil Corp. | 504 | |||||||||
28 | Murphy Oil Corp. | 1,513 | |||||||||
29 | Nordic American Tanker Shipping, (Bermuda) | 928 | |||||||||
115 | PetroHawk Energy Corp. (a) | 2,555 | |||||||||
22 | Pioneer Natural Resources Co. | 567 | |||||||||
34 | Plains Exploration & Production Co. (a) | 927 | |||||||||
38 | Quicksilver Resources, Inc. (a) | 354 | |||||||||
9 | Range Resources Corp. | 360 | |||||||||
170 | SandRidge Energy, Inc. (a) | 1,446 | |||||||||
154 | Spectra Energy Corp. | 2,602 | |||||||||
32 | Swift Energy Co. (a) | 531 | |||||||||
183 | W&T Offshore, Inc. | 1,779 | |||||||||
49 | Whiting Petroleum Corp. (a) | 1,706 | |||||||||
29,694 | |||||||||||
Paper & Forest Products — 0.3% | |||||||||||
72 | Weyerhaeuser Co. | 2,196 | |||||||||
Personal Products — 0.8% | |||||||||||
67 | Avon Products, Inc. | 1,736 | |||||||||
27 | Chattem, Inc. (a) | 1,849 | |||||||||
53 | Estee Lauder Cos., Inc. (The), Class A | 1,735 | |||||||||
5,320 | |||||||||||
Pharmaceuticals — 0.8% | |||||||||||
45 | Allergan, Inc. | 2,138 | |||||||||
70 | Auxilium Pharmaceuticals, Inc. (a) | 2,193 | |||||||||
61 | Medicis Pharmaceutical Corp., Class A | 991 | |||||||||
5,322 | |||||||||||
Professional Services — 1.2% | |||||||||||
17 | FTI Consulting, Inc. (a) | 861 | |||||||||
39 | Huron Consulting Group, Inc. (a) | 1,804 | |||||||||
44 | IHS, Inc., Class A (a) | 2,182 | |||||||||
65 | Navigant Consulting, Inc. (a) | 846 | |||||||||
39 | Resources Connection, Inc. (a) | 674 | |||||||||
61 | Robert Half International, Inc. | 1,438 | |||||||||
7,805 | |||||||||||
Real Estate Investment Trusts (REITs) — 0.6% | |||||||||||
38 | AMB Property Corp. | 712 |
AS OF JUNE 30, 2009 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short Positions — Continued | |||||||||||
Real Estate Investment Trusts (REITs) — Continued | |||||||||||
19 | Apartment Investment & Management Co., Class A | 169 | |||||||||
7 | Camden Property Trust | 202 | |||||||||
25 | Home Properties, Inc. | 868 | |||||||||
37 | Kimco Realty Corp. | 371 | |||||||||
88 | ProLogis | 710 | |||||||||
5 | Vornado Realty Trust | 211 | |||||||||
61 | Weingarten Realty Investors | 888 | |||||||||
4,131 | |||||||||||
Real Estate Management & Development — 0.1% | |||||||||||
87 | Brookfield Properties Corp., (Canada) | 689 | |||||||||
Road & Rail — 0.9% | |||||||||||
42 | Genesee & Wyoming, Inc., Class A (a) | 1,109 | |||||||||
117 | Kansas City Southern (a) | 1,879 | |||||||||
49 | Old Dominion Freight Line, Inc. (a) | 1,661 | |||||||||
45 | Ryder System, Inc. | 1,269 | |||||||||
5,918 | |||||||||||
Semiconductors & Semiconductor Equipment — 3.7% | |||||||||||
211 | Applied Materials, Inc. | 2,310 | |||||||||
115 | Atheros Communications, Inc. (a) | 2,219 | |||||||||
81 | Cymer, Inc. (a) | 2,413 | |||||||||
87 | FormFactor, Inc. (a) | 1,494 | |||||||||
3 | Hittite Microwave Corp. (a) | 101 | |||||||||
121 | International Rectifier Corp. (a) | 1,791 | |||||||||
62 | KLA-Tencor Corp. | 1,560 | |||||||||
91 | Lam Research Corp. (a) | 2,359 | |||||||||
49 | MEMC Electronic Materials, Inc. (a) | 876 | |||||||||
471 | Micron Technology, Inc. (a) | 2,382 | |||||||||
249 | NVIDIA Corp. (a) | 2,814 | |||||||||
311 | Teradyne, Inc. (a) | 2,135 | |||||||||
108 | Varian Semiconductor Equipment Associates, Inc. (a) | 2,592 | |||||||||
25,046 | |||||||||||
Software — 2.8% | |||||||||||
141 | Activision Blizzard, Inc. (a) | 1,783 | |||||||||
76 | ANSYS, Inc. (a) | 2,376 | |||||||||
68 | Citrix Systems, Inc. (a) | 2,157 | |||||||||
226 | Compuware Corp. (a) | 1,550 | |||||||||
78 | Electronic Arts, Inc. (a) | 1,700 | |||||||||
33 | Jack Henry & Associates, Inc. | 677 | |||||||||
30 | Macrovision Solutions Corp. (a) | 663 | |||||||||
35 | MICROS Systems, Inc. (a) | 877 | |||||||||
14 | Quality Systems, Inc. | 770 | |||||||||
112 | Red Hat, Inc. (a) | 2,260 | |||||||||
74 | Solera Holdings, Inc. (a) | 1,878 | |||||||||
80 | VMware, Inc., Class A (a) | 2,180 | |||||||||
18,871 | |||||||||||
Specialty Retail — 3.8% | |||||||||||
73 | Abercrombie & Fitch Co., Class A | 1,866 | |||||||||
122 | American Eagle Outfitters, Inc. | 1,735 | |||||||||
49 | Best Buy Co., Inc. | 1,628 | |||||||||
116 | CarMax, Inc. (a) | 1,704 | |||||||||
224 | Chico’s FAS, Inc. (a) | 2,182 | |||||||||
41 | Home Depot, Inc. | 969 | |||||||||
60 | J Crew Group, Inc. (a) | 1,633 | |||||||||
90 | Lowe’s Cos., Inc. | 1,741 | |||||||||
56 | Men’s Wearhouse, Inc. (The) | 1,083 | |||||||||
52 | O’Reilly Automotive, Inc. (a) | 1,995 | |||||||||
49 | Penske Auto Group, Inc. | 819 | |||||||||
119 | Staples, Inc. | 2,390 | |||||||||
88 | Tiffany & Co. | 2,230 | |||||||||
68 | Urban Outfitters, Inc. (a) | 1,420 | |||||||||
202 | Williams-Sonoma, Inc. | 2,403 | |||||||||
25,798 | |||||||||||
Textiles, Apparel & Luxury Goods — 1.0% | |||||||||||
79 | Hanesbrands, Inc. (a) | 1,182 | |||||||||
88 | Iconix Brand Group, Inc. (a) | 1,349 | |||||||||
36 | Nike, Inc., Class B | 1,855 | |||||||||
14 | Under Armour, Inc., Class A (a) | 307 | |||||||||
9 | V.F. Corp. | 500 | |||||||||
68 | Wolverine World Wide, Inc. | 1,501 | |||||||||
6,694 | |||||||||||
Thrifts & Mortgage Finance — 0.4% | |||||||||||
80 | First Niagara Financial Group, Inc. | 911 | |||||||||
98 | People’s United Financial, Inc. | 1,480 | |||||||||
2,391 | |||||||||||
Tobacco — 0.1% | |||||||||||
7 | Lorillard, Inc. | 476 | |||||||||
Trading Companies & Distributors — 0.2% | |||||||||||
11 | Applied Industrial Technologies, Inc. | 213 | |||||||||
33 | Fastenal Co. | 1,087 | |||||||||
1,300 | |||||||||||
Wireless Telecommunication Services — 0.8% | |||||||||||
94 | American Tower Corp., Class A (a) | 2,964 | |||||||||
44 | Crown Castle International Corp. (a) | 1,051 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short Positions — Continued | |||||||||||
Wireless Telecommunication Services — Continued | |||||||||||
38 | SBA Communications Corp., Class A (a) | 944 | |||||||||
10 | U.S. Cellular Corp. (a) | 401 | |||||||||
5,360 | |||||||||||
Total Common Stocks (Proceeds $671,745) | 579,299 | ||||||||||
Right — 0.0% (g) | |||||||||||
1 | Fresenius Kabi Pharmaceuticals Holding, Inc., (Germany), expiring 06/30/11 (a) (Cost $—) | — | (h) | ||||||||
Total Short Positions (Proceeds $671,745) | $579,299 |
AS OF JUNE 30, 2009
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 97.3% | |||||||||||
Common Stocks — 95.6% | |||||||||||
Beverages — 0.5% | |||||||||||
29 | Diageo plc, (United Kingdom), ADR | 1,632 | |||||||||
Capital Markets — 3.3% | |||||||||||
205 | Charles Schwab Corp. (The) | 3,596 | |||||||||
288 | W.P. Carey & Co. LLC | 7,204 | |||||||||
10,800 | |||||||||||
Chemicals — 1.9% | |||||||||||
204 | Albemarle Corp. | 5,219 | |||||||||
16 | NewMarket Corp. | 1,077 | |||||||||
6,296 | |||||||||||
Commercial Banks — 7.7% | |||||||||||
105 | M&T Bank Corp. | 5,348 | |||||||||
170 | SunTrust Banks, Inc. | 2,796 | |||||||||
265 | Synovus Financial Corp. | 794 | |||||||||
80 | TCF Financial Corp. | 1,070 | |||||||||
146 | United Community Banks, Inc. (a) | 875 | |||||||||
530 | Wells Fargo & Co. | 12,864 | |||||||||
135 | Wilmington Trust Corp. | 1,848 | |||||||||
25,595 | |||||||||||
Communications Equipment — 0.7% | |||||||||||
53 | QUALCOMM, Inc. | 2,396 | |||||||||
Construction Materials — 0.5% | |||||||||||
160 | Cemex S.A.B. de C.V., (Mexico), ADR (a) | 1,494 | |||||||||
Consumer Finance — 0.4% | |||||||||||
60 | American Express Co. | 1,404 | |||||||||
Distributors — 1.3% | |||||||||||
130 | Genuine Parts Co. | 4,363 | |||||||||
Diversified Financial Services — 1.0% | |||||||||||
230 | Bank of America Corp. | 3,036 | |||||||||
25 | Onex Corp., (Canada) | 430 | |||||||||
3,466 | |||||||||||
Diversified Telecommunication Services — 0.7% | |||||||||||
200 | Alaska Communications Systems Group, Inc. | 1,464 | |||||||||
107 | Windstream Corp. | 893 | |||||||||
2,357 | |||||||||||
Electric Utilities — 1.0% | |||||||||||
120 | American Electric Power Co., Inc. | 3,467 | |||||||||
Electrical Equipment — 0.7% | |||||||||||
95 | Baldor Electric Co. | 2,260 | |||||||||
Energy Equipment & Services — 2.2% | |||||||||||
45 | Exterran Holdings, Inc. (a) | 722 | |||||||||
335 | RPC, Inc. | 2,801 | |||||||||
52 | SEACOR Holdings, Inc. (a) | 3,912 | |||||||||
7,435 | |||||||||||
Food & Staples Retailing — 1.9% | |||||||||||
100 | Great Atlantic & Pacific Tea Co. (a) | 425 | |||||||||
140 | SUPERVALU, Inc. | 1,813 | |||||||||
138 | Walgreen Co. | 4,057 | |||||||||
6,295 | |||||||||||
Food Products — 1.5% | |||||||||||
100 | JM Smucker Co. (The) | 4,866 | |||||||||
Gas Utilities — 3.2% | |||||||||||
115 | Energen Corp. | 4,588 | |||||||||
200 | ONEOK, Inc. | 5,898 | |||||||||
10,486 | |||||||||||
Health Care Providers & Services — 2.3% | |||||||||||
75 | Lincare Holdings, Inc. (a) | 1,764 | |||||||||
157 | National Healthcare Corp. | 5,950 | |||||||||
7,714 | |||||||||||
Hotels, Restaurants & Leisure — 1.0% | |||||||||||
270 | Monarch Casino & Resort, Inc. (a) | 1,971 | |||||||||
115 | Texas Roadhouse, Inc., Class A (a) | 1,255 | |||||||||
3,226 | |||||||||||
Household Durables — 0.9% | |||||||||||
85 | Fortune Brands, Inc. | 2,953 | |||||||||
Independent Power Producers & Energy Traders — 0.9% | |||||||||||
154 | TransAlta Corp., (Canada) | 2,998 | |||||||||
Industrial Conglomerates — 2.2% | |||||||||||
310 | Carlisle Cos., Inc. | 7,452 | |||||||||
Insurance — 17.9% | |||||||||||
330 | Assurant, Inc. | 7,950 | |||||||||
— | (h) | Berkshire Hathaway, Inc., Class A (a) | 7,650 | ||||||||
300 | Cincinnati Financial Corp. | 6,705 | |||||||||
345 | Loews Corp. | 9,453 | |||||||||
100 | MetLife, Inc. | 3,001 | |||||||||
832 | Old Republic International Corp. | 8,194 | |||||||||
276 | OneBeacon Insurance Group Ltd., Class A | 3,224 | |||||||||
15 | PartnerRe Ltd., (Bermuda) | 974 | |||||||||
75 | ProAssurance Corp. (a) | 3,466 | |||||||||
95 | Transatlantic Holdings, Inc. | 4,116 | |||||||||
30 | Unitrin, Inc. | 361 | |||||||||
200 | W.R. Berkley Corp. | 4,294 | |||||||||
59,388 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Internet & Catalog Retail — 1.3% | |||||||||||
20 | Amazon.com, Inc. (a) | 1,673 | |||||||||
175 | Expedia, Inc. (a) | 2,644 | |||||||||
4,317 | |||||||||||
IT Services — 0.4% | |||||||||||
20 | Visa, Inc., Class A | 1,264 | |||||||||
Machinery — 0.7% | |||||||||||
50 | Kennametal, Inc. | 959 | |||||||||
90 | Oshkosh Corp. | 1,309 | |||||||||
2,268 | |||||||||||
Media — 3.1% | |||||||||||
644 | AH Belo Corp., Class A | 631 | |||||||||
800 | Belo Corp., Class A | 1,432 | |||||||||
30 | Cablevision Systems Corp., Class A | 590 | |||||||||
360 | Clear Channel Outdoor Holdings, Inc., Class A (a) | 1,908 | |||||||||
530 | E.W. Scripps Co., Class A | 1,108 | |||||||||
450 | Entercom Communications Corp., Class A | 688 | |||||||||
300 | LIN TV Corp., Class A (a) | 504 | |||||||||
10 | Washington Post Co. (The), Class B | 3,522 | |||||||||
10,383 | |||||||||||
Multiline Retail — 1.0% | |||||||||||
50 | Sears Holdings Corp. (a) | 3,326 | |||||||||
Oil, Gas & Consumable Fuels — 13.6% | |||||||||||
223 | CVR Energy, Inc. (a) | 1,633 | |||||||||
169 | Devon Energy Corp. | 9,189 | |||||||||
166 | El Paso Corp. | 1,532 | |||||||||
180 | Energy Transfer Equity LP | 4,567 | |||||||||
250 | Enterprise GP Holdings LP | 6,283 | |||||||||
71 | Kinder Morgan Management LLC (a) | 3,195 | |||||||||
250 | NuStar GP Holdings LLC | 5,775 | |||||||||
300 | Teekay Corp., (Bahamas) | 6,309 | |||||||||
420 | Williams Cos., Inc. (The) | 6,556 | |||||||||
45,039 | |||||||||||
Pharmaceuticals — 3.0% | |||||||||||
135 | Merck & Co., Inc. | 3,775 | |||||||||
410 | Pfizer, Inc. | 6,150 | |||||||||
9,925 | |||||||||||
Real Estate Investment Trusts (REITs) — 7.5% | |||||||||||
490 | Agree Realty Corp. | 8,982 | |||||||||
251 | Cousins Properties, Inc. | 2,130 | |||||||||
200 | Getty Realty Corp. | 3,774 | |||||||||
195 | Kimco Realty Corp. | 1,960 | |||||||||
240 | National Health Investors, Inc. | 6,410 | |||||||||
50 | Regency Centers Corp. | 1,746 | |||||||||
25,002 | |||||||||||
Real Estate Management & Development — 1.8% | |||||||||||
224 | Brookfield Asset Management, Inc., (Canada), Class A | 3,817 | |||||||||
285 | Brookfield Properties Corp., (Canada) | 2,271 | |||||||||
6,088 | |||||||||||
Software — 1.5% | |||||||||||
215 | Microsoft Corp. | 5,110 | |||||||||
Specialty Retail — 4.3% | |||||||||||
50 | AutoNation, Inc. (a) | 867 | |||||||||
57 | Bed Bath & Beyond, Inc. (a) | 1,753 | |||||||||
260 | Gap, Inc. (The) | 4,264 | |||||||||
185 | Home Depot, Inc. | 4,372 | |||||||||
30 | J Crew Group, Inc. (a) | 811 | |||||||||
75 | TJX Cos., Inc. | 2,359 | |||||||||
14,426 | |||||||||||
Tobacco — 0.6% | |||||||||||
115 | Altria Group, Inc. | 1,885 | |||||||||
Trading Companies & Distributors — 0.8% | |||||||||||
100 | GATX Corp. | 2,572 | |||||||||
Wireless Telecommunication Services — 2.3% | |||||||||||
301 | Telephone & Data Systems, Inc. | 7,803 | |||||||||
Total Common Stocks (Cost $370,216) | 317,751 | ||||||||||
Investment Company — 1.7% | |||||||||||
453 | Cohen & Steers Select Utility Fund, Inc., 1.725%, (Cost $7,614) | 5,497 | |||||||||
Total Long-Term Investments (Cost $377,830) | 323,248 | ||||||||||
Short-Term Investment — 2.3% | |||||||||||
Investment Company — 2.3% | |||||||||||
7,782 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.410% (b) (l) (Cost $7,782) | 7,782 | |||||||||
Total Investments — 99.6% (Cost $385,612) | 331,030 | ||||||||||
Other Assets in Excess of Liabilities — 0.4% | 1,257 | ||||||||||
NET ASSETS — 100.0% | $ | 332,287 |
AS OF JUNE 30, 2009
ADR— | American Depositary Receipt |
VAR— | Variable Rate Security. The interest rate shown is the rate in effect as of June 30, 2009. |
(a)— | Non-income producing security. |
(b)— | Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. or JPMorgan Investment Advisors Inc. |
(c)— | Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. |
(e)— | Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(g)— | Amount rounds to less than 0.1%. |
(h)— | Amount rounds to less than one thousand (shares or dollars). |
(j)— | All or a portion of these securities are segregated for short sales. |
(l)— | The rate shown is the current yield as of June 30, 2009. |
(m)— | All or a portion of this security is reserved for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts. |
AS OF JUNE 30, 2009
| Growth Advantage Fund | | Mid Cap Equity Fund | | Mid Cap Growth Fund (a) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | |||||||||||||||
Investments in non-affiliates, at value | $ | 545,862 | $ | 190,042 | $ | 1,219,965 | |||||||||
Investments in affiliates, at value | 121,392 | 43,599 | 55,159 | ||||||||||||
Total investment securities, at value | 667,254 | 233,641 | 1,275,124 | ||||||||||||
Cash | 27 | 17 | 66 | ||||||||||||
Receivables: | |||||||||||||||
Investment securities sold | — | 562 | 4,619 | ||||||||||||
Fund shares sold | 8,788 | 1,719 | 2,006 | ||||||||||||
Interest and dividends | 147 | 240 | 554 | ||||||||||||
Due from Advisor | — | — | 37 | ||||||||||||
Total Assets | 676,216 | 236,179 | 1,282,406 | ||||||||||||
LIABILITIES: | |||||||||||||||
Payables: | |||||||||||||||
Dividends | — | 363 | — | ||||||||||||
Investment securities purchased | 3,186 | 4,125 | 18,860 | ||||||||||||
Collateral for securities lending program | 99,987 | 35,428 | 53,003 | ||||||||||||
Fund shares redeemed | 295 | 276 | 1,479 | ||||||||||||
Accrued liabilities: | |||||||||||||||
Investment advisory fees | 255 | 89 | 403 | ||||||||||||
Administration fees | 51 | 3 | 94 | ||||||||||||
Shareholder servicing fees | 85 | — | 85 | ||||||||||||
Distribution fees | 22 | — | 144 | ||||||||||||
Custodian and accounting fees | 31 | 23 | 65 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 5 | 5 | 26 | ||||||||||||
Reorganization expense | — | — | 198 | ||||||||||||
Other | 197 | 82 | 798 | ||||||||||||
Total Liabilities | 104,114 | 40,394 | 75,155 | ||||||||||||
Net Assets | $ | 572,102 | $ | 195,785 | $ | 1,207,251 |
| Growth Advantage Fund | | Mid Cap Equity Fund | | Mid Cap Growth Fund (a) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET ASSETS: | |||||||||||||||
Paid in capital | $ | 766,131 | $ | 250,201 | $ | 1,541,501 | |||||||||
Accumulated undistributed (distributions in excess of) net investment income | (8 | ) | (29 | ) | (407 | ) | |||||||||
Accumulated net realized gains (losses) | (216,852 | ) | (59,110 | ) | (355,297 | ) | |||||||||
Net unrealized appreciation (depreciation) | 22,831 | 4,723 | 21,454 | ||||||||||||
Total Net Assets | $ | 572,102 | $ | 195,785 | $ | 1,207,251 | |||||||||
Net Assets: | |||||||||||||||
Class A | $ | 71,841 | $ | — | $ | 520,201 | |||||||||
Class B | 3,304 | — | 29,963 | ||||||||||||
Class C | 9,300 | — | 25,624 | ||||||||||||
Class R2 | — | — | 83 | ||||||||||||
Class R5 | 46,312 | — | — | ||||||||||||
Select Class | 441,345 | 195,785 | 631,380 | ||||||||||||
Total | $ | 572,102 | $ | 195,785 | $ | 1,207,251 | |||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | |||||||||||||||
Class A | 12,220 | — | 38,024 | ||||||||||||
Class B | 600 | — | 2,762 | ||||||||||||
Class C | 1,686 | — | 2,069 | ||||||||||||
Class R2 | — | — | 6 | ||||||||||||
Class R5 | 7,805 | — | — | ||||||||||||
Select Class | 74,470 | 10,320 | 43,345 | ||||||||||||
Net Asset Value: | |||||||||||||||
Class A — Redemption price per share | $ | 5.88 | $ | — | $ | 13.68 | |||||||||
Class B — Offering price per share (b) | 5.51 | — | 10.85 | ||||||||||||
Class C — Offering price per share (b) | 5.52 | — | 12.39 | ||||||||||||
Class R2 — Offering and redemption price per share | — | — | 14.56 | ||||||||||||
Class R5 — Offering and redemption price per share | 5.93 | — | — | ||||||||||||
Select Class — Offering and redemption price per share | 5.93 | 18.97 | 14.57 | ||||||||||||
Class A maximum sales charge | 5.25 | % | —% | 5.25 | % | ||||||||||
Class A maximum public offering price per share [net asset value per share/(100% – maximum sales charge)] | $ | 6.21 | $ | — | $ | 14.44 | |||||||||
Cost of investments in non-affiliates | $ | 523,031 | $ | 185,319 | $ | 1,198,511 | |||||||||
Cost of investments in affiliates | 121,392 | 43,599 | 55,159 | ||||||||||||
Value of securities on loan | 97,255 | 34,505 | 50,956 |
(a) | Effective June 27, 2009, Diversified Mid Cap Growth Fund was renamed Mid Cap Growth Fund. |
(b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
AS OF JUNE 30, 2009 (continued)
| Mid Cap Value Fund | | Multi-Cap Market Neutral Fund | | Value Advantage Fund | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | |||||||||||||||
Investments in non-affiliates, at value | $ | 4,106,378 | $ | 584,618 | $ | 323,248 | |||||||||
Investments in affiliates, at value | 331,917 | 83,454 | 7,782 | ||||||||||||
Total investment securities, at value | 4,438,295 | 668,072 | 331,030 | ||||||||||||
Cash | 533 | 4 | 37 | ||||||||||||
Deposits with broker for securities sold short | — | 582,201 | — | ||||||||||||
Receivables: | |||||||||||||||
Investment securities sold | 14,461 | — | 330 | ||||||||||||
Fund shares sold | 8,931 | 1,309 | 558 | ||||||||||||
Interest and dividends | 8,571 | 674 | 1,199 | ||||||||||||
Total Assets | 4,470,791 | 1,252,260 | 333,154 | ||||||||||||
LIABILITIES: | |||||||||||||||
Payables: | |||||||||||||||
Dividends for securities sold short | — | 448 | — | ||||||||||||
Investment securities purchased | 18,750 | — | — | ||||||||||||
Securities sold short, at value | — | 579,299 | — | ||||||||||||
Collateral for securities lending program | 230,183 | — | — | ||||||||||||
Fund shares redeemed | 17,834 | 985 | 421 | ||||||||||||
Accrued liabilities: | |||||||||||||||
Investment advisory fees | 1,690 | 573 | 109 | ||||||||||||
Administration fees | 238 | 35 | 10 | ||||||||||||
Shareholder servicing fees | 527 | 15 | 54 | ||||||||||||
Distribution fees | 586 | 57 | 85 | ||||||||||||
Custodian and accounting fees | 175 | 24 | 28 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 5 | 6 | 1 | ||||||||||||
Reorganization expense | 70 | — | — | ||||||||||||
Other | 1,356 | 223 | 159 | ||||||||||||
Total Liabilities | 271,414 | 581,665 | 867 | ||||||||||||
Net Assets | $ | 4,199,377 | $ | 670,595 | $ | 332,287 |
| Mid Cap Value Fund | | Multi-Cap Market Neutral Fund | | Value Advantage Fund | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET ASSETS: | |||||||||||||||
Paid in capital | $ | 5,566,821 | $ | 707,413 | $ | 465,750 | |||||||||
Accumulated undistributed (distributions in excess of) net investment income | 1,770 | (36 | ) | 3,310 | |||||||||||
Accumulated net realized gains (losses) | (688,322 | ) | (174,675 | ) | (82,191 | ) | |||||||||
Net unrealized appreciation (depreciation) | (680,892 | ) | 137,893 | (54,582 | ) | ||||||||||
Total Net Assets | $ | 4,199,377 | $ | 670,595 | $ | 332,287 | |||||||||
Net Assets: | |||||||||||||||
Class A | $ | 1,600,044 | $ | 67,884 | $ | 112,739 | |||||||||
Class B | 108,114 | 12,766 | — | ||||||||||||
Class C | 299,956 | 61,467 | 97,723 | ||||||||||||
Class R2 | 294 | — | — | ||||||||||||
Institutional Class | 1,424,004 | — | 70,825 | ||||||||||||
Select Class | 766,965 | 528,478 | 51,000 | ||||||||||||
Total | $ | 4,199,377 | $ | 670,595 | $ | 332,287 | |||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | |||||||||||||||
Class A | 105,000 | 6,648 | 9,390 | ||||||||||||
Class B | 7,259 | 1,276 | — | ||||||||||||
Class C | 20,082 | 6,134 | 8,164 | ||||||||||||
Class R2 | 20 | — | — | ||||||||||||
Institutional Class | 92,270 | — | 5,898 | ||||||||||||
Select Class | 50,008 | 51,469 | 4,237 | ||||||||||||
Net Asset Value: | |||||||||||||||
Class A — Redemption price per share | $ | 15.24 | $ | 10.21 | $ | 12.01 | |||||||||
Class B — Offering price per share (a) | 14.89 | 10.01 | — | ||||||||||||
Class C — Offering price per share (a) | 14.94 | 10.02 | 11.97 | ||||||||||||
Class R2 — Offering and redemption price per share | 15.06 | — | — | ||||||||||||
Institutional Class — Offering and redemption price per share | 15.43 | — | 12.01 | ||||||||||||
Select Class — Offering and redemption price per share | 15.34 | 10.27 | 12.04 | ||||||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | |||||||||
Class A maximum public offering price per share [net asset value per share/(100% – maximum sales charge)] | $ | 16.08 | $ | 10.78 | $ | 12.68 | |||||||||
Cost of investments in non-affiliates | $ | 4,787,270 | $ | 539,171 | $ | 377,830 | |||||||||
Cost of investments in affiliates | 331,917 | 83,454 | 7,782 | ||||||||||||
Value of securities on loan | 223,118 | — | — | ||||||||||||
Proceeds from securities sold short | — | 671,745 | — |
(a) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
FOR THE YEAR ENDED JUNE 30, 2009
| Growth Advantage Fund | | Mid Cap Equity Fund | | Mid Cap Growth Fund (a) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | |||||||||||||||
Dividend income from non-affiliates | $ | 2,963 | $ | 3,002 | $ | 4,039 | |||||||||
Dividend income from affiliates (b) | 223 | 131 | 277 | ||||||||||||
Income from securities lending (net) | 352 | 54 | 475 | ||||||||||||
Total investment income | 3,538 | 3,187 | 4,791 | ||||||||||||
EXPENSES: | |||||||||||||||
Investment advisory fees | 2,685 | 1,124 | 4,105 | ||||||||||||
Administration fees | 441 | 185 | 672 | ||||||||||||
Distribution fees: | |||||||||||||||
Class A | 146 | — | 644 | ||||||||||||
Class B | 24 | — | 259 | ||||||||||||
Class C | 71 | — | 121 | ||||||||||||
Class R2 | — | — | — | (c) | |||||||||||
Shareholder servicing fees: | |||||||||||||||
Class A | 146 | — | 644 | ||||||||||||
Class B | 8 | — | 86 | ||||||||||||
Class C | 24 | — | 40 | ||||||||||||
Class R2 | — | — | — | (c) | |||||||||||
Class R5 | 5 | — | — | ||||||||||||
Select Class | 829 | 432 | 802 | ||||||||||||
Custodian and accounting fees | 44 | 44 | 50 | ||||||||||||
Interest expense to affiliates | 1 | 2 | — | (c) | |||||||||||
Professional fees | 61 | 47 | 56 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 6 | 3 | 7 | ||||||||||||
Printing and mailing costs | 108 | 28 | 167 | ||||||||||||
Registration and filing fees | 112 | 45 | 75 | ||||||||||||
Transfer agent fees | 343 | 168 | 1,467 | ||||||||||||
Other | 13 | 5 | 72 | ||||||||||||
Total expenses | 5,067 | 2,083 | 9,267 | ||||||||||||
Less amounts waived | (310 | ) | (525 | ) | (1,900 | ) | |||||||||
Less earnings credits | — | (c) | — | (c) | — | (c) | |||||||||
Less expense reimbursements | — | — | (37 | ) | |||||||||||
Net expenses | 4,757 | 1,558 | 7,330 | ||||||||||||
Net investment income (loss) | (1,219 | ) | 1,629 | (2,539 | ) | ||||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | |||||||||||||||
Net realized gain (loss) on transactions from: | |||||||||||||||
Investments in non-affiliates | (150,688 | ) | (56,735 | ) | (159,114 | ) | |||||||||
Payment by affiliate (see Note 3) | — | — | 24 | ||||||||||||
Net realized gain (loss) | (150,688 | ) | (56,735 | ) | (159,090 | ) | |||||||||
Change in net unrealized appreciation (depreciation) of | |||||||||||||||
Investments in non-affiliates | 2,343 | (18,862 | ) | (140,598 | ) | ||||||||||
Net realized/unrealized gains (losses) | (148,345 | ) | (75,597 | ) | (299,688 | ) | |||||||||
Change in net assets resulting from operations | $ | (149,564 | ) | $ | (73,968 | ) | $ | (302,227 | ) |
(a) | Effective June 27, 2009, Diversified Mid Cap Growth Fund was renamed Mid Cap Growth Fund. |
(b) | Includes reimbursements of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
(c) | Amount rounds to less than $1,000. |
| Mid Cap Value Fund | | Multi-Cap Market Neutral Fund | | Value Advantage Fund | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | |||||||||||||||||||
Interest income from non-affiliates | $ | — | $ | 9 | $ | — | |||||||||||||
Dividend income from non-affiliates | 118,505 | 15,734 | (c) | 11,227 | |||||||||||||||
Dividend income from affiliates (a) | 2,099 | 1,770 | 245 | ||||||||||||||||
Income from securities lending (net) | 5,463 | — | — | ||||||||||||||||
Total investment income | 126,067 | 17,513 | 11,472 | ||||||||||||||||
EXPENSES: | |||||||||||||||||||
Investment advisory fees | 27,402 | 10,270 | 2,022 | ||||||||||||||||
Administration fees | 4,499 | 878 | 332 | ||||||||||||||||
Distribution fees: | |||||||||||||||||||
Class A | 4,528 | 156 | 292 | ||||||||||||||||
Class B | 838 | 107 | — | ||||||||||||||||
Class C | 2,622 | 541 | 902 | ||||||||||||||||
Class R2 | — | (b) | — | — | |||||||||||||||
Shareholder servicing fees: | |||||||||||||||||||
Class A | 4,528 | 156 | 292 | ||||||||||||||||
Class B | 279 | 36 | — | ||||||||||||||||
Class C | 874 | 180 | 301 | ||||||||||||||||
Class R2 | — | (b) | — | — | |||||||||||||||
Institutional Class | 1,323 | — | 30 | ||||||||||||||||
Select Class | 1,549 | 1,682 | 111 | ||||||||||||||||
Custodian and accounting fees | 232 | 39 | 39 | ||||||||||||||||
Interest expense to affiliates | — | (b) | 4 | — | (b) | ||||||||||||||
Professional fees | 111 | 68 | 56 | ||||||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 46 | 9 | 3 | ||||||||||||||||
Printing and mailing costs | 980 | 57 | 59 | ||||||||||||||||
Registration and filing fees | 169 | 45 | 79 | ||||||||||||||||
Transfer agent fees | 5,363 | 515 | 510 | ||||||||||||||||
Dividend expense on securities sold short | — | 11,048 | — | ||||||||||||||||
Other | 150 | 43 | 16 | ||||||||||||||||
Total expenses | 55,493 | 25,834 | 5,044 | ||||||||||||||||
Less amounts waived | (8,661 | ) | (3,480 | ) | (814 | ) | |||||||||||||
Less earnings credits | (1 | ) | (1 | ) | — | (b) | |||||||||||||
Less expense reimbursements | (12 | ) | (12 | ) | — | ||||||||||||||
Net expenses | 46,819 | 22,341 | 4,230 | ||||||||||||||||
Net investment income (loss) | 79,248 | (4,828 | ) | 7,242 | |||||||||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | |||||||||||||||||||
Net realized gain (loss) on transactions from: | |||||||||||||||||||
Investments in non-affiliates | (639,753 | ) | (317,801 | ) | (81,109 | ) | |||||||||||||
Securities sold short | — | 325,336 | — | ||||||||||||||||
Net realized gain (loss) | (639,753 | ) | 7,535 | (81,109 | ) | ||||||||||||||
Change in net unrealized appreciation (depreciation) of: | |||||||||||||||||||
Investments in non-affiliates | (925,619 | ) | 43,161 | (18,303 | ) | ||||||||||||||
Securities sold short | — | (55,889 | ) | — | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (925,619 | ) | (12,728 | ) | (18,303 | ) | |||||||||||||
Net realized/unrealized gains (losses) | (1,565,372 | ) | (5,193 | ) | (99,412 | ) | |||||||||||||
Change in net assets resulting from operations | $ | (1,486,124 | ) | $ | (10,021 | ) | $ | (92,170 | ) |
(a) | Includes reimbursements of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
(b) | Amount rounds to less than $1,000. |
(c) | Includes prime broker borrowing fees in relation to short sale transactions. |
FOR THE PERIODS INDICATED
Growth Advantage Fund | Mid Cap Equity Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 6/30/2009 | | Year Ended 6/30/2008 | | Year Ended 6/30/2009 | | Year Ended 6/30/2008 | ||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | (1,219 | ) | $ | (1,287 | ) | $ | 1,629 | $ | 711 | |||||||||
Net realized gain (loss) | (150,688 | ) | (31,747 | ) | (56,735 | ) | 20,557 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 2,343 | 7,184 | (18,862 | ) | (41,362 | ) | |||||||||||||
Change in net assets resulting from operations | (149,564 | ) | (25,850 | ) | (73,968 | ) | (20,094 | ) | |||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Select Class | |||||||||||||||||||
From net investment income | — | — | (1,590 | ) | (695 | ) | |||||||||||||
From net realized gains | — | — | (10,014 | ) | (41,318 | ) | |||||||||||||
Total distributions to shareholders | — | — | (11,604 | ) | (42,013 | ) | |||||||||||||
CAPITAL TRANSACTIONS: | �� | ||||||||||||||||||
Change in net assets from capital transactions | 232,504 | 452,493 | 91,768 | (32,850 | ) | ||||||||||||||
NET ASSETS: | |||||||||||||||||||
Change in net assets | 82,940 | 426,643 | 6,196 | (94,957 | ) | ||||||||||||||
Beginning of period | 489,162 | 62,519 | 189,589 | 284,546 | |||||||||||||||
End of period | $ | 572,102 | $ | 489,162 | $ | 195,785 | $ | 189,589 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (8 | ) | $ | (5 | ) | $ | (29 | ) | $ | (50 | ) |
Mid Cap Growth Fund (a) | Mid Cap Value Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 6/30/2009 | | Year Ended 6/30/2008 | | Year Ended 6/30/2009 | | Year Ended 6/30/2008 | ||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | (2,539 | ) | $ | (8,337 | ) | $ | 79,248 | $ | 55,689 | |||||||||
Net realized gain (loss) | (159,090 | ) | 67,723 | (639,753 | ) | 345,370 | |||||||||||||
Change in net unrealized appreciation (depreciation) | (140,598 | ) | (97,988 | ) | (925,619 | ) | (1,449,429 | ) | |||||||||||
Change in net assets resulting from operations | (302,227 | ) | (38,602 | ) | (1,486,124 | ) | (1,048,370 | ) | |||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Class A | |||||||||||||||||||
From net investment income | — | — | (34,001 | ) | (17,155 | ) | |||||||||||||
From net realized gains | (6,876 | ) | (73,492 | ) | (73,550 | ) | (263,331 | ) | |||||||||||
Class B | |||||||||||||||||||
From net investment income | — | — | (1,402 | ) | — | ||||||||||||||
From net realized gains | (1,071 | ) | (19,720 | ) | (4,622 | ) | (16,458 | ) | |||||||||||
Class C | |||||||||||||||||||
From net investment income | — | — | (4,278 | ) | — | ||||||||||||||
From net realized gains | (441 | ) | (5,686 | ) | (14,373 | ) | (55,482 | ) | |||||||||||
Class R2 (b) | |||||||||||||||||||
From net investment income | — | — | (7 | ) | — | ||||||||||||||
From net realized gains | — | — | (2 | ) | — | ||||||||||||||
Institutional Class | |||||||||||||||||||
From net investment income | — | — | (43,630 | ) | (22,463 | ) | |||||||||||||
From net realized gains | — | — | (49,874 | ) | (169,310 | ) | |||||||||||||
Select Class | |||||||||||||||||||
From net investment income | — | — | (19,010 | ) | (6,750 | ) | |||||||||||||
From net realized gains | (7,330 | ) | (97,118 | ) | (25,899 | ) | (74,470 | ) | |||||||||||
Ultra (c) | |||||||||||||||||||
From net realized gains | (68 | ) | (400 | ) | — | — | |||||||||||||
Total distributions to shareholders | (15,786 | ) | (196,416 | ) | (270,648 | ) | (625,419 | ) | |||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Change in net assets from capital transactions | 500,829 | (126,172 | ) | 109,125 | (1,107,894 | ) | |||||||||||||
NET ASSETS: | |||||||||||||||||||
Change in net assets | 182,816 | (361,190 | ) | (1,647,647 | ) | (2,781,683 | ) | ||||||||||||
Beginning of period | 1,024,435 | 1,385,625 | 5,847,024 | 8,628,707 | |||||||||||||||
End of period | $ | 1,207,251 | $ | 1,024,435 | $ | 4,199,377 | $ | 5,847,024 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (407 | ) | $ | (32 | ) | $ | 1,770 | $ | 24,875 |
(a) | Effective June 27, 2009, Diversified Mid Cap Growth Fund was renamed Mid Cap Growth Fund. |
(b) | Commencement of offering of class of shares effective June 19, 2009 for Mid Cap Growth Fund and November 3, 2008 for Mid Cap Value Fund. |
(c) | Ultra Shares of Mid Cap Growth Fund were liquidated on May 22, 2009. |
FOR THE PERIODS INDICATED (continued)
Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 6/30/2009 | | Year Ended 6/30/2008 | | Year Ended 6/30/2009 | | Year Ended 6/30/2008 | ||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | (4,828 | ) | $ | 41,559 | $ | 7,242 | $ | 7,817 | ||||||||||
Net realized gain (loss) | 7,535 | (95,100 | ) | (81,109 | ) | (3,534 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (12,728 | ) | (41,667 | ) | (18,303 | ) | (75,698 | ) | |||||||||||
Change in net assets resulting from operations | (10,021 | ) | (95,208 | ) | (92,170 | ) | (71,415 | ) | |||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Class A | |||||||||||||||||||
From net investment income | — | (6,015 | ) | (2,024 | ) | (2,316 | ) | ||||||||||||
Return of capital | — | (139 | ) | — | — | ||||||||||||||
From net realized gains | — | — | (717 | ) | (9,329 | ) | |||||||||||||
Class B | |||||||||||||||||||
From net investment income | — | (810 | ) | — | — | ||||||||||||||
Return of capital | — | (19 | ) | — | — | ||||||||||||||
Class C | |||||||||||||||||||
From net investment income | — | (5,194 | ) | (943 | ) | (1,899 | ) | ||||||||||||
Return of capital | — | (120 | ) | — | — | ||||||||||||||
From net realized gains | — | — | (700 | ) | (11,897 | ) | |||||||||||||
Institutional Class | |||||||||||||||||||
From net investment income | — | — | (319 | ) | (363 | ) | |||||||||||||
From net realized gains | — | — | (84 | ) | (1,031 | ) | |||||||||||||
Select Class | |||||||||||||||||||
From net investment income | — | (63,749 | ) | (968 | ) | (558 | ) | ||||||||||||
Return of capital | — | (1,474 | ) | — | — | ||||||||||||||
From net realized gains | — | — | (282 | ) | (1,869 | ) | |||||||||||||
Total distributions to shareholders | — | (77,520 | ) | (6,037 | ) | (29,262 | ) | ||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Change in net assets from capital transactions | (437,858 | ) | (977,522 | ) | 26,571 | (5,939 | ) | ||||||||||||
NET ASSETS: | |||||||||||||||||||
Change in net assets | (447,879 | ) | (1,150,250 | ) | (71,636 | ) | (106,616 | ) | |||||||||||
Beginning of period | 1,118,474 | 2,268,724 | 403,923 | 510,539 | |||||||||||||||
End of period | $ | 670,595 | $ | 1,118,474 | $ | 332,287 | $ | 403,923 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (36 | ) | $ | (1,471 | ) | $ | 3,310 | $ | 2,605 |
Growth Advantage Fund | Mid Cap Equity Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 6/30/2009 | | Year Ended 6/30/2008 | | Year Ended 6/30/2009 | | Year Ended 6/30/2008 | ||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Proceeds from shares issued | $ | 41,995 | $ | 43,459 | $ | — | $ | — | |||||||||||
Cost of shares redeemed | (20,695 | ) | (20,283 | ) | — | — | |||||||||||||
Change in net assets from Class A capital transactions | $ | 21,300 | $ | 23,176 | $ | — | $ | — | |||||||||||
Class B | |||||||||||||||||||
Proceeds from shares issued | $ | 1,247 | $ | 3,770 | $ | — | $ | — | |||||||||||
Cost of shares redeemed | (985 | ) | (709 | ) | — | — | |||||||||||||
Change in net assets from Class B capital transactions | $ | 262 | $ | 3,061 | $ | — | $ | — | |||||||||||
Class C | |||||||||||||||||||
Proceeds from shares issued | $ | 3,597 | $ | 18,074 | $ | — | $ | — | |||||||||||
Cost of shares redeemed | (4,724 | ) | (2,523 | ) | — | — | |||||||||||||
Change in net assets from Class C capital transactions | $ | (1,127 | ) | $ | 15,551 | $ | — | $ | — | ||||||||||
Class R5 (a) | |||||||||||||||||||
Proceeds from shares issued | $ | 41,138 | $ | — | $ | — | $ | — | |||||||||||
Change in net assets from Class R5 capital transactions | $ | 41,138 | $ | — | $ | — | $ | — | |||||||||||
Select Class | |||||||||||||||||||
Proceeds from shares issued | $ | 354,513 | $ | 445,526 | $ | 195,594 | $ | 52,668 | |||||||||||
Dividends and distributions reinvested | — | — | 3,055 | 13,816 | |||||||||||||||
Cost of shares redeemed | (183,582 | ) | (34,821 | ) | (106,881 | ) | (99,334 | ) | |||||||||||
Change in net assets from Select Class capital transactions | $ | 170,931 | $ | 410,705 | $ | 91,768 | $ | (32,850 | ) | ||||||||||
Total change in net assets from capital transactions | $ | 232,504 | $ | 452,493 | $ | 91,768 | $ | (32,850 | ) | ||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Issued | 7,358 | 4,990 | — | — | |||||||||||||||
Redeemed | (3,807 | ) | (2,408 | ) | — | — | |||||||||||||
Change in Class A Shares | 3,551 | 2,582 | — | — | |||||||||||||||
Class B | |||||||||||||||||||
Issued | 217 | 460 | — | — | |||||||||||||||
Redeemed | (183 | ) | (88 | ) | — | — | |||||||||||||
Change in Class B Shares | 34 | 372 | — | — | |||||||||||||||
Class C | |||||||||||||||||||
Issued | 660 | 2,179 | — | — | |||||||||||||||
Redeemed | (863 | ) | (322 | ) | — | — | |||||||||||||
Change in Class C Shares | (203 | ) | 1,857 | — | — | ||||||||||||||
Class R5 (a) | |||||||||||||||||||
Issued | 7,805 | — | — | — | |||||||||||||||
Change in Class R5 Shares | 7,805 | — | — | — | |||||||||||||||
Select Class | |||||||||||||||||||
Issued | 59,900 | 51,638 | 9,225 | 1,698 | |||||||||||||||
Reinvested | — | — | 177 | 451 | |||||||||||||||
Redeemed | (34,292 | ) | (4,115 | ) | (5,704 | ) | (3,029 | ) | |||||||||||
Change in Select Class Shares | 25,608 | 47,523 | 3,698 | (880 | ) |
(a) | Commencement of offering of class of shares effective January 8, 2009 for Growth Advantage Fund. |
FOR THE PERIODS INDICATED (continued)
Mid Cap Growth Fund (a) | Mid Cap Value Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 6/30/2009 | | Year Ended 6/30/2008 | | Year Ended 6/30/2009 | | Year Ended 6/30/2008 | ||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Proceeds from shares issued | $ | 53,625 | $ | 113,532 | $ | 346,853 | $ | 562,042 | |||||||||||
Net assets acquired in Fund reorganization (See Note 9) | 290,993 | — | 81,146 | — | |||||||||||||||
Dividends and distributions reinvested | 6,078 | 66,742 | 99,082 | 255,309 | |||||||||||||||
Cost of shares redeemed | (86,616 | ) | (191,365 | ) | (799,095 | ) | (1,220,196 | ) | |||||||||||
Change in net assets from Class A capital transactions | $ | 264,080 | $ | (11,091 | ) | $ | (272,014 | ) | $ | (402,845 | ) | ||||||||
Class B | |||||||||||||||||||
Proceeds from shares issued | $ | 1,492 | $ | 4,166 | $ | 3,688 | $ | 5,312 | |||||||||||
Net assets acquired in Fund reorganization (See Note 9) | 7,214 | — | 13,609 | — | |||||||||||||||
Dividends and distributions reinvested | 1,014 | 18,946 | 5,159 | 13,830 | |||||||||||||||
Cost of shares redeemed | (27,519 | ) | (54,179 | ) | (29,732 | ) | (47,140 | ) | |||||||||||
Change in net assets from Class B capital transactions | $ | (17,799 | ) | $ | (31,067 | ) | $ | (7,276 | ) | $ | (27,998 | ) | |||||||
Class C | |||||||||||||||||||
Proceeds from shares issued | $ | 1,163 | $ | 2,954 | $ | 29,818 | $ | 32,862 | |||||||||||
Net assets acquired in Fund reorganization (See Note 9) | 12,398 | — | 7,123 | — | |||||||||||||||
Dividends and distributions reinvested | 347 | 4,516 | 13,808 | 38,842 | |||||||||||||||
Cost of shares redeemed | (6,920 | ) | (11,477 | ) | (122,766 | ) | (209,276 | ) | |||||||||||
Change in net assets from Class C capital transactions | $ | 6,988 | $ | (4,007 | ) | $ | (72,017 | ) | $ | (137,572 | ) | ||||||||
Class R2 (b) | |||||||||||||||||||
Proceeds from shares issued | $ | 30 | $ | — | $ | 270 | $ | — | |||||||||||
Net assets acquired in Fund reorganization (See Note 9) | 53 | — | — | — | |||||||||||||||
Dividends and distributions reinvested | — | — | 4 | — | |||||||||||||||
Cost of shares redeemed | — | — | (2 | ) | — | ||||||||||||||
Change in net assets from Class R2 capital transactions | $ | 83 | $ | — | $ | 272 | $ | — | |||||||||||
Institutional Class | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 592,979 | $ | 320,236 | |||||||||||
Dividends and distributions reinvested | — | — | 77,196 | 157,226 | |||||||||||||||
Cost of shares redeemed | — | — | (488,063 | ) | (771,785 | ) | |||||||||||||
Change in net assets from Institutional Class capital transactions | $ | — | $ | — | $ | 182,112 | $ | (294,323 | ) | ||||||||||
Select Class | |||||||||||||||||||
Proceeds from shares issued | $ | 137,158 | $ | 167,436 | $ | 532,900 | $ | 85,545 | |||||||||||
Net assets acquired in Fund reorganization (See Note 9) | 339,484 | — | 57,919 | — | |||||||||||||||
Dividends and distributions reinvested | 1,881 | 20,424 | 20,726 | 36,585 | |||||||||||||||
Cost of shares redeemed | (228,484 | ) | (269,667 | ) | (333,497 | ) | (367,286 | ) | |||||||||||
Change in net assets from Select Class capital transactions | $ | 250,039 | $ | (81,807 | ) | $ | 278,048 | $ | (245,156 | ) | |||||||||
Ultra (c) | |||||||||||||||||||
Proceeds from shares issued | $ | 69 | $ | 2,300 | $ | — | $ | — | |||||||||||
Dividends and distributions reinvested | — | — | (d) | — | — | ||||||||||||||
Cost of shares redeemed | (2,631 | ) | (500 | ) | — | — | |||||||||||||
Change in net assets from Ultra capital transactions | $ | (2,562 | ) | $ | 1,800 | $ | — | $ | — | ||||||||||
Total change in net assets from capital transactions | $ | 500,829 | $ | (126,172 | ) | $ | 109,125 | $ | (1,107,894 | ) |
(a) | Effective June 27, 2009, Diversified Mid Cap Growth Fund was renamed Mid Cap Growth Fund. |
(b) | Commencement of offering of class of shares effective June 19, 2009 for Mid Cap Growth Fund and November 3, 2008 for Mid Cap Value Fund. |
(c) | Ultra Shares of Mid Cap Growth Fund were liquidated on May 22, 2009. |
(d) | Amount rounds to less than $1,000. |
Mid Cap Growth Fund (a) | Mid Cap Value Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 6/30/2009 | | Year Ended 6/30/2008 | | Year Ended 6/30/2009 | | Year Ended 6/30/2008 | ||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Issued | 3,776 | 5,002 | 21,642 | 22,589 | |||||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | 21,346 | — | 5,361 | — | |||||||||||||||
Reinvested | 522 | 3,104 | 6,737 | 10,634 | |||||||||||||||
Redeemed | (6,401 | ) | (8,609 | ) | (50,189 | ) | (49,723 | ) | |||||||||||
Change in Class A Shares | 19,243 | (503 | ) | (16,449 | ) | (16,500 | ) | ||||||||||||
Class B | |||||||||||||||||||
Issued | 137 | 224 | 234 | 224 | |||||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | 667 | — | 920 | — | |||||||||||||||
Reinvested | 110 | 1,092 | 360 | 592 | |||||||||||||||
Redeemed | (2,357 | ) | (3,040 | ) | (1,879 | ) | (1,963 | ) | |||||||||||
Change in Class B Shares | (1,443 | ) | (1,724 | ) | (365 | ) | (1,147 | ) | |||||||||||
Class C | |||||||||||||||||||
Issued | 93 | 139 | 1,964 | 1,398 | |||||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | 1,004 | — | 480 | — | |||||||||||||||
Reinvested | 33 | 229 | 961 | 1,658 | |||||||||||||||
Redeemed | (547 | ) | (554 | ) | (7,744 | ) | (8,754 | ) | |||||||||||
Change in Class C Shares | 583 | (186 | ) | (4,339 | ) | (5,698 | ) | ||||||||||||
Class R2 (b) | |||||||||||||||||||
Issued | 2 | — | 20 | — | |||||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | 4 | — | — | — | |||||||||||||||
Reinvested | — | — | — | (d) | — | ||||||||||||||
Redeemed | — | — | — | (d) | — | ||||||||||||||
Change in Class R2 Shares | 6 | — | 20 | — | |||||||||||||||
Institutional Class | |||||||||||||||||||
Issued | — | — | 37,425 | 12,933 | |||||||||||||||
Reinvested | — | — | 5,165 | 6,416 | |||||||||||||||
Redeemed | — | — | (29,975 | ) | (30,783 | ) | |||||||||||||
Change in Institutional Class Shares | — | — | 12,615 | (11,434 | ) | ||||||||||||||
Select Class | |||||||||||||||||||
Issued | 9,845 | 7,213 | 33,997 | 3,444 | |||||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | 23,389 | — | 3,801 | — | |||||||||||||||
Reinvested | 152 | 897 | 1,397 | 1,507 | |||||||||||||||
Redeemed | (14,913 | ) | (11,596 | ) | (21,788 | ) | (14,684 | ) | |||||||||||
Change in Select Class Shares | 18,473 | (3,486 | ) | 17,407 | (9,733 | ) | |||||||||||||
Ultra (c) | |||||||||||||||||||
Issued | 6 | 101 | — | — | |||||||||||||||
Reinvested | — | — | (d) | — | — | ||||||||||||||
Redeemed | (187 | ) | (25 | ) | — | — | |||||||||||||
Change in Ultra Shares | (181 | ) | 76 | — | — |
(a) | Effective June 27, 2009, Diversified Mid Cap Growth Fund was renamed Mid Cap Growth Fund. |
(b) | Commencement of offering of class of shares effective June 19, 2009 for Mid Cap Growth Fund and November 3, 2008 for Mid Cap Value Fund. |
(c) | Ultra Shares of Mid Cap Growth Fund were liquidated on May 22, 2009. |
(d) | Amount rounds to less than 1,000. |
FOR THE PERIODS INDICATED (continued)
Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 6/30/2009 | | Year Ended 6/30/2008 | | Year Ended 6/30/2009 | | Year Ended 6/30/2008 | ||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Proceeds from shares issued | $ | 40,587 | $ | 29,825 | $ | 60,805 | $ | 62,486 | |||||||||||
Dividends and distributions reinvested | — | 3,854 | 2,351 | 9,217 | |||||||||||||||
Cost of shares redeemed | (49,700 | ) | (145,421 | ) | (61,146 | ) | (80,773 | ) | |||||||||||
Change in net assets from Class A capital transactions | $ | (9,113 | ) | $ | (111,742 | ) | $ | 2,010 | $ | (9,070 | ) | ||||||||
Class B | |||||||||||||||||||
Proceeds from shares issued | $ | 848 | $ | 1,080 | $ | — | $ | — | |||||||||||
Dividends and distributions reinvested | — | 408 | — | — | |||||||||||||||
Cost of shares redeemed | (4,281 | ) | (8,089 | ) | — | — | |||||||||||||
Change in net assets from Class B capital transactions | $ | (3,433 | ) | $ | (6,601 | ) | $ | — | $ | — | |||||||||
Class C | |||||||||||||||||||
Proceeds from shares issued | $ | 5,635 | $ | 10,774 | $ | 14,753 | $ | 47,072 | |||||||||||
Dividends and distributions reinvested | — | 2,563 | 1,307 | 10,498 | |||||||||||||||
Cost of shares redeemed | (33,635 | ) | (96,336 | ) | (51,906 | ) | (74,918 | ) | |||||||||||
Change in net assets from Class C capital transactions | $ | (28,000 | ) | $ | (82,999 | ) | $ | (35,846 | ) | $ | (17,348 | ) | |||||||
Institutional Class | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 59,553 | $ | 9,506 | |||||||||||
Dividends and distributions reinvested | — | — | 280 | 1,353 | |||||||||||||||
Cost of shares redeemed | — | — | (14,626 | ) | (10,904 | ) | |||||||||||||
Change in net assets from Institutional Class capital transactions | $ | — | $ | — | $ | 45,207 | $ | (45 | ) | ||||||||||
Select Class | |||||||||||||||||||
Proceeds from shares issued | $ | 74,496 | $ | 211,302 | $ | 47,916 | $ | 35,339 | |||||||||||
Dividends and distributions reinvested | — | 7,496 | 533 | 1,132 | |||||||||||||||
Cost of shares redeemed | (471,808 | ) | (994,978 | ) | (33,249 | ) | (15,947 | ) | |||||||||||
Change in net assets from Select Class capital transactions | $ | (397,312 | ) | $ | (776,180 | ) | $ | 15,200 | $ | 20,524 | |||||||||
Total change in net assets from capital transactions | $ | (437,858 | ) | $ | (977,522 | ) | $ | 26,571 | $ | (5,939 | ) |
Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 6/30/2009 | | Year Ended 6/30/2008 | | Year Ended 6/30/2009 | | Year Ended 6/30/2008 | ||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Issued | 4,007 | 2,798 | 5,134 | 3,346 | |||||||||||||||
Reinvested | — | 378 | 216 | 509 | |||||||||||||||
Redeemed | (4,964 | ) | (13,723 | ) | (5,281 | ) | (4,368 | ) | |||||||||||
Change in Class A Shares | (957 | ) | (10,547 | ) | 69 | (513 | ) | ||||||||||||
Class B | |||||||||||||||||||
Issued | 86 | 103 | — | — | |||||||||||||||
Reinvested | — | 40 | — | — | |||||||||||||||
Redeemed | (433 | ) | (777 | ) | — | — | |||||||||||||
Change in Class B Shares | (347 | ) | (634 | ) | — | — | |||||||||||||
Class C | |||||||||||||||||||
Issued | 571 | 1,025 | 1,212 | 2,512 | |||||||||||||||
Reinvested | — | 254 | 120 | 585 | |||||||||||||||
Redeemed | (3,391 | ) | (9,272 | ) | (4,370 | ) | (4,094 | ) | |||||||||||
Change in Class C Shares | (2,820 | ) | (7,993 | ) | (3,038 | ) | (997 | ) | |||||||||||
Institutional Class | |||||||||||||||||||
Issued | — | — | 5,806 | 519 | |||||||||||||||
Reinvested | — | — | 26 | 75 | |||||||||||||||
Redeemed | — | — | (1,146 | ) | (589 | ) | |||||||||||||
Change in Institutional Class Shares | — | — | 4,686 | 5 | |||||||||||||||
Select Class | |||||||||||||||||||
Issued | 7,389 | 19,665 | 4,373 | 1,982 | |||||||||||||||
Reinvested | — | 734 | 49 | 62 | |||||||||||||||
Redeemed | (46,864 | ) | (93,277 | ) | (3,181 | ) | (845 | ) | |||||||||||
Change in Select Class Shares | (39,475 | ) | (72,878 | ) | 1,241 | 1,199 |
FOR THE PERIODS INDICATED
| | Per share operating performance | | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | | ||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | ||||||||||||
Growth Advantage Fund (j) | |||||||||||||||||||
Class A | |||||||||||||||||||
Year Ended June 30, 2009 | $ | 8.14 | $ | (0.03 | )(e) | $ | (2.23 | ) | $ | (2.26 | ) | ||||||||
Year Ended June 30, 2008 | 8.18 | (0.05 | )(e) | 0.01 | (0.04 | ) | |||||||||||||
Year Ended June 30, 2007 | 6.63 | (0.05 | )(e) | 1.60 | 1.55 | ||||||||||||||
January 1, 2006 through June 30, 2006 (g) | 6.35 | (0.01 | )(e) | 0.29 | 0.28 | ||||||||||||||
Year Ended December 31, 2005 | 5.74 | (0.05 | )(e) | 0.66 | 0.61 | ||||||||||||||
Year Ended December 31, 2004 | 4.91 | (0.03 | )(e) | 0.86 | 0.83 | ||||||||||||||
Class B | |||||||||||||||||||
Year Ended June 30, 2009 | 7.67 | (0.06 | )(e) | (2.10 | ) | (2.16 | ) | ||||||||||||
Year Ended June 30, 2008 | 7.76 | (0.09 | )(e) | — | (h) | (0.09 | ) | ||||||||||||
Year Ended June 30, 2007 | 6.33 | (0.10 | )(e) | 1.53 | 1.43 | ||||||||||||||
January 1, 2006 through June 30, 2006 (g) | 6.08 | (0.03 | )(e) | 0.28 | 0.25 | ||||||||||||||
Year Ended December 31, 2005 | 5.54 | (0.09 | ) (e) | 0.63 | 0.54 | ||||||||||||||
Year Ended December 31, 2004 | 4.77 | (0.07 | )(e) | 0.84 | 0.77 | ||||||||||||||
Class C | |||||||||||||||||||
Year Ended June 30, 2009 | 7.68 | (0.06 | )(e) | (2.10 | ) | (2.16 | ) | ||||||||||||
Year Ended June 30, 2008 | 7.76 | (0.09 | )(e) | 0.01 | (0.08 | ) | |||||||||||||
Year Ended June 30, 2007 | 6.34 | (0.11 | )(e) | 1.53 | 1.42 | ||||||||||||||
May 1, 2006 (i) through June 30, 2006 (g) | 6.80 | (0.04 | )(e) | (0.42 | ) | (0.46 | ) | ||||||||||||
Class R5 | |||||||||||||||||||
January 8, 2009 (i) through June 30, 2009 | 5.37 | — | (e)(h) | 0.56 | 0.56 | ||||||||||||||
Select Class | |||||||||||||||||||
Year Ended June 30, 2009 | 8.18 | (0.01 | )(e) | (2.24 | ) | (2.25 | ) | ||||||||||||
Year Ended June 30, 2008 | 8.20 | (0.03 | )(e) | 0.01 | (0.02 | ) | |||||||||||||
Year Ended June 30, 2007 | 6.64 | (0.04 | )(e) | 1.60 | 1.56 | ||||||||||||||
May 1, 2006 (i) through June 30, 2006 (g) | 7.11 | (0.01 | )(e) | (0.46 | ) | (0.47 | ) |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | Includes interest expense of 0.01%. |
(g) | The Fund changed its fiscal year end from December 31 to June 30. |
(h) | Amount rounds to less than $0.01. |
(i) | Commencement of offering of class of shares. |
(j) | Prior to August 17, 2005, the Fund was named Mid Cap Growth Fund. |
| Ratios/Supplemental data | | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets, end of period (000’s) | | Net expenses (d) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earning credits | | Portfolio turnover rate (b) | |||||||||||||||
$5.88 | (27.76 | )% | $ | 71,841 | 1.35 | % | (0.48 | )% | 1.42 | % | 119 | % | |||||||||||||||
8.14 | (0.49 | ) | 70,546 | 1.34 | (0.58 | ) | 1.47 | 118 | |||||||||||||||||||
8.18 | 23.38 | 49,782 | 1.36 | (f) | (0.71 | ) | 1.66 | 159 | |||||||||||||||||||
6.63 | 4.41 | 71,538 | 1.35 | (0.37 | ) | 1.90 | 81 | ||||||||||||||||||||
6.35 | 10.63 | 54,737 | 1.35 | (0.81 | ) | 1.75 | 140 | ||||||||||||||||||||
5.74 | 16.90 | 54,000 | 1.35 | (0.61 | ) | 1.79 | 118 | ||||||||||||||||||||
5.51 | (28.16 | ) | 3,304 | 1.87 | (1.02 | ) | 1.92 | 119 | |||||||||||||||||||
7.67 | (1.16 | ) | 4,340 | 1.91 | (1.16 | ) | 1.94 | 118 | |||||||||||||||||||
7.76 | 22.59 | 1,501 | 2.06 | (f) | (1.43 | ) | 2.17 | 159 | |||||||||||||||||||
6.33 | 4.11 | 1,230 | 2.05 | (1.02 | ) | 2.40 | 81 | ||||||||||||||||||||
6.08 | 9.75 | 1,359 | 2.05 | (1.51 | ) | 2.24 | 140 | ||||||||||||||||||||
5.54 | 16.14 | 3,000 | 2.05 | (1.31 | ) | 2.29 | 118 | ||||||||||||||||||||
5.52 | (28.13 | ) | 9,300 | 1.87 | (1.02 | ) | 1.91 | 119 | |||||||||||||||||||
7.68 | (1.03 | ) | 14,499 | 1.88 | (1.16 | ) | 1.89 | 118 | |||||||||||||||||||
7.76 | 22.40 | 251 | 2.07 | (f) | (1.49 | ) | 2.18 | 159 | |||||||||||||||||||
6.34 | (6.76 | ) | 14 | 2.05 | (1.32 | ) | 2.37 | 81 | |||||||||||||||||||
5.93 | 10.43 | 46,312 | 0.90 | (0.08 | ) | 1.06 | 119 | ||||||||||||||||||||
5.93 | (27.51 | ) | 441,345 | 1.10 | (0.24 | ) | 1.17 | 119 | |||||||||||||||||||
8.18 | (0.24 | ) | 399,777 | 1.09 | (0.41 | ) | 1.12 | 118 | |||||||||||||||||||
8.20 | 23.49 | 10,985 | 1.11 | (f) | (0.50 | ) | 1.45 | 159 | |||||||||||||||||||
6.64 | (6.61 | ) | 14 | 1.10 | (0.37 | ) | 1.61 | 81 |
FOR THE PERIODS INDICATED (continued)
| | | Per share operating performance | | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | | Distributions | | ||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gain | | Total distributions | ||||||||||||||||||
Mid Cap Equity Fund | |||||||||||||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||||||
Year Ended June 30, 2009 | $ | 28.63 | $ | 0.18 | $ | (8.37 | ) | $ | (8.19 | ) | $ | (0.17 | ) | $ | (1.30 | ) | $ | (1.47 | ) | ||||||||||||
Year Ended June 30, 2008 | 37.93 | 0.11 | (2.80 | ) | (2.69 | ) | (0.11 | ) | (6.50 | ) | (6.61 | ) | |||||||||||||||||||
Year Ended June 30, 2007 | 34.51 | 0.12 | 6.13 | 6.25 | (0.10 | ) | (2.73 | ) | (2.83 | ) | |||||||||||||||||||||
January 1, 2006 through June 30, 2006 (e) | 32.87 | 0.14 | (f) | 1.64 | 1.78 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||||
Year Ended December 31, 2005 | 33.30 | 0.10 | (f) | 3.09 | 3.19 | (0.09 | ) | (3.53 | ) | (3.62 | ) | ||||||||||||||||||||
Year Ended December 31, 2004 | 31.18 | 0.14 | 5.85 | 5.99 | (0.14 | ) | (3.73 | ) | (3.87 | ) |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) | The Fund changed its fiscal year end from December 31 to June 30. |
(f) | Calculated based upon average shares outstanding. |
| Ratios/Supplemental data | | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets, end of period (000’s) | | Net expenses (d) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earning credits | | Portfolio turnover rate (b) | |||||||||||||||
$18.97 | (28.02 | )% | $ | 195,785 | 0.90 | % | 0.94 | % | 1.20 | % | 107 | % | |||||||||||||||
28.63 | (8.19 | ) | 189,589 | 0.91 | 0.32 | 1.12 | 79 | ||||||||||||||||||||
37.93 | 18.97 | 284,546 | 0.90 | 0.35 | 1.09 | 82 | |||||||||||||||||||||
34.51 | 5.42 | 298,104 | 0.90 | 0.85 | 1.08 | 41 | |||||||||||||||||||||
32.87 | 9.61 | 268,582 | 0.90 | 0.29 | 1.08 | 99 | |||||||||||||||||||||
33.30 | 19.36 | 227,000 | 0.90 | 0.32 | 1.14 | 102 |
FOR THE PERIODS INDICATED (continued)
| | | Per share operating performance | | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | | Distributions | | ||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net realized gain | ||||||||||||||
Mid Cap Growth Fund (e) | |||||||||||||||||||||||
Class A | |||||||||||||||||||||||
Year Ended June 30, 2009 | $ | 20.46 | $ | (0.07 | )(f) | $ | (6.33 | )(g) | $ | (6.40 | ) | $ | (0.38 | ) | |||||||||
Year Ended June 30, 2008 | 24.89 | (0.17 | )(f) | (0.45 | ) | (0.62 | ) | (3.81 | ) | ||||||||||||||
Year Ended June 30, 2007 | 24.85 | (0.18 | )(f) | 4.41 | 4.23 | (4.19 | ) | ||||||||||||||||
Year Ended June 30, 2006 | 23.99 | (0.10 | ) | 2.97 | 2.87 | (2.01 | ) | ||||||||||||||||
Year Ended June 30, 2005 | 21.84 | (0.20 | ) | 2.35 | 2.15 | — | |||||||||||||||||
Class B | |||||||||||||||||||||||
Year Ended June 30, 2009 | 16.45 | (0.13 | )(f) | (5.09 | )(g) | (5.22 | ) | (0.38 | ) | ||||||||||||||
Year Ended June 30, 2008 | 20.88 | (0.26 | )(f) | (0.36 | ) | (0.62 | ) | (3.81 | ) | ||||||||||||||
Year Ended June 30, 2007 | 21.59 | (0.28 | )(f) | 3.76 | 3.48 | (4.19 | ) | ||||||||||||||||
Year Ended June 30, 2006 | 21.21 | (0.70 | ) | 3.09 | 2.39 | (2.01 | ) | ||||||||||||||||
Year Ended June 30, 2005 | 19.44 | (0.67 | ) | 2.44 | 1.77 | — | |||||||||||||||||
Class C | |||||||||||||||||||||||
Year Ended June 30, 2009 | 18.70 | (0.15 | )(f) | (5.78 | )(g) | (5.93 | ) | (0.38 | ) | ||||||||||||||
Year Ended June 30, 2008 | 23.21 | (0.29 | )(f) | (0.41 | ) | (0.70 | ) | (3.81 | ) | ||||||||||||||
Year Ended June 30, 2007 | 23.57 | (0.31 | )(f) | 4.14 | 3.83 | (4.19 | ) | ||||||||||||||||
Year Ended June 30, 2006 | 22.98 | (0.43 | ) | 3.03 | 2.60 | (2.01 | ) | ||||||||||||||||
Year Ended June 30, 2005 | 21.07 | (0.77 | ) | 2.68 | 1.91 | — | |||||||||||||||||
Class R2 | |||||||||||||||||||||||
June 19, 2009 (i) through June 30, 2009 | 14.56 | — | (f)(j) | — | (j) | — | (j) | — | |||||||||||||||
Select Class | |||||||||||||||||||||||
Year Ended June 30, 2009 | 21.68 | (0.03 | )(f) | (6.70 | )(g) | (6.73 | ) | (0.38 | ) | ||||||||||||||
Year Ended June 30, 2008 | 26.10 | (0.12 | )(f) | (0.49 | ) | (0.61 | ) | (3.81 | ) | ||||||||||||||
Year Ended June 30, 2007 | 25.81 | (0.12 | )(f) | 4.60 | 4.48 | (4.19 | ) | ||||||||||||||||
Year Ended June 30, 2006 | 24.78 | 0.10 | 2.94 | 3.04 | (2.01 | ) | |||||||||||||||||
Year Ended June 30, 2005 | 22.50 | (0.01 | ) | 2.29 | 2.28 | — |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) | Prior to June 27, 2009, the Fund was named Diversified Mid Cap Growth Fund. |
(f) | Calculated based upon average shares outstanding. |
(g) | Affiliates of JPMorgan Chase & Co. reimbursed the Fund for losses incurred from an operational error. There was no impact to the total return and the net realized and unrealized gains (losses) on investments per share. |
(h) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(i) | Commencement of offering of class of shares. |
(j) | Amount rounds to less than $0.01. |
| Ratios/Supplemental data | | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets, end of period (000’s) | | Net expenses (d) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earning credits | | Portfolio turnover rate (b) | |||||||||||||||
$13.68 | (30.97 | )%(g) | $ | 520,201 | 1.24 | % | (0.48 | )% | 1.56 | % | 96 | % | |||||||||||||||
20.46 | (3.22 | ) (h) | 384,225 | 1.24 | (0.75 | ) | 1.39 | 95 | |||||||||||||||||||
24.89 | 18.65 | 480,084 | 1.24 | (0.73 | ) | 1.36 | 119 | ||||||||||||||||||||
24.85 | 12.20 | 451,565 | 1.24 | (0.42 | ) | 1.41 | 112 | ||||||||||||||||||||
23.99 | 9.84 | 436,185 | 1.24 | (0.76 | ) | 1.37 | 119 | ||||||||||||||||||||
10.85 | (31.35 | ) (g) | 29,963 | 1.88 | (1.14 | ) | 2.03 | 96 | |||||||||||||||||||
16.45 | (3.90 | ) (h) | 69,186 | 1.88 | (1.38 | ) | 1.89 | 95 | |||||||||||||||||||
20.88 | 17.93 | 123,779 | 1.86 | (1.35 | ) | 1.86 | 119 | ||||||||||||||||||||
21.59 | 11.51 | 155,268 | 1.89 | (1.07 | ) | 1.91 | 112 | ||||||||||||||||||||
21.21 | 9.10 | 195,917 | 1.96 | (1.48 | ) | 1.98 | 119 | ||||||||||||||||||||
12.39 | (31.38 | ) (g) | 25,624 | 1.88 | (1.13 | ) | 2.04 | 96 | |||||||||||||||||||
18.70 | (3.85 | ) (h) | 27,785 | 1.88 | (1.38 | ) | 1.89 | 95 | |||||||||||||||||||
23.21 | 17.90 | 38,805 | 1.86 | (1.35 | ) | 1.86 | 119 | ||||||||||||||||||||
23.57 | 11.53 | 42,448 | 1.89 | (1.07 | ) | 1.91 | 112 | ||||||||||||||||||||
22.98 | 9.06 | 46,607 | 1.96 | (1.48 | ) | 1.98 | 119 | ||||||||||||||||||||
14.56 | 0.00 | 83 | 1.22 | (0.31 | ) | 1.94 | 96 | ||||||||||||||||||||
14.57 | (30.74 | ) (g) | 631,380 | 0.98 | (0.23 | ) | 1.30 | 96 | |||||||||||||||||||
21.68 | (3.02 | ) (h) | 539,292 | 0.99 | (0.49 | ) | 1.13 | 95 | |||||||||||||||||||
26.10 | 18.95 | 740,208 | 0.99 | (0.48 | ) | 1.11 | 119 | ||||||||||||||||||||
25.81 | 12.51 | 769,574 | 0.99 | (0.19 | ) | 1.16 | 112 | ||||||||||||||||||||
24.78 | 10.13 | 1,040,265 | 0.99 | (0.50 | ) | 1.05 | 119 |
FOR THE PERIODS INDICATED (continued)
| | | Per share operating performance | | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | | Distributions | | ||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gain | | Total distributions | ||||||||||||||||||
Mid Cap Value Fund | |||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||
Year Ended June 30, 2009 | $ | 21.91 | $ | 0.28 | (e) | $ | (5.92 | ) | $ | (5.64 | ) | $ | (0.34 | ) | $ | (0.69 | ) | $ | (1.03 | ) | |||||||||||
Year Ended June 30, 2008 | 27.71 | 0.16 | (3.78 | ) | (3.62 | ) | (0.12 | ) | (2.06 | ) | (2.18 | ) | |||||||||||||||||||
Year Ended June 30, 2007 | 24.73 | 0.17 | 4.21 | 4.38 | (0.25 | ) | (1.15 | ) | (1.40 | ) | |||||||||||||||||||||
January 1, 2006 through June 30, 2006 (f) | 23.28 | 0.14 | 1.31 | 1.45 | — | — | — | ||||||||||||||||||||||||
Year Ended December 31, 2005 | 22.05 | 0.12 | (e) | 1.84 | 1.96 | (0.12 | ) | (0.61 | ) | (0.73 | ) | ||||||||||||||||||||
Year Ended December 31, 2004 | 18.62 | 0.07 | (e) | 3.71 | 3.78 | (0.04 | ) | (0.31 | ) | (0.35 | ) | ||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||
Year Ended June 30, 2009 | 21.39 | 0.20 | (e) | (5.79 | ) | (5.59 | ) | (0.22 | ) | (0.69 | ) | (0.91 | ) | ||||||||||||||||||
Year Ended June 30, 2008 | 27.11 | 0.03 | (3.69 | ) | (3.66 | ) | — | (2.06 | ) | (2.06 | ) | ||||||||||||||||||||
Year Ended June 30, 2007 | 24.21 | 0.05 | 4.12 | 4.17 | (0.12 | ) | (1.15 | ) | (1.27 | ) | |||||||||||||||||||||
January 1, 2006 through June 30, 2006 (f) | 22.86 | 0.08 | 1.27 | 1.35 | — | — | — | ||||||||||||||||||||||||
Year Ended December 31, 2005 | 21.66 | — | (e)(g) | 1.81 | 1.81 | — | (0.61 | ) | (0.61 | ) | |||||||||||||||||||||
Year Ended December 31, 2004 | 18.37 | (0.06 | )(e) | 3.66 | 3.60 | — | (0.31 | ) | (0.31 | ) | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||
Year Ended June 30, 2009 | 21.45 | 0.20 | (e) | (5.80 | ) | (5.60 | ) | (0.22 | ) | (0.69 | ) | (0.91 | ) | ||||||||||||||||||
Year Ended June 30, 2008 | 27.17 | 0.04 | (3.70 | ) | (3.66 | ) | — | (2.06 | ) | (2.06 | ) | ||||||||||||||||||||
Year Ended June 30, 2007 | 24.26 | 0.05 | 4.13 | 4.18 | (0.12 | ) | (1.15 | ) | (1.27 | ) | |||||||||||||||||||||
January 1, 2006 through June 30, 2006 (f) | 22.90 | 0.08 | 1.28 | 1.36 | — | — | — | ||||||||||||||||||||||||
Year Ended December 31, 2005 | 21.70 | — | (e)(g) | 1.81 | 1.81 | — | (g) | (0.61 | ) | (0.61 | ) | ||||||||||||||||||||
Year Ended December 31, 2004 | 18.41 | (0.06 | )(e) | 3.66 | 3.60 | — | (0.31 | ) | (0.31 | ) | |||||||||||||||||||||
Class R2 | |||||||||||||||||||||||||||||||
November 3, 2008 (h) through June 30, 2009 | 16.34 | 0.20 | (e) | �� | (0.30 | ) | (0.10 | ) | (0.49 | ) | (0.69 | ) | (1.18 | ) | |||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||
Year Ended June 30, 2009 | 22.31 | 0.38 | (e) | (6.06 | ) | (5.68 | ) | (0.51 | ) | (0.69 | ) | (1.20 | ) | ||||||||||||||||||
Year Ended June 30, 2008 | 28.17 | 0.31 | (3.85 | ) | (3.54 | ) | (0.26 | ) | (2.06 | ) | (2.32 | ) | |||||||||||||||||||
Year Ended June 30, 2007 | 25.10 | 0.30 | 4.29 | 4.59 | (0.37 | ) | (1.15 | ) | (1.52 | ) | |||||||||||||||||||||
January 1, 2006 through June 30, 2006 (f) | 23.58 | 0.20 | 1.32 | 1.52 | — | — | — | ||||||||||||||||||||||||
Year Ended December 31, 2005 | 22.30 | 0.24 | (e) | 1.86 | 2.10 | (0.21 | ) | (0.61 | ) | (0.82 | ) | ||||||||||||||||||||
Year Ended December 31, 2004 | 18.77 | 0.17 | (e) | 3.77 | 3.94 | (0.10 | ) | (0.31 | ) | (0.41 | ) | ||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||||||
Year Ended June 30, 2009 | 22.14 | 0.34 | (e) | (6.01 | ) | (5.67 | ) | (0.44 | ) | (0.69 | ) | (1.13 | ) | ||||||||||||||||||
Year Ended June 30, 2008 | 27.96 | 0.27 | (3.85 | ) | (3.58 | ) | (0.18 | ) | (2.06 | ) | (2.24 | ) | |||||||||||||||||||
Year Ended June 30, 2007 | 24.93 | 0.27 | 4.22 | 4.49 | (0.31 | ) | (1.15 | ) | (1.46 | ) | |||||||||||||||||||||
January 1, 2006 through June 30, 2006 (f) | 23.44 | 0.17 | 1.32 | 1.49 | — | — | — | ||||||||||||||||||||||||
Year Ended December 31, 2005 | 22.18 | 0.18 | (e) | 1.85 | 2.03 | (0.16 | ) | (0.61 | ) | (0.77 | ) | ||||||||||||||||||||
Year Ended December 31, 2004 | 18.70 | 0.12 | (e) | 3.74 | 3.86 | (0.07 | ) | (0.31 | ) | (0.38 | ) |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | The Fund changed its fiscal year end from December 31 to June 30. |
(g) | Amount rounds to less than $0.01. |
(h) | Commencement of offering of class of shares. |
| Ratios/Supplemental data | | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets, end of period (000’s) | | Net expenses (d) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earning credits | | Portfolio turnover rate (b) | |||||||||||||||
$15.24 | (25.49 | )% | $ | 1,600,044 | 1.25 | % | 1.71 | % | 1.42 | % | 47 | % | |||||||||||||||
21.91 | (13.70 | ) | 2,661,377 | 1.25 | 0.66 | 1.42 | 31 | ||||||||||||||||||||
27.71 | 18.21 | 3,822,632 | 1.25 | 0.71 | 1.35 | 45 | |||||||||||||||||||||
24.73 | 6.23 | 3,001,515 | 1.25 | 1.15 | 1.39 | 20 | |||||||||||||||||||||
23.28 | 8.87 | 2,822,767 | 1.25 | 0.54 | 1.39 | 45 | |||||||||||||||||||||
22.05 | 20.32 | 1,333,000 | 1.25 | 0.34 | 1.60 | 41 | |||||||||||||||||||||
14.89 | (25.89 | ) | 108,114 | 1.75 | 1.21 | 1.92 | 47 | ||||||||||||||||||||
21.39 | (14.14 | ) | 163,091 | 1.75 | 0.15 | 1.92 | 31 | ||||||||||||||||||||
27.11 | 17.65 | 237,745 | 1.75 | 0.20 | 1.85 | 45 | |||||||||||||||||||||
24.21 | 5.91 | 229,998 | 1.75 | 0.64 | 1.89 | 20 | |||||||||||||||||||||
22.86 | 8.36 | 233,396 | 1.77 | (0.01 | ) | 1.89 | 45 | ||||||||||||||||||||
21.66 | 19.60 | 173,000 | 1.90 | (0.32 | ) | 2.10 | 41 | ||||||||||||||||||||
14.94 | (25.88 | ) | 299,956 | 1.75 | 1.20 | 1.92 | 47 | ||||||||||||||||||||
21.45 | (14.11 | ) | 523,722 | 1.75 | 0.14 | 1.92 | 31 | ||||||||||||||||||||
27.17 | 17.64 | 818,261 | 1.75 | 0.20 | 1.85 | 45 | |||||||||||||||||||||
24.26 | 5.94 | 790,689 | 1.75 | 0.64 | 1.89 | 20 | |||||||||||||||||||||
22.90 | 8.34 | 822,366 | 1.76 | 0.01 | 1.89 | 45 | |||||||||||||||||||||
21.70 | 19.56 | 483,000 | 1.90 | (0.31 | ) | 2.10 | 41 | ||||||||||||||||||||
15.06 | (0.24 | ) | 294 | 1.50 | 2.12 | 1.69 | 47 | ||||||||||||||||||||
15.43 | (25.15 | ) | 1,424,004 | 0.75 | 2.26 | 1.02 | 47 | ||||||||||||||||||||
22.31 | (13.25 | ) | 1,777,057 | 0.75 | 1.16 | 1.02 | 31 | ||||||||||||||||||||
28.17 | 18.82 | 2,566,230 | 0.75 | 1.21 | 0.95 | 45 | |||||||||||||||||||||
25.10 | 6.45 | 2,009,351 | 0.75 | 1.65 | 0.99 | 20 | |||||||||||||||||||||
23.58 | 9.42 | 1,915,393 | 0.75 | 1.02 | 0.98 | 45 | |||||||||||||||||||||
22.30 | 20.99 | 1,215,000 | 0.75 | 0.83 | 1.05 | 41 | |||||||||||||||||||||
15.34 | (25.31 | ) | 766,965 | 1.00 | 2.05 | 1.18 | 47 | ||||||||||||||||||||
22.14 | (13.46 | ) | 721,777 | 1.00 | 0.90 | 1.16 | 31 | ||||||||||||||||||||
27.96 | 18.49 | 1,183,839 | 1.00 | 0.95 | 1.10 | 45 | |||||||||||||||||||||
24.93 | 6.36 | 1,255,960 | 1.00 | 1.40 | 1.14 | 20 | |||||||||||||||||||||
23.44 | 9.16 | 1,222,881 | 1.00 | 0.80 | 1.13 | 45 | |||||||||||||||||||||
22.18 | 20.67 | 485,000 | 1.00 | 0.60 | 1.20 | 41 |
FOR THE PERIODS INDICATED (continued)
| | | | Per share operating performance | | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | | Distributions | | ||||||||||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gain | | Return of capital | | Total distributions | | Redemption fees | ||||||||||||||||||||||
Multi-Cap Market Neutral Fund | |||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||
Year Ended June 30, 2009 | $ | 10.23 | $ | (0.08 | )(c) | $ | 0.06 | $ | (0.02 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Year Ended June 30, 2008 | 11.24 | 0.28 | (c) | (0.74 | ) | (0.46 | ) | (0.54 | ) | — | (0.01 | ) | (0.55 | ) | — | ||||||||||||||||||||||||
Year Ended June 30, 2007 | 10.98 | 0.37 | 0.20 | 0.57 | (0.31 | ) | — | — | (0.31 | ) | — | ||||||||||||||||||||||||||||
Year Ended June 30, 2006 | 10.93 | 0.26 | 0.28 | 0.54 | (0.17 | ) | (0.32 | ) | — | (0.49 | ) | — | (d) | ||||||||||||||||||||||||||
Year Ended June 30, 2005 | 10.61 | 0.04 | 0.40 | 0.44 | — | (0.12 | ) | — | (0.12 | ) | — | ||||||||||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||||||||||
Year Ended June 30, 2009 | 10.10 | (0.15 | )(c) | 0.06 | (0.09 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||
Year Ended June 30, 2008 | 11.07 | 0.17 | (c) | (0.70 | ) | (0.53 | ) | (0.43 | ) | — | (0.01 | ) | (0.44 | ) | — | ||||||||||||||||||||||||
Year Ended June 30, 2007 | 10.80 | 0.29 | 0.20 | 0.49 | (0.22 | ) | — | — | (0.22 | ) | — | ||||||||||||||||||||||||||||
Year Ended June 30, 2006 | 10.76 | 0.17 | 0.28 | 0.45 | (0.09 | ) | (0.32 | ) | — | (0.41 | ) | — | (d) | ||||||||||||||||||||||||||
Year Ended June 30, 2005 | 10.53 | (0.02 | ) | 0.37 | 0.35 | — | (0.12 | ) | — | (0.12 | ) | — | |||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||
Year Ended June 30, 2009 | 10.12 | (0.15 | )(c) | 0.05 | (0.10 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||
Year Ended June 30, 2008 | 11.07 | 0.19 | (c) | (0.71 | ) | (0.52 | ) | (0.42 | ) | — | (0.01 | ) | (0.43 | ) | — | ||||||||||||||||||||||||
Year Ended June 30, 2007 | 10.80 | 0.29 | 0.20 | 0.49 | (0.22 | ) | — | — | (0.22 | ) | — | ||||||||||||||||||||||||||||
Year Ended June 30, 2006 | 10.77 | 0.17 | 0.27 | 0.44 | (0.09 | ) | (0.32 | ) | — | (0.41 | ) | — | (d) | ||||||||||||||||||||||||||
Year Ended June 30, 2005 | 10.53 | (0.01 | ) | 0.37 | 0.36 | — | (0.12 | ) | — | (0.12 | ) | — | |||||||||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||||||||||||||
Year Ended June 30, 2009 | 10.27 | (0.05 | )(c) | 0.05 | — | (d) | — | — | — | — | — | ||||||||||||||||||||||||||||
Year Ended June 30, 2008 | 11.31 | 0.30 | (c) | (0.73 | ) | (0.43 | ) | (0.60 | ) | — | (0.01 | ) | (0.61 | ) | — | ||||||||||||||||||||||||
Year Ended June 30, 2007 | 11.04 | 0.36 | 0.25 | 0.61 | (0.34 | ) | — | — | (0.34 | ) | — | ||||||||||||||||||||||||||||
Year Ended June 30, 2006 | 10.99 | 0.24 | 0.32 | 0.56 | (0.19 | ) | (0.32 | ) | — | (0.51 | ) | — | (d) | ||||||||||||||||||||||||||
Year Ended June 30, 2005 | 10.64 | 0.07 | 0.40 | 0.47 | — | (0.12 | ) | — | (0.12 | ) | — |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(c) | Calculated based upon average shares outstanding. |
(d) | Amount rounds to less than $0.01. |
(e) | Commencing June 30, 2009, the Fund will present portfolio turnovers in two ways, one including short sales and the other excluding short sales. For periods prior to June 30, 2009, the Fund’s portfolio turnover calculation excluded short sales. |
| Ratios/Supplemental data | | ||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets | ||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | | Total return (excludes sales charge) (a) | | Net assets, end of period (000’s) | | Net expenses (including dividend expense for securities sold short) (b) | | Net expenses (excluding dividend expense for securities sold short) (b) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits (including dividend expense for securities sold short) | | Expenses without waivers, reimbursements and earnings credits (excluding dividend expense for securities sold short) | | Portfolio turnover rate (excluding short sales) (e) | | Portfolio turnover rate (including short sales) (e) | ||||||||||||||||||||
$10.21 | (0.20 | )% | $ | 67,884 | 2.84 | % | 1.50 | % | (0.79 | )% | 3.29 | % | 1.95 | % | 175 | % | 350 | % | ||||||||||||||||||||
10.23 | (4.00 | ) | 77,838 | 2.52 | 1.51 | 2.62 | 2.94 | 1.93 | 116 | — | ||||||||||||||||||||||||||||
11.24 | 5.27 | 204,059 | 2.69 | 1.50 | 3.32 | 3.10 | 1.91 | 96 | — | |||||||||||||||||||||||||||||
10.98 | 5.14 | 190,855 | 2.60 | 1.50 | 2.38 | 3.02 | 1.92 | 121 | — | |||||||||||||||||||||||||||||
10.93 | 4.23 | 197,816 | 2.39 | 1.50 | 0.58 | 2.75 | 1.86 | 198 | — | |||||||||||||||||||||||||||||
10.01 | (0.89 | ) | 12,766 | 3.59 | 2.25 | (1.55 | ) | 3.79 | 2.45 | 175 | 350 | |||||||||||||||||||||||||||
10.10 | (4.77 | ) | 16,402 | 3.28 | 2.26 | 1.66 | 3.45 | 2.43 | 116 | — | ||||||||||||||||||||||||||||
11.07 | 4.56 | 24,974 | 3.44 | 2.25 | 2.60 | 3.60 | 2.41 | 96 | — | |||||||||||||||||||||||||||||
10.80 | 4.33 | 28,129 | 3.35 | 2.25 | 1.63 | 3.52 | 2.42 | 121 | — | |||||||||||||||||||||||||||||
10.76 | 3.40 | 32,280 | 3.17 | 2.28 | (0.28 | ) | 3.36 | 2.47 | 198 | — | ||||||||||||||||||||||||||||
10.02 | (0.99 | ) | 61,467 | 3.59 | 2.25 | (1.54 | ) | 3.79 | 2.45 | 175 | 350 | |||||||||||||||||||||||||||
10.12 | (4.71 | ) | 90,603 | 3.28 | 2.26 | 1.79 | 3.45 | 2.43 | 116 | — | ||||||||||||||||||||||||||||
11.07 | 4.56 | 187,546 | 3.44 | 2.25 | 2.60 | 3.60 | 2.41 | 96 | — | |||||||||||||||||||||||||||||
10.80 | 4.25 | 200,403 | 3.35 | 2.25 | 1.61 | 3.52 | 2.42 | 121 | — | |||||||||||||||||||||||||||||
10.77 | 3.50 | 243,243 | 3.15 | 2.26 | (0.24 | ) | 3.35 | 2.46 | 198 | — | ||||||||||||||||||||||||||||
10.27 | 0.00 | 528,478 | 2.59 | 1.25 | (0.45 | ) | 3.04 | 1.70 | 175 | 350 | ||||||||||||||||||||||||||||
10.27 | (3.73 | ) | 933,631 | 2.27 | 1.25 | 2.79 | 2.69 | 1.67 | 116 | — | ||||||||||||||||||||||||||||
11.31 | 5.59 | 1,852,145 | 2.44 | 1.25 | 3.55 | 2.85 | 1.66 | 96 | — | |||||||||||||||||||||||||||||
11.04 | 5.36 | 1,457,434 | 2.35 | 1.25 | 2.71 | 2.77 | 1.67 | 121 | — | |||||||||||||||||||||||||||||
10.99 | 4.50 | 991,169 | 2.14 | 1.25 | 0.78 | 2.44 | 1.55 | 198 | — |
FOR THE PERIODS INDICATED (continued)
| | | Per share operating performance | | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | | Distributions | | ||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gain | | Total distributions | ||||||||||||||||||
Value Advantage Fund | |||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||
Year Ended June 30, 2009 | $ | 16.38 | $ | 0.30 | (e) | $ | (4.40 | ) | $ | (4.10 | ) | $ | (0.20 | ) | $ | (0.07 | ) | $ | (0.27 | ) | |||||||||||
Year Ended June 30, 2008 | 20.45 | 0.35 | (3.19 | ) | (2.84 | ) | (0.24 | ) | (0.99 | ) | (1.23 | ) | |||||||||||||||||||
Year Ended June 30, 2007 | 17.17 | 0.26 | (e) | 3.42 | 3.68 | (0.12 | ) | (0.28 | ) | (0.40 | ) | ||||||||||||||||||||
January 1, 2006 through June 30, 2006 (f) | 15.88 | 0.10 | (e) | 1.19 | 1.29 | — | — | — | |||||||||||||||||||||||
February 28, 2005 (g) through December 31, 2005 | 15.00 | 0.13 | (e) | 0.99 | 1.12 | (0.06 | ) | (0.18 | ) | (0.24 | ) | ||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||
Year Ended June 30, 2009 | 16.25 | 0.23 | (e) | (4.34 | ) | (4.11 | ) | (0.10 | ) | (0.07 | ) | (0.17 | ) | ||||||||||||||||||
Year Ended June 30, 2008 | 20.31 | 0.26 | (3.18 | ) | (2.92 | ) | (0.15 | ) | (0.99 | ) | (1.14 | ) | |||||||||||||||||||
Year Ended June 30, 2007 | 17.10 | 0.17 | (e) | 3.38 | 3.55 | (0.06 | ) | (0.28 | ) | (0.34 | ) | ||||||||||||||||||||
January 1, 2006 through June 30, 2006 (f) | 15.85 | 0.05 | (e) | 1.20 | 1.25 | — | — | — | |||||||||||||||||||||||
February 28, 2005 (g) through December 31, 2005 | 15.00 | 0.06 | (e) | 1.00 | 1.06 | (0.03 | ) | (0.18 | ) | (0.21 | ) | ||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||
Year Ended June 30, 2009 | 16.40 | 0.37 | (e) | (4.42 | ) | (4.05 | ) | (0.27 | ) | (0.07 | ) | (0.34 | ) | ||||||||||||||||||
Year Ended June 30, 2008 | 20.47 | 0.44 | (3.19 | ) | (2.75 | ) | (0.33 | ) | (0.99 | ) | (1.32 | ) | |||||||||||||||||||
Year Ended June 30, 2007 | 17.16 | 0.39 | (e) | 3.38 | 3.77 | (0.18 | ) | (0.28 | ) | (0.46 | ) | ||||||||||||||||||||
January 1, 2006 through June 30, 2006 (f) | 15.83 | 0.25 | (e) | 1.08 | 1.33 | — | — | — | |||||||||||||||||||||||
February 28, 2005 (g) through December 31, 2005 | 15.00 | 0.11 | (e) | 0.99 | 1.10 | (0.09 | ) | (0.18 | ) | (0.27 | ) | ||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||||||
Year Ended June 30, 2009 | 16.44 | 0.34 | (e) | (4.42 | ) | (4.08 | ) | (0.25 | ) | (0.07 | ) | (0.32 | ) | ||||||||||||||||||
Year Ended June 30, 2008 | 20.52 | 0.37 | (3.17 | ) | (2.80 | ) | (0.29 | ) | (0.99 | ) | (1.28 | ) | |||||||||||||||||||
Year Ended June 30, 2007 | 17.22 | 0.31 | (e) | 3.43 | 3.74 | (0.16 | ) | (0.28 | ) | (0.44 | ) | ||||||||||||||||||||
January 1, 2006 through June 30, 2006 (f) | 15.91 | 0.12 | (e) | 1.19 | 1.31 | — | — | — | |||||||||||||||||||||||
February 28, 2005 (g) through December 31, 2005 | 15.00 | 0.15 | (e) | 1.01 | 1.16 | (0.07 | ) | (0.18 | ) | (0.25 | ) |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | The Fund changed its fiscal year end from December 31 to June 30. |
(g) | Commencement of operations. |
| Ratios/Supplemental data | | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets, end of period (000’s) | | Net expenses (d) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earning credits | | Portfolio turnover rate (b) | |||||||||||||||
$12.01 | (24.82 | )% | $ | 112,739 | 1.25 | % | 2.45 | % | 1.50 | % | 70 | % | |||||||||||||||
16.38 | (14.42 | ) | 152,696 | 1.25 | 1.87 | 1.43 | 103 | ||||||||||||||||||||
20.45 | 21.58 | 201,151 | 1.25 | 1.36 | 1.41 | 77 | |||||||||||||||||||||
17.17 | 8.12 | 77,691 | 1.25 | 1.16 | 1.67 | 55 | |||||||||||||||||||||
15.88 | 7.46 | 45,163 | 1.25 | 1.02 | 1.82 | 90 | |||||||||||||||||||||
11.97 | (25.19 | ) | 97,723 | 1.75 | 1.86 | 1.99 | 70 | ||||||||||||||||||||
16.25 | (14.86 | ) | 182,093 | 1.75 | 1.36 | 1.93 | 103 | ||||||||||||||||||||
20.31 | 20.93 | 247,794 | 1.75 | 0.87 | 1.91 | 77 | |||||||||||||||||||||
17.10 | 7.89 | 83,777 | 1.75 | 0.64 | 2.17 | 55 | |||||||||||||||||||||
15.85 | 7.03 | 55,875 | 1.75 | 0.47 | 2.39 | 90 | |||||||||||||||||||||
12.01 | (24.41 | ) | 70,825 | 0.75 | 3.11 | 1.15 | 70 | ||||||||||||||||||||
16.40 | (13.97 | ) | 19,872 | 0.75 | 2.37 | 1.03 | 103 | ||||||||||||||||||||
20.47 | 22.16 | 24,710 | 0.75 | 1.97 | 1.00 | 77 | |||||||||||||||||||||
17.16 | 8.40 | 773 | 0.75 | 3.03 | 1.25 | 55 | |||||||||||||||||||||
15.83 | 7.32 | 20 | 0.75 | 0.87 | 3.01 | 90 | |||||||||||||||||||||
12.04 | (24.62 | ) | 51,000 | 1.00 | 2.75 | 1.25 | 70 | ||||||||||||||||||||
16.44 | (14.19 | ) | 49,262 | 1.00 | 2.18 | 1.18 | 103 | ||||||||||||||||||||
20.52 | 21.89 | 36,884 | 1.00 | 1.62 | 1.16 | 77 | |||||||||||||||||||||
17.22 | 8.23 | 5,275 | 1.00 | 1.42 | 1.42 | 55 | |||||||||||||||||||||
15.91 | 7.71 | 3,107 | 1.00 | 1.14 | 1.87 | 90 |
AS OF JUNE 30, 2009
Classes offered | Trust | Diversified/ Non-Diversified | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Growth Advantage Fund | Class A, Class B, Class C, Class R5 and Select Class | JPMMFIT | Diversified | |||||||
Mid Cap Equity Fund | Select Class | JPM I | Diversified | |||||||
Mid Cap Growth Fund | Class A, Class B, Class C, Cass R2 and Select Class | JPM II | Diversified | |||||||
Mid Cap Value Fund | Class A, Class B, Class C, Class R2, Institutional Class and Select Class | JPMFMFG | Diversified | |||||||
Multi-Cap Market Neutral Fund | Class A, Class B, Class C and Select Class | JPM II | Diversified | |||||||
Value Advantage Fund | Class A, Class C, Institutional Class and Select Class | JPM I | Diversified |
• | Level 1 — quoted prices in active markets for identical securities |
• | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
Valuation Inputs# | | Investment in Securities | | Liabilities in Securities Sold Short† | | Other Financial Instruments* | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Growth Advantage Fund | ||||||||||||||
Level 1 — Quoted prices | $ | 667,254 | $ | — | $ | — | ||||||||
Level 2 — Other significant observable inputs | — | — | — | |||||||||||
Level 3 — Significant unobservable inputs | — | — | — | |||||||||||
Total | $ | 667,254 | $ | — | $ | — |
Valuation Inputs# | | Investment in Securities | | Liabilities in Securities Sold Short† | | Other Financial Instruments* | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mid Cap Equity Fund | ||||||||||||||
Level 1 — Quoted prices | $ | 233,641 | $ | — | $ | — | ||||||||
Level 2 — Other significant observable inputs | — | — | — | |||||||||||
Level 3 — Significant unobservable inputs | — | — | — | |||||||||||
Total | $ | 233,641 | $ | — | $ | — |
Valuation Inputs## | | Investment in Securities | | Liabilities in Securities Sold Short† | | Other Financial Instruments* | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mid Cap Growth Fund | ||||||||||||||
Level 1 — Quoted prices | $ | 1,250,245 | $ | — | $ | — | ||||||||
Level 2 — Other significant observable inputs | 24,879 | — | — | |||||||||||
Level 3 — Significant unobservable inputs | — | — | — | |||||||||||
Total | $ | 1,275,124 | $ | — | $ | — |
AS OF JUNE 30, 2009 (continued)
Valuation Inputs## | | Investment in Securities | | Liabilities in Securities Sold Short† | | Other Financial Instruments* | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mid Cap Value Fund | ||||||||||||||
Level 1 — Quoted prices | $ | 4,422,177 | $ | — | $ | — | ||||||||
Level 2 — Other significant observable inputs | 16,118 | — | — | |||||||||||
Level 3 — Significant unobservable inputs | — | — | — | |||||||||||
Total | $ | 4,438,295 | $ | — | $ | — |
Valuation Inputs# | | Investment in Securities | | Liabilities in Securities Sold Short† | | Other Financial Instruments* | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Multi-Cap Market Neutral Fund | ||||||||||||||
Level 1 — Quoted prices | $ | 668,072 | $ | (579,299 | ) | $ | — | |||||||
Level 2 — Other significant observable inputs | — | — | — | |||||||||||
Level 3 — Significant unobservable inputs | — | — | — | |||||||||||
Total | $ | 668,072 | $ | (579,299 | ) | $ | — |
Valuation Inputs# | | Investment in Securities | | Liabilities in Securities Sold Short† | | Other Financial Instruments* | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Value Advantage Fund | ||||||||||||||
Level 1 — Quoted prices | $ | 331,030 | $ | — | $ | — | ||||||||
Level 2 — O ther significant observable inputs | — | — | — | |||||||||||
Level 3 — Significant unobservable inputs | — | — | — | |||||||||||
Total | $ | 331,030 | $ | — | $ | — |
# | All portfolio holdings designated as Level 1 are disclosed individually in the Schedule of Portfolio Investments (SOI). Please refer to the SOI for industry specifics of the portfolio holdings. |
## | Portfolio holdings designated Level 1 and Level 2 are disclosed individually in the Schedules of Portfolio Investments (SOI). Level 2 consists of certificates of deposits and corporate notes that are held as investments of cash collateral for securities on loan. Please refer to each SOI for industry specifics of the portfolio holdings. |
† | Liabilities in securities sold short may include written options. |
* | Other financial instruments may include futures, forwards and swap contracts. |
of the Funds, served as lending agent for the Growth Advantage Fund and Mid Cap Equity Fund. JPMCB serves as lending agent for Mid Cap Growth Fund and Mid Cap Value Fund. Securities loans are collateralized by cash, which is invested in approved instruments (“collateral investments”), in accordance with investment guidelines. Upon termination of the loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.
| ||||||
---|---|---|---|---|---|---|
Growth Advantage Fund | $ | 399 | ||||
Mid Cap Equity Fund | 74 | |||||
Mid Cap Growth Fund | 107 | |||||
Mid Cap Value Fund | 1,664 |
| Value of Loaned Securities | | Cash Collateral Posted by Borrower | | Unrealized Loss on Cash Collateral Investments | | Total Value of Collateral Investments | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Growth Advantage Fund | $ | 97,255 | $ | 99,987 | $ | — | $ | 99,987 | ||||||||||
Mid Cap Equity Fund | 34,505 | 35,428 | — | 35,428 | ||||||||||||||
Mid Cap Growth Fund | 50,956 | 53,003 | (621 | ) | 52,382 | |||||||||||||
Mid Cap Value Fund | 223,118 | 230,183 | (381 | ) | 229,802 |
| ||||||
---|---|---|---|---|---|---|
Growth Advantage Fund | $ | 23 | ||||
Mid Cap Equity Fund | 5 | |||||
Mid Cap Growth Fund | 7 | |||||
Mid Cap Value Fund | 123 |
AS OF JUNE 30, 2009 (continued)
entitled to fees, in accordance with the lending agreement, equal to 0.06%, and 0.1142%, based upon the value of collateral received from borrowers for each loan of U.S. securities and non-U.S. securities, respectively. JPMCB had voluntarily reduced its fees for the period March 1, 2008 to September 1, 2008 to 0.03% and 0.09% for each loan of U.S. and non-U.S. securities, respectively.
| Lending Agent Fees Paid | |||||
---|---|---|---|---|---|---|
Growth Advantage Fund | $ | 2 | ||||
Mid Cap Equity Fund | 1 | |||||
Mid Cap Growth Fund | 14 | |||||
Mid Cap Value Fund | 82 |
| Paid-in-capital | | Accumulated Undistributed/ (Overdistributed) Net Investment Income | | Accumulated Net Realized Gain (Loss) on Investments | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Growth Advantage Fund | $ | (199,326 | ) | $ | 1,216 | $ | 198,110 | |||||||
Mid Cap Equity Fund | 74 | (18 | ) | (56 | ) | |||||||||
Mid Cap Growth Fund | 184,286 | 2,164 | (186,450 | ) | ||||||||||
Mid Cap Value Fund | 42,407 | (25 | ) | (42,382 | ) | |||||||||
Multi-Cap Market Neutral Fund | (5,092 | ) | 6,263 | (1,171 | ) | |||||||||
Value Advantage Fund | — (a) | (2,283 | ) | 2,283 |
(a) | Amount rounds to less than $1.000. |
| ||||||
---|---|---|---|---|---|---|
Growth Advantage Fund | 0.65 | % | ||||
Mid Cap Equity Fund | 0.65 | |||||
Mid Cap Growth Fund | 0.65 | |||||
Mid Cap Value Fund | 0.65 | |||||
Multi-Cap Market Neutral Fund | 1.25 | |||||
Value Advantage Fund | 0.65 |
| ||||||
---|---|---|---|---|---|---|
Growth Advantage Fund | $ | 24 | ||||
Mid Cap Equity Fund | 13 | |||||
Mid Cap Growth Fund | 24 | |||||
Mid Cap Value Fund | 223 | |||||
Multi-Cap Market Neutral Fund | 157 | |||||
Value Advantage Fund | 26 |
AS OF JUNE 30, 2009 (continued)
| Class A | | Class B | | Class C | | Class R2 | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Growth Advantage Fund | 0.25 | % | 0.75 | % | 0.75 | % | n/a | |||||||||||
Mid Cap Growth Fund | 0.25 | 0.75 | 0.75 | 0.50 | % | |||||||||||||
Mid Cap Value Fund | 0.25 | 0.75 | 0.75 | 0.50 | ||||||||||||||
Multi-Cap Market Neutral Fund | 0.25 | 0.75 | 0.75 | n/a | ||||||||||||||
Value Advantage Fund | 0.25 | n/a | 0.75 | n/a |
| Front-End Sales Charge | | CDSC | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Growth Advantage Fund | $ | 21 | $ | 11 | ||||||
Mid Cap Growth Fund | 8 | 42 | ||||||||
Mid Cap Value Fund | 38 | 201 | ||||||||
Multi-Cap Market Neutral Fund | 6 | 30 | ||||||||
Value Advantage Fund | 18 | 8 |
| Class A | | Class B | | Class C | | Class R2 | | Class R5 | | Institutional Class | | Select Class | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Growth Advantage Fund | 0.25 | % | 0.25 | % | 0.25 | % | n/a | 0.05 | % | n/a | 0.25 | % | ||||||||||||||||||
Mid Cap Equity Fund | n/a | n/a | n/a | n/a | n/a | n/a | 0.25 | |||||||||||||||||||||||
Mid Cap Growth Fund | 0.25 | 0.25 | 0.25 | 0.25 | % | n/a | n/a | 0.25 | ||||||||||||||||||||||
Mid Cap Value Fund | 0.25 | 0.25 | 0.25 | 0.25 | n/a | 0.10 | % | 0.25 | ||||||||||||||||||||||
Multi-Cap Market Neutral Fund | 0.25 | 0.25 | 0.25 | n/a | n/a | n/a | 0.25 | |||||||||||||||||||||||
Value Advantage Fund | 0.25 | n/a | 0.25 | n/a | n/a | 0.10 | 0.25 |
| Class A | | Class B | | Class C | | Class R2 | | Class R5 | | Institutional Class | | Select Class | | Ultra | | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Growth Advantage Fund | 1.35 | % | 2.05 | % | 2.05 | % | n/a | 0.90 | % | n/a | 1.10 | % | n/a | |||||||||||||||||||||||||
Mid Cap Equity Fund | n/a | n/a | n/a | n/a | n/a | n/a | 1.00 | n/a | ||||||||||||||||||||||||||||||
Mid Cap Growth Fund | 1.24 | 1.77 | 1.77 | 1.40 | % | n/a | n/a | 0.93 | 0.89 | %* | ||||||||||||||||||||||||||||
Mid Cap Value Fund | 1.24 | 1.75 | 1.75 | 1.50 | n/a | 0.75 | % | 0.99 | n/a | |||||||||||||||||||||||||||||
Multi-Cap Market Neutral Fund | 1.75 | 2.50 | 2.50 | n/a | n/a | n/a | 1.50 | n/a | ||||||||||||||||||||||||||||||
Value Advantage Fund | 1.25 | n/a | 1.75 | n/a | n/a | 0.75 | 1.00 | n/a |
* | Ultra Shares of the Mid Cap Growth Fund were liquidated on May 22, 2009. |
| | | Class B | | Class C | | Select Class | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mid Cap Growth Fund | 1.77 | % | 1.77 | % | 0.93 | % |
| Class A | | Class B | | Class C | | Select Class | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mid Cap Value Fund | 1.24 | % | 1.75 | % | 1.75 | % | 0.99 | % |
Contractual Waivers | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Investment Advisory | | Administration | | Shareholder Serving | | Total | | Contractual Reimbursements | |||||||||||||
Growth Advantage Fund | $ | 191 | $ | — | $ | 114 | $ | 305 | $ | — | ||||||||||||
Mid Cap Equity Fund | 48 | 14 | 302 | 364 | — | |||||||||||||||||
Mid Cap Growth Fund | 586 | 390 | 891 | 1,867 | 37 | |||||||||||||||||
Mid Cap Value Fund | 4,550 | 2,040 | 1,341 | 7,931 | 12 | |||||||||||||||||
Multi-Cap Market Neutral Fund | — | — | 1,469 | 1,469 | 12 | |||||||||||||||||
Value Advantage Fund | 557 | 228 | 29 | 814 | — |
Voluntary Waivers | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Investment Advisory | | Administration | | Shareholder Serving | | Total | ||||||||||||
Growth Advantage Fund | $ | 5 | $ | — | — | $ | 5 | ||||||||||||
Mid Cap Equity Fund | — | 67 | 94 | 161 | |||||||||||||||
Mid Cap Growth Fund | 2 | 31 | — | 33 | |||||||||||||||
Mid Cap Value Fund | 499 | 231 | — | 730 | |||||||||||||||
Multi-Cap Market Neutral Fund | 1,246 | 395 | 370 | 2,011 |
AS OF JUNE 30, 2009 (continued)
| Purchases (excluding U.S. Government) | | Sales (excluding U.S. Government | | Securities Sold Short | | Covers on Securities Sold Short | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Growth Advantage Fund | $ | 711,059 | $ | 491,805 | $ | — | $ | — | ||||||||||
Mid Cap Equity Fund | 266,157 | 183,848 | — | — | ||||||||||||||
Mid Cap Growth Fund | 652,257 | 814,579 | — | — | ||||||||||||||
Mid Cap Value Fund | 1,976,353 | 2,231,859 | — | — | ||||||||||||||
Multi-Cap Market Neutral Fund | 1,271,689 | 1,422,672 | �� | 1,126,449 | 1,274,876 | |||||||||||||
Value Advantage Fund | 249,050 | 215,258 | — | — |
| Aggregate Cost | | Gross Unrealized Appreciation | | Gross Unrealized Depreciation | | Net Unrealized Appreciation (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Growth Advantage Fund | $ | 667,161 | $ | 29,973 | $ | 29,880 | $ | 93 | ||||||||||
Mid Cap Equity Fund | 248,959 | 7,060 | 22,378 | (15,318 | ) | |||||||||||||
Mid Cap Growth Fund | 1,313,016 | 99,564 | 137,456 | (37,892 | ) | |||||||||||||
Mid Cap Value Fund | 5,186,349 | 264,421 | 1,012,475 | (748,054 | ) | |||||||||||||
Multi-Cap Market Neutral Fund | 664,052 | 50,693 | 46,673 | 4,020 | ||||||||||||||
Value Advantage Fund | 405,924 | 12,382 | 87,276 | (74,894 | ) |
Total Distributions Paid From: | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Net Long Term Capital Gains | | | Total Distributions Paid | ||||||||||||
Mid Cap Equity Fund | $ | 1,590 | $ | 10,014 | $ | 11,604 | ||||||||||||
Mid Cap Growth Fund | — | 15,786 | 15,786 | |||||||||||||||
Mid Cap Value Fund | 102,330 | 168,318 | 270,648 | |||||||||||||||
Value Advantage Fund | 4,240 | 1,797 | 6,037 |
Total Distributions Paid From: | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Net Long Term Capital Gains | | Return of Capital | | Total Distributions Paid | |||||||||||
Mid Cap Equity Fund | $ | 11,265 | $ | 30,748 | $ | — | $ | 42,013 | ||||||||||
Mid Cap Growth Fund | 58,753 | 137,663 | — | 196,416 | ||||||||||||||
Mid Cap Value Fund | 71,846 | 553,573 | — | 625,419 | ||||||||||||||
Multi-Cap Market Neutral Fund | 75,768 | — | 1,752 | 77,520 | ||||||||||||||
Value Advantage Fund | 23,349 | 5,913 | — | 29,262 |
| Current Distributable Ordinary Income | | Current Distributable Long Term Capital Gain or (Tax Basis Capital Loss Carryover) | | Unrealized Appreciation (Depreciation) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Growth Advantage Fund | $ | — | $ | (101,278 | ) | $ | 93 | |||||||
Mid Cap Equity Fund | 345 | (5,149 | ) | (15,318 | ) | |||||||||
Mid Cap Growth Fund | — | (86,511 | ) | (37,892 | ) | |||||||||
Mid Cap Value Fund | 1,947 | (47,014 | ) | (748,054 | ) | |||||||||
Multi-Cap Market Neutral Fund | — | (100,932 | ) | 83,159 | ||||||||||
Value Advantage Fund | 4,581 | (14,924 | ) | (74,894 | ) |
| 2010 | | 2011 | | 2015 | | 2016 | | 2017 | | Total | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Growth Advantage | $ | 28,364 | $ | 2,527 | $ | — | $ | — | $ | 70,387 | $ | 101,278 | ||||||||||||||
Mid Cap Equity Fund | — | — | — | — | 5,149 | 5,149 | ||||||||||||||||||||
Mid Cap Growth Fund (a) | — | — | — | — | 86,511 | 86,511 | ||||||||||||||||||||
Mid Cap Value Fund (b) | — | — | — | — | 47,014 | 47,014 | ||||||||||||||||||||
Multi-Cap Market Neutral Fund | — | — | 3,897 | 97,035 | — | 100,932 | ||||||||||||||||||||
Value Advantage Fund | — | — | — | — | 14,924 | 14,924 |
(a) | Includes approximately $47,301,000 of losses acquired from JPMorgan Capital Growth. A portion of the capital loss carryforward may be limited in future years under the Internal Revenue Code Sections 381–384. |
(b) | Includes approximately $5,157,000 of losses acquired from JPMorgan Diversified Mid Cap Value. A portion of the capital loss carryforward may be limited in future years under the Internal Revenue Code Sections 381–384. |
| ||||||
---|---|---|---|---|---|---|
Multi-Cap Market Neutral Fund | $ | 40,090 |
| ||||||
---|---|---|---|---|---|---|
Growth Advantage Fund | $ | 197,996 | ||||
Mid Cap Growth Fund | 225 |
| Capital | | Currency | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Growth Advantage Fund | $ | 92,837 | $ | 1 | ||||||
Mid Cap Equity Fund | 33,918 | — | (a) | |||||||
Mid Cap Growth Fund | 209,769 | 2 | ||||||||
Mid Cap Value Fund | 574,148 | — | ||||||||
Multi-Cap Market Neutral Fund | 19,009 | — | ||||||||
Value Advantage Fund | 48,223 | — |
(a) | Amount rounds to less than $1,000. |
AS OF JUNE 30, 2009 (continued)
was granted to JPM II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
| Average Borrowings | | Number of Days Used | Interest Paid | | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mid Cap Equity Fund | $ | 12,123 | 5 | $ 1 |
| J.P. Morgan Investor Funds | | JPMorgan SmartRetirement Funds | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Multi-Cap Market Neutral Fund | 43.2 | % | n/a | |||||||
Value Advantage Fund | n/a | 14.1 | % |
| Shares Outstanding | | Net Assets | | Net Asset Value Per Share | | Net Unrealized Appreciation (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Target Fund | ||||||||||||||||||
Capital Growth Fund | $ | 15,500 | ||||||||||||||||
Class A | 10,926 | 290,993 | 26.6330 | |||||||||||||||
Class B | 307 | 7,214 | 23.4989 | |||||||||||||||
Class C | 538 | 12,398 | 23.0386 | |||||||||||||||
Select Class | 11,808 | 339,484 | 28.7501 | |||||||||||||||
Class R2 | 2 | 53 | 26.6112 | |||||||||||||||
Acquiring Fund | ||||||||||||||||||
Mid Cap Growth Fund | $ | 1,104 | ||||||||||||||||
Class A | 16,679 | 227,388 | 13.6328 | |||||||||||||||
Class B | 2,096 | 22,654 | 10.8089 | |||||||||||||||
Class C | 1,064 | 13,135 | 12.3447 | |||||||||||||||
Select Class | 19,916 | 289,090 | 14.5151 | |||||||||||||||
Class R2 | 2 | 30 | 14.5122 | |||||||||||||||
Post Reorganization | ||||||||||||||||||
Mid Cap Growth Fund | $ | 16,604 | ||||||||||||||||
Class A | 38,025 | 518,381 | 13.6328 | |||||||||||||||
Class B | 2,763 | 29,868 | 10.8089 | |||||||||||||||
Class C | 2,068 | 25,533 | 12.3447 | |||||||||||||||
Select Class | 43,305 | 628,574 | 14.5151 | |||||||||||||||
Class R2 | 6 | 83 | 14.5122 |
AS OF JUNE 30, 2009 (continued)
| Shares Outstanding | | Net Assets | | Net Asset Value Per Share | | Net Unrealized Appreciation (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Target Fund | ||||||||||||||||||
Diversified Mid Cap Value Fund | $ | (24,252 | ) | |||||||||||||||
Class A | 14,037 | 81,146 | 5.7808 | |||||||||||||||
Class B | 2,603 | 13,609 | 5.2288 | |||||||||||||||
Class C | 1,363 | 7,123 | 5.2240 | |||||||||||||||
Select Class | 10,088 | 57,919 | 5.7415 | |||||||||||||||
Acquiring Fund | ||||||||||||||||||
Mid Cap Value Fund | $ | (589,616 | ) | |||||||||||||||
Class A | 99,682 | 1,508,856 | 15.1367 | |||||||||||||||
Class B | 6,351 | 93,975 | 14.7964 | |||||||||||||||
Class C | 19,630 | 291,256 | 14.8376 | |||||||||||||||
Select Class | 46,134 | 702,849 | 15.2351 | |||||||||||||||
Institutional Class | 92,900 | 1,424,196 | 15.3304 | |||||||||||||||
Class R2 | 20 | 292 | 14.9562 | |||||||||||||||
Post Reorganization | ||||||||||||||||||
Mid Cap Value Fund | $ | (713,868 | ) | |||||||||||||||
Class A | 105,043 | 1,590,002 | 15.1367 | |||||||||||||||
Class B | 7,271 | 107,584 | 14.7964 | |||||||||||||||
Class C | 20,110 | 298,379 | 14.8376 | |||||||||||||||
Select Class | 49,935 | 760,768 | 15.2351 | |||||||||||||||
Institutional Class | 92,900 | 1,424,196 | 15.3304 | |||||||||||||||
Class R2 | 20 | 292 | 14.9562 |
New York, New York
August 28, 2009
(Unaudited)
Name (Year of Birth); Positions With the Funds (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees | |||||||||||||||
William J. Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000–2001); Vice President and Treasurer, Ingersoll–Rand Company (manufacturer of industrial equipment) (1972–2000). | 134 | None. | ||||||||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | President and Chief Executive Officer, Gardner, Inc. (wholesale distributor to outdoor power equipment industry) (1979–present). | 134 | Director, Cardinal Health, Inc. (CAH) (1994–present); Director, Greif, Inc. (GEF) (packaging manufacturer) (2007–present). | ||||||||||||
Dr. Matthew Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor, City University of New York (1999–present); President, Adelphi University (New York) (1998–1999). | 134 | Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002–present). | ||||||||||||
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003–2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971–2001). | 134 | None. | ||||||||||||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2000–present); Senior Vice President, W.D. Hoard, Inc. (corporate parent of DCI Marketing, Inc.) (2000–2002); President, DCI Marketing, Inc. (1992–2000). | 134 | Director, Center for Deaf and Hard of Hearing (1990–present). | ||||||||||||
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985–present). | 134 | Trustee, Carleton College (2003–present). | ||||||||||||
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001–2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985–2001). | 134 | Trustee, Stratton Mountain School (2001–present) |
Name (Year of Birth); Positions With the Funds (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees | |||||||||||||||
Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | President, Carleton College (2002–present); President, Kenyon College (1995–2002). | 134 | Trustee, American University in Cairo (1999–present); Trustee, Carleton College (2002–present). | ||||||||||||
Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. | Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003–present); Chairman and Chief Executive Officer, Lumelite Corporation (1985–2002). | 134 | Trustee, Morgan Stanley Funds (164 portfolios) (1992–present). | ||||||||||||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Advisor, Jerome P. Green & Associates, LLC (broker-dealer) (2000–present); Chief Investment Officer, Wabash College (2004–present); self-employed consultant (2000–present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988–1999). | 134 | Trustee, Wabash College (1988–present); Chairman, Indianapolis Symphony Orchestra Foundation (1994–present). | ||||||||||||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968–1998). | 134 | None. | ||||||||||||
Interested Trustees | |||||||||||||||
Frankie D. Hughes** (1952), Trustee of Trust since 2008. | Principal and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993–present). | 134 | None. | ||||||||||||
Leonard M. Spalding, Jr.*** (1935); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989–1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990–1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990–1998). | 134 | Director, Glenview Trust Company, LLC (2001–present); Trustee, St. Catherine College (1998–present); Trustee, Bellarmine University (2000–present); Director, Springfield-Washington County Economic Development Authority (1997–present); Trustee, Catholic Education Foundation (2005–present). |
(1) | Each Trustee serves for an indefinite term, subject to the Trust’s current retirement policy, which is age 75 for all Trustees, except Mr. Reid for whom it is age 78. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes ten registered investment companies (134 funds). |
* | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley, Head of Corporate Responsibility for JPMorgan Chase & Co., has served as a member of the Board of Trustees of Northwestern University since 2005. The Funds’ investment adviser is a wholly-owned subsidiary of JPMorgan Chase & Co. |
** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
*** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | | Principal Occupations During Past 5 Years | ||||
---|---|---|---|---|---|---|
George C.W. Gatch (1962), President (2005) | Managing Director, J.P. Morgan Investment Management Inc.; Director and President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc. since 2005. Mr. Gatch is CEO and President of the J.P. Morgan Funds. Mr. Gatch has been an employee of J.P. Morgan since 1986 and has held positions such as President and CEO of DKB Morgan, a Japanese mutual fund company, which was a joint venture between J.P. Morgan and Dai-Ichi Kangyo Bank, as well as positions in business management, marketing, and sales. | |||||
Robert L. Young (1963), Senior Vice President (2005)* | Director and Vice President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc.; Chief Operating Officer, J.P. Morgan Funds since 2005, and One Group Mutual Funds from 2001 until 2005. Mr. Young was Vice President and Treasurer, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), and Vice President and Treasurer, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to 2005. | |||||
Patricia A. Maleski (1960), Vice President and Chief Administrative Officer (2005), Treasurer and Principal Financial Officer (2008) | Managing Director, JPMorgan Funds Management, Inc.; Head of Funds Administration and Board Liaison, J.P. Morgan Funds. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |||||
Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J & W Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |||||
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |||||
Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for personal trading and compliance testing since 2004; Treasury Services Operating Risk Management and Compliance Executive supporting all JPMorgan Treasury Services business units from July 2000 to 2004. | |||||
Michael J. Tansley (1964), Controller (2008) | Vice President, JPMorgan Funds Management, Inc. since July 2008; prior to joining JPMorgan Chase, Mr. Tansley worked for General Electric, as Global eFinance Leader in GE Money from 2004 through 2008 and Vice President and Controller of GE Asset Management from 1998. | |||||
Elizabeth A. Davin (1964), Assistant Secretary (2008)* | Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |||||
Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |||||
John T. Fitzgerald (1975), Assistant Secretary (2008) | Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Associate, Willkie Farr & Gallagher LLP (law firm) from 2002 to 2005. | |||||
Brian L. Duncan (1965), Assistant Treasurer (2008)* | Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007 and Assistant Vice President of Financial Reporting from 2003–2004. | |||||
Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |||||
Laura S. Melman (1966), Assistant Treasurer (2006) | Vice President, JPMorgan Funds Management, Inc. since August, 2006, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |||||
Francesco Tango (1971), Assistant Treasurer (2007) | Vice President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999. |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
(Unaudited)
| Beginning Account Value, January 1, 2009 | | Ending Account Value, June 30, 2009 | | Expenses Paid January 1, 2009 to June 30, 2009 | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Growth Advantage Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,115.70 | $ | 7.08 | 1.35 | % | ||||||||||
Hypothetical* | 1,000.00 | 1,018.10 | 6.76 | 1.35 | ||||||||||||||
Class B | ||||||||||||||||||
Actual* | 1,000.00 | 1,110.90 | 9.94 | 1.90 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,015.37 | 9.49 | 1.90 | ||||||||||||||
Class C | ||||||||||||||||||
Actual* | 1,000.00 | 1,112.90 | 9.95 | 1.90 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,015.37 | 9.49 | 1.90 | ||||||||||||||
Class R5 | ||||||||||||||||||
Actual** | 1,000.00 | 1,104.30 | 4.49 | 0.90 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,020.33 | 4.51 | 0.90 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,116.80 | 5.77 | 1.10 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,019.34 | 5.51 | 1.10 | ||||||||||||||
Mid Cap Equity Fund | ||||||||||||||||||
Select Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,074.40 | 4.63 | 0.90 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,020.33 | 4.51 | 0.90 |
(Unaudited) (continued)
| Beginning Account Value, January 1, 2009 | | Ending Account Value, June 30, 2009 | | Expenses Paid January 1, 2009 to June 30, 2009 | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mid Cap Growth Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,138.10 | $ | 6.52 | 1.23 | % | ||||||||||
Hypothetical* | 1,000.00 | 1,018.70 | 6.16 | 1.23 | ||||||||||||||
Class B | ||||||||||||||||||
Actual* | 1,000.00 | 1,134.90 | 9.90 | 1.87 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,015.52 | 9.35 | 1.87 | ||||||||||||||
Class C | ||||||||||||||||||
Actual* | 1,000.00 | 1,134.60 | 9.84 | 1.86 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,015.57 | 9.30 | 1.86 | ||||||||||||||
Class R2 | ||||||||||||||||||
Actual*** | 1,000.00 | 1,000.00 | 0.30 | 1.23 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,018.70 | 6.16 | 1.23 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,139.20 | 5.14 | 0.97 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,019.98 | 4.86 | 0.97 | ||||||||||||||
Mid Cap Value Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual* | 1,000.00 | 1,012.10 | 6.24 | 1.25 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||||
Class B | ||||||||||||||||||
Actual* | 1,000.00 | 1,008.80 | 8.72 | 1.75 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,016.12 | 8.75 | 1.75 | ||||||||||||||
Class C | ||||||||||||||||||
Actual* | 1,000.00 | 1,009.90 | 8.72 | 1.75 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,016.12 | 8.75 | 1.75 | ||||||||||||||
Class R2 | ||||||||||||||||||
Actual* | 1,000.00 | 1,011.10 | 7.48 | 1.50 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,017.36 | 7.50 | 1.50 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,013.90 | 3.75 | 0.75 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,013.30 | 4.99 | 1.00 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||||
Multi-Cap Market Neutral Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual* | 1,000.00 | 1,013.90 | 14.18 | 2.84 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,010.71 | 14.16 | 2.84 | ||||||||||||||
Class B | ||||||||||||||||||
Actual* | 1,000.00 | 1,011.10 | 17.90 | 3.59 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,006.99 | 17.86 | 3.59 | ||||||||||||||
Class C | ||||||||||||||||||
Actual* | 1,000.00 | 1,010.10 | 17.89 | 3.59 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,006.99 | 17.86 | 3.59 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,000.10 | 12.84 | 2.59 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,011.95 | 12.92 | 2.59 |
| Beginning Account Value, January 1, 2009 | | Ending Account Value, June 30, 2009 | | Expenses Paid January 1, 2009 to June 30, 2009 | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Value Advantage Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,048.90 | $ | 6.35 | 1.25 | % | ||||||||||
Hypothetical* | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||||
Class C | ||||||||||||||||||
Actual* | 1,000.00 | 1,045.40 | 8.88 | 1.75 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,016.12 | 8.75 | 1.75 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,051.70 | 3.82 | 0.75 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,049.70 | 5.08 | 1.00 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,019.84 | 5.01 | 1.00 |
* | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 to reflect the one-half year period). |
** | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 172/365 to reflect the one-half year period). The Class commenced operations on January 8, 2009. |
*** | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 9/365 to reflect the one-half year period). The Class commenced operations on June 19, 2009. |
(Unaudited)
| Amounts in thousands | |||||
---|---|---|---|---|---|---|
William J. Armstrong | ||||||
In Favor | 93,446,447 | |||||
Withheld | 1,022,313 | |||||
John F. Finn | ||||||
In Favor | 93,441,137 | |||||
Withheld | 1,027,624 | |||||
Dr. Matthew Goldstein | ||||||
In Favor | 93,513,021 | |||||
Withheld | 955,740 | |||||
Robert J. Higgins | ||||||
In Favor | 93,455,716 | |||||
Withheld | 1,013,045 | |||||
Frankie D. Hughes | ||||||
In Favor | 93,502,398 | |||||
Withheld | 966,363 | |||||
Peter C. Marshall | ||||||
In Favor | 93,503,565 | |||||
Withheld | 965,196 | |||||
Marilyn McCoy | ||||||
In Favor | 93,509,493 | |||||
Withheld | 959,268 | |||||
William G. Morton, Jr. | ||||||
In Favor | 93,503,793 | |||||
Withheld | 964,968 | |||||
Robert A. Oden, Jr. | ||||||
In Favor | 93,513,471 | |||||
Withheld | 955,290 | |||||
Fergus Reid, III | ||||||
In Favor | 93,503,219 | |||||
Withheld | 965,542 | |||||
Frederick W. Ruebeck | ||||||
In Favor | 93,445,833 | |||||
Withheld | 1,022,928 | |||||
James J. Schonbachler | ||||||
In Favor | 93,504,517 | |||||
Withheld | 964,244 | |||||
Leonard M. Spalding, Jr. | ||||||
In Favor | 93,502,157 | |||||
Withheld | 941,740 | |||||
Abstained | 24,678 |
| Amounts in thousands | |||||
---|---|---|---|---|---|---|
For | 5,659 | |||||
Against | 13,152 | |||||
Abstain | 147 | |||||
Broker Non Votes | 9,646 |
(Unaudited)
| Dividends Received Deduction | |||||
---|---|---|---|---|---|---|
Mid Cap Equity Fund | 97.40 | % | ||||
Mid Cap Value Fund | 100.00 | |||||
Value Advantage Fund | 99.03 |
| Qualified Dividend Income | |||||
---|---|---|---|---|---|---|
Mid Cap Equity Fund | $ | 1,590 | ||||
Mid Cap Value Fund | 102,328 | |||||
Value Advantage Fund | 4,254 |
| Long-Term Capital Gain Distribution — 15% | |||||
---|---|---|---|---|---|---|
Mid Cap Equity Fund | $ | 10,014 | ||||
Mid Cap Growth Fund | 15,786 | |||||
Mid Cap Value Fund | 168,318 | |||||
Value Advantage Fund | 1,797 |
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© JPMorgan Chase & Co., 2009 All rights reserved. June 2009. | AN-MC-609 |
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ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
| (i) Has at least one audit committee financial expert serving on its audit committee; or |
(ii) Does not have an audit committee financial expert serving on its audit committee.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
The audit committee financial expert is William Armstrong. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional
services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT FEES
2009 – $42,700
| 2008 – $43,800 |
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
| AUDIT-RELATED FEES (On a calendar year basis) |
| 2008 – $18,890,000 |
| 2007 – $15,213,000 |
The audit-related fees consist of aggregate fees billed for assurance and related services by the independent registered public accounting firm to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant (“Service Affiliates”), that were reasonably related to the performance of the annual audit of the Registrant's financial statements.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
| TAX FEES |
| 2009 – $8,120 |
| 2008 – $8,160 |
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended June 30, 2009 and 2008.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
| ALL OTHER FEES |
| 2009 – Not applicable |
2008 – Not applicable
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of
Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
2009 – 0.0%
2008 – 0.0%
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
None.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were $24.8 million in 2008 and $19.9 million in 2007.
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any "affiliated purchaser," as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant's equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR
is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
There were no changes in the Registrant's internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
J.P. Morgan Fleming Mutual Fund Group, Inc.
By: | /s/_______________________________ |
George C.W. Gatch
President and Principal Executive Officer
September 4, 2009
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/_______________________________ |
George C.W. Gatch
President and Principal Executive Officer
September 4, 2009
By: | /s/_______________________________ |
Patricia A. Maleski
Treasurer and Principal Financial Officer
September 4, 2009