AllianzGI Managed Accounts Trust N-CSRS Certified semi-annual shareholder report (management investment company)

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 811-09721

AllianzGI Managed Accounts Trust

(Exact name of registrant as specified in charter)

1633 Broadway, New York, New York 10019

(Address of principal executive offices) (Zip code)

Lawrence G. Altadonna — 1633 Broadway, New York, New York 10019

(Name and address of agent for service)

Registrant’s telephone number, including area code: 212-739-3371

Date of fiscal year end: October 31, 2014

Date of reporting period: April 30, 2014

ITEM1. REPORT TO SHAREHOLDERS

AllianzGI Managed Accounts Trust

Fixed Income SHares: Series C, LD, M, R, TE

Semi-Annual Report

April 30, 2014

Table of Contents

2 – 3	Letter from Chairman of the Board & President
4 – 5	Important Information
6 – 10	Portfolio Insights
11 – 15	Performance & Statistics
16	Benchmark Descriptions
17 – 94	Schedules of Investments
96 – 97	Statements of Assets and Liabilities
98	Statements of Operations
99 – 103	Statements of Changes in Net Assets
104 – 105	Statements of Cash Flows
106 – 110	Financial Highlights
111 – 130	Notes to Financial Statements
131	Special Shareholder Meeting Results/Corporate Changes
132 – 135	Matters Relating to the Trustees’ Consideration of the Investment Advisory Agreement

Letter from Chairman of the Board &

President

Hans W. Kertess

Chairman

Julian Sluyters

President & CEO

Dear Shareholder:

After three years of generally moderate growth, the US economy contracted toward the end of the six-month fiscal reporting period ended April 30, 2014. Against this backdrop, US equities rallied sharply, while the US bond market was volatile and ultimately posted a modest gain.

Six-Months in Review

For the six-month fiscal reporting period ended April 30, 2014:

n Fixed Income SHares: Series C returned 2.07% prior to the deduction of fees.

n Fixed Income SHares: Series LD returned 2.03% since its inception on December 23, 2013, prior to the deduction of fees.

n Fixed Income SHares: Series M returned 2.04% prior to the deduction of fees.

n Fixed Income SHares: Series R returned 1.72% prior to the deduction of fees.

n Fixed Income SHares: Series TE returned 3.25% prior to the deduction of fees.

After several years of positive growth, severe winter weather in parts of the

country appeared to be a headwind for the US economy as the reporting period progressed. Gross domestic product (“GDP”), the value of goods and services produced in the country, the broadest measure of economic activity and the principal indicator of economic performance, expanded at an annual pace of 2.6% during the fourth quarter of 2013. According to the US Commerce Department’s second estimate, GDP contracted at an annual pace of 1.0% during the first quarter of 2014.

The Federal Reserve (the “Fed”) maintained an accommodative monetary policy during the reporting period. However, at its meeting in December 2013, the central bank announced that it would begin tapering its monthly asset purchase program beginning in January 2014. At its meetings in January, March and April 2014, the Fed announced that it would further taper its asset purchases. However, the Fed repeated that it would not raise interest rates in the near future, saying in April that it “likely will be appropriate to maintain the current target range for the federal

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funds rate for a considerable time after the asset purchase program ends, especially if projected inflation continues to run below the Committee’s 2 percent longer-run goal, and provided that longer-term inflation expectations remain well anchored.”

Outlook

The US economy has been resilient and, based on recent data, appears to have overcome the headwinds associated with higher taxes, rising interest rates and

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severe winter weather. We continue to expect US economic growth will be above-trend in 2014 due, in part, to the fact that fiscal policy will be less of a drag than it was last year. While we are prepared for the Fed to start raising benchmark interest rates in 2015, we think policymakers will remain behind the curve on monetary normalization. Several factors support this view, including: the modest pace of the labor recovery, the lack of inflation pressure, the need to support the deleveraging process, the risk of a bond market crash if rates were to normalize too quickly, and constrained fiscal policy and political pressure.

Together with Allianz Global Investors Fund Management LLC, the Portfolios’ investment manager and Pacific Investment Management Company LLC, the Portfolios’ sub-adviser, we thank you for investing with us.

We remain dedicated to serving your investment needs.

Sincerely,

Hans W. Kertess	Julian Sluyters
Chairman of the Board of Trustees	President & Chief Executive Officer

April 30, 2014  | Semi-Annual Report 3

Important Information

AllianzGI Managed Accounts Trust

Fixed Income SHares: Series C, LD, M, R, TE

April 30, 2014 (unaudited)

In an economic environment where interest rates may trend upward, rising rates will negatively impact the performance of most bond funds by likely causing fixed income securities held by a fund to decrease in value. Bond funds and individual bonds with a longer duration (a measure of the expected life of a security) tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations.

Fixed Income SHares: Series C, LD, M, R and TE (the “Portfolios”) may be subject to various risks as described in their prospectuses. The risks associated with one or more Portfolios may include, but are not limited to, the following: derivatives risk, foreign (non-U.S.) investment risk, high yield risk, credit risk and issuer non-diversification risk. The Portfolios may use derivative instruments for hedging purposes or as part of an investment strategy. Use of these instruments may involve certain costs and risks, such as liquidity risk, leverage risk, market risk, credit risk, management risk and the risk that a Portfolio could not close out a position when it would be most advantageous to do so. Portfolios investing in derivatives could lose more than the principal amount invested in these instruments. Investing in non-U.S. securities may entail risk due to non-U.S. economic, political and other developments. This risk may be enhanced when a Portfolio invests in emerging markets. High-yield bonds typically have a lower credit rating than other bonds. Lower rated bonds generally involve a greater risk to principal than higher rated bonds. Concentrating investments in individual sectors may add additional risk and volatility compared to a diversified Portfolio. The credit quality of a particular security or group of securities does not ensure the stability or safety of the overall Portfolio.

Proxy Voting

Allianz Global Investors Fund Management LLC (the “Investment Manager”or “AGIFM”) serves as the Portfolios’ Investment Manager and Pacific Investment Management Company LLC (“PIMCO” or the “Sub-Adviser”) serves as the sub-adviser. The Portfolios’ Investment Manager and Sub-Adviser have adopted written proxy voting policies and procedures (the “Proxy Policy”) as required by Rule 206(4)-6 under the Investment Advisers Act of 1940, as amended. The Proxy Policy has been adopted by the Portfolios as the policies and procedures that the Sub-Adviser will use when voting proxies on behalf of the Portfolios. Copies of the written Proxy Policy and the factors that the Sub-Adviser may consider in determining how to vote proxies for each Portfolio, and information about how each Portfolio voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, are available without charge, upon request, by calling the Portfolios’ shareholder servicing agent at (800) 628-1237, on the Allianz Global Investors Distributors’ website at us.allianzgi.com and on the Securities and Exchange Commission’s (the “SEC”) website at http://www.sec.gov.

Past performance is no guarantee of future results.

Total return is calculated by subtracting the value of an investment in each Portfolio at the beginning of each specified period from its value at the end of the period and dividing the remainder by the value of the investment at the beginning of the period and expressing the result as a percentage. The calculation assumes that all income dividends and capital gain distributions, if any, have been reinvested. Total return does not reflect broker commissions or “wrap fee” charges. Total return for a period of more than one year represents the average

4 Semi-Annual Report |  April 30, 2014

annual total return during the period. Total return for a period of less than one year is not annualized.

An investment in the Portfolios involves risk, including the loss of principal. Total return, distribution yield, net asset value and duration will fluctuate with changes in market conditions. The following data is provided for informational purposes only and is not intended for trading purposes. Net asset value is equal to total assets less total liabilities divided by the number of shares outstanding. The credit quality of a particular security or group of securities does not ensure the stability or safety

of an overall portfolio. The quality ratings of individual issues/issuers are provided to indicate the credit-worthiness of such issues/issues and generally range from AAA, Aaa, or AAA (highest) to D, C, or D (lowest) for S&P, Moody’s, and Fitch, respectively.

This report, including the financial information herein, is transmitted to the shareholders of AllianzGI Managed Accounts Trust for their information. It is not a prospectus, circular or representation intended for use in the purchase of shares of the Portfolios or any other securities mentioned in this report.

April 30, 2014 |  Semi-Annual Report 5

Portfolio Insights

AllianzGI Managed Accounts Trust

Fixed Income SHares: Series C

April 30, 2014 (unaudited)

Symbol:	Primary Investments:	Inception Date:
FXICX	Intermediate maturity fixed income securities.	3/17/00
		Net Assets:
		$3.0 billion
		Portfolio Manager:
		Curtis Mewbourne

Portfolio Commentary, Performance Statistics & Drivers

For the six-months ended April 30, 2014, Series C returned 2.07%, prior to the deduction of fees, modestly outperforming the unmanaged Barclays US Credit Intermediate Index (the “benchmark index”), which returned 2.04% during the reporting period.

An underweighting to US duration contributed to Series C’s performance, as the 10-year US Treasury yield rose during the reporting period. An exposure to high yield corporate bonds was additive given narrowing spreads amid overall robust investor demand and continued low defaults. An allocation to taxable municipal bonds, specifically Build America Bonds, contributed positively to returns as these securities outperformed the broader municipal market. Non-US interest rate exposure, particularly in Spain and Italy, were rewarded as the yields of Spanish and Italian issuers declined during the reporting period. Finally, exposures to certain non-taxable municipal securities, particularly general obligation and revenue bonds, added to results as they outperformed the benchmark index.

US yield curve positioning detracted from returns. Specifically an overweight to the 3-5 year portion of the curve, where rates rose the most, coupled with an underweighting to long end of the curve where 30-year Treasury rates declined, both detracted from performance. An overall underweighting to investment grade corporate bonds negatively impacted performance, as this sector outperformed like-duration Treasuries during the reporting period. An allocation to emerging market external debt, specifically Russian quasi-sovereign external debt, detracted from returns, as geopolitical tensions involving Ukraine negatively impacted Russian debt. An exposure to nominal emerging market local debt, particularly Brazil, detracted from performance as yields rose in the country during the reporting period.

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Portfolio Insights

AllianzGI Managed Accounts Trust

Fixed Income SHares: Series LD

April 30, 2014 (unaudited)

Symbol:	Primary Investments:	Inception Date:
FXIDX	Short-duration fixed income securities.	12/23/13
		Net Assets:
		$8.3 million
		Portfolio Managers:
		Jerome Schneider
		Andrew Wittkop

Portfolio Commentary, Performance Statistics & Drivers

For the period from its inception on December 23, 2013 through April 30, 2014, the reporting period, Series LD returned 2.03%, prior to the deduction of fees, outperforming the unmanaged BofA Merrill Lynch 1-3 Year Treasury Index (the “benchmark index”), which returned 0.27% over the same period.

US yield curve positioning contributed to performance. In particular, an underweight to the 2-3 year portion of the curve was beneficial, as yields rose in that part of the curve. Exposures to high yield and investment grade corporate bonds were beneficial for results, as both sectors outperformed the benchmark index. An allocation to non-agency mortgage-backed securities was additive for performance, as the sector was supported by limited supply and a recovery in the housing market.

A modest exposure to asset-backed securities and a small allocation to Mexican local rates did not meaningfully impact the Portfolio’s performance.

April 30, 2014 |  Semi-Annual Report 7

Portfolio Insights

AllianzGI Managed Accounts Trust

Fixed Income SHares: Series M

April 30, 2014 (unaudited)

Symbol:	Primary Investments:	Inception Date:
FXIMX	Intermediate maturity mortgage-backed securities.	3/17/00
		Net Assets:
		$2.9 billion
		Portfolio Manager:
		Curtis Mewbourne

Portfolio Commentary, Performance Statistics & Drivers

For the six-months ended April 30, 2014, Series M returned 2.04%, prior to the deduction of fees, outperforming the unmanaged Barclays US MBS Fixed-Rate Index (the “benchmark index”), which returned 1.41% during the reporting period.

Series M’s non-US interest rate exposure, particularly in Canada, contributed to performance, as the yields of non-US issuers declined during the reporting period. An allocation to commercial mortgage-backed securities (“CMBS”) positively impacted returns as the sector outperformed like-duration Treasuries and the benchmark index during the period. Exposure to non-agency mortgage-backed securities (“MBS”) was also beneficial, as these securities generally outperformed the benchmark index. Allocations to both investment grade and high yield corporate bonds was additive for results given their outperformance versus the benchmark index. An allocation to taxable municipal bonds, specifically Build America Bonds, was positive for returns as these securities outperformed the broader municipal market. An exposure to nominal emerging market external debt, particularly Venezuela, contributed to performance as yields declined in the country during the reporting period.

An overweighting to US duration detracted from performance as the 10-year US Treasury yield rose during the period. US yield curve positioning also detracted from returns. Specifically an overweight to the 3-5 year portion of the curve, where rates rose the most, coupled with an underweighting to long end of the curve where 30 year Treasury rates declined, both detracted from performance. An overall underweighting to the agency MBS sector detracted from returns, as the sector outperformed like-duration Treasuries during the reporting period. An exposure to nominal emerging market local debt, particularly Brazil, detracted from performance as yields rose in the country during the reporting period.

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Portfolio Insights

AllianzGI Managed Accounts Trust

Fixed Income SHares: Series R

April 30, 2014 (unaudited)

Symbol:	Primary Investments:	Inception Date:
FXIRX	Inflation-indexed fixed income securities.	4/15/04
		Net Assets:
		$247.1 million
		Portfolio Manager:
		Mihir Worah

Portfolio Commentary, Performance Statistics & Drivers

For the six-months ended April 30, 2014, Series R returned 1.72%, prior to the deduction of fees, outperforming the unmanaged Barclays US TIPS Index (the “benchmark index”), which returned 0.70% during the reporting period.

An overweighting to the short end of the US real duration curve was positive for performance as short-term breakeven inflation levels widened during the reporting period. Exposure to real rates in Italy contributed to performance as yields on Italian inflation-linked bonds fell during the period. Exposure to non-agency mortgage-backed securities (“MBS”) was also beneficial, as these securities generally produced positive returns. Series R’s allocation to financial investment grade corporate bonds contributed to performance as the sector posted strong returns relative to like-duration Treasuries. Overall, currency strategies benefited the portfolio, specifically exposures to the Mexican peso and Brazilian real.

Exposure to US nominal rates was negative for performance. In particular, exposure to the short to intermediate portion of the yield curve detracted as rates rose over the reporting period. In addition, an underweighting to the long end of the curve detracted from results as 30-year Treasuries declined over the reporting period. Short exposure to nominal European interest rates hurt performance as rates fell. An exposure to nominal emerging market local debt, particularly Brazil, detracted from performance as yields rose in the country during the reporting period.

April 30, 2014 |  Semi-Annual Report 9

Portfolio Insights

AllianzGI Managed Accounts Trust

Fixed Income SHares: Series TE

April 30, 2014 (unaudited)

Symbol:	Primary Investments:	Inception Date:
FXIEX	High yield municipal securities	6/26/12
		Net Assets:
		$88.9 million
		Portfolio Managers:
		Joseph Deane
		Julie Callahan

Portfolio Commentary, Performance Statistics & Drivers

For the six-months ended April 30, 2014, Series TE returned 3.25%, prior to the deduction of fees, outperforming the unmanaged Barclays Municipal 1-Year Index (the “benchmark index”), which returned 0.43% during the reporting period.

A focus on revenue bonds, such as transportation, industrial and hospital revenue bonds, drove Series TE’s outperformance verses the benchmark index as these segments outperformed the general municipal market.

An underweighting to the long end of the curve detracted from results as 30-year Treasuries declined over the reporting period. Underweightings to general obligation and special tax-exempt municipal bonds detracted from performance as they both outperformed the benchmark index. Underweights to pre-refunded securities and the lease revenue sector detracted from performance as they both outperformed the general municipal market.

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Performance & Statistics

Fixed Income SHares: Series C

April 30, 2014 (unaudited)

Total Returns (Period ended 4/30/14)	Six Months		1 Year		5 Years		10 Years		Since Inception (3/17/00)
Series C		2.07%		0.04%		13.39%		11.48%		11.52%
Barclays U.S. Credit Intermediate Index		2.04%		0.77%		7.23%		5.10%		6.11%

Change in Value of $10,000 Investments in

Series C and the Barclays U.S. Credit

Intermediate Index

Moody’s Ratings

(as a % of total investments,

before options written and securities sold short)

Past performance is no guarantee of future results. Returns presented do not reflect the deduction of taxes that a shareholder would pay on fund distribution or the redemption of fund shares or the deduction of any fees charged to investors at the “wrap account” level.

Shareholder Expense Example	Actual		Hypothetical (5% return before expenses)
Beginning Account Value (11/1/13)		$1,000.00		$1,000.00
Ending Account Value (4/30/14)		$1,020.70		$1,024.71
Expenses Paid During Period		$0.08		$0.08

Expenses are equal to the annualized expense ratio of 0.0163%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

April 30, 2014 |  Semi-Annual Report 11

Performance & Statistics

Fixed Income SHares: Series LD

April 30, 2014 (unaudited)

Total Returns (Period ended 4/30/14)	Since Inception (12/23/13)
Series LD		2.03%
BofA Merrill Lynch 1-3 Year Treasury Index		0.27%

Change in Value of $10,000 Investments in

Series LD and the BofA Merrill Lynch 1-3 Year Treasury Index

Moody’s Ratings

(as a % of total investments,

before securities sold short)

Past performance is no guarantee of future results. Returns presented do not reflect the deduction of taxes that a shareholder would pay on fund distribution or the redemption of fund shares or the deduction of any fees charged to investors at the “wrap account” level.

Shareholder Expense Example	Actual		Hypothetical (5 % return before expenses)
Beginning Account Value (12/23/13)*		$1,000.00		$1,000.00
Ending Account Value (4/30/14)		$1,020.30		$1,024.75
Expenses Paid During Period		$0.03		$0.04

* Series LD commenced operations on December 23, 2013. The Actual expense example is based on the period since inception; the Hypothetical expense example is based on the period beginning November 1, 2013.

Expenses are equal to the annualized expense ratio of 0.0084%, multiplied by the average account value over the period, multiplied by 129/365 for the Actual expense example and 181/365 for the Hypothetical expense example.

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Performance & Statistics

Fixed Income SHares: Series M

April 30, 2014 (unaudited)

Total Returns (Period ended 4/30/14)	Six Months		1 Year		5 Years		10 Years		Since Inception (3/17/00)
Series M		2.04%		-0.50%		10.99%		6.89%		8.29%
Barclays U.S. MBS Fixed-Rate Index		1.41%		0.57%		3.72%		4.89%		5.58%

Change in Value of $10,000 Investments in

Series M and the Barclays U.S. MBS Fixed-Rate Index

Moody’s Ratings

(as a % of total investments, before options written)

Past performance is no guarantee of future results. Returns presented do not reflect the deduction of taxes that a shareholder would pay on fund distribution or the redemption of fund shares or the deduction of any fees charged to investors at the “wrap account” level.

Shareholder Expense Example	Actual		Hypothetical (5 % return before expenses)
Beginning Account Value (11/1/13)		$1,000.00		$1,000.00
Ending Account Value (4/30/14)		$1,020.40		$1,024.71
Expenses Paid During Period		$0.09		$0.09

Expenses are equal to the annualized expense ratio of 0.0179%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

April 30, 2014 |  Semi-Annual Report 13

Performance & Statistics

Fixed Income SHares: Series R

April 30, 2014 (unaudited)

Total Returns (Period ended 4/30/14)	Six Months		1 Year		5 Years		10 Years		Since Inception (4/15/04)
Series R		1.72%		-5.00%		10.69%		7.90%		7.83%
Barclays U.S. TIPS Index		0.70%		-5.97%		5.58%		5.19%		5.00%

Change in Value of $10,000 Investments

in Series R and the Barclays U.S. TIPS Index

Moody’s Ratings

(as a % of total investments, before options written )

Past performance is no guarantee of future results. Returns presented do not reflect the deduction of taxes that a shareholder would pay on fund distribution or the redemption of fund shares or the deduction of any fees charged to investors at the “wrap account” level.

Shareholder Expense Example	Actual		Hypothetical (5 % return before expenses)
Beginning Account Value (11/1/13)		$1,000.00		$1,000.00
Ending Account Value (4/30/14)		$1,017.20		$1,024.46
Expenses Paid During Period		$0.33		$0.34

Expenses are equal to the annualized expense ratio of 0.0668%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

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Performance & Statistics

Fixed Income SHares: Series TE

April 30, 2014 (unaudited)

Total Returns (Period ended 4/30/14)	Six Months		1 Year		Since Inception (6/26/12)
Series TE		3.25%		-0.74%		1.21%
Barclays Municipal 1-Year Index		0.43%		0.76%		0.77%

Change in Value of $10,000 Investments in Series TE and the Barclays Municipal 1-Year Index

Moody’s Ratings

(as a % of total investments)

Past performance is no guarantee of future results. Returns presented do not reflect the deduction of taxes that a shareholder would pay on fund distribution or the redemption of fund shares or the deduction of any fees charged to investors at the “wrap account” level.

Shareholder Expense Example	Actual		Hypothetical (5 % return before expenses)
Beginning Account Value (11/1/13)		$1,000.00		$1,000.00
Ending Account Value (4/30/14)		$1,032.50		$1,024.79
Expenses Paid During Period		$0.00		$0.00

Expenses are equal to the annualized expense ratio of 0.0%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

April 30, 2014 |  Semi-Annual Report 15

Benchmark Descriptions

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. It is not possible to invest directly in an index.

n Barclays Municipal 1-Year Index

The Barclays Municipal 1-Year Index is the 1 Year (1-2) component of the Municipal Bond Index. The Barclays Municipal Bond Index is a rules-based, market-value-weighted index engineered for the long term tax-exempt bond market. To be included in the Index, bonds must be rated investment-grade (Baa3/BBB- or higher) by at least two of the following ratings agencies: Moody’s, S&P and Fitch. If only two of the three agencies rate the security, the lower rating is used to determine index eligibility. If only one of the three agencies rates a security, the rating must be investment-grade. They must have an outstanding par value of at least $7 million and be issued as part of a transaction of at least $75 million. The bonds must be fixed rate, be dated after December 31, 1990, and must be at least one year from their maturity date. Remarketed issues, taxable municipal bonds, bonds with floating rates, and derivatives, are excluded from the benchmark.

n Barclays U.S. Credit Intermediate Index

The Barclays U.S. Credit Intermediate Index is an unmanaged index of publicly issued U.S. corporate and specified foreign debentures and secured notes with intermediate maturities ranging from 1 to 10 years. Securities must also meet specific liquidity and quality requirements.

n Barclays U.S. MBS Fixed-Rate Index

The Barclays U.S. MBS Fixed Rate Index is an unmanaged index of mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The MBS Index is formed by grouping the universe of over 600,000 individual fixed rate MBS pools into approximately 3,500 generic aggregates.

n Barclays U.S. TIPS Index

The Barclays U.S. TIPS Index is an unmanaged market index comprised of all U.S. Treasury Inflation Protected Securities rated investment grade (Baa3 or better), having at least one year to final maturity, and at least $250 million par amount outstanding. Performance data for this index prior to October 1997 represents returns of the Barclays Inflation Notes Index.

n BofA Merrill Lynch 1-3 Year Treasury Index

The BofA Merrill Lynch 1-3 Year Treasury Index is an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than three years.

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Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited)

Principal Amount (000s)			Value
	Corporate Bonds & Notes – 52.5%
		Airlines – 1.4%
	$355	Delta Air Lines 2010-1 Class A Pass-Through Trust, 6.20%, 1/2/20		$397,167
	387	Delta Air Lines 2010-2 Class A Pass-Through Trust, 4.95%, 11/23/20		421,009
		Northwest Airlines, Inc.,
	1,193	7.041%, 10/1/23		1,395,894
	31,801	7.15%, 4/1/21 (MBIA)		34,981,029
		United Air Lines Pass-Through Trust,
	1,563	9.75%, 7/15/18		1,796,915
	39	10.125%, 3/22/15 (e)		23,587
	1,873	10.40%, 5/1/18		2,133,316
	1,500	United Airlines, Inc., 6.75%, 9/15/15 (a)(d)		1,528,125
				42,677,042
		Auto Manufacturers – 0.3%
	9,100	Volkswagen International Finance NV, 4.00%, 8/12/20 (a)(d)		9,827,481
		Banking – 16.7%
		Ally Financial, Inc.,
	21,075	3.635%, 6/20/14 (j)		21,218,310
	800	4.625%, 6/26/15		832,160
	14,486	7.50%, 9/15/20		17,220,232
	2,659	8.00%, 3/15/20		3,227,361
	100	8.30%, 2/12/15		105,625
	25,200	Banco do Brasil S.A., 4.50%, 1/22/15 (a)(d)		25,924,500
		Banco Santander Brasil S.A.,
	4,250	4.25%, 1/14/16 (a)(d)		4,414,688
	3,500	4.50%, 4/6/15 (a)(d)		3,609,375
	1,000	4.50%, 4/6/15		1,031,250
	11,375	4.625%, 2/13/17 (a)(d)		12,043,281
		Bank of America Corp.,
	500	5.00%, 1/15/15		515,103
	3,800	5.65%, 5/1/18		4,313,756
	4,300	5.75%, 12/1/17		4,869,311
	2,715	6.00%, 9/1/17		3,083,070
	22,700	6.40%, 8/28/17		26,021,305
	66,155	6.875%, 4/25/18		77,997,539
	€1,000	BPE Financiaciones S.A., 2.875%, 5/19/16		1,415,304
	$1,000	CIT Group, Inc., 4.25%, 8/15/17		1,050,000
		Citigroup, Inc.,
	5,827	4.75%, 5/19/15		6,075,988
	311	5.50%, 10/15/14		317,960
	11,718	6.00%, 8/15/17		13,285,927
	13,500	6.125%, 11/21/17		15,441,759
	€10,000	Goldman Sachs Group, Inc.,
		0.636%, 5/23/16 (j)		13,829,348
	$15,200	6.15%, 4/1/18		17,429,369
	5,000	HBOS Capital Funding L.P., 6.071%, 6/30/14 (a)(d)(g)		5,006,250
	25,300	HBOS PLC, 6.75%, 5/21/18 (a)(d)		28,862,999

April 30, 2014 |  Semi-Annual Report 17

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		Banking (continued)
		ICICI Bank Ltd.,
	$5,900	4.75%, 11/25/16 (a)(d)		$6,240,448
	2,500	5.00%, 1/15/16		2,632,308
	700	5.50%, 3/25/15		722,915
		JPMorgan Chase & Co.,
	25,000	0.779%, 4/25/18 (j)		25,005,150
	14,800	6.00%, 1/15/18		16,977,998
		Korea Development Bank,
	7,500	3.875%, 5/4/17		7,985,693
	3,950	4.00%, 9/9/16		4,206,414
	900	Korea Exchange Bank, 4.875%, 1/14/16		955,915
	€2,825	LBG Capital No. 1 PLC, 7.375%, 3/12/20		4,261,609
	£2,331	LBG Capital No. 2 PLC,
		9.00%, 12/15/19		4,138,345
	€2,180	15.00%, 12/21/19		4,625,865
		Lloyds Bank PLC (g),
	$3,604	7.50%, 6/27/24		3,775,190
	29,300	12.00%, 12/16/24 (a)(b)(d)(i)
		(acquisition cost-$29,319,500; purchased 12/15/09-6/18/10)		41,752,500
	€10,000	Morgan Stanley,
		0.702%, 1/16/17 (j)		13,816,140
	$2,800	5.375%, 10/15/15		2,983,618
	5,000	5.55%, 4/27/17		5,584,685
	900	5.95%, 12/28/17		1,026,853
	3,700	6.625%, 4/1/18		4,320,172
	500	QNB Finance Ltd., 3.125%, 11/16/15		516,500
	1,700	RBS Capital Trust I, 2.099%, 6/30/14 (g)		1,666,000
	5,000	Royal Bank of Scotland Group PLC, 7.648%, 9/30/31 (g)		5,525,000
	1,500	RSHB Capital S.A. for OJSC Russian Agricultural Bank, 9.00%, 6/11/14 (a)(d)		1,509,000
		State Bank of India,
	1,300	4.50%, 10/23/14		1,320,526
	1,000	4.50%, 7/27/15 (a)(d)		1,034,432
	582	UBS AG, 5.875%, 12/20/17		666,208
	2,050	Wachovia Corp., 5.75%, 2/1/18		2,355,233
	19,217	Wells Fargo & Co., 7.98%, 3/15/18 (g)		21,907,380
				496,653,867
		Biotechnology – 0.1%
	1,700	Amgen, Inc., 5.70%, 2/1/19		1,978,052
		Computers – 0.1%
	1,800	International Business Machines Corp., 8.375%, 11/1/19		2,357,701
		Diversified Financial Services – 8.8%
	11,000	American Express Co., 7.25%, 5/20/14		11,032,329
	€700	Banque PSA Finance S.A., 3.875%, 1/14/15		987,454
		Bear Stearns Cos. LLC,
	$1,500	5.30%, 10/30/15		1,600,921
	17,265	7.25%, 2/1/18		20,549,097
		Ford Motor Credit Co. LLC,
	500	3.984%, 6/15/16		530,553
	49,300	5.625%, 9/15/15		52,485,815

18 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		Diversified Financial Services (continued)
	$20,750	8.00%, 6/1/14		$20,863,461
	7,900	8.00%, 12/15/16		9,226,679
	22,700	8.125%, 1/15/20		28,898,303
	3,400	8.70%, 10/1/14		3,515,243
	€8,700	GMAC International Finance BV, 7.50%, 4/21/15		12,741,462
	$2,000	HSBC Finance Corp., 0.666%, 6/1/16 (j)		2,000,298
		International Lease Finance Corp. (a)(d),
	4,000	6.75%, 9/1/16		4,470,000
	3,000	7.125%, 9/1/18		3,491,250
	442	Preferred Term Securities XIII Ltd., 0.783%, 3/24/34 (a)(b)(d)(f)(i)(j)
		(acquisition cost-$441,589; purchased 3/9/04)		357,499
		SLM Corp.,
	400	5.375%, 5/15/14		400,585
	1,400	5.50%, 1/15/19		1,487,224
	36,000	6.25%, 1/25/16		38,970,000
	17,700	7.25%, 1/25/22		19,558,500
	1,100	8.00%, 3/25/20		1,274,625
	24,455	8.45%, 6/15/18		28,918,037
				263,359,335
		Electric Utilities – 2.7%
	2,000	Consumers Energy Co., 5.15%, 2/15/17		2,213,502
	5,000	DTE Energy Co., 6.35%, 6/1/16		5,548,380
	14,200	Electricite de France, 6.50%, 1/26/19 (a)(d)		16,919,101
	27,500	Entergy Corp., 3.625%, 9/15/15		28,458,292
		Korea Hydro & Nuclear Power Co., Ltd.,
	300	3.125%, 9/16/15 (a)(d)		308,705
	4,550	6.25%, 6/17/14		4,583,365
	1,000	Majapahit Holding BV, 7.25%, 6/28/17		1,133,750
		Nevada Power Co.,
	100	5.875%, 1/15/15		103,700
	1,600	5.95%, 3/15/16		1,755,368
	3,000	6.50%, 5/15/18		3,534,057
	900	Nisource Finance Corp., 6.40%, 3/15/18		1,037,755
	6,100	NRG Energy, Inc., 7.625%, 1/15/18		6,938,750
	2,900	Public Service Co. of Oklahoma, 6.15%, 8/1/16		3,194,423
	1,900	Sierra Pacific Power Co., 6.00%, 5/15/16		2,099,169
		Teco Finance, Inc.,
	983	6.572%, 11/1/17		1,136,296
	2,000	6.75%, 5/1/15		2,120,698
	41	W3A Funding Corp., 8.09%, 1/2/17		40,635
				81,125,946
		Food & Beverage – 0.2%
	3,500	Anheuser-Busch Cos. LLC, 6.50%, 2/1/43		4,639,765
	1,100	Tate & Lyle International Finance PLC, 6.625%, 6/15/16 (a)(d)		1,224,414
				5,864,179
		Healthcare-Products – 0.1%
	1,700	Hospira, Inc., 6.05%, 3/30/17		1,879,061

April 30, 2014 |  Semi-Annual Report 19

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		Healthcare-Services – 0.1%
	$3,200	HCA, Inc., 7.25%, 9/15/20		$3,460,000
		Holding Companies-Diversified – 0.0%
		Hutchison Whampoa International Ltd.,
	100	5.75%, 9/11/19		114,664
	1,000	7.625%, 4/9/19		1,223,876
				1,338,540
		Insurance – 2.6%
		American International Group, Inc.,
	3,000	4.875%, 6/1/22		3,341,787
	4,600	5.05%, 10/1/15		4,879,399
	2,000	5.45%, 5/18/17		2,238,764
	900	5.60%, 10/18/16		996,919
	30,600	5.85%, 1/16/18		34,954,961
	£1,456	6.765%, 11/15/17		2,823,098
	$21,450	8.25%, 8/15/18		26,845,126
				76,080,054
		Investment Companies – 0.1%
	3,000	Temasek Financial I Ltd., 2.375%, 1/23/23 (a)(d)		2,791,530
		Iron/Steel – 0.6%
	100	CSN Islands XI Corp., 6.875%, 9/21/19 (a)(d)		105,750
	3,750	Gerdau Holdings, Inc., 7.00%, 1/20/20		4,242,188
	800	Gerdau Trade, Inc., 5.75%, 1/30/21 (a)(d)		846,000
	8,944	GTL Trade Finance, Inc., 5.893%, 4/29/24 (a)(b)(d)(i)
		(acquisition cost-$8,423,473; purchased 4/18/11-11/22/11)		9,234,680
		Vale Overseas Ltd.,
	2,590	4.375%, 1/11/22		2,636,876
	1,000	8.25%, 1/17/34		1,247,817
				18,313,311
		Machinery-Construction & Mining – 0.2%
	5,700	Caterpillar Financial Services Corp., 7.15%, 2/15/19		7,022,548
		Media – 2.1%
		Comcast Corp.,
	10,600	5.875%, 2/15/18		12,170,856
	1,700	5.90%, 3/15/16		1,862,177
	700	6.30%, 11/15/17		816,117
		CSC Holdings LLC,
	7,850	7.625%, 7/15/18		9,106,000
	810	7.875%, 2/15/18		941,625
	7,500	8.625%, 2/15/19		8,981,250
		DISH DBS Corp.,
	14,842	5.00%, 3/15/23		15,175,945
	300	5.875%, 7/15/22		324,375
	4,200	7.125%, 2/1/16		4,599,000
	6,940	Time Warner Cable, Inc., 5.85%, 5/1/17		7,867,448
				61,844,793
		Mining – 0.8%
	12,800	Anglo American Capital PLC, 4.125%, 9/27/22 (a)(d)		12,542,016

20 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		Mining (continued)
	$5,000	Gold Fields Orogen Holding BVI Ltd., 4.875%, 10/7/20 (a)(d)		$4,525,000
	7,400	Xstrata Finance Canada Ltd., 5.80%, 11/15/16 (a)(d)		8,149,598
				25,216,614
		Miscellaneous Manufacturing – 2.0%
	36,750	General Electric Co., 5.25%, 12/6/17		41,600,633
	15,000	Tyco Electronics Group S.A., 6.55%, 10/1/17		17,389,005
				58,989,638
		Oil & Gas – 4.9%
	300	Anadarko Petroleum Corp., 5.95%, 9/15/16		334,567
	1,100	BP Capital Markets PLC, 3.625%, 5/8/14		1,100,308
	2,400	Canadian Natural Resources Ltd., 6.00%, 8/15/16		2,670,727
	10,400	Canadian Oil Sands Ltd., 7.75%, 5/15/19 (a)(d)		12,747,082
	1,330	Ecopetrol S.A., 7.625%, 7/23/19		1,605,975
	2,000	Encana Corp., 5.90%, 12/1/17		2,293,020
		Gaz Capital S.A. for Gazprom,
	6,500	6.212%, 11/22/16		6,768,125
	1,300	6.51%, 3/7/22		1,293,500
	14,000	8.146%, 4/11/18 (a)(d)		15,505,000
	23,650	9.25%, 4/23/19		27,256,625
	1,800	Halliburton Co., 6.15%, 9/15/19		2,142,700
	1,000	Novatek Finance Ltd., 5.326%, 2/3/16 (a)(d)		1,000,000
	500	Pemex Project Funding Master Trust, 5.75%, 12/15/15		530,625
		Petrobras International Finance Co.-Pifco,
	300	5.875%, 3/1/18		325,608
	17,500	7.875%, 3/15/19		20,375,863
	12,300	Petroleos de Venezuela S.A., 5.50%, 4/12/37		6,900,300
		Petroleos Mexicanos,
	18,700	5.50%, 1/21/21		20,570,000
	7,500	8.00%, 5/3/19		9,196,875
	2,328	Ras Laffan Liquefied Natural Gas Co., Ltd. II, 5.298%, 9/30/20		2,526,097
		Ras Laffan Liquefied Natural Gas Co., Ltd. III,
	1,400	5.50%, 9/30/14		1,429,120
	1,120	5.832%, 9/30/16 (b)		1,192,800
	3,000	6.75%, 9/30/19		3,570,000
	1,800	Reliance Holdings USA, Inc., 4.50%, 10/19/20 (b)		1,833,394
	3,900	Tullow Oil PLC, 6.00%, 11/1/20 (a)(d)		3,997,500
				147,165,811
		Paper & Forest Products – 0.4%
	9,300	Georgia-Pacific LLC, 5.40%, 11/1/20 (a)(d)		10,601,926
		Pharmaceuticals – 0.1%
	3,400	GlaxoSmithKline Capital, Inc., 5.65%, 5/15/18		3,916,528
		Pipelines – 2.7%
	7,200	AK Transneft OJSC Via TransCapitalInvest Ltd., 8.70%, 8/7/18		8,316,000
	2,900	DCP Midstream LLC, 5.375%, 10/15/15 (a)(b)(d)(i)
		(acquisition cost-$2,875,669; purchased 10/6/05)		3,049,721
		El Paso LLC,
	1,789	7.00%, 6/15/17		2,025,751
	13,900	7.25%, 6/1/18		15,912,150

April 30, 2014 |  Semi-Annual Report 21

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		Pipelines (continued)
	$4,800	Enbridge Energy Partners L.P., 5.875%, 12/15/16		$5,346,235
	2,100	Energy Transfer Partners L.P., 6.125%, 2/15/17		2,346,853
	699	Kern River Funding Corp., 4.893%, 4/30/18 (a)(b)(d)(i)
		(acquisition cost-$699,125; purchased 4/28/03)		751,743
	5,800	Kinder Morgan Energy Partners L.P., 6.00%, 2/1/17		6,487,921
	9,200	Kinder Morgan Finance Co. LLC, 5.70%, 1/5/16		9,822,187
	11,900	Midcontinent Express Pipeline LLC, 5.45%, 9/15/14 (a)(b)(d)(i)
		(acquisition cost-$11,879,413; purchased 9/9/09)		12,029,627
	3,400	NGPL PipeCo LLC, 7.119%, 12/15/17 (a)(d)		3,383,000
	1,700	Northwest Pipeline LLC, 7.00%, 6/15/16		1,907,211
	100	Rockies Express Pipeline LLC, 5.625%, 4/15/20 (a)(d)		100,750
	4,400	Southern Natural Gas Co. LLC, 5.90%, 4/1/17 (a)(b)(d)(i)
		(acquisition cost-$4,392,696; purchased 3/14/07)		4,969,879
	1,950	Tennessee Gas Pipeline Co. LLC, 7.50%, 4/1/17		2,287,888
	1,100	TransCanada PipeLines Ltd., 3.80%, 10/1/20		1,167,462
				79,904,378
		Real Estate – 0.1%
	1,500	Qatari Diar Finance Co., 5.00%, 7/21/20		1,680,000
		Real Estate Investment Trust – 0.2%
	5,000	Weyerhaeuser Co., 7.375%, 10/1/19		6,095,350
		Software – 0.1%
	1,800	Oracle Corp., 5.00%, 7/8/19		2,048,130
		Telecommunications – 4.7%
		America Movil S.A.B. de C.V.,
	42,800	5.00%, 3/30/20		47,773,660
	5,530	6.125%, 3/30/40		6,377,699
		AT&T, Inc.,
	5,000	5.50%, 2/1/18		5,673,860
	1,100	5.80%, 2/15/19		1,277,597
	1,000	Axiata SPV1 Labuan Ltd., 5.375%, 4/28/20		1,097,739
	3,400	Deutsche Telekom International Finance BV, 6.75%, 8/20/18		4,039,469
		Qtel International Finance Ltd.,
	3,000	3.375%, 10/14/16 (a)(d)		3,146,250
	4,500	5.00%, 10/19/25		4,707,900
	7,300	5.00%, 10/19/25 (a)(d)		7,637,260
	1,250	Qwest Corp., 6.50%, 6/1/17		1,414,440
		Verizon Communications, Inc.,
	32,900	3.65%, 9/14/18		35,155,920
	19,700	4.50%, 9/15/20		21,495,714
	715	8.75%, 11/1/18		914,173
				140,711,681
		Tobacco – 0.3%
	1,105	Altria Group, Inc., 9.25%, 8/6/19		1,466,807
	1,400	Philip Morris International, Inc., 5.65%, 5/16/18		1,608,704
	6,030	Reynolds American, Inc., 7.75%, 6/1/18		7,266,771
				10,342,282

22 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		Transportation – 0.1%
	$1,800	Canadian National Railway Co., 5.55%, 3/1/19		$2,082,528
	Total Corporate Bonds & Notes (cost-$1,441,605,416)			1,565,328,306
	Sovereign Debt Obligations – 18.4%
		Australia – 0.2%
	AUD 5,400	Queensland Treasury Corp., 6.00%, 9/14/17, Ser. 17		5,469,284
		Brazil – 1.1%
	BRL 74,460	Brazil Notas do Tesouro Nacional, 10.00%, 1/1/21, Ser. F		29,977,649
	$3,300	Brazilian Development Bank, 6.369%, 6/16/18		3,671,250
				33,648,899
		Canada – 0.4%
	CAD 2,400	Province of Ontario Canada, 6.50%, 3/8/29		2,912,224
	$7,800	Province of Quebec Canada, 3.50%, 7/29/20		8,271,120
				11,183,344
		Colombia – 0.1%
	2,000	Colombia Government International Bond, 7.375%, 1/27/17		2,307,500
		Indonesia – 0.1%
	3,100	Indonesia Government International Bond, 6.875%, 1/17/18		3,541,750
		Italy – 8.0%
	€155,300	Italy Buoni Poliennali Del Tesoro, 4.75%, 6/1/17		238,274,440
		Korea (Republic of) – 0.4%
		Export-Import Bank of Korea,
	$10,900	4.00%, 1/29/21		11,496,623
	250	5.125%, 6/29/20		280,517
				11,777,140
		Qatar – 0.3%
		Qatar Government International Bond (a)(d),
	3,500	4.00%, 1/20/15		3,589,950
	6,400	5.25%, 1/20/20		7,304,320
				10,894,270
		Russia – 0.1%
	1,370	Russian Federation Bond, 7.50%, 3/31/30		1,530,290
		South Africa – 0.0%
	300	South Africa Government International Bond, 6.875%, 5/27/19		348,750
		Spain – 7.7%
	€161,500	Spain Government Bond, 2.10%, 4/30/17		230,825,674
	Total Sovereign Debt Obligations (cost-$542,643,357)			549,801,341
	Municipal Bonds – 9.9%
		Arizona – 0.1%
	$2,000	Univ. of Arizona Rev., 6.423%, 8/1/35, Ser. A		2,217,920
		California – 5.0%
	600	Bay Area Toll Auth. Rev., 6.263%, 4/1/49, Ser. F-2		791,082
	15,000	Infrastructure & Economic Dev. Bank Rev., 6.486%, 5/15/49		18,460,350
		Los Angeles Cnty. Public Works Financing Auth. Rev.,
	6,900	7.488%, 8/1/33		8,598,573
	12,300	7.618%, 8/1/40		16,042,521
	14,000	Los Angeles Community College Dist., GO, 6.75%, 8/1/49		19,549,040

April 30, 2014 |  Semi-Annual Report 23

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		California (continued)
	$3,000	Los Angeles Department of Water & Power Rev., 5.516%, 7/1/27, Ser. C		$3,510,240
	300	Palomar Community College Dist., GO, 7.194%, 8/1/45, Ser. B-1		337,266
	1,000	San Diego Cnty. Water Auth. Rev., 6.138%, 5/1/49		1,288,730
		State, GO,
	800	4.85%, 10/1/14		814,968
	400	6.20%, 10/1/19		480,548
	1,500	6.65%, 3/1/22		1,820,805
	3,150	7.55%, 4/1/39		4,465,251
	18,100	7.60%, 11/1/40		26,041,194
	12,000	7.70%, 11/1/30		14,523,120
	27,250	7.95%, 3/1/36		32,804,912
				149,528,600
		Illinois – 0.4%
	10,100	Chicago Transit Auth. Rev., 6.20%, 12/1/40, Ser. B		11,399,264
		Massachusetts – 0.7%
	17,000	School Building Auth. Rev., 5.468%, 6/15/27		19,468,230
		New York – 2.2%
	5,500	Metropolitan Transportation Auth. Rev., 5.871%, 11/15/39		6,479,055
	3,000	New York City, GO, 4.769%, 10/1/23, Ser. A-2		3,307,320
	3,640	New York City Municipal Water & Sewer System Finance Auth. Rev., 5.79%, 6/15/41		3,904,337
		New York City Transitional Finance Auth. Rev.,
	400	4.325%, 11/1/21		433,916
	800	4.525%, 11/1/22		874,080
	3,000	5.267%, 5/1/27, Ser. G-3		3,466,560
	700	5.572%, 11/1/38		829,556
	200	5.932%, 11/1/36		217,720
	9,200	Port Auth. of New York & New Jersey Rev., 4.458%, 10/1/62, Ser. 174		8,870,272
		State Dormitory Auth. Rev.,
	4,500	5.00%, 3/15/27, Ser. A		5,129,010
	1,600	5.289%, 3/15/33, Ser. H		1,827,568
	2,700	5.389%, 3/15/40, Ser. H		3,157,272
	19,850	5.50%, 3/15/30		23,066,891
	4,000	State Urban Dev. Corp. Rev., 5.77%, 3/15/39		4,731,880
				66,295,437
		Ohio – 0.3%
		American Municipal Power, Inc. Rev.,
	3,600	5.939%, 2/15/47		4,077,612
	4,200	Comb Hydroelectric Projects, 7.834%, 2/15/41, Ser. B		5,812,758
				9,890,370
		Texas – 1.2%
		Conroe Independent School Dist., GO, Ser. A,
	3,115	5.00%, 2/15/27 (GTD-PSF)		3,663,458
	4,520	5.00%, 2/15/29 (GTD-PSF)		5,220,329
	4,400	Dallas Cnty. Hospital Dist., GO, 5.621%, 8/15/44, Ser. C		5,190,636
	18,960	Municipal Gas Acquisition & Supply Corp III Rev., 5.00%, 12/15/25		20,486,659
				34,561,082
	Total Municipal Bonds (cost-$259,897,753)			293,360,903

24 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
	Mortgage-Backed Securities – 3.2%
	$4,324	Banc of America Commercial Mortgage Trust, 5.889%, 7/10/44, CMO (j)		$4,691,322
	133	Banc of America Funding Trust, 2.807%, 1/20/47, CMO (j)		104,275
	823	BCAP LLC Trust, 0.324%, 9/26/35, CMO (a)(d)(j)		812,317
		Bear Stearns Adjustable Rate Mortgage Trust, CMO (j),
	79	2.517%, 10/25/33		80,358
	190	2.533%, 3/25/35		193,531
	61	2.68%, 5/25/34		56,853
	1,086	Bear Stearns ALT-A Trust, 2.46%, 2/25/36, CMO (j)		745,678
		Bear Stearns Commercial Mortgage Securities Trust, CMO,
	1,600	5.54%, 9/11/41		1,733,294
	7,500	5.694%, 6/11/50 (j)		8,387,246
		Citigroup Mortgage Loan Trust, Inc., CMO (j),
	403	2.20%, 9/25/35		403,491
	356	2.29%, 9/25/35		354,099
		Citigroup/Deutsche Bank Commercial Mortgage Trust, CMO,
	8,000	5.302%, 1/15/46 (j)		8,503,104
	4,400	5.322%, 12/11/49		4,815,496
	€173	Cordusio RMBS SRL, 0.453%, 6/30/35, CMO (j)		235,572
		Countrywide Alternative Loan Trust, CMO (j),
	$1,729	0.344%, 11/25/46		1,351,088
	523	0.354%, 5/25/36		423,383
		Countrywide Home Loan Mortgage Pass-Through Trust, CMO (j),
	249	0.474%, 3/25/35		188,546
	51	2.854%, 8/25/34		45,362
	2,600	Credit Suisse Commercial Mortgage Trust, 5.311%, 12/15/39, CMO		2,818,969
	15	Credit Suisse First Boston Mortgage Securities Corp., 2.312%, 7/25/33, CMO (j)		14,706
	5,784	Credit Suisse Mortgage Capital Certificates Mortgage-Backed Trust, 5.678%, 6/15/39, CMO (j)		6,304,441
		Downey Savings & Loan Assoc. Mortgage Loan Trust, CMO (j),
	1,796	0.416%, 8/19/45		1,576,330
	1,057	2.63%, 7/19/44		1,070,213
	2,991	Greenpoint Mortgage Funding Trust, 0.384%, 6/25/45, CMO (j)		2,581,747
	10	Greenpoint Mortgage Pass-Through Certificates, 2.795%, 10/25/33, CMO (j)		10,363
		GSR Mortgage Loan Trust, CMO (j),
	62	1.86%, 3/25/33		61,701
	1,402	2.65%, 9/25/35		1,426,639
	601	2.651%, 9/25/35		609,361
		Harborview Mortgage Loan Trust, CMO (j),
	250	0.346%, 1/19/38		211,310
	425	0.497%, 6/20/35		404,028
	146	2.492%, 5/19/33		148,119
		HomeBanc Mortgage Trust, CMO (j),
	2,511	0.414%, 1/25/36		2,128,552
	295	5.48%, 4/25/37		240,459
		JPMorgan Chase Commercial Mortgage Securities Trust, CMO,
	1,000	5.336%, 5/15/47		1,091,437
	6,600	5.42%, 1/15/49		7,241,629
	2,200	5.44%, 6/12/47		2,407,907

April 30, 2014 |  Semi-Annual Report 25

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)				Value
			JPMorgan Mortgage Trust, CMO (j),
	$81		1.99%, 11/25/33		$81,592
	1,085		2.663%, 7/25/35		1,104,783
	71		3.319%, 2/25/35		70,622
	813		5.219%, 7/25/35		836,248
			Merrill Lynch/Countrywide Commercial Mortgage Trust, CMO,
	1,200		5.172%, 12/12/49		1,298,271
	1,600		5.894%, 8/12/49 (j)		1,787,141
			Morgan Stanley Re-Remic Trust, CMO (a)(d)(j),
	2,976		5.819%, 8/12/45		3,299,227
	1,313		5.819%, 8/15/45		1,455,542
	181		Ocwen Residential MBS Corp., 7.00%, 10/25/40, CMO (a)(d)(f)(j)		359
			RBSSP Resecuritization Trust, CMO (a)(d)(j),
	655		0.434%, 5/26/37		643,226
	5,091		0.654%, 9/26/34		4,724,715
	4,150		0.654%, 3/26/36		4,041,097
	4,267		0.654%, 4/26/37		3,981,543
	1,332		Residential Accredit Loans, Inc., 0.364%, 4/25/46, CMO (j)		659,013
	117		Structured Adjustable Rate Mortgage Loan Trust, 2.445%, 2/25/34, CMO (j)		119,541
	657		Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 5.25%, 9/25/34, CMO		700,027
			Wachovia Bank Commercial Mortgage Trust, CMO,
	95		0.235%, 6/15/20 (a)(d)(j)		93,903
	700		5.416%, 1/15/45 (j)		750,508
	1,300		5.678%, 5/15/46		1,442,743
			WaMu Mortgage Pass-Through Certificates, CMO (j),
	178		0.464%, 1/25/45		176,348
	1,895		0.558%, 11/25/34		1,797,831
	1,039		1.135%, 2/25/46		971,867
	591		Wells Fargo Mortgage-Backed Securities Trust, 2.615%, 3/25/36, CMO (j)		541,139
	Total Mortgage-Backed Securities (cost-$77,771,589)				94,050,212
	U.S. Government Agency Securities – 1.3%
			Fannie Mae,
	2		2.018%, 8/25/18, CMO (j)		1,672
	800		2.112%, 5/1/35, MBS (j)		843,754
	2,460		2.25%, 11/1/35, MBS (j)		2,634,322
	3		3.075%, 2/1/18, MBS (j)		2,796
	2		4.095%, 4/1/17, MBS (j)		1,933
	3,631		4.50%, 3/1/29-11/1/41, MBS		3,901,311
			Freddie Mac, MBS,
	—	*	1.95%, 6/1/30 (j)		388
	6		2.25%, 12/1/18 (j)		5,902
	252		6.50%, 1/1/38-10/1/38		284,977
	9		Ginnie Mae, 1.625%, 1/20/22, MBS (j)		9,304
			Small Business Administration Participation Certificates, ABS,
	2,019		4.77%, 4/1/24		2,150,759
	16,341		5.32%, 1/1/27		17,888,006
	10,786		5.70%, 8/1/26		11,978,909
	Total U.S. Government Agency Securities (cost-$36,538,317)				39,704,033

26 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
	U.S. Treasury Obligations – 0.7%
		U.S. Treasury Notes,
	$8,900	0.25%, 2/28/15		$8,911,997
	12,030	1.50%, 2/28/19		11,952,467
	Total U.S. Treasury Obligations (cost-$20,955,328)			20,864,464
	Asset-Backed Securities – 0.6%
	100	Ameriquest Mortgage Securities Trust, 0.544%, 3/25/36 (j)		83,346
		Bear Stearns Asset-Backed Securities I Trust (j),
	1,776	0.354%, 12/25/36		1,661,067
	1,000	0.564%, 12/25/35		953,047
	490	1.154%, 10/25/37		457,426
	1,234	BNC Mortgage Loan Trust, 0.254%, 5/25/37 (j)		1,178,461
		Conseco Financial Corp.,
	207	6.22%, 3/1/30		221,412
	3,439	6.53%, 2/1/31 (j)		3,468,422
	1,500	First Franklin Mortgage Loan Trust, 0.644%, 9/25/35 (j)		1,365,888
	1,284	First NLC Trust, 0.859%, 12/25/35 (j)		1,213,470
	873	Home Equity Asset Trust, 1.354%, 10/25/33 (j)		810,488
	3	Keystone Owner Trust, 9.00%, 1/25/29 (a)(b)(d)(f)(i)
		(acquisition cost-$1,680; purchased 11/21/00)		1,355
	228	Merrill Lynch Mortgage Investors Trust, 0.274%, 2/25/37 (j)		103,521
	500	Morgan Stanley ABS Capital I, Inc. Trust, 0.584%, 9/25/35 (j)		428,982
	173	Morgan Stanley Mortgage Loan Trust, 0.514%, 4/25/37 (j)		97,430
	1,000	Nomura Home Equity Loan, Inc. Home Equity Loan Trust, 0.744%, 9/25/35 (j)		795,289
	163	Popular ABS Mortgage Pass-Through Trust, 0.244%, 6/25/47 (j)		156,055
	214	Residential Asset Mortgage Products, Inc., 1.804%, 11/25/34 (j)		202,565
	1,000	Structured Asset Investment Loan Trust, 0.844%, 6/25/35 (j)		930,481
		Structured Asset Securities Corp. Mortgage Loan Trust (j),
	1,000	0.494%, 2/25/36		829,118
	1,200	0.604%, 11/25/35		1,027,391
		Wells Fargo Home Equity Asset-Backed Securities Trust (j),
	1,500	0.744%, 11/25/35		1,289,644
	500	0.854%, 10/25/34		439,783
	Total Asset-Backed Securities (cost-$16,443,820)			17,714,641
	Senior Loans – 0.1%
		Technology Hardware, Storage & Peripherals – 0.1%
	3,689	Dell International LLC, 4.50%, 4/29/20, Term B (a)(c) (cost-$3,649,935)		3,679,964
	Short-Term Investments – 12.6%
		U.S. Government Agency Securities (k) – 9.6%
	72,862	Fannie Mae Discount Notes, 0.061%, 9/22/14		72,850,342
		Federal Home Loan Bank Discount Notes,
	41,595	0.058%, 7/30/14		41,591,880
	69,500	0.061%, 7/9/14		69,495,969
	66,147	0.079%, 10/29/14		66,134,586
		Freddie Mac Discount Notes,
	18,300	0.101%, 10/24/14		18,296,413
	19,000	0.112%, 11/19/14		18,994,661
	Total U.S. Government Agency Securities (cost-$287,327,806)			287,363,851

April 30, 2014 |  Semi-Annual Report 27

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		U.S. Treasury Obligations (h) – 1.8%
	$48,982	U.S. Treasury Bills, 0.041%-0.078%, 5/8/14-10/30/14 (k)		$48,975,330
	3,830	U.S. Treasury Notes, 0.125%, 7/31/14		3,830,973
	Total U.S. Treasury Obligations (cost-$52,803,712)			52,806,303
		Certificate of Deposit – 1.2%
	35,400	Intesa Sanpaolo Spa, 1.608%, 4/11/16 (j) (cost-$35,400,000)		35,572,256
		Repurchase Agreements – 0.0%
	1,437	State Street Bank and Trust Co.,
		dated 4/30/14, 0.00%, due 5/1/14,
		proceeds $1,437,000; collateralized by
		Fannie Mae, 2.20%, due 10/17/22,
		valued at $1,469,651 including accrued interest (cost-$1,437,000)		1,437,000
	Total Short-Term Investments (cost-$376,968,518)			377,179,410
	Total Investments, before options written and securities sold short (cost-$2,776,474,033) – 99.3%			2,961,683,274
Notional Amount (000s)
	Options Written (l) – (0.0)%
		Put Options – (0.0)%
		U.S. Dollar versus Japanese Yen, (OTC),
	$237,800	strike price $99.00, expires 5/30/14		(151,241	)
	$110,000	strike price $99.00, expires 6/12/14		(144,980	)
	Total Options Written (premiums received-$2,457,212)			(296,221	)
Principal Amount (000s)
	Securities Sold Short – (1.6)%
		U.S. Government Agency Securities – (1.6)%
	$45,200	Fannie Mae, 4.50%, MBS, TBA, 30 Year (proceeds received-$48,108,281)		(48,517,548	)
	Total Investments, net of options written and securities sold short (cost-$2,725,908,540) – 97.7%			2,912,869,505
	Other assets less other liabilities – 2.3%			69,535,679
	Net Assets – 100.0%			$2,982,405,184

Notes to Schedule of Investments:

* Principal amount less than $500.

(a) Private Placement–Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $319,265,878, representing 10.7% of net assets.

(b) Illiquid.

(c) These securities generally pay interest at rates which are periodically pre-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the “LIBOR” or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. These securities are generally considered to be restricted as the Portfolio is ordinarily contractually obligated to receive approval from the Agent bank and/or borrower prior to disposition. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower. Such prepayments cannot be predicted with certainty. The interest rate disclosed reflects the rate in effect on April 30, 2014.

28 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

(d) 144A–Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.

(e) In default.

(f) Fair-Valued–Securities with an aggregate value of $359,213, representing less than 0.05% of net assets. See Note 1(a) and Note 1(b) in the Notes to Financial Statements.

(g) Perpetual maturity. The date shown, if any, is the next call date. For Corporate Bonds & Notes the interest rate is fixed until the first call date and variable thereafter.

(h) All or partial amount segregated for the benefit of the counterparty as collateral for derivatives.

(i) Restricted. The aggregate acquisition cost of such securities is $58,033,145. The aggregate value is $72,147,004, representing 2.4% of net assets.

(j) Variable or Floating Rate Security–Securities with an interest rate that changes periodically. The interest rate disclosed reflects the rate in effect on April 30, 2014.

(k) Rates reflect the effective yields at purchase date.

(l) Non-income producing.

(m) Futures contracts outstanding at April 30, 2014:

Type		Contracts			Market Value (000s)			Expiration Date		Unrealized Appreciation (Depreciation)
Long:	5-Year U.S. Treasury Note Futures		1,826			$218,121			6/30/14		$(857,526	)
	Financial Futures Euro-90 day		5,258			1,307,336			6/15/15		285,653
Short:	90-Day EURIBOR Futures		(690	)		(329	)		12/15/14		230,505
											$(341,368	)

(n) Transactions in options written for the six months ended April 30, 2014:

	Contracts			Notional Amount (000s)			Notional Amount (000s)			Premiums
Options outstanding, October 31, 2013		268			$1,408,800			€912,000			$5,860,876
Options written		563			2,169,200			–			7,241,788
Options terminated in closing transactions		–			(2,185,300	)		–			(2,696,845	)
Options expired		(831	)		(1,044,900	)		(456,000	)		(7,079,938	)
Options exercised		–			–			(456,000	)		(868,669	)
Options outstanding, April 30, 2014		–			$347,800			€–			$2,457,212

(o) Credit default swap agreements outstanding at April 30, 2014:

OTC sell protection swap agreements:

Swap Counterparty/ Referenced Debt Issuer	Notional Amount (000s)(1)		Credit Spread			Termination Date		Payments Received			Value(2)			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Bank of America:
China Government International Bond		$2,000		0.36	%		9/20/16		1.00	%		$33,101			$10,371			$22,730
Barclays Bank:
Ally Financial, Inc.		20,500		1.60	%		3/20/20		5.00	%		3,858,575			3,478,114			380,461
China Government International Bond		28,800		0.21	%		9/20/15		1.00	%		352,414			271,505			80,909
China Government International Bond		6,000		0.36	%		9/20/16		1.00	%		99,307			31,114			68,193
Dow Jones CDX.EM-15 5-Year Index		5,700		2.93	%		6/20/16		5.00	%		277,733			769,500			(491,767	)
BNP Paribas:
China Government International Bond		17,500		0.21	%		9/20/15		1.00	%		214,141			161,043			53,098
General Electric		900		0.26	%		9/20/15		1.00	%		10,326			(45,701	)		56,027
Teck Resources Ltd.		800		1.49	%		3/20/19		1.00	%		(17,203	)		(23,419	)		6,216

April 30, 2014 |  Semi-Annual Report 29

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

Swap Counterparty/ Referenced Debt Issuer	Notional Amount (000s)(1)		Credit Spread			Termination Date		Payments Received			Value(2)			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Citigroup:
China Government International Bond		$ 6,300		0.21	%		9/20/15		1.00	%		$ 77,091			$ 58,011			$ 19,080
China Government International Bond		4,000		0.36	%		9/20/16		1.00	%		66,205			20,743			45,462
United Kingdom Gilt		16,200		0.04	%		6/20/15		1.00	%		198,039			132,275			65,764
United Kingdom Gilt		33,500		0.07	%		6/20/16		1.00	%		709,457			415,748			293,709
Credit Suisse First Boston:
China Government International Bond		4,700		0.14	%		3/20/15		1.00	%		41,676			51,098			(9,422	)
China Government International Bond		4,000		0.36	%		9/20/16		1.00	%		66,205			19,751			46,454
United Kingdom Gilt		13,000		0.05	%		9/20/15		1.00	%		188,268			133,971			54,297
Deutsche Bank:
Ally Financial, Inc.		10,000		1.60	%		3/20/20		5.00	%		1,882,232			1,809,445			72,787
BP Capital Markets		€4,000		0.54	%		12/20/18		1.00	%		122,333			106,215			16,118
France Government International Bond		$3,800		0.09	%		9/20/15		0.25	%		9,597			(138,576	)		148,173
France Government International Bond		31,100		0.12	%		3/20/16		0.25	%		83,353			(1,104,012	)		1,187,365
Goldman Sachs:
Brazilian Government International Bond		1,200		1.12	%		3/20/18		1.00	%		(3,885	)		(14,522	)		10,637
California State Municipal Bond		3,300		0.52	%		12/20/18		1.63	%		169,626			–			169,626
California State Municipal Bond		25,000		0.52	%		12/20/18		1.65	%		1,307,880			–			1,307,880
El Paso Corp.		350		0.33	%		9/20/14		5.00	%		8,519			(27,125	)		35,644
France Government International Bond		25,900		0.12	%		3/20/16		0.25	%		69,416			(866,475	)		935,891
HSBC Bank:
China Government International Bond		6,200		0.21	%		9/20/15		1.00	%		75,866			57,090			18,776
China Government International Bond		3,000		0.21	%		9/20/15		1.00	%		36,710			(41,619	)		78,329
JPMorgan Chase:
Brazilian Government International Bond		12,000		1.06	%		12/20/17		1.00	%		(10,159	)		–			(10,159	)
China Government International Bond		22,000		0.14	%		3/20/15		1.00	%		195,079			254,939			(59,860	)
France Government International Bond		4,900		0.09	%		9/20/15		0.25	%		12,375			(171,695	)		184,070
Newmont Mining Corp.		1,600		1.37	%		12/20/18		1.00	%		(24,281	)		(110,946	)		86,665
Morgan Stanley:
China Government International Bond		17,200		0.21	%		9/20/15		1.00	%		210,470			137,396			73,074
France Government International Bond		22,300		0.17	%		9/20/16		0.25	%		49,996			(1,052,989	)		1,102,985
Royal Bank of Scotland:
China Government International Bond		41,500		0.21	%		9/20/15		1.00	%		507,820			379,144			128,676
												$10,878,282			$4,700,394			$6,177,888

(1) This represents the maximum potential amount the Portfolio could be required to make available as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

30 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

(2) The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at April 30, 2014 of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(p) Interest rate swap agreements outstanding at April 30, 2014:

OTC swap agreements:

	Notional Amount (000s)				Rate Type		Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Swap Counterparty			Termination Date		Payments Made	Payments Received
Bank of America		MXN 258,000		9/13/17	28-Day Mexico Interbank TIIE Banxico	5.50%		$407,737			$46,749			$360,988
Barclays Bank		750,000		9/13/17	28-Day Mexico Interbank TIIE Banxico	5.50%		1,185,281			143,088			1,042,193
Barclays Bank		91,800		4/9/19	28-Day Mexico Interbank TIIE Banxico	7.78%		742,536			3,208			739,328
Deutsche Bank		BRL 100		1/2/15	BRL-CDI-Compounded	7.62%		(1,398	)		(246	)		(1,152	)
Deutsche Bank		AUD 188,640		12/15/15	6-Month Australian Bank Bill	5.00%		7,391,966			(2,459,889	)		9,851,855
HSBC Bank		MXN 2,250,000		9/6/16	28-Day Mexico Interbank TIIE Banxico	5.60%		4,636,820			666,135			3,970,685
Morgan Stanley		1,500,000		9/6/16	28-Day Mexico Interbank TIIE Banxico	5.60%		3,091,214			373,129			2,718,085
								$17,454,156			$(1,227,826	)		$18,681,982

Centrally cleared swap agreements:

	Notional Amount (000s)				Rate Type		Value			Unrealized Appreciation (Depreciation)
Broker (Exchange)			Termination Date		Payments Made	Payments Received
Barclays Bank (CME)		€445,000		3/14/15	0.40%	3-Month USD-LIBOR		$(654,949	)		$192,364
Credit Suisse First Boston (CME)		4,000		9/16/19	6-Month EUR-EURIBOR	4.00%		1,012,671			410,073
Credit Suisse First Boston (CME)		¥7,920,000		9/18/23	1.00%	6-Month JPY-LIBOR		(1,957,836	)		(276,206	)
Deutsche Bank (CME)		€5,300		3/14/15	0.40%	3-Month USD-LIBOR		(7,800	)		1,802
Goldman Sachs (CME)		5,700		3/14/15	0.40%	3-Month USD-LIBOR		(8,389	)		3,365
Goldman Sachs (CME)		$25,700		12/18/23	3.00%	3-Month USD-LIBOR		(919,425	)		(475,329	)
Goldman Sachs (CME)		211,700		12/18/43	3.50%	3-Month USD-LIBOR		(4,785,001	)		(18,414,341	)
Morgan Stanley (CME)		57,600		6/19/43	2.75%	3-Month USD-LIBOR		7,231,986			3,247,955
								$(88,743	)		$(15,310,317	)

(q) Forward foreign currency contracts outstanding at April 30, 2014:

	Counterparty	U.S.$ Value on Origination Date		U.S.$ Value April 30, 2014		Unrealized Appreciation (Depreciation)
Purchased:
134,293,000 Australian Dollar settling 5/2/14	Bank of America		$123,923,566		$124,758,228		$834,662
50,434,000 Australian Dollar settling 5/2/14	Morgan Stanley		46,793,917		46,853,198		59,281
22,256,817 Brazilian Real settling 5/5/14	Credit Suisse First Boston		9,953,854		9,981,755		27,901
95,652,269 Brazilian Real settling 5/5/14	UBS		43,009,113		42,898,203		(110,910	)
16,632,000 British Pound settling 6/12/14	Barclays Bank		27,438,625		28,072,473		633,848
1,503,000 Euro settling 6/3/14	BNP Paribas		2,084,405		2,085,045		640

April 30, 2014 |  Semi-Annual Report 31

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

	Counterparty	U.S.$ Value on Origination Date		U.S.$ Value April 30, 2014		Unrealized Appreciation (Depreciation)
455,911,000 Euro settling 5/2/14	UBS		$629,841,046		$632,507,814		$2,666,768
2,351,100,000 Japanese Yen settling 5/13/14	BNP Paribas		23,084,241		22,998,553		(85,688	)
70,231,550 Japanese Yen settling 5/13/14	Citigroup		688,707		687,008		(1,699	)
47,240,110 Mexican Peso settling 5/14/14	BNP Paribas		3,524,330		3,608,236		83,906
13,877,000 Mexican Peso settling 5/14/14	Citigroup		1,046,279		1,059,936		13,657
61,117,110 Mexican Peso settling 8/25/14	Goldman Sachs		4,639,750		4,629,722		(10,028	)
1,040,000 Norwegian Krone settling 5/13/14	Citigroup		169,093		174,902		5,809
Sold:
184,727,000 Australian Dollar settling 5/2/14	Bank of America		170,051,363		171,611,425		(1,560,062	)
50,434,000 Australian Dollar settling 6/3/14	Morgan Stanley		46,689,886		46,750,642		(60,756	)
22,256,817 Brazilian Real settling 5/5/14	Credit Suisse First Boston		9,358,682		9,981,755		(623,073	)
95,652,269 Brazilian Real settling 5/5/14	UBS		40,659,393		42,898,203		(2,238,810	)
95,652,269 Brazilian Real settling 6/3/14	UBS		42,656,203		42,508,524		147,679
17,643,000 British Pound settling 6/12/14	Goldman Sachs		29,561,111		29,778,899		(217,788	)
344,458,004 Euro settling 5/2/14	Bank of America		475,085,383		477,883,577		(2,798,194	)
111,452,996 Euro settling 5/2/14	Royal Bank of Scotland		153,540,880		154,624,238		(1,083,358	)
455,911,000 Euro settling 6/3/14	UBS		629,779,498		632,465,164		(2,685,666	)
2,400,400,000 Japanese Yen settling 5/13/14	Barclays Bank		23,693,052		23,480,808		212,244
61,117,110 Mexican Peso settling 5/14/14	Goldman Sachs		4,677,032		4,668,172		8,860
							$(6,780,777	)

(r) At April 30, 2014, the Portfolio held $28,482,000 in cash and U.S. Treasury Obligations valued at $959,966 as collateral and pledged cash collateral of $9,000 for derivative contracts. Cash collateral held may be invested in accordance with the Portfolio’s investment strategy. Securities held as collateral will not be pledged and are not reflected in the Schedule of Investments.

(s) The weighted average daily balance of reverse repurchase agreements during the six months ended April 30, 2014 was $255,247,280, at a weighted average interest rate of 0.08%. There were no open reverse repurchase agreements at April 30, 2014.

(t) The weighted average borrowing for sale-buybacks during the six months ended April 30, 2014 was $331,113,506 at a weighted average interest rate of 0.11%. There were no open sale-buybacks at April 30, 2014.

(u) Fair Value Measurements-See Note 1(b) in the Notes to Financial Statements.

	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs		Value at 4/30/14
Investments in Securities – Assets
Corporate Bonds & Notes:
Airlines		$–		$1,528,125		$41,148,917		$42,677,042
Diversified Financial Services		–		263,001,836		357,499		263,359,335
All Other		–		1,259,291,929		–		1,259,291,929
Sovereign Debt Obligations		–		549,801,341		–		549,801,341
Municipal Bonds		–		293,360,903		–		293,360,903
Mortgage-Backed Securities		–		94,049,853		359		94,050,212
U.S. Government Agency Securities		–		39,704,033		–		39,704,033
U.S. Treasury Obligations		–		20,864,464		–		20,864,464
Asset-Backed Securities		–		17,713,286		1,355		17,714,641
Senior Loans		–		3,679,964		–		3,679,964
Short-Term Investments		–		377,179,410		–		377,179,410
		–		2,920,175,144		41,508,130		2,961,683,274

32 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs		Value at 4/30/14
Investment in Securities – Liabilities
Options Written, at value:
Foreign Exchange Contracts		$–		$(296,221)		$–		$(296,221)
Securities Sold Short, at value		–		(48,517,548)		–		(48,517,548)
		–		(48,813,769)		–		(48,813,769)
Other Financial Instruments* – Assets
Credit Contracts		–		6,749,096		–		6,749,096
Foreign Exchange Contracts		–		4,695,255		–		4,695,255
Interest Rate Contracts		516,158		22,538,693		–		23,054,851
		516,158		33,983,044		–		34,499,202
Other Financial Instruments* – Liabilities
Credit Contracts		–		(571,208)		–		(571,208)
Foreign Exchange Contracts		–		(11,476,032)		–		(11,476,032)
Interest Rate Contracts		(857,526)		(19,167,028)		–		(20,024,554)
		(857,526)		(31,214,268)		–		(32,071,794)
Totals	$	(341,368)	$	2,874,130,151		$41,508,130	$	2,915,296,913

At April 30, 2014, there were no transfers between Levels 1 and 2.

A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended April 30, 2014, was as follows:

	Beginning Balance 10/31/13		Purchases		Sales			Accrued Discount (Premiums)			Net Realized Gain (Loss)			Net Change in Unrealized Appreciation/ Depreciation		Transfers into Level 3**		Transfers out of Level 3		Ending Balance 4/30/14
Investments in Securities – Assets
Corporate Bonds & Notes:
Airlines		$1,428,026		$4,746,891		$(51,596	)		$(6,001	)		$(1,465	)		$52,033		$34,981,029		$–		$41,148,917
Diversified Financial Services		349,195		–		(8,600	)		–			–			16,904		–		–		357,499
Mortgage-Backed Securities		427		–		(33,144	)		178			7,073			25,825		–		–		359
Asset-Backed Securities		1,361		–		–			(38	)		–			32		–		–		1,355
Totals		$1,779,009		$4,746,891		$(93,340	)		$(5,861	)		$5,608			$94,794		$34,981,029		$–		$41,508,130

The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at April 30, 2014.

	Ending Balance at 4/30/14		Valuation Technique Used	Unobservable Inputs	Input Values
Investments in Securities – Assets
Corporate Bonds & Notes		$41,148,917	Third-Party Pricing Vendor	Single Broker Quote	$60.50 – $117.00
		357,499	Benchmark Pricing	Security Price Reset	$80.96
Mortgage-Backed Securities		359	Benchmark Pricing	Security Price Reset	$0.20
Asset-Backed Securities		1,355	Benchmark Pricing	Security Price Reset	$48.77

* Other financial instruments are derivatives, such as futures contracts, swap agreements and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) of the instrument.

** Transferred out of Level 2 into Level 3 because an evaluated price with observable inputs from a third-party pricing vendor was not available.

The net change in unrealized appreciation/depreciation of Level 3 investments held at April 30, 2014, was $903,659. Net realized gain (loss) and net change in unrealized appreciation/depreciation are reflected on the Statement of Operations.

April 30, 2014 |  Semi-Annual Report 33

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

(v) The following is a summary of the derivative instruments categorized by risk exposure:

The effect of derivatives on the Statement of Assets and Liabilities at April 30, 2014:

Location	Interest Rate Contracts			Credit Contracts			Foreign Exchange Contracts			Total
Asset derivatives:
Unrealized appreciation of OTC swaps		$18,683,134			$6,749,096			$–			$25,432,230
Receivable for variation margin on centrally cleared swaps**		1,954			–			–			1,954
Receivable for variation margin on futures contracts*		893,963			–			–			893,963
Unrealized appreciation of forward foreign currency contracts		–			–			4,695,255			4,695,255
Total asset derivatives		$19,579,051			$6,749,096			$4,695,255			$31,023,402
Liability derivatives:
Unrealized depreciation of OTC swaps		$(1,152	)		$(571,208	)		$–			$(572,360	)
Payable for variation margin on centrally cleared swaps**		(1,797,320	)		–			–			(1,797,320	)
Options written, at value		–			–			(296,221	)		(296,221	)
Payable for variation margin on futures contracts*		(32,913	)		–			–			(32,913	)
Unrealized depreciation of forward foreign currency contracts		–			–			(11,476,032	)		(11,476,032	)
Total liability derivatives		$(1,831,385	)		$(571,208	)		$(11,772,253	)		$(14,174,846	)

* Included in net unrealized depreciation of $341,368 on futures contracts as reported in note (m) of the Notes to Schedule of Investments.

** Included in net unrealized depreciation of $15,310,317 on centrally cleared swaps as reported in note (p) of the Notes to Schedule of Investments.

The effect of derivatives on the Statement of Operations for the six months ended April 30, 2014:

Location	Interest Rate Contracts			Credit Contracts		Foreign Exchange Contracts			Total
Net realized gain (loss) on:
Futures contracts		$8,991,905			$–		$–			$8,991,905
Options written		7,788,991			–		755,792			8,544,783
Swaps		(30,645,767	)		1,055,569		–			(29,590,198	)
Foreign currency transactions (forward foreign currency contracts)		–			–		(4,690,183	)		(4,690,183	)
Total net realized gain (loss)		$(13,864,871	)		$1,055,569		$(3,934,391	)		$(16,743,693	)
Net change in unrealized appreciation/depreciation of:
Futures contracts		$(11,549,067	)		$–		$–			$(11,549,067	)
Options written		(2,009,185	)		–		2,160,991			151,806
Swaps		15,338,030			2,026,296		–			17,364,326
Foreign currency transactions (forward foreign currency contracts)		–			–		1,883,319			1,883,319
Total net change in unrealized appreciation/depreciation		$1,779,778			$2,026,296		$4,044,310			$7,850,384

The average volume (measured at each fiscal quarter-end) of derivative activity during the six months ended April 30, 2014:

Options Written(1)	Options Written(2)		Futures Contracts(1)				Forward Foreign Currency Contracts(3)				Credit Default Swap Agreements(2)				Interest Rate Swap Agreements(2)
				Long	Short			Purchased		Sold		Buy		Sell
366	$	1,550,300		7,698	(690	)	$	666,094,826	$	1,187,239,711	$	12,200	$	407,750		$787,900
		€608,000												€4,000		AUD 188,640
																BRL 325,167
																€156,000
																¥5,280,000
																MXN 4,849,800

(1) Number of contracts

(2) Notional Amount (in thousands)

(3) U.S. $ Value on origination date

34 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

(w) The following tables present by counterparty the Portfolio’s derivative assets and liabilities net of related collateral held by the Fund at April 30, 2014 which has not been offset in the Statement of Assets and Liabilities, but would be available for offset to the extent of a default by the counterparty to the transaction.

Financial Assets and Derivative Assets, and Collateral Received at April 30, 2014:

Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Gross Asset Derivatives Presented in Statement of Assets and Liabilities		Financial Instrument/ Derivative Offset			Cash Collateral Paid (Received)			Net Amount
Foreign Currency Exchange Contracts
Bank of America		$834,662		$(834,662	)		$–			$–
Barclays Bank		846,092		(491,767	)		–			354,325
BNP Paribas		84,546		(84,546	)		–			–
Citigroup		19,466		(1,699	)		–			17,767
Credit Suisse First Boston		27,901		(27,901	)		–			–
Goldman Sachs		8,860		(8,860	)		–			–
Morgan Stanley		59,281		(59,281	)		–			–
UBS		2,814,447		(2,814,447	)		–			–
Swaps
Bank of America		383,718		(383,718	)		–			–
Barclays Bank		2,311,084		–			(2,311,084	)†,##		–
BNP Paribas		115,341		(1,142	)		(114,199	)†,#,##		–
Citigroup		424,015		(959,966	)		626,777	##		90,826
Credit Suisse First Boston		100,751		(100,751	)		–			–
Deutsche Bank		11,276,298		(1,152	)		(11,197,063	)#,##		78,083
Goldman Sachs		2,459,678		(218,956	)		(2,240,722	)†,#,##		–
HSBC Bank		4,067,790		–			(4,067,790	)†,#,##		–
JPMorgan Chase		270,735		(70,019	)		(27,702	)#,##		173,014
Morgan Stanley		3,894,144		(1,475	)		(3,892,669	)†,#,##		–
Royal Bank of Scotland		128,676		(128,676	)		–			–
Totals		$30,127,485		$(6,189,018	)		$(23,224,452	)		$714,015

Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Gross Financial Assets Presented in Statement of Assets and Liabilities		Financial Instrument/ Derivative Offset			Net Amount
Repurchase Agreement
State Street Bank & Trust Co.		$1,437,000		$(1,437,000	)†		$–

Financial Liabilities and Derivative Liabilities, and Collateral Pledged at April 30, 2014:

Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Gross Liability Derivatives Presented in Statement of Assets and Liabilities		Financial Instrument/ Derivative Offset			Cash Collateral Received (Pledged)		Net Amount
Foreign Currency Exchange Contracts
Bank of America		$4,358,256		$(2,257,294	)		$–		$2,100,962
BNP Paribas		85,688		(85,688	)		–		–
Citigroup		1,699		(1,699	)		–		–
Credit Suisse First Boston		623,073		(409,629	)		–		213,444
Goldman Sachs		227,816		(227,816	)		–		–
Morgan Stanley		60,756		(60,756	)		–		–
Royal Bank of Scotland		1,083,358		(128,676	)		–		954,682
UBS		5,035,386		(4,862,288	)		630,000		803,098

April 30, 2014 |  Semi-Annual Report 35

Schedule of Investments

Fixed Income SHares: Series C

April 30, 2014 (unaudited) (continued)

Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Gross Liability Derivatives Presented in Statement of Assets and Liabilities		Financial Instrument/ Derivative Offset			Cash Collateral Received (Pledged)			Net Amount
Swaps				–
Barclays Bank		$491,767		$(491,767	)		$–			$–
Credit Suisse First Boston		9,422		–			(9,422	)##		–
Deutsche Bank		1,152		(1,152	)		–			–
JPMorgan Chase		70,019		(70,019	)		–			–
Totals		$12,048,392		$(8,596,784	)		$620,578			$4,072,186

† The actual collateral received is greater than the amount shown here due to over collateralization.

# The amount includes upfront premiums received.

## The amount includes upfront premiums paid.

Glossary:

ABS	-	Asset-Backed Securities
AUD	-	Australian Dollar
BRL	-	Brazilian Real
£	-	British Pound
CAD	-	Canadian Dollar
CDI	-	Inter-Bank Deposit Certificate
CDX.EM	-	Credit Derivatives Index Emerging Markets
CME	-	Chicago Mercantile Exchange
CMO	-	Collateralized Mortgage Obligation
EUR/€	-	Euro
EURIBOR	-	Euro Inter-Bank Offered Rate
GO	-	General Obligation Bond
GTD	-	Guaranteed
JPY/¥	-	Japanese Yen
LIBOR	-	London Inter-Bank Offered Rate
MBIA	-	insured by MBIA Insurance Corp.
MBS	-	Mortgage-Backed Securities
MXN	-	Mexican Peso
OTC	-	Over-the-Counter
PSF	-	Public School Fund
RMBS	-	Residential Mortage-Backed Security
TBA	-	To Be Announced
TIIE	-	Inter-Bank Equilibrium Interest Rate

36 Semi-Annual Report   |  April 30, 2014  |   See accompanying Notes to Financial Statements

Schedule of Investments

Fixed Income SHares: Series LD

April 30, 2014 (unaudited)

Principal Amount (000s)			Value
	Corporate Bonds & Notes – 78.3%
		Airlines – 2.2%
	$100	American Airlines, Inc., 7.50%, 3/15/16 (a)(c)(d)		$104,188
	75	United Airlines, Inc., 6.75%, 9/15/15 (a)(c)		76,406
				180,594
		Auto Manufacturers – 1.1%
		Hyundai Capital America (a)(c),
	50	1.45%, 2/6/17		50,106
	40	1.625%, 10/2/15		40,456
				90,562
		Banking – 22.1%
	100	Ally Financial, Inc., 2.75%, 1/30/17		101,500
	200	Banco Bradesco S.A., 4.50%, 1/12/17 (a)(c)		211,250
	150	Banco Santander Chile, 3.75%, 9/22/15		155,605
	75	Bank of America Corp., 6.50%, 8/1/16		83,719
	95	CIT Group, Inc., 4.25%, 8/15/17		99,750
		DBS Bank Ltd. (a)(b)(c)(f),
	100	0.849%, 7/15/21 (g)
		(acquisition cost – $97,250; purchased 3/6/14)		96,930
	50	5.00%, 11/15/19 (converts to FRN on 11/15/14) (acquisition cost-$51,150; purchased 2/21/14)		50,878
		Eksportfinans ASA,
	50	2.375%, 5/25/16		50,025
	100	5.50%, 5/25/16		106,250
	100	Hypothekenbank Frankfurt AG, 0.102%, 9/20/17 (g)		97,227
		Hypothekenbank Frankfurt International S.A.,
	100	0.097%, 3/20/17		93,974
	100	5.125%, 1/21/16		105,183
	200	Kookmin Bank, 1.114%, 1/27/17 (a)(c)(g)		201,302
	100	Korea Development Bank, 3.25%, 3/9/16		104,350
	75	Macquarie Bank Ltd., 2.00%, 8/15/16 (a)(b)(c)(f) (acquisition cost-$76,283; purchased 2/4/14)		76,279
	100	Royal Bank of Scotland PLC, 5.00%, 5/17/15		103,036
	100	Woori Bank Co., Ltd., 4.75%, 1/20/16		106,036
				1,843,294
		Biotechnology – 1.2%
	95	Amgen, Inc., 2.125%, 5/15/17		97,409
		Building Materials – 2.6%
	100	Masco Corp., 6.125%, 10/3/16		110,750
	95	USG Corp., 6.30%, 11/15/16		103,075
				213,825
		Diversified Financial Services – 13.4%
	95	American Express Credit Corp., 2.80%, 9/19/16		99,274
	75	Bear Stearns Cos. LLC, 0.624%, 11/21/16 (g)		74,783
	78	General Electric Capital Corp., 0.555%, 12/20/16 (g)		77,730
	75	General Motors Financial Co., Inc., 2.75%, 5/15/16		76,312
	145	HSBC Finance Corp., 5.50%, 1/19/16 (e)		156,238
		International Lease Finance Corp.,
	50	5.75%, 5/15/16		53,938
	50	8.625%, 9/15/15		55,000

April 30, 2014 |  Semi-Annual Report 37

Schedule of Investments

Fixed Income SHares: Series LD

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
	$ 180	LeasePlan Corp. NV, 2.50%, 5/16/18 (a)(b)(c)(f)
		(acquisition cost-$178,366; purchased 1/29/14)		$ 179,833
	100	Macquarie Group Ltd., 3.00%, 12/3/18 (a)(b)(c)(f)
		(acquisition cost-$100,550; purchased 2/11/14)		101,604
	150	SLM Corp., 6.25%, 1/25/16		162,375
	75	Vesey Street Investment Trust I, 4.404%, 9/1/16		80,326
				1,117,413
		Electric Utilities – 4.1%
	30	Electricite de France, 0.694%, 1/20/17 (a)(c)(g)		30,111
	100	FirstEnergy Corp., 2.75%, 3/15/18		100,733
	200	Korea Western Power Co., Ltd., 3.125%, 5/10/17 (e)		207,916
				338,760
		Electronics – 1.2%
	95	Thermo Fisher Scientific, Inc., 3.20%, 3/1/16		99,099
		Healthcare-Services – 2.0%
		HCA, Inc.,
	80	6.50%, 2/15/16		87,000
	75	7.19%, 11/15/15		81,375
				168,375
		Insurance – 0.3%
	22	American International Group, Inc., 2.375%, 8/24/15		22,434
		Iron/Steel – 1.2%
	100	Glencore Funding LLC, 1.70%, 5/27/16 (a)(b)(c)(f)
		(acquisition cost-$100,283; purchased 2/4/14)		100,604
		Lodging – 3.9%
	115	MGM Resorts International, 6.625%, 7/15/15		122,187
	200	Wynn Macau Ltd., 5.25%, 10/15/21 (a)(c)		203,500
				325,687
		Media – 2.0%
	25	Comcast Corp., 5.90%, 3/15/16		27,385
		DISH DBS Corp.,
	50	7.125%, 2/1/16		54,750
	80	7.75%, 5/31/15		85,600
				167,735
		Oil & Gas – 10.5%
	90	Anadarko Petroleum Corp., 5.95%, 9/15/16		100,370
	100	Devon Energy Corp., 1.875%, 5/15/17		101,689
	200	Korea National Oil Corp., 4.00%, 10/27/16 (e)		212,606
	100	Petrobras Global Finance BV, 1.855%, 5/20/16 (g)		99,625
	50	Plains Exploration & Production Co., 6.125%, 6/15/19		55,375
	200	Sinopec Group Overseas Development 2012 Ltd., 2.75%, 5/17/17 (a)(c)(e)		205,700
	90	Transocean, Inc., 5.05%, 12/15/16		97,982
				873,347
		Pharmaceuticals – 2.4%
	95	Express Scripts Holding Co., 3.125%, 5/15/16		99,612
	100	McKesson Corp., 0.635%, 9/10/15 (g)		100,156
				199,768

38 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series LD

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		Pipelines – 0.4%
	$ 30	Kinder Morgan Energy Partners L.P., 6.00%, 2/1/17		$ 33,558
		Telecommunications – 6.5%
	50	Orange S.A., 2.75%, 2/6/19		50,987
	200	SK Telecom Co., Ltd., 2.125%, 5/1/18 (a)(c)		198,917
	100	Sprint Communications, Inc., 6.00%, 12/1/16		109,750
	75	Telecom Italia Capital S.A., 6.175%, 6/18/14		75,553
	100	Verizon Communications, Inc., 2.50%, 9/15/16 (e)		103,564
				538,771
		Transportation – 1.2%
	100	Kansas City Southern de Mexico S.A. De C.V., 0.935%, 10/28/16 (g)		100,359
	Total Corporate Bonds & Notes (cost-$6,483,672)			6,511,594
	Mortgage-Backed Securities – 7.5%
	30	Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45		31,241
		BCAP LLC Trust, CMO (a)(c)(g),
	100	0.312%, 3/26/37		97,238
	58	2.709%, 7/26/36		58,685
	11	Citigroup Mortgage Loan Trust, Inc., 6.00%, 2/25/37, CMO (a)(c)		11,417
	30	Credit Suisse Commercial Mortgage Trust, 5.311%, 12/15/39, CMO		32,527
	149	Credit Suisse Mortgage Capital Certificates, 2.659%, 9/27/36, CMO (a)(c)(g)		150,791
	31	JPMorgan Resecuritization Trust, 2.255%, 7/27/37, CMO (a)(c)(g)		30,761
	131	Residential Accredit Loans, Inc., 0.594%, 6/25/34, CMO (g)		128,815
	25	Wachovia Bank Commercial Mortgage Trust, 5.558%, 3/15/45 (g)		26,739
	59	WaMu Mortgage Pass-Through Certificates, 0.588%, 6/25/44, CMO (g)		55,416
	Total Mortgage-Backed Securities (cost-$613,427)			623,630
	Asset-Backed Securities (g) – 7.1%
	30	Aegis Asset-Backed Securities Trust, 0.424%, 12/25/35		28,865
	77	Argent Securities, Inc. Asset-Backed Pass-Through Certificates, 0.414%, 10/25/35		76,565
	131	Golden Knight CDO Ltd., 0.479%, 4/15/19 (a)(c)		129,596
	19	Kingsland I Ltd., 0.483%, 6/13/19, CDO (a)(c)		18,740
	50	Race Point CLO Ltd., 1.533%, 12/15/22 (a)(c)		50,053
	246	Saturn CLO Ltd., 0.462%, 5/13/22 (a)(c)		241,116
	49	Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 0.734%, 1/25/33		45,378
	Total Asset-Backed Securities (cost-$586,818)			590,313
	Sovereign Debt Obligations – 1.8%
		Republic of Korea – 1.2%
	100	Export-Import Bank of Korea, 4.125%, 9/9/15		104,563
		Spain – 0.6%
	50	Junta Comunidades de Castilla-La Mancha, 4.707%, 11/15/14 (a)(b)(c)(f)
		(acquisition cost-$51,179; purchased 2/25/14)		50,017
	Total Sovereign Debt Obligations (cost-$155,577)			154,580
	Short-Term Investments – 13.1%
		Sovereign Debt Obligation – 8.3%
		Slovenia – 8.3%
	€500	Slovenia Ministry of Finance Treasury Bills, zero coupon, 9/11/14 (cost-$679,909)		692,085

April 30, 2014 |  Semi-Annual Report 39

Schedule of Investments

Fixed Income SHares: Series LD

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		Certificate of Deposit – 2.4%
	$ 200	Intesa Sanpaolo SpA, 1.65%, 4/7/15 (cost-$200,000)		$ 200,345
		Mexico Treasury Bill – 2.4%
	MXN 2,600	Mexico Cetes, zero coupon, 7/10/14 (cost-$196,332)		197,415
	Total Short-Term Investments (cost-$1,076,241)			1,089,845
	Total Investments, before securities sold short (cost-$8,915,735) – 107.8%			8,969,962
	Securities Sold Short – (1.2)%
		U.S. Treasury Obligations – (1.2)%
	$100	U.S. Treasury Notes, 1.625%, 3/31/19 (proceeds received-$99,526)		(99,816	)
	Total Investments, net of securities sold short (cost-$8,816,209) – 106.6%			8,870,146
	Other liabilities in excess of other assets – (6.6)%			(549,656	)
	Net Assets – 100.0%			$8,320,490

Notes to Schedule of Investments:

(a) Private Placement–Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $2,766,478, representing 33.2% of net assets.

(b) Illiquid.

(c) 144A–Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.

(d) In default.

(e) All or partial amount transferred for the benefit of the counterparty as collateral for reverse repurchase agreements.

(f) Restricted. The aggregate acquisition cost of such securities is $655,061. The aggregate value is $656,145, representing 7.9% of net assets.

(g) Variable or Floating Rate Security–Securities with an interest rate that changes periodically. The interest rate disclosed reflects the rate in effect on April 30, 2014.

(h) Futures contracts outstanding at April 30, 2014:

	Type	Contracts		Market Value (000s)		Expiration Date		Unrealized Appreciation
Long:	5-Year Euro-Bobl Futures		1		$174		6/6/14		$110

At April 30, 2014, the Portfolio pledged cash collateral of $7,000 for futures contracts.

(i) Transactions in options written during the period ended April 30, 2014:

	Notional Amount (000s)			Premiums
Options written		400			$3,529
Options terminated in closing transactions		(400	)		(3,529	)
Options outstanding, April 30, 2014		–			$–

40 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series LD

April 30, 2014 (unaudited) (continued)

(j) Credit default swap agreements outstanding at April 30, 2014:

OTC sell protection swap agreements:

Swap Counterparty/ Referenced Debt Issuer	Notional Amount (000s)(1)		Credit Spread			Termination Date		Payments Received			Value(2)			Upfront Premiums Received			Unrealized Appreciation
Credit Suisse First Boston:
CMBX.NA AAA.1		$95			†		10/12/52		0.10	%		$(322	)		$(476	)		$154
Goldman Sachs:
CMBX.NA AAA.1		95			†		10/12/52		0.10	%		(321	)		(432	)		111
Standard Chartered PLC		30		0.94	%		3/20/19		1.00	%		118			(30	)		148
												$(525	)		$(938	)		$413

† Credit Spread not quoted for asset-backed securities.

(1) This represents the maximum potential amount the Portfolio could be required to make available as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(2) The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at April 30, 2014 of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(k) Forward foreign currency contracts outstanding at April 30, 2014:

	Counterparty	U.S.$ Value on Origination Date		U.S.$ Value April 30, 2014		Unrealized Appreciation (Depreciation)
Purchased:
103,000 Euro settling 5/2/14	Bank of America		$142,512		$142,897		$385
794,000 Mexican Peso settling 5/14/14	Barclays Bank		59,340		60,646		1,306
Sold:
70,000 Euro settling 5/2/14	Bank of America		96,530		97,114		(584	)
103,000 Euro settling 6/3/14	Bank of America		142,500		142,887		(387	)
500,000 Euro settling 9/11/14	Barclays Bank		682,904		693,525		(10,621	)
33,000 Euro settling 5/2/14	BNP Paribas		45,429		45,783		(354	)
4,200,000 Japanese Yen settling 5/13/14	Barclays Bank		41,227		41,085		142
10,100,000 Japanese Yen settling 5/13/14	BNP Paribas		99,595		98,799		796
15,300,000 Japanese Yen settling 5/13/14	Deutsche Bank		149,221		149,665		(444	)
786,780 Mexican Peso settling 5/14/14	Barclays Bank		60,000		60,095		(95	)
2,600,000 Mexican Peso settling 7/10/14	BNP Paribas		195,854		197,675		(1,821	)
							$(11,677	)

(l) Open reverse repurchase agreements at April 30, 2014:

Counterparty	Rate			Trade Date		Due Date		Principal & Interest		Principal
BNP Paribas		0.33	%		4/30/14		5/14/14		$297,003		$297,000
UBS		0.34			4/28/14		5/12/14		406,012		406,000
		0.35			4/22/14		5/6/14		151,013		151,000
											$854,000

(m) The weighted average daily balance of reverse repurchase agreements during the period ended April 30, 2014 was $532,947, at a weighted average interest rate of 0.35%. Total value of underlying collateral (refer to the Schedule of Investments for positions transferred for the benefit of the counterparty as collateral) for open reverse repurchase agreements at April 30, 2014 was $1,093,939.

(n) The weighted average borrowing for sale-buybacks during the period ended April 30, 2014 was $338,757 at a weighted average interest rate of (0.11)%. There were no open sale-buybacks at April 30, 2014.

April 30, 2014 |  Semi-Annual Report 41

Schedule of Investments

Fixed Income SHares: Series LD

April 30, 2014 (unaudited) (continued)

(o) Fair Value Measurements-See Note 1(b) in the Notes to Financial Statements.

	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs			Level 3 – Significant Unobservable Inputs		Value at 4/30/14
Investments in Securities – Assets
Corporate Bonds & Notes		$–		$6,511,594			$–		$6,511,594
Mortgage-Backed Securities		–		623,630			–		623,630
Asset-Backed Securities		–		590,313			–		590,313
Sovereign Debt Obligations		–		154,580			–		154,580
Short-Term Investments		–		1,089,845			–		1,089,845
		–		8,969,962			–		8,969,962
Investment in Securities – Liabilities
Securities Sold Short, at value		–		(99,816	)		–		(99,816	)
Other Financial Instruments* – Assets
Credit Contracts		–		413			–		413
Foreign Exchange Contracts		–		2,629			–		2,629
Interest Rate Contracts		110		–			–		110
		110		3,042			–		3,152
Other Financial Instruments* – Liabilities
Foreign Exchange Contracts		–		(14,306	)		–		(14,306	)
Totals	$	110	$	8,858,882		$	–	$	8,858,992

At April 30, 2014, there were no transfers between Levels 1 and 2.

* Other financial instruments are derivatives, such as futures contracts, swap agreements and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) of the instrument.

(p) The following is a summary of the derivative instruments categorized by risk exposure:

The effect of derivatives on the Statement of Assets and Liabilities at April 30, 2014:

Location	Interest Rate Contracts		Credit Contracts		Foreign Exchange Contracts			Total
Asset derivatives:
Unrealized appreciation of OTC swaps		$–		$413		$–			$413
Receivable for variation margin on futures contracts*		319		–		–			319
Unrealized appreciation of forward foreign currency contracts		–		–		2,629			2,629
Total asset derivatives		$319		$413		$2,629			$3,361
Liability derivatives:
Unrealized depreciation of forward foreign currency contracts		$–		$–		$(14,306	)		$(14,306	)

* Included in net unrealized appreciation of $110 on futures contracts as reported in note (h) of the Notes to Schedule of Investments.

The effect of derivatives on the Statement of Operations for the period ended April 30, 2014:

Location	Interest Rate Contracts		Credit Contracts		Foreign Exchange Contracts			Total
Net realized gain (loss) on:
Futures contracts		$824		$–		$–			$824
Options written		239		–		–			239
Swaps		–		86		–			86
Foreign currency transactions (forward foreign currency contracts)		–		–		(7,501	)		(7,501	)
Total net realized gain (loss)		$1,063		$86		$(7,501	)		$(6,352	)
Net change in unrealized appreciation/depreciation of:
Futures contracts		$110		$–		$–			$110
Swaps		–		413		–			413
Foreign currency transactions (forward foreign currency contracts)		–		–		(11,677	)		(11,677	)
Total net change in unrealized appreciation/depreciation		$110		$413		$(11,677	)		$(11,154	)

42 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series LD

April 30, 2014 (unaudited) (continued)

The average volume (measured at each fiscal quarter-end) of derivative activity during the period ended April 30, 2014:

Futures Contracts(1)	Forward Foreign Currency Contracts(2)			Credit Default Swap Agreements(3)
Long	Purchased	Sold		Sell
1	$451,967	$	1,128,231	$	125

(1) Number of contracts

(2) U.S. $ Value on origination date

(3) Notional Amount (in thousands)

(q) The following tables present by counterparty the Portfolio’s derivative assets and liabilities net of related collateral held by the Fund at April 30, 2014 which has not been offset in the Statement of Assets and Liabilities, but would be available for offset to the extent of a default by the counterparty to the transaction.

Financial Assets and Derivative Assets, and Collateral Received at April 30, 2014:

Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Gross Asset Derivatives Presented in Statement of Assets and Liabilities		Financial Instrument/ Derivative Offset			Cash Collateral Received			Net Amount
Foreign Currency Exchange Contracts
Bank of America		$385		$(385	)		$–			$–
Barclays Bank		1,448		(1,448	)		–			–
BNP Paribas		796		(796	)		–			–
Swaps
Credit Suisse First Boston		154		–			(154	)†,#		–
Goldman Sachs		259		–			(259	)†,#		–
Totals		$3,042		$(2,629	)		$(413	)		$–

Financial Liabilities and Derivative Liabilities, and Collateral Pledged at April 30, 2014:

Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Gross Liability Derivatives Presented in Statement of Assets and Liabilities			Financial Instrument/ Derivative Offset			Cash Collateral Pledged		Net Amount
Foreign Currency Exchange Contracts
Bank of America		$971			$(385	)		$–		$586
Barclays Bank		10,716			(1,448	)		–		9,268
BNP Paribas		2,175			(796	)		–		1,379
Deutsche Bank		444			–			–		444
Totals		$14,306			$(2,629	)		$–		$11,677
Counterparty	Gross Liability Derivatives Presented in Statement of Assets and Liabilities			Financial Instrument/ Derivative Offset			Cash Collateral Pledged		Net Amount
Reverse Repurchase Agreements
BNP Paribas		$297,003	†††		$(297,003	)††		$–		$–
UBS		557,025	†††		(557,025	)††		–		–
Totals		$854,028			$(854,028	)		$–		$–

† The actual collateral received is greater than the amount shown here due to over collateralization.

†† The actual collateral pledged is greater than the amount shown here due to over collateralization.

††† The amount includes interest payable for Reverse Repurchase Agreements.

# The amount includes upfront premiums received.

April 30, 2014 |  Semi-Annual Report 43

Schedule of Investments

Fixed Income SHares: Series LD

April 30, 2014 (unaudited) (continued)

Glossary:

CDO	-	Collateralized Debt Obligation
CLO	-	Collateralized Loan Obligation
CMBX	-	Commercial Mortgage-Backed Index
CMO	-	Collateralized Mortgage Obligation
€	-	Euro
FRN	-	Floating Rate Note
MXN	-	Mexican Peso
OTC	-	Over-the-Counter

44 Semi-Annual Report   |  April 30, 2014  |   See accompanying Notes to Financial Statements

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited)

Principal Amount (000s)			Value
	U.S. Treasury Obligations – 74.1%
		U.S. Treasury Notes,
	$974	0.25%, 1/31/15 (g)		$975,313
	112,600	1.00%, 5/31/18 (g)		110,963,810
	60,000	1.125%, 5/31/19 (g)		58,265,640
	168,500	1.375%, 6/30/18 (g)		168,315,661
	129,800	1.375%, 2/28/19 (g)		128,207,873
	1,336,100	1.50%, 8/31/18 (g)(h)		1,337,613,801
	275,000	1.50%, 1/31/19 (e)		273,517,475
	68,480	1.50%, 2/28/19		68,038,646
	5,300	2.00%, 2/15/22		5,156,529
	Total U.S. Treasury Obligations (cost-$2,163,165,208)			2,151,054,748
	U.S. Government Agency Securities – 43.1%
		Fannie Mae,
	6,100	0.354%, 10/27/37, CMO (j)		6,085,814
	22	0.604%, 8/25/21, CMO (j)		22,133
	1,052	1.712%, 1/1/34, MBS (j)		1,098,438
	496	1.863%, 1/1/20, MBS (j)		517,960
	289	1.913%, 1/1/22, MBS (j)		298,162
	338	2.025%, 1/1/33, MBS (j)		355,132
	295	2.04%, 5/1/28-5/1/34, MBS (j)		313,918
	15	2.10%, 11/1/32, MBS (j)		14,629
	29	2.123%, 10/1/32, MBS (j)		29,093
	105	2.217%, 12/1/34, MBS (j)		110,830
	57	2.22%, 9/1/27, MBS (j)		59,898
	284	2.24%, 9/1/32, MBS (j)		302,950
	164	2.251%, 5/1/33, MBS (j)		174,528
	83	2.269%, 1/1/33, MBS (j)		88,321
	214	2.297%, 9/1/35, MBS (j)		223,844
	17	2.307%, 9/1/32, MBS (j)		17,497
	262	2.33%, 2/1/33, MBS (j)		260,954
	1,038	2.345%, 11/1/35, MBS (j)		1,113,068
	12	2.50%, 5/1/17, MBS (j)		12,170
	19	2.532%, 6/1/20, MBS (j)		19,757
	212	2.54%, 12/1/32, MBS (j)		212,304
	144	2.55%, 10/1/34, MBS (j)		151,067
	310	2.692%, 4/1/35, MBS (j)		327,565
	46	2.758%, 1/1/18-5/1/18, MBS (j)		48,583
	21	3.133%, 3/25/41, CMO (j)		21,082
	269,000	3.50%, MBS, TBA, 30 Year (e)		272,348,473
	19	3.513%, 5/25/42, CMO (j)		20,387
	419,000	4.00%, MBS, TBA, 30 Year (e)		439,098,885
	430	4.00%, 11/25/19, CMO		452,139
	10,818	4.00%, 9/1/23-10/1/31, MBS		11,512,669
	280,000	4.50%, MBS, TBA, 30 Year (e)		300,156,573
	56,743	4.50%, 11/1/23-5/1/42, MBS		61,058,609
	6,644	4.50%, 11/25/26-10/25/34, CMO		7,188,171

April 30, 2014 |  Semi-Annual Report 45

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
	$ 11,600	4.875%, 12/15/16	$	12,857,858
	40,000	5.00%, MBS, TBA, 30 Year (e)		43,767,040
	93	5.00%, 9/25/14, CMO		93,459
	32,675	5.00%, 9/1/17-4/1/42, MBS		35,881,286
	361	5.50%, 2/25/24, CMO		391,037
	209	6.00%, 8/1/22-12/1/23, MBS		226,687
	14	6.50%, 1/1/25-12/1/28, MBS		15,485
	64	6.50%, 7/18/27, CMO		70,248
	130	7.00%, 11/1/38, MBS		147,417
	48	7.01%, 8/1/22, MBS		49,400
	2	7.925%, 2/1/25, MBS (j)		2,130
	40	11.00%, 7/15/20, MBS		41,057
		Freddie Mac,
	74	0.605%, 8/15/29-12/15/31, CMO (j)		74,501
	8	0.655%, 9/15/30, CMO (j)		7,990
	11	0.705%, 3/15/32, CMO (j)		11,522
	241	0.805%, 3/15/20-2/15/24, CMO (j)		249,027
	3	0.855%, 10/15/19, CMO (j)		2,992
	44	1.305%, 9/15/22, CMO (j)		45,088
	12	1.505%, 8/15/23, CMO (j)		12,882
	97	1.955%, 8/1/32, MBS (j)		98,475
	3,726	2.041%, 6/1/35, MBS (j)		3,967,177
	23	2.25%, 8/1/29, MBS (j)		24,418
	1,073	2.267%, 10/1/35, MBS (j)		1,150,099
	75	2.315%, 2/1/33, MBS (j)		79,924
	108	2.334%, 4/1/32, MBS (j)		109,118
	140	2.347%, 2/1/29, MBS (j)		150,209
	9	2.348%, 1/1/33, MBS (j)		9,684
	255	2.35%, 3/1/32, MBS (j)		257,098
	338	2.354%, 5/1/34, MBS (j)		361,178
	216	2.375%, 1/1/32-10/1/32, MBS (j)		225,794
	10	2.464%, 7/1/29, MBS (j)		10,662
	63	2.625%, 10/1/32, MBS (j)		63,788
	12	2.643%, 7/1/32, MBS (j)		12,544
	13	2.663%, 8/1/32, MBS (j)		14,276
	7,300	3.75%, 3/27/19		7,999,048
	14	4.50%, 5/15/18, CMO		14,741
	6,756	5.50%, 3/15/34-5/15/36, CMO		7,431,684
	616	6.00%, 8/15/16-12/15/28, CMO		671,518
	280	6.50%, 8/15/16-7/15/31, CMO		312,924
	20	7.00%, 4/1/29-6/1/30, MBS		23,536
	80	7.50%, 8/15/30, CMO		93,259
		Ginnie Mae,
	19	0.507%, 6/20/32, CMO (j)		19,585
	1,963	1.625%, 3/20/17-6/20/32, MBS (j)		2,040,746
	155	2.00%, 5/20/18-9/20/27, MBS (j)		162,847
	34	2.125%, 6/20/22, MBS (j)		35,777
	24	2.50%, 1/20/18-9/20/21, MBS (j)		25,287

46 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
	$ 74	3.00%, 4/20/19-8/20/25, MBS (j)		$ 76,582
	3	4.50%, 8/20/18, MBS (j)		2,851
	2	6.50%, 5/15/23-12/15/23, MBS		1,960
	11,905	SLM Student Loan Trust, 1.739%, 4/25/23, ABS (j)		12,323,108
	15,127	Small Business Administration Participation Certificates, 5.23%, 3/1/27, ABS		16,453,815
	808	Vendee Mortgage Trust, 6.50%, 9/15/24, CMO		913,011
	Total U.S. Government Agency Securities (cost-$1,237,567,864)			1,252,799,432
	Corporate Bonds & Notes – 26.6%
		Banking – 9.6%
	563	Achmea Hypotheekbank NV, 3.20%, 11/3/14 (a)(d)		571,296
	600	American Express Bank FSB, 6.00%, 9/13/17		689,543
	5,000	Banco Santander Chile, 3.875%, 9/20/22 (a)(d)		4,937,690
	10,000	Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santand, 4.125%, 11/9/22 (a)(d)		9,975,000
		Bank of America Corp.,
	8,295	0.566%, 8/15/16 (j)		8,221,374
	200	5.00%, 1/15/15		206,041
	300	5.00%, 5/13/21		330,977
	400	5.45%, 7/15/14		403,955
	18,600	5.625%, 7/1/20		21,281,134
	20,000	5.70%, 1/24/22		22,926,280
	21,700	5.75%, 12/1/17		24,573,037
	15,680	Bank of Nova Scotia, 1.65%, 10/29/15 (a)(d)		15,966,991
		Citigroup, Inc.,
	4,700	1.936%, 5/15/18 (j)		4,877,110
	1,550	4.587%, 12/15/15		1,642,495
	17,900	6.125%, 5/15/18		20,631,916
	12,700	6.375%, 8/12/14		12,902,654
		Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (a)(d),
	1,600	3.20%, 3/11/15		1,638,858
	36,900	4.75%, 1/15/20		40,770,293
	6,100	HSBC Holdings PLC, 6.50%, 5/2/36		7,335,555
	6,700	ICICI Bank Ltd., 4.75%, 11/25/16 (a)(d)		7,086,610
		JPMorgan Chase & Co.,
	35,000	0.854%, 2/26/16 (j)		35,199,605
	500	3.15%, 7/5/16		523,098
	4,700	JPMorgan Chase Bank N.A., 0.563%, 6/13/16 (j)		4,680,166
	6,400	Morgan Stanley, 6.00%, 4/28/15		6,735,450
	3,500	Regions Financial Corp., 7.75%, 11/10/14		3,631,715
	9,663	UBS AG, 4.875%, 8/4/20		10,781,637
	3,000	Wachovia Bank N.A., 6.60%, 1/15/38		4,010,844
	7,600	Wachovia Corp., 0.503%, 6/15/17 (j)		7,580,559
				280,111,883
		Capital Markets – 1.9%
	55,000	Blackstone CQP Holdco LP, 2.324%, 3/18/19 (a)(b)(d)(i)
		(acquisition cost-$55,000,000; purchased 3/18/14)		55,222,740
		Commercial Services – 0.2%
	4,700	Stanford University, 4.75%, 5/1/19		5,284,882

April 30, 2014 |  Semi-Annual Report 47

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		Diversified Financial Services – 6.6%
		Bear Stearns Cos. LLC,
	$ 30,600	6.40%, 10/2/17		$ 35,421,152
	19,000	7.25%, 2/1/18		22,614,123
	7,000	Corp. Financiera de Desarrollo S.A., 4.75%, 2/8/22 (a)(d)		7,157,500
		Ford Motor Credit Co. LLC,
	14,000	8.00%, 6/1/14		14,076,552
	17,700	8.70%, 10/1/14		18,299,942
	5,000	General Electric Capital Corp., 6.15%, 8/7/37		6,169,410
		HSBC Finance Corp.,
	8,000	0.666%, 6/1/16 (j)		8,001,192
	19,600	6.676%, 1/15/21		23,210,457
	32,250	International Lease Finance Corp., 6.50%, 9/1/14 (a)(d)		32,975,625
	10,000	OMX Timber Finance Investments I LLC, 5.42%, 1/29/20 (a)(b)(d)(i)
		(acquisition cost-$10,780,800; purchased 10/6/10)		11,064,000
		SLM Corp.,
	3,400	5.05%, 11/14/14		3,468,000
	10,600	5.375%, 5/15/14		10,615,497
				193,073,450
		Electric Utilities – 0.1%
	2,600	Electricite de France, 6.50%, 1/26/19 (a)(d)		3,097,864
		Healthcare-Services – 0.6%
	5,000	HCA, Inc., 5.875%, 3/15/22		5,375,000
	9,298	Roche Holdings, Inc., 6.00%, 3/1/19 (a)(d)		10,962,305
				16,337,305
		Insurance – 1.4%
		American International Group, Inc.,
	10,000	6.25%, 5/1/36		12,623,190
	£455	6.765%, 11/15/17		882,218
	$7,200	8.25%, 8/15/18		9,010,951
	1,500	Ohio National Financial Services, Inc., 6.375%, 4/30/20 (a)(d)		1,740,833
	16,400	Stone Street Trust, 5.902%, 12/15/15 (a)(d)		17,592,132
				41,849,324
		Investment Companies – 0.4%
	10,000	Temasek Financial I Ltd., 4.30%, 10/25/19		11,004,240
		Media – 0.4%
	11,250	Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22		12,077,500
		Oil & Gas – 1.4%
		Gaz Capital S.A. for Gazprom,
	4,750	6.212%, 11/22/16		4,945,938
	2,000	8.125%, 7/31/14		2,022,500
	180	Odebrecht Drilling Norbe VIII/IX Ltd., 6.35%, 6/30/21 (a)(d)		190,125
	15,000	Petrobras International Finance Co., 5.375%, 1/27/21		15,432,090
	4,400	Petrohawk Energy Corp., 7.25%, 8/15/18		4,655,574
	1,100	Rosneft Finance S.A., 6.25%, 2/2/15		1,119,250
	12,300	Southwestern Energy Co., 4.10%, 3/15/22		12,838,924
				41,204,401

48 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		Pharmaceuticals – 0.7%
	$ 8,000	Novartis Securities Investment Ltd., 5.125%, 2/10/19		$ 9,134,696
	8,700	Pfizer, Inc., 6.20%, 3/15/19		10,274,222
				19,408,918
		Real Estate – 0.1%
	2,000	Qatari Diar Finance Co., 5.00%, 7/21/20		2,240,000
		Real Estate Investment Trust – 0.3%
	8,500	Hospitality Properties Trust, 5.00%, 8/15/22		8,947,746
		Retail – 0.7%
	13,653	CVS Pass-Through Trust, 7.507%, 1/10/32 (a)(d)		16,928,975
	2,349	Macy’s Retail Holdings, Inc., 7.875%, 7/15/15		2,544,963
				19,473,938
		Telecommunications – 2.1%
	32,100	AT&T, Inc., 5.50%, 2/1/18		36,426,181
		Verizon Communications, Inc.,
	5,400	4.50%, 9/15/20		5,892,226
	16,200	5.15%, 9/15/23		17,884,071
				60,202,478
		Tobacco – 0.1%
		Altria Group, Inc.,
	1,171	9.25%, 8/6/19		1,554,417
	332	9.70%, 11/10/18		438,623
				1,993,040
	Total Corporate Bonds & Notes (cost-$728,186,333)			771,529,709
	Municipal Bonds – 15.9%
		California – 5.5%
	11,000	Alameda Cnty. Joint Powers Auth. Rev., 7.046%, 12/1/44, Ser. A		13,497,660
		Bay Area Toll Auth. Rev.,
	11,000	6.907%, 10/1/50, Ser. S-3		15,144,030
	1,300	6.918%, 4/1/40, Ser. S-1		1,714,908
	14,000	7.043%, 4/1/50, Ser. S-1		19,405,400
	11,200	Irvine Ranch Water Dist., Special Assessment, 6.622%, 5/1/40, Ser. B		14,183,232
		Los Angeles Cnty. Metropolitan Transportation Auth. Rev.,
	1,850	4.53%, 6/1/22		2,033,168
	600	5.735%, 6/1/39		705,360
		Los Angeles Department of Water & Power Rev.,
	6,400	6.166%, 7/1/40		7,016,640
	12,500	6.603%, 7/1/50		17,057,750
	6,500	Los Angeles Unified School Dist., GO, 5.981%, 5/1/27, Ser. J-05		7,928,505
	2,000	Napa Valley Unified School Dist., GO, 6.507%, 8/1/43, Ser. B		2,476,940
	3,500	Newport Beach, CP, 7.168%, 7/1/40, Ser. B		4,130,140
	4,200	Palomar Community College Dist., GO, 7.194%, 8/1/45, Ser. B-1		4,721,724
	6,500	Pasadena Public Financing Auth. Rev., 7.148%, 3/1/43, Ser. D		8,173,295
		Riverside Community College Dist., GO, Ser. D-1,
	1,550	6.971%, 8/1/35		1,735,179
	3,250	7.021%, 8/1/40		3,646,792
	1,000	San Diego Redev. Agcy., Tax Allocation, 7.75%, 9/1/40, Ser. A		1,060,110
	6,400	San Francisco Public Utilities Commission Water Rev., 5.50%, 11/1/25, Ser. B		7,420,800

April 30, 2014 |  Semi-Annual Report 49

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		California (continued)
		State, GO,
	$ 1,200	7.35%, 11/1/39		$ 1,642,440
	600	7.50%, 4/1/34		829,230
	10,000	7.625%, 3/1/40		14,217,400
	985	Tobacco Securitization Auth. of Northern California Rev., 5.40%, 6/1/27, Ser. A-2		905,954
	1,050	Tobacco Securitization Auth. of Southern California Rev., 5.00%, 6/1/37, Ser. A-1		833,480
		Univ. of California Rev.,
	2,750	6.296%, 5/15/50		3,236,860
	5,100	6.398%, 5/15/31, Ser. H		6,059,718
				159,776,715
		Illinois – 0.1%
	2,200	State Toll Highway Auth. Rev., 6.184%, 1/1/34, Ser. A		2,722,280
		Massachusetts – 0.0%
	750	Univ. of Massachusetts Building Auth. Rev., 6.423%, 5/1/29		841,710
		Michigan – 0.0%
	1,250	State Univ. Rev., 6.173%, 2/15/50, Ser. A		1,417,712
		New Jersey – 0.7%
	1,335	Economic Dev. Auth. Rev., 6.425%, 12/15/35, Ser. CC-1		1,464,482
		Tobacco Settlement Financing Corp. Rev., Ser. 1-A,
	200	5.00%, 6/1/29		171,608
	21,960	5.00%, 6/1/41		17,391,441
				19,027,531
		New York – 4.1%
		Metropolitan Transportation Auth. Rev.,
	2,000	5.00%, 11/15/27, Ser. D		2,229,300
	3,500	5.871%, 11/15/39		4,123,035
	12,000	6.814%, 11/15/40		15,707,760
	8,650	New York City, GO, 6.246%, 6/1/35, Ser. H-1		9,658,244
		New York City Transitional Finance Auth. Rev.,
	7,330	4.325%, 11/1/21		7,951,511
	16,700	4.525%, 11/1/22		18,246,420
	5,000	5.267%, 5/1/27, Ser. G-3		5,777,600
	12,400	5.572%, 11/1/38		14,694,992
	14,700	5.932%, 11/1/36		16,002,420
		New York City Water & Sewer System Rev.,
	3,000	6.124%, 6/15/42		3,277,710
	5,800	Second Generation Resolutions, 6.282%, 6/15/42		6,441,016
	2,500	Port Auth. of New York & New Jersey Rev., 5.859%, 12/1/24, Ser. 158		3,002,625
		State Dormitory Auth. Rev.,
	4,000	5.051%, 9/15/27		4,457,680
	400	5.50%, 3/15/30		464,824
	5,200	Triborough Bridge & Tunnel Auth. Rev., 5.55%, 11/15/40, Ser. A-2		5,829,408
				117,864,545
		Ohio – 1.5%
	10,500	American Municipal Power, Inc. Rev., Comb Hydroelectric Projects, 8.084%, 2/15/50, Ser. B		15,501,255

50 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		Ohio (continued)
		Buckeye Tobacco Settlement Financing Auth. Rev., Ser. A-2,
	$ 21,800	5.875%, 6/1/47		$ 17,689,610
	11,825	6.00%, 6/1/42		9,699,693
	500	6.50%, 6/1/47		440,780
	600	Higher Educational Fac. Commission Rev., Cleveland Clinic Health, 5.00%, 1/1/38		647,118
				43,978,456
		Pennsylvania – 0.3%
	600	Economic Dev. Financing Auth. Rev., 6.532%, 6/15/39, Ser. B		671,730
	8,500	State Public School Building Auth. Rev., 5.426%, 9/15/26, Ser. B		9,462,540
				10,134,270
		Tennessee – 0.0%
	100	Metropolitan Gov’t of Nashville & Davidson Cnty. Water & Sewer Rev., 6.568%, 7/1/37, Ser. B		124,307
		Texas – 2.5%
	4,600	City Public Service Board of San Antonio Rev., 6.308%, 2/1/37		5,102,596
	19,000	Municipal Gas Acquisition & Supply Corp III Rev., 5.00%, 12/15/25		20,529,880
	8,600	State, GO, 4.631%, 4/1/33, Ser. A		9,428,954
	33,600	State Transportation Commission Rev., 5.178%, 4/1/30, Ser. B		39,066,048
				74,127,478
		Washington – 0.3%
	6,800	State Convention Center Public Facs. Dist. Rev., 6.79%, 7/1/40		7,789,400
		West Virginia – 0.9%
	29,815	Tobacco Settlement Finance Auth. Rev., 7.467%, 6/1/47, Ser. A		25,335,892
	Total Municipal Bonds (cost-$407,084,416)			463,140,296
	Mortgage-Backed Securities – 12.3%
		Adjustable Rate Mortgage Trust, CMO (j),
	416	2.728%, 11/25/35		357,637
	209	4.901%, 1/25/36		193,600
	824	4.983%, 11/25/35		762,209
	1,096	American General Mortgage Loan Trust, 5.15%, 3/25/58, CMO (a)(d)(j)		1,107,553
		American Home Mortgage Assets Trust, CMO (j),
	1,252	0.344%, 9/25/46		911,203
	1,025	0.364%, 10/25/46		665,827
	835	1.054%, 11/25/46		451,853
	392	Banc of America Alternative Loan Trust, 16.601%, 9/25/35, CMO (b)(j)		485,878
		Banc of America Funding Trust, CMO (j),
	340	0.347%, 10/20/36		243,349
	290	0.364%, 4/25/37		196,927
	251	0.554%, 5/25/37		176,481
	1,315	2.683%, 2/20/36		1,318,154
	483	2.756%, 9/20/47		368,120
	344	5.436%, 9/20/46		287,568
		Banc of America Mortgage Trust, CMO,
	3	2.689%, 2/25/33 (j)		2,475
	1,389	5.50%, 9/25/35		1,343,231
		BCAP LLC Trust, CMO (j),
	200	0.312%, 3/26/37 (a)(d)		194,477

April 30, 2014 |  Semi-Annual Report 51

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
	$ 536	0.352%, 7/26/36 (a)(d)		$ 512,917
	1,218	0.374%, 5/25/47		914,961
	251	0.404%, 7/26/35 (a)(b)(d)(i)
		(acquisition cost-$247,871; purchased 3/31/14)		247,026
	188	0.654%, 5/26/35 (a)(d)		173,723
	357	0.672%, 11/26/35 (a)(d)		351,291
	271	0.894%, 1/26/36 (a)(d)		268,077
	437	0.973%, 11/26/46 (a)(d)		422,235
	394	1.581%, 10/26/35 (a)(b)(d)(i)
		(acquisition cost-$395,942; purchased 3/31/14)		396,792
	984	2.229%, 7/26/36 (a)(d)		988,149
	146	2.391%, 1/26/34 (a)(d)		145,595
	303	2.61%, 2/26/35 (a)(d)		302,602
	601	2.618%, 6/26/35 (a)(b)(d)(i)
		(acquisition cost-$615,250; purchased 3/31/14)		614,411
	621	2.653%, 7/26/36 (a)(d)		518,079
	342	2.932%, 3/26/37 (a)(b)(d)(i)
		(acquisition cost-$266,987; purchased 4/10/14)		268,550
	433	4.00%, 2/26/37 (a)(d)(f)		416,793
	87	5.142%, 7/26/36 (a)(d)		68,306
	446	13.815%, 10/26/36 (a)(b)(d)(i)
		(acquisition cost-$419,325; purchased 3/27/14)		429,141
	4,114	BCRR Trust, 5.819%, 8/17/45, CMO (a)(d)(j)		4,491,284
		Bear Stearns Adjustable Rate Mortgage Trust, CMO (j),
	2,028	2.43%, 10/25/35		1,997,856
	314	2.43%, 2/25/36		225,523
	2,470	2.484%, 12/25/46		2,055,739
	2,873	2.533%, 3/25/35		2,918,880
	353	2.654%, 10/25/35		349,332
	177	2.686%, 2/25/34		177,023
	45	2.687%, 1/25/35		45,832
	177	2.781%, 1/25/34		178,342
	661	2.976%, 5/25/47		558,535
	208	5.165%, 8/25/35		183,825
		Bear Stearns ALT-A Trust, CMO (j),
	776	2.46%, 2/25/36		532,627
	438	2.486%, 8/25/36		188,985
	4,866	2.532%, 6/25/34		3,669,523
	153	2.674%, 5/25/35		149,611
	258	4.413%, 11/25/36		200,835
	1,286	4.855%, 7/25/35		1,072,420
	1,226	5.178%, 5/25/36		974,450
	14	Bear Stearns Mortgage Securities, Inc., 6.374%, 3/25/31, CMO (j)		14,833
	1,906	Bear Stearns Structured Products, Inc. Trust, 1.885%, 1/26/36, CMO (j)		1,538,801
		Chase Mortgage Finance Trust, CMO,
	1,442	5.639%, 9/25/36 (j)		1,320,853
	258	6.00%, 5/25/37		237,681

52 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		ChaseFlex Trust, CMO,
	$ 78	4.894%, 8/25/37		$ 62,485
	268	5.00%, 7/25/37		233,357
		Citigroup Commercial Mortgage Trust, CMO (a)(d)(j),
	9,862	5.322%, 12/17/49		10,870,523
	14,397	5.858%, 7/17/40		15,522,685
		Citigroup Mortgage Loan Trust, Inc., CMO (j),
	300	0.318%, 10/25/46 (a)(b)(d)(i)
		(acquisition cost-$281,813; purchased 11/21/13)		281,242
	523	2.299%, 10/25/46		415,243
	557	2.51%, 10/25/35		552,652
	248	2.582%, 12/25/35		172,919
	107	2.605%, 8/25/35		106,450
	245	2.757%, 3/25/37		192,343
	1,462	2.895%, 9/25/37		1,226,503
	185	6.579%, 11/25/37 (a)(d)		157,292
	200	8.075%, 9/25/37 (a)(b)(d)(i)
		(acquisition cost-$188,500; purchased 4/29/14)		189,167
	15,034	Commercial Mortgage Trust, 3.156%, 7/10/46, CMO (a)(d)		15,401,849
	469	Community Program Loan Trust, 4.50%, 4/1/29, CMO		474,739
		Countrywide Alternative Loan Trust, CMO,
	1,759	0.294%, 8/25/37 (j)		1,325,358
	333	0.314%, 12/25/46 (j)		310,571
	2,579	0.324%, 11/25/36 (j)		2,221,744
	523	0.324%, 1/25/37 (j)		435,207
	2,752	0.334%, 5/25/47 (j)		2,309,292
	3,021	0.337%, 2/20/47 (j)		2,269,033
	473	0.344%, 7/25/46 (j)		385,860
	1,135	0.344%, 9/25/46 (j)		911,962
	549	0.344%, 10/25/46 (j)		525,405
	103	0.367%, 7/20/46 (j)		63,022
	4,322	0.374%, 5/25/35 (j)		3,662,055
	2,140	0.414%, 12/25/35 (j)		1,895,946
	102	0.424%, 5/25/36 (j)		57,693
	454	0.464%, 8/25/35 (j)		348,787
	289	0.464%, 10/25/35 (j)		232,848
	952	1.129%, 2/25/36 (j)		843,420
	353	2.557%, 3/25/47 (j)		322,243
	580	2.625%, 8/25/35 (j)		492,401
	443	4.749%, 6/25/47 (j)		369,897
	240	5.345%, 11/25/35 (j)		196,646
	232	5.50%, 11/25/35		192,645
	195	5.50%, 2/25/36		172,131
	282	5.75%, 4/25/47		228,815
	203	6.00%, 12/25/34		201,762
	482	6.00%, 3/25/36		401,052
	187	6.00%, 8/25/36 (j)		168,017
	986	6.00%, 2/25/37		780,436

April 30, 2014 |  Semi-Annual Report 53

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)					Value
	$ 198		6.00%, 4/25/37			$ 168,587
	870		6.00%, 5/25/37			707,533
	286		6.00%, 8/25/37			229,501
	919		6.00%, 8/25/37 (j)			766,804
	210		6.25%, 11/25/36			192,511
	134		6.50%, 12/25/36	��		107,540
	624		6.50%, 8/25/37			453,658
	128		19.376%, 7/25/35 (b)(j)			172,194
			Countrywide Home Loan Mortgage Pass-Through Trust, CMO,
	180		0.384%, 5/25/35 (j)			154,714
	175		0.454%, 4/25/46 (j)			83,725
	1,359		0.474%, 3/25/35 (j)			1,210,300
	889		0.494%, 3/25/36 (j)			493,345
	848		0.524%, 2/25/35 (j)			732,274
	719		0.544%, 2/25/35 (j)			541,789
	42		0.694%, 2/25/35 (j)			39,857
	876		0.774%, 3/25/35 (j)			776,823
	121		2.417%, 2/20/36 (j)			113,959
	318		2.556%, 4/25/35 (j)			89,651
	360		2.576%, 5/20/36 (j)			289,999
	250		5.05%, 10/20/35 (j)			210,225
	371		5.123%, 1/25/36 (j)			340,064
	977		5.50%, 7/25/37			876,009
	1,094		6.00%, 2/25/37			1,025,790
	660		6.00%, 7/25/37			565,271
	2,440		6.50%, 11/25/36			2,245,176
			Credit Suisse First Boston Mortgage Securities Corp., CMO (j),
	11		0.804%, 3/25/32 (a)(d)			10,051
	223		1.304%, 9/25/34			186,263
			Credit Suisse Mortgage Capital Certificates, CMO (j),
	100		0.394%, 5/27/37 (a)(b)(d)(i)
			(acquisition cost-$81,750; purchased 4/1/14)			83,259
	1,900		2.346%, 4/26/38 (a)(d)			1,858,629
	327		2.659%, 9/27/36 (a)(d)			331,740
	190		2.69%, 8/28/36 (a)(d)			183,838
	589		4.853%, 4/28/37 (a)(d)			376,739
	27,960		5.971%, 9/15/39			30,630,488
			Deutsche ALT-A Securities Mortgage Loan Trust, CMO (j),
	224		0.314%, 1/25/47			161,401
	963		0.344%, 8/25/47			805,005
	774		Deutsche ALT-A Securities, Inc., 0.454%, 4/25/37, CMO (j)			438,492
	166		Downey Savings & Loan Assoc. Mortgage Loan Trust, 0.476%, 7/19/45, CMO (j)			30,180
	401		First Horizon Alternative Mortgage Securities Trust, 2.21%, 4/25/36, CMO (j)			335,643
	1,137		First Horizon Mortgage Pass-Through Trust, 6.25%, 11/25/36, CMO			1,166,745
	325		GMAC Mortgage Loan Trust, 2.965%, 11/19/35, CMO (j)			292,243
	3,606		Granite Master Issuer PLC, 0.337%, 12/20/54, CMO (j)			3,575,519
			Greenpoint Mortgage Funding Trust, CMO (j),
	–	*	0.234%, 10/25/46			1
	395		0.354%, 12/25/46			207,166

54 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
	$ 356	GSC Capital Corp. Mortgage Trust, 0.334%, 5/25/36, CMO (j)		$ 255,907
		GSR Mortgage Loan Trust, CMO (j),
	962	2.651%, 9/25/35		974,977
	218	2.661%, 9/25/34		205,716
	144	2.666%, 4/25/35		139,462
		Harborview Mortgage Loan Trust, CMO (j),
	83	0.346%, 1/19/38		70,437
	240	0.406%, 1/19/36		165,821
	213	0.406%, 1/19/38		65,559
	78	0.406%, 9/19/46		9,831
	281	2.717%, 12/19/35		252,642
	257	HomeBanc Mortgage Trust, 0.334%, 12/25/36, CMO (j)		223,658
		Impac Secured Assets Trust, CMO (j),
	2,320	0.304%, 11/25/36		1,560,450
	606	0.324%, 1/25/37		496,180
	659	IndyMac IMSC Mortgage Loan Trust, 0.334%, 7/25/47, CMO (j)		481,169
	377	IndyMac INDB Mortgage Loan Trust, 0.454%, 11/25/35, CMO (j)		229,100
		IndyMac Index Mortgage Loan Trust, CMO (j),
	131	0.344%, 9/25/46		112,538
	617	0.434%, 3/25/35		572,944
	205	2.163%, 6/25/37		156,818
	195	2.644%, 6/25/35		164,078
	3,436	4.532%, 6/25/36		3,325,504
	1,006	4.608%, 9/25/35		243,428
	2,178	4.631%, 8/25/35		1,830,706
	364	4.668%, 11/25/35		302,385
	1,940	4.80%, 10/25/35		1,680,051
		JPMorgan Alternative Loan Trust, CMO (j),
	8,900	0.654%, 6/27/37 (a)(d)		7,518,995
	121	3.251%, 12/25/36		108,394
		JPMorgan Chase Commercial Mortgage Securities Trust, CMO,
	21,447	2.749%, 11/15/43 (a)(d)		22,046,861
	20,000	3.341%, 7/15/46 (a)(d)		20,881,500
	22,900	4.106%, 7/15/46 (a)(d)		24,748,625
	600	5.336%, 5/15/47		654,862
		JPMorgan Mortgage Trust, CMO (j),
	58	2.566%, 1/25/37		50,785
	1,344	2.663%, 7/25/35		1,368,971
	854	2.834%, 9/25/34		863,095
	118	3.115%, 4/25/35		120,442
	219	5.081%, 11/25/35		211,860
	451	5.113%, 6/25/37		410,719
	332	Lavendar Trust, 6.25%, 10/26/36, CMO (a)(d)		243,484
		Lehman Mortgage Trust, CMO,
	147	5.50%, 11/25/35		140,441
	482	5.572%, 1/25/36 (j)		445,424
	589	5.764%, 12/25/35 (j)		530,630

April 30, 2014 |  Semi-Annual Report 55

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		Lehman XS Trust, CMO (j),
	$ 165	0.354%, 8/25/46		$ 125,896
	18	0.384%, 8/25/46		679
	173	0.394%, 11/25/46		26,461
		Luminent Mortgage Trust, CMO (j),
	1,413	0.324%, 12/25/36		1,097,081
	478	0.354%, 10/25/46		421,949
	234	MASTR Adjustable Rate Mortgages Trust, 0.394%, 5/25/37, CMO (j)		157,161
		MASTR Reperforming Loan Trust, CMO (a)(d),
	1,829	7.00%, 5/25/35		1,736,468
	1,670	8.00%, 7/25/35		1,730,516
	96	Mellon Residential Funding Corp., 2.609%, 10/20/29, CMO (j)		97,838
	854	Merrill Lynch Alternative Note Asset Trust, 0.454%, 3/25/37, CMO (j)		372,224
		Merrill Lynch Mortgage Investors Trust, CMO (j),
	184	1.349%, 7/25/29		175,864
	721	1.596%, 10/25/35		708,672
	2,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, 5.894%, 8/12/49, CMO (j)		2,233,926
		Morgan Stanley Capital I Trust, CMO,
	37,225	5.332%, 12/15/43		40,329,063
	1,100	5.692%, 4/15/49 (j)		1,216,826
	216	Morgan Stanley Dean Witter Capital I, Inc. Trust, 1.686%, 3/25/33, CMO (j)		207,027
		Morgan Stanley Mortgage Loan Trust, CMO,
	289	2.118%, 6/25/36 (j)		281,110
	147	6.00%, 10/25/37		120,613
		Morgan Stanley Re-Remic Trust, CMO (a)(d),
	418	0.451%, 2/26/37 (b)(i)(j)
		(acquisition cost-$265,750; purchased 4/16/14)		269,224
	575	0.461%, 1/26/51 (b)(i)(j)
		(acquisition cost-$540,643; purchased 4/30/14)		547,571
	152	5.50%, 8/26/47		159,111
	3,158	NCUA Guaranteed Notes Trust, 0.606%, 10/7/20, CMO (j)		3,178,759
	888	Nomura Asset Acceptance Corp., 7.50%, 3/25/34, CMO (a)(d)		960,944
	1,197	Nomura Asset Acceptance Corp. Alternative Loan Trust, 5.203%, 2/25/36, CMO (j)		1,005,950
	4	Opteum Mortgage Acceptance Corp. Pass-Through Certificates, 0.414%, 7/25/35, CMO (j)		4,223
		Residential Accredit Loans, Inc., CMO (j),
	753	0.324%, 12/25/36		571,924
	302	0.354%, 5/25/47		248,612
	236	0.364%, 6/25/37		175,770
	792	0.404%, 8/25/37		579,881
	336	0.454%, 8/25/35		266,252
	261	0.554%, 10/25/45		191,036
	771	3.252%, 2/25/35		624,095
	228	3.55%, 2/25/36		164,256
	335	8.00%, 4/25/36		303,540
		Residential Asset Securitization Trust, CMO,
	200	6.00%, 11/25/36		152,142
	196	6.00%, 3/25/37		156,414
	137	6.25%, 11/25/36		105,867

56 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		Residential Funding Mortgage Securities I, CMO,
	$ 2,121	3.378%, 3/25/35 (j)		$ 1,755,423
	613	6.00%, 9/25/36		566,174
		Structured Adjustable Rate Mortgage Loan Trust, CMO (j),
	941	0.889%, 6/25/34		884,617
	997	1.526%, 5/25/35		717,520
	253	2.376%, 12/25/35		240,138
	339	2.477%, 10/25/36		257,002
	131	2.481%, 10/25/34		130,641
	11	2.496%, 1/25/36		10,555
	6,331	2.693%, 9/25/36		4,017,974
	13	4.512%, 7/25/37		10,035
		Structured Asset Mortgage Investments II Trust, CMO (j),
	339	0.284%, 3/25/37		260,982
	526	0.344%, 6/25/36		425,815
	1,052	0.344%, 7/25/46		857,384
	1,648	0.354%, 5/25/36		1,236,985
	2,400	0.364%, 9/25/47		1,580,633
	1,358	0.374%, 5/25/46		794,943
	149	0.414%, 5/25/46		30,383
	882	0.856%, 3/19/34		817,170
	1,170	1.614%, 2/25/36		997,187
	867	Structured Asset Mortgage Investments Trust, 0.896%, 12/19/33, CMO (j)		834,790
	112	Structured Asset Securities Corp. Mortgage Loan Trust, 0.504%, 2/25/35, CMO (j)		105,648
		Structured Asset Securities Corp. Mortgage Pass-Through Certificates, CMO (j),
	3	1.829%, 5/25/32		3,051
	5	2.227%, 1/25/32		5,080
	202	2.382%, 2/25/34		199,286
	2	2.516%, 2/25/32		2,264
	760	Suntrust Adjustable Rate Mortgage Loan Trust, 6.004%, 2/25/37, CMO (j)		652,737
	225	Wachovia Mortgage Loan Trust LLC, 5.413%, 10/20/35, CMO (j)		222,701
		WaMu Mortgage Pass-Through Certificates, CMO (j),
	18	0.424%, 12/25/45		17,193
	572	0.474%, 1/25/45		527,450
	474	0.558%, 11/25/34		449,458
	448	0.564%, 11/25/45		392,824
	2,473	0.578%, 10/25/44		2,371,728
	1,305	0.678%, 11/25/34		1,201,410
	355	0.879%, 6/25/47		130,103
	53	1.331%, 11/25/42		51,833
	439	2.284%, 11/25/46		428,116
	919	2.41%, 8/25/33		934,686
	315	2.414%, 8/25/36		276,543
	365	4.157%, 12/25/36		333,000
		Washington Mutual Mortgage Pass-Through Certificates,
	726	0.829%, 4/25/47, CMO (j)		586,193
	1,061	0.899%, 4/25/47, CMO (j)		859,251
	228	4.925%, 9/25/36, CMO		137,690

April 30, 2014 |  Semi-Annual Report 57

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
	$ 962	Washington Mutual Mortgage Pass-Through Certificates Trust, 0.604%, 5/25/35, CMO (j)		$ 789,297
	174	Wells Fargo Alternative Loan Trust, 2.673%, 7/25/37, CMO (j)		146,880
		Wells Fargo Mortgage-Backed Securities Trust, CMO,
	385	0.654%, 7/25/37 (j)		325,744	��
	2,311	2.614%, 3/25/36 (j)		2,320,933
	421	2.615%, 8/25/34 (j)		431,347
	1,176	2.615%, 1/25/35 (j)		1,196,547
	6,893	2.615%, 6/25/35 (j)		6,942,174
	3,441	2.616%, 3/25/35 (j)		3,444,014
	312	2.628%, 3/25/36 (j)		296,946
	484	6.00%, 6/25/37		469,394
	Total Mortgage-Backed Securities (cost-$343,522,483)			356,879,644
	Sovereign Debt Obligations – 4.1%
		Brazil – 0.1%
	1,400	Brazilian Development Bank, 3.375%, 9/26/16 (a)(d)		1,429,750
		Canada – 1.6%
	CAD 53,300	Province of Ontario Canada, 2.85%, 6/2/23		47,668,534
		China – 0.3%
		Export-Import Bank of China,
	$4,050	4.875%, 7/21/15 (a)(d)		4,236,535
	3,350	4.875%, 7/21/15		3,504,130
				7,740,665
		Korea (Republic of) – 0.8%
	21,900	Export-Import Bank of Korea, 5.125%, 6/29/20		24,573,311
		Qatar – 1.0%
		Qatar Government International Bond,
	3,900	4.00%, 1/20/15 (a)(d)		4,000,230
	10,200	5.25%, 1/20/20 (a)(d)		11,641,260
	2,300	6.40%, 1/20/40 (a)(d)		2,762,760
	9,500	6.55%, 4/9/19		11,483,125
				29,887,375
		Venezuela – 0.3%
	10,000	Venezuela Government International Bond, 9.25%, 5/7/28		8,000,000
	Total Sovereign Debt Obligations (cost-$119,513,867)			119,299,635
	Asset-Backed Securities – 4.1%
		Aames Mortgage Investment Trust (j),
	200	0.934%, 10/25/35		155,636
	700	1.354%, 6/25/35		534,934
		ABFC Trust (j),
	319	0.264%, 1/25/37		194,122
	266	0.374%, 1/25/37		164,046
	359	1.154%, 6/25/37		246,392
	199	Access Group, Inc., 1.539%, 10/27/25 (j)		200,949
		Accredited Mortgage Loan Trust (j),
	700	0.414%, 9/25/36		527,698
	200	0.63%, 9/25/35		147,597

58 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		ACE Securities Corp. Home Equity Loan Trust (j),
	$ 422	0.262%, 12/25/36		$ 182,022
	607	0.294%, 7/25/36		438,017
	181	0.314%, 5/25/36		152,938
	200	0.454%, 2/25/36		155,146
	200	0.594%, 11/25/35		159,412
	1,300	0.624%, 10/25/35		1,097,271
	100	0.804%, 7/25/35		84,206
		Aegis Asset-Backed Securities Trust (j),
	200	0.584%, 12/25/35		132,549
	200	0.634%, 6/25/35		131,345
	300	1.204%, 3/25/35		228,105
	200	1.654%, 3/25/35		175,922
	400	Ameriquest Mortgage Securities Trust, 0.544%, 3/25/36 (j)		333,385
		Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates (j),
	400	0.604%, 7/25/35		352,127
	300	0.604%, 1/25/36		263,250
	200	0.622%, 11/25/35		156,733
	1,000	0.754%, 8/25/35		974,706
		Amortizing Residential Collateral Trust (j),
	44	0.694%, 6/25/32		40,959
	73	0.734%, 7/25/32		67,329
	433	Argent Securities Trust, 0.344%, 3/25/36 (j)		219,011
	148	Argent Securities, Inc. Asset-Backed Pass-Through Certificates, 0.384%, 1/25/36 (j)		98,798
		Asset-Backed Funding Certificates (j),
	997	0.774%, 4/25/34		973,411
	425	0.829%, 6/25/35		380,709
		Asset-Backed Securities Corp. Home Equity Loan Trust (j),
	300	0.604%, 11/25/35		242,516
	200	0.954%, 6/25/34		171,460
	200	1.054%, 6/25/35		164,211
	65	3.155%, 8/15/33		58,369
	555	Bayview Financial Asset Trust, 0.554%, 12/25/39 (a)(d)(f)(j)		467,983
		Bear Stearns Asset-Backed Securities I Trust (j),
	249	0.264%, 11/25/36		205,398
	450	0.324%, 5/25/36		377,773
	192	0.334%, 6/25/47		184,912
	390	0.342%, 5/25/37		339,590
	604	0.354%, 12/25/36		564,763
	184	0.854%, 11/25/35		140,818
	189	1.114%, 4/25/35		175,959
	234	1.404%, 8/25/37		206,143
	282	22.986%, 3/25/36, CMO (b)		312,939
		Bear Stearns Asset-Backed Securities Trust (j),
	460	0.304%, 6/25/36		434,970
	377	0.554%, 9/25/46		304,922
	400	0.604%, 8/25/36		324,828
	300	0.704%, 6/25/36		247,517
	2,270	0.744%, 6/25/43		2,243,173

April 30, 2014 |  Semi-Annual Report 59

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		Carrington Mortgage Loan Trust (j),
	$ 1,200	0.374%, 1/25/37		$ 723,376
	700	0.414%, 2/25/37		471,857
	300	0.854%, 5/25/35		205,606
	38	Cendant Mortgage Corp., 5.965%, 7/25/43 (a)(d)(j)		38,288
		Citigroup Mortgage Loan Trust, Inc. (j),
	253	0.292%, 12/25/36		223,465
	149	0.294%, 5/25/37		142,761
	194	0.554%, 11/25/46 (a)(d)		152,776
	1,700	0.564%, 10/25/35		1,444,981
	628	0.614%, 9/25/35		624,610
	300	0.634%, 9/25/35		264,801
	500	0.642%, 9/25/35		359,872
	200	0.772%, 5/25/35		154,041
		Conseco Financial Corp.,
	2,531	6.18%, 4/1/30		2,612,948
	1,684	6.81%, 12/1/28 (j)		1,792,581
	617	6.87%, 4/1/30 (j)		658,165
	1,000	7.06%, 2/1/31 (j)		1,030,461
	67	7.40%, 6/15/27		67,753
	152	7.55%, 1/15/29 (j)		160,158
		Countrywide Asset-Backed Certificates (j),
	293	0.254%, 8/25/37		290,474
	225	0.274%, 6/25/47		220,889
	8,200	0.294%, 7/25/37		6,145,957
	1,160	0.304%, 5/25/37		977,171
	269	0.314%, 1/25/34		238,691
	1,528	0.314%, 5/25/36		1,402,343
	566	0.314%, 3/25/37		496,665
	622	0.324%, 5/25/37		527,367
	387	0.324%, 6/25/47		331,343
	800	0.334%, 6/25/47		681,673
	400	0.374%, 9/25/37		265,016
	3,200	0.374%, 9/25/47		2,377,181
	200	0.402%, 1/25/46		106,488
	243	0.402%, 6/25/47		129,096
	100	0.502%, 4/25/36		85,525
	327	0.539%, 11/25/35		309,387
	100	0.604%, 4/25/36		69,863
	214	0.604%, 3/25/47 (a)(d)		143,727
	400	0.614%, 5/25/36		327,377
	3	0.624%, 11/25/33 (a)(d)		2,510
	833	0.634%, 12/25/31		610,087
	200	0.642%, 2/25/36		152,125
	83	0.654%, 8/25/47		81,190
	700	0.674%, 12/25/35		673,786
	412	0.754%, 10/25/34		395,299
	200	0.774%, 8/25/35		185,284

60 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
	$ 800	0.952%, 8/25/47		$ 667,998
	200	1.054%, 4/25/35		154,184
		Credit-Based Asset Servicing and Securitization LLC,
	21	0.274%, 7/25/37 (a)(d)(j)		13,405
	452	0.374%, 7/25/37 (a)(d)(j)		291,696
	300	0.724%, 7/25/36 (a)(b)(d)(i)(j)
		(acquisition cost-$261,563; purchased 2/18/14)		265,745
	80	1.099%, 4/25/36 (j)		67,617
	96	4.357%, 7/25/35		97,598
	92	Delta Funding Home Equity Loan Trust, 0.795%, 8/15/30 (j)		74,399
	279	Denver Arena Trust, 6.94%, 11/15/19 (a)(b)(d)(i)
		(acquisition cost-$284,861; purchased 12/19/05)		285,780
	22	EMC Mortgage Loan Trust, 0.894%, 5/25/40 (a)(d)(j)		20,332
		First Franklin Mortgage Loan Trust (j),
	457	0.294%, 12/25/36		270,875
	458	0.314%, 4/25/36		363,501
	200	0.514%, 11/25/35		121,934
	667	0.594%, 4/25/35		666,805
	453	0.604%, 6/25/36		412,994
	300	0.644%, 9/25/35		273,178
	615	0.664%, 9/25/35		604,927
	1,000	0.964%, 4/25/35 (a)(d)		933,285
	501	1.024%, 9/25/34		435,998
	273	1.579%, 10/25/34		204,323
		First NLC Trust (j),
	81	0.224%, 8/25/37 (a)(d)		42,433
	1,393	0.614%, 5/25/35		1,174,511
	6	First Plus Home Loan Owner Trust, 7.32%, 11/10/23 (f)		363
		Fremont Home Loan Trust (j),
	362	0.304%, 1/25/37		185,575
	1,300	0.324%, 2/25/37		687,969
	300	0.424%, 2/25/36		176,121
	100	0.644%, 7/25/35		87,695
	19	0.944%, 12/25/29		17,236
		GSAMP Trust (j),
	279	0.244%, 1/25/37		166,468
	1,366	0.274%, 12/25/36		731,705
	642	0.304%, 6/25/36		566,931
	894	0.304%, 12/25/46		502,978
	76	0.314%, 5/25/46		64,910
	268	0.384%, 12/25/46		152,363
	277	0.394%, 12/25/35		251,328
	429	0.394%, 6/25/36		248,076
	166	1.804%, 10/25/34		143,232
	200	Home Equity Asset Trust, 1.247%, 5/25/35 (j)		162,086
		Home Equity Loan Trust (j),
	800	0.384%, 4/25/37		479,674
	500	0.494%, 4/25/37		306,120

April 30, 2014 |  Semi-Annual Report 61

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		HSI Asset Securitization Corp. Trust (j),
	$ 657	0.324%, 12/25/36		$ 303,749
	985	0.374%, 12/25/36		459,999
	300	0.544%, 11/25/35		194,499
	500	IXIS Real Estate Capital Trust, 0.574%, 2/25/36 (j)		409,127
		JP Morgan Mortgage Acquisition Trust (j),
	200	0.314%, 1/25/36		174,442
	1,126	0.314%, 1/25/37		1,097,110
	200	0.314%, 5/25/37		170,255
	300	0.414%, 5/25/37		226,841
		JPMorgan Mortgage Acquisition Corp.,
	534	0.332%, 2/25/36 (j)		510,213
	581	0.382%, 5/25/35		566,438
		JPMorgan Mortgage Acquisition Trust (j),
	613	0.314%, 5/25/36		592,505
	1,146	0.324%, 4/25/36		1,097,668
	300	0.424%, 4/25/36		239,936
	700	0.424%, 5/25/36		575,832
		Lehman ABS Mortgage Loan Trust (a)(d)(j),
	366	0.244%, 6/25/37		216,207
	295	0.352%, 6/25/37 (b)(i)
		(acquisition cost-$179,252; purchased 4/29/14)		176,927
	1,526	Lehman XS Trust, 0.304%, 4/25/37 (j)		1,108,411
		Long Beach Mortgage Loan Trust (j),
	600	0.584%, 11/25/35		510,884
	648	1.579%, 3/25/32		600,054
	396	MASTR Asset Securitization Trust, 0.654%, 10/25/35 (j)		263,927
		MASTR Asset-Backed Securities Trust (j),
	258	0.264%, 8/25/36		131,544
	425	0.304%, 8/25/36		218,320
	247	0.394%, 6/25/36		134,711
	255	0.394%, 8/25/36		133,272
	300	0.454%, 1/25/36		270,111
	300	0.534%, 1/25/36		212,046
	156	0.904%, 12/25/34		141,366
	110	Meritage Mortgage Loan Trust, 0.904%, 11/25/35 (j)		104,823
		Merrill Lynch Mortgage Investors Trust (j),
	205	0.352%, 1/25/37		194,769
	1,433	0.394%, 8/25/37		822,415
	300	0.464%, 8/25/36		258,318
	1,698	0.604%, 2/25/47		1,113,718
	500	0.634%, 5/25/36		444,010
	1,127	MESA Trust, 0.954%, 12/25/31 (a)(d)(j)		1,023,917
	1,076	Mid-State Capital Corp. Trust, 6.005%, 8/15/37		1,135,695
		Morgan Stanley ABS Capital I, Inc. Trust (j),
	129	0.224%, 10/25/36		75,124
	191	0.294%, 10/25/36		112,676
	363	0.294%, 11/25/36		225,698

62 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
	$ 862	0.304%, 6/25/36		$ 664,274
	491	0.304%, 9/25/36		270,477
	1,897	0.304%, 11/25/36		1,173,836
	558	0.334%, 3/25/37		304,731
	191	0.354%, 2/25/37		107,683
	453	0.374%, 11/25/36		284,679
	558	0.404%, 3/25/37		307,519
	568	0.464%, 12/25/35		469,742
	194	1.054%, 5/25/34		177,243
	300	1.084%, 3/25/35		283,698
	200	1.202%, 4/25/35		154,801
	400	1.404%, 7/25/37		252,583
	2,000	Morgan Stanley Capital I, Inc., 0.444%, 1/25/36 (j)		1,656,620
	400	Morgan Stanley Capital, Inc., 1.144%, 6/25/35 (j)		329,532
		Morgan Stanley Home Equity Loan Trust (j),
	223	0.314%, 4/25/36		160,274
	870	0.324%, 4/25/37		516,273
	290	0.384%, 4/25/37		173,424
		Morgan Stanley Mortgage Loan Trust,
	238	0.384%, 2/25/37 (j)		137,557
	403	0.514%, 4/25/37 (j)		227,337
	345	5.75%, 11/25/36 (j)		189,862
	616	5.965%, 9/25/46		432,799
		New Century Home Equity Loan Trust (j),
	565	0.434%, 10/25/35		554,770
	1,000	0.604%, 6/25/35		917,596
	200	Nomura Home Equity Loan, Inc. Home Equity Loan Trust, 0.564%, 2/25/36 (j)		168,440
	219	NovaStar Mortgage Funding Trust, 0.304%, 6/25/36 (j)		124,311
	400	Option One Mortgage Loan Asset-Backed Certificates Trust, 0.594%, 11/25/35 (j)		361,503
		Option One Mortgage Loan Trust (j),
	98	0.294%, 1/25/37		56,723
	254	0.324%, 5/25/37		149,793
	394	0.374%, 1/25/37		228,347
	188	0.482%, 4/25/37		112,384
	400	0.614%, 11/25/35		292,498
	200	0.662%, 8/25/35		151,306
	299	Ownit Mortgage Loan Trust, 0.754%, 10/25/36 (j)		204,370
		Park Place Securities, Inc. Asset-Backed Pass-Through Certificates (j),
	200	0.644%, 8/25/35		153,444
	400	0.684%, 7/25/35		325,068
	400	0.902%, 3/25/35		314,452
	300	0.984%, 1/25/36		263,644
	141	1.099%, 2/25/35		140,813
	500	1.204%, 10/25/34		408,187
	406	1.952%, 12/25/34		330,014
	497	People’s Financial Realty Mortgage Securities Trust, 0.294%, 9/25/36 (j)		197,778
	400	Popular ABS Mortgage Pass-Through Trust, 0.544%, 2/25/36 (j)		309,254
		RAAC (j),
	865	0.504%, 11/25/46 (a)(d)		748,517

April 30, 2014 |  Semi-Annual Report 63

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
	$ 200	0.554%, 6/25/47		$ 184,391
	600	1.654%, 9/25/47		485,867
		Residential Asset Mortgage Products, Inc.,
	295	0.314%, 12/25/36 (j)		274,646
	266	0.314%, 2/25/37 (j)		238,208
	300	0.434%, 9/25/36 (j)		222,866
	1,000	0.474%, 1/25/36 (j)		696,276
	250	0.584%, 11/25/35 (j)		207,918
	200	0.592%, 10/25/35 (j)		179,347
	100	0.612%, 10/25/35 (j)		79,030
	300	0.634%, 9/25/35 (j)		254,609
	342	1.054%, 8/25/34 (j)		320,759
	2,401	5.634%, 1/25/34		2,570,235
	1,861	5.656%, 7/25/34		1,523,453
		Residential Asset Securities Corp. (j),
	400	0.314%, 11/25/36		334,500
	1,000	0.324%, 11/25/36		808,893
	300	0.424%, 5/25/37		266,636
	1,000	0.434%, 6/25/36		771,906
	1,600	0.494%, 4/25/37		1,077,997
	400	0.534%, 2/25/36		342,238
	200	0.564%, 1/25/36		170,884
	400	0.572%, 12/25/35		317,177
	300	0.574%, 10/25/35		247,121
	300	0.592%, 11/25/35		244,279
	300	0.612%, 11/25/35		215,264
	2,222	0.799%, 3/25/35		2,021,456
	67	7.14%, 4/25/32		2,711
	108	SACO I, Inc., 0.914%, 11/25/35 (j)		107,370
	465	Salomon Mortgage Loan Trust, 1.054%, 11/25/33 (j)		438,811
		Securitized Asset-Backed Receivables LLC Trust (j),
	320	0.244%, 7/25/36		148,797
	700	0.294%, 5/25/36		392,399
	313	0.314%, 7/25/36		147,370
	268	0.392%, 7/25/36		128,133
	1,552	0.404%, 5/25/36		885,605
	374	0.424%, 3/25/36		279,933
	247	0.829%, 1/25/35		223,790
	189	1.114%, 1/25/36		148,184
		Soundview Home Loan Trust (j),
	84	0.234%, 6/25/37		49,089
	395	0.264%, 2/25/37		185,908
	930	0.314%, 11/25/36		733,155
	554	0.334%, 2/25/37		263,422
	300	0.979%, 6/25/35		265,287
	630	1.104%, 10/25/37		424,215
		South Carolina Student Loan Corp. (j),
	466	0.786%, 3/1/18		466,589

64 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
	$ 3,600	0.986%, 3/2/20		$ 3,624,912
	600	1.236%, 9/3/24		609,246
		Specialty Underwriting & Residential Finance Trust (j),
	185	0.304%, 9/25/37		104,810
	300	0.424%, 4/25/37		159,309
	600	0.804%, 12/25/35		555,406
		Structured Asset Investment Loan Trust (j),
	515	0.304%, 9/25/36		394,490
	1,060	0.344%, 3/25/36		858,104
	313	0.452%, 1/25/36		220,301
		Structured Asset Securities Corp. Mortgage Loan Trust (j),
	859	0.294%, 9/25/36		824,290
	279	0.304%, 9/25/36		229,310
	291	0.314%, 3/25/36		278,736
	400	0.324%, 12/25/36		314,473
	600	0.524%, 4/25/36 (a)(b)(d)(i)
		(acquisition cost-$488,375; purchased 2/10/14-3/5/14)		505,009
	1,546	1.154%, 8/25/37		1,447,791
	200	Wells Fargo Home Equity Asset-Backed Securities Trust, 0.784%, 11/25/35 (j)		167,901
	1,000	Wells Fargo Home Equity Trust, 0.784%, 8/25/35 (j)		860,277
	Total Asset-Backed Securities (cost-$117,652,158)			118,403,133
	Senior Loans – 0.7%
		Technology Hardware, Storage & Peripherals – 0.7%
	21,000	Dell International LLC, 4.50%, 4/29/20, Term B (a)(c) (cost-$20,789,251)		20,950,660
	Short-Term Investments – 0.1%
		Repurchase Agreements – 0.1%
	1,604	State Street Bank and Trust Co.,
		dated 4/30/14, 0.00%, due 5/1/14,
		proceeds $1,604,000; collateralized by
		Fannie Mae, 2.20%, due 10/17/22,
		valued at $1,639,226 including accrued interest (cost-$1,604,000)		1,604,000
		U.S. Treasury Obligations (g) – 0.0%
	602	U.S. Treasury Bills, 0.046%-0.052%, 10/16/14-10/30/14 (k)		601,885
	562	U.S. Treasury Notes, 0.75%, 6/15/14		562,494
	Total U.S. Treasury Obligations (cost-$1,164,267)			1,164,379
	Total Short-Term Investments (cost-$2,768,267)			2,768,379
Contracts
	Options Purchased (l) – 0.0%
		Call Options – 0.0%
		U.S. Treasury Ultra Bond Futures, (CBOT),
	1,250	strike price $172.00, expires 5/23/14		18,878
	500	strike price $186.00, expires 5/23/14		7,623
	770	strike price $191.00, expires 5/23/14		11,763
				38,264

April 30, 2014 |  Semi-Annual Report 65

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Notional Amount (000s)			Value
		Put Options – 0.0%
		Fannie Mae, zero coupon, (OTC),
	$90,000	strike price $89.00, expires 5/5/14		$ 1
	$280,000	strike price $95.00, expires 5/5/14		2
	$296,000	strike price $93.00, expires 6/5/14		3
				6
	Total Options Purchased (cost-$58,148)			38,270
	Total Investments, before options written (cost-$5,140,307,995) – 181.0%			5,256,863,906
	Options Written (l) – (0.0)%
		Call Options – (0.0)%
	$247,500	10-Year Interest Rate Swap (OTC), Receive 3-Month USD-LIBOR Floating Rate Index, strike rate 2.60%, expires 6/16/14		(408,820	)
		Put Options – (0.0)%
	$440,400	10-Year Interest Rate Swap (OTC), Pay 3-Month USD-LIBOR Floating Rate Index, strike rate 3.15%, expires 6/16/14		(424,590	)
	$252,000	CDX.IG-21 5-Year Index (OTC), strike price $0.75, expires 6/18/14		(81,474	)
		U.S. Dollar versus Japanese Yen, (OTC),
	$121,700	strike price $97.00, expires 5/30/14		(13,387	)
	$105,000	strike price $99.00, expires 6/12/14		(138,390	)
				(657,841	)
	Total Options Written (premiums received-$5,302,335)			(1,066,661	)
	Total Investments, net of options written (cost-$5,135,005,660) – 181.0%			5,255,797,245
	Other liabilities in excess of other assets – (81.0)%			(2,351,269,291	)
	Net Assets – 100.0%			$2,904,527,954

Notes to Schedule of Investments:

* Principal amount less than $500.

(a) Private Placement–Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $426,255,883, representing 14.7% of net assets.

(b) Illiquid.

(c) These securities generally pay interest at rates which are periodically pre-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the “LIBOR” or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. These securities are generally considered to be restricted as the Portfolio is ordinarily contractually obligated to receive approval from the Agent bank and/or borrower prior to disposition. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower. Such prepayments cannot be predicted with certainty. The interest rate disclosed reflects the rate in effect on April 30, 2014.

(d) 144A–Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.

(e) When-issued or delayed-delivery. To be settled/delivered after April 30, 2014.

(f) Fair-Valued–Securities with an aggregate value of $885,139, representing less than 0.05% of net assets. See Note 1(a) and Note 1(b) in the Notes to Financial Statements.

(g) All or partial amount segregated for the benefit of the counterparty as collateral for derivatives and/or when-issued or delayed-delivery securities.

(h) All or partial amount transferred for the benefit of the counterparty as collateral for reverse repurchase agreements.

(i) Restricted. The aggregate acquisition cost of such securities is $70,298,682. The aggregate value is $70,846,584, representing 2.4% of net assets.

(j) Variable or Floating Rate Security–Securities with an interest rate that changes periodically. The interest rate disclosed reflects the rate in effect on April 30, 2014.

66 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

(k) Rates reflect the effective yields at purchase date.

(l) Non-income producing.

(m) Futures contracts outstanding at April 30, 2014:

	Type	Contracts			Market Value (000s)			Expiration Date		Unrealized Appreciation (Depreciation)
Long:	10-Year U.S. Treasury Note Futures		1,463			$182,029			6/19/14		$1,253,196
	90-Day EURIBOR Futures		2,611			902,060			12/14/15		3,273,505
	Financial Futures Euro-90 day		3,000			745,913			6/15/15		3,032,977
	Financial Futures Euro-90 day		6,747			1,673,762			9/14/15		(330,657	)
Short:	U.S. Treasury Ultra Bond Futures		(2,648	)		(390,001	)		6/19/14		(17,307,834	)
											$(10,078,813	)

At April 30, 2014, the Portfolio pledged cash collateral of $8,524,000 for futures contracts.

(n) Transactions in options written for the six months ended April 30, 2014:

	Contracts			Notional Amount (000s)			Premiums
Options outstanding, October 31, 2013		536			$12,874,000			$26,745,555
Options written		–			1,439,100			6,600,728
Options terminated in closing transactions		–			(12,415,100	)		(25,765,463	)
Options expired		(536	)		(731,400	)		(2,278,485	)
Options outstanding, April 30, 2014		–			$1,166,600			$5,302,335

(o) Credit default swap agreements outstanding at April 30, 2014:

OTC buy protection swap agreements:

Swap Counterparty/ Referenced Debt Issuer	Notional Amount (000s)(1)		Credit Spread			Termination Date		Payments Made			Value(2)			Upfront Premiums Paid (Received)		Unrealized Depreciation
Bank of America:
Macy’s		$5,000		0.12	%		9/20/15		(7.06	)%		$(528,396	)		$–		$(528,396	)
Deutsche Bank:
Altria Group, Inc.		4,500		0.45	%		3/20/19		(1.46	)%		(222,147	)		–		(222,147	)
Morgan Stanley:
Altria Group, Inc.		1,500		0.42	%		12/20/18		(1.55	)%		(79,712	)		–		(79,712	)
												$(830,255	)		$–		$(830,255	)

OTC sell protection swap agreements:

Swap Counterparty/ Referenced Debt Issuer	Notional Amount (000s)(1)		Credit Spread			Termination Date		Payments Received			Value(2)		Upfront Premiums Paid (Received)			Unrealized Appreciation
Deutsche Bank:
BP Capital Markets		€8,200		0.54	%		12/20/18		1.00	%		$250,783		$217,741			$33,042
Goldman Sachs:
Bank of America Corp.		$30,000		0.50	%		3/20/18		1.00	%		610,649		(316,073	)		926,722
California State Municipal Bond		25,000		0.52	%		12/20/18		1.60	%		1,250,800		–			1,250,800
California State Municipal Bond		11,000		0.52	%		12/20/18		1.75	%		625,705		–			625,705
Connecticut State Municipal Bond		9,000		0.97	%		3/20/21		1.60	%		361,397		–			361,397
												$3,099,334		$(98,332	)		$3,197,666

April 30, 2014 |  Semi-Annual Report 67

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

(1) This represents the maximum potential amount the Portfolio could be required to make available as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(2) The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at April 30, 2014 of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(p) Interest rate swap agreements outstanding at April 30, 2014:

OTC swap agreements:

	Notional Amount (000s)			Termination Date	Rate Type				Value			Upfront Premiums Received			Unrealized Appreciation (Depreciation)
Swap Counterparty					Payments Made	Payments Received
Bank of America		MXN	40,400	2/7/19	28-Day Mexico Interbank TIIE Banxico		8.30	%		$397,396			$–			$397,396
Barclays Bank			189,600	1/28/15	28-Day Mexico Interbank TIIE Banxico		7.34	%		388,519			(35	)		388,554
Barclays Bank		BRL	34,400	1/2/17	BRL-CDI-Compounded		8.18	%		(1,253,242	)		(45,824	)		(1,207,418	)
Deutsche Bank			61,000	1/2/17	BRL-CDI-Compounded		8.29	%		(2,148,008	)		(71,953	)		(2,076,055	)
HSBC Bank		MXN	99,400	1/28/15	28-Day Mexico Interbank TIIE Banxico		7.33	%		204,317			(6,855	)		211,172
Morgan Stanley		BRL	13,600	1/2/17	BRL-CDI-Compounded		8.22	%		(487,991	)		(20,529	)		(467,462	)
UBS			143,900	1/2/17	BRL-CDI-Compounded		8.90	%		(3,960,357	)		–			(3,960,357	)
									$	(6,859,366	)	$	(145,196	)	$	(6,714,170	)

Centrally cleared swap agreements:

	Notional Amount (000s)		Termination Date		Rate Type		Value			Unrealized Depreciation
Broker (Exchange)					Payments Made	Payments Received
Barclays Bank (CME)		$74,900		12/18/43	3.50%	3-Month USD-LIBOR		$(1,692,946)		��	$(4,945,853)
Credit Suisse First Boston (CME)		¥7,290,000		9/18/23	1.00%	6-Month JPY-LIBOR		(1,802,099	)		(254,235	)
Credit Suisse First Boston (CME)		$309,700		12/18/23	3.00%	3-Month USD-LIBOR		(11,079,606	)		(17,251,754	)
Deutsche Bank (CME)		200,000		12/18/43	3.50%	3-Month USD-LIBOR		(4,520,549	)		(11,360,549	)
								$(19,095,200	)		$(33,812,391	)

(q) Forward foreign currency contracts outstanding at April 30, 2014:

	Counterparty	U.S.$ Value on Origination Date		U.S.$ Value April 30, 2014		Unrealized Appreciation (Depreciation)
Purchased:
42,661,000 Australian Dollar settling 5/2/14	Bank of America		$39,271,797		$39,632,079		$360,282
42,661,000 Australian Dollar settling 6/3/14	Morgan Stanley		39,493,937		39,545,329		51,392
4,944,774 Brazilian Real settling 5/5/14	UBS		2,068,683		2,217,636		148,953
4,944,774 Brazilian Real settling 6/3/14	UBS		2,205,125		2,197,491		(7,634	)
9,543,000 Euro settling 5/2/14	Bank of America		13,208,114		13,239,475		31,361
98,314,000 Euro settling 6/3/14	Bank of America		136,017,419		136,386,663		369,244
6,397,000 Euro settling 5/2/14	Citigroup		8,803,513		8,874,874		71,361
82,374,000 Euro settling 5/2/14	Royal Bank of Scotland		113,480,812		114,281,513		800,701
72,715,301 Mexican Peso settling 5/14/14	BNP Paribas		5,424,895		5,554,050		129,155
72,715,301 Mexican Peso settling 8/25/14	Goldman Sachs		5,520,235		5,508,304		(11,931	)

68 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

	Counterparty	U.S.$ Value on Origination Date		U.S.$ Value April 30, 2014		Unrealized Appreciation (Depreciation)
Sold:
42,661,000 Australian Dollar settling 5/2/14	Morgan Stanley		$39,581,934		$39,632,079		$(50,145	)
4,944,774 Brazilian Real settling 5/5/14	UBS		2,223,370		2,217,636		5,734
51,823,000 Canadian Dollar settling 6/19/14	Citigroup		46,686,125		47,227,224		(541,099	)
98,314,000 Euro settling 5/2/14	Bank of America		136,028,136		136,395,861		(367,725	)
70,500,000 Japanese Yen settling 5/13/14	Citigroup		691,339		689,634		1,705
72,715,301 Mexican Peso settling 5/14/14	Goldman Sachs		5,564,591		5,554,050		10,541
							$1,001,895

(r) At April 30, 2014, the Portfolio held $16,130,000 in cash as collateral for derivative contracts. Cash collateral held may be invested in accordance with the Portfolio’s investment strategy.

(s) Open reverse repurchase agreements at April 30, 2014:

Counterparty	Rate			Trade Date		Due Date		Principal & Interest		Principal
Bank of America		0.09	%		4/16/14		5/1/14		$259,400,227		$259,390,500
Barclays Bank		0.06			4/30/14		5/15/14		129,322,500		129,322,500
Deutsche Bank		0.07			4/23/14		5/23/14		284,068,419		284,064,000
		0.08			4/15/14		5/15/14		212,967,072		212,959,500
Royal Bank of Scotland		0.07			4/30/14		6/2/14		126,315,000		126,315,000
		0.08			4/22/14		5/6/14		221,204,424		221,200,000
		0.08			4/23/14		5/7/14		150,002,667		150,000,000
		0.08			4/23/14		5/7/14		50,000,889		50,000,000
											$1,433,251,500

(t) The weighted average daily balance of reverse repurchase agreements during the six months ended April 30, 2014 was $951,156,052, at a weighted average interest rate of 0.07%. Total value of underlying collateral (refer to the Schedule of Investments for positions transferred for the benefit of the counterparty as collateral) for open reverse repurchase agreements at April 30, 2014 was $1,432,827,556.

At April 30, 2014, the Portfolio held U.S. Treasury Obligations valued at $803,910 as collateral for open reverse repurchase agreements. Securities held as collateral will not be pledged and are not reflected in the Schedule of Investments.

(u) The weighted average borrowing for sale-buybacks during the six months ended April 30, 2014 was $198,829,019 at a weighted average interest rate of 0.05%.

(v) Fair Value Measurements-See Note 1(b) in the Notes to Financial Statements.

	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs		Value at 4/30/14
Investments in Securities – Assets
U.S. Treasury Obligations	$	–		$2,151,054,748		$–		$2,151,054,748
U.S. Government Agency Securities		–		1,252,799,432		–		1,252,799,432
Corporate Bonds & Notes:
Diversified Financial Services		–		182,009,450		11,064,000		193,073,450
All Other		–		578,456,259		–		578,456,259
Municipal Bonds		–		463,140,296		–		463,140,296
Mortgage-Backed Securities		–		356,462,851		416,793		356,879,644
Sovereign Debt Obligations		–		119,299,635		–		119,299,635
Asset-Backed Securities		–		117,934,787		468,346		118,403,133
Senior Loans		–		20,950,660		–		20,950,660
Short-Term Investments		–		2,768,379		–		2,768,379
Options Purchased:
Interest Rate Contracts		–		38,270		–		38,270
		–		5,244,914,767		11,949,139		5,256,863,906

April 30, 2014 |  Semi-Annual Report 69

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

	Level 1 – Quoted Prices			Level 2 – Other Significant Observable Inputs			Level 3 – Significant Unobservable Inputs		Value at 4/30/14
Investment in Securities – Liabilities
Options Written, at value:
Credit Contracts	$	–			$(81,474	)		$–		$(81,474	)
Foreign Exchange Contracts		–			(151,777	)		–		(151,777	)
Interest Rate Contracts		–			(833,410	)		–		(833,410	)
		–			(1,066,661	)		–		(1,066,661	)
Other Financial Instruments* – Assets
Credit Contracts		–			3,197,666			–		3,197,666
Foreign Exchange Contracts		–			1,980,429			–		1,980,429
Interest Rate Contracts		7,559,678			997,122			–		8,556,800
		7,559,678			6,175,217			–		13,734,895
Other Financial Instruments* – Liabilities
Credit Contracts		–			(830,255	)		–		(830,255	)
Foreign Exchange Contracts		–			(978,534	)		–		(978,534	)
Interest Rate Contracts		(17,638,491	)		(41,523,683	)		–		(59,162,174	)
		(17,638,491	)		(43,332,472	)		–		(60,970,963	)
Totals	$	(10,078,813	)	$	5,206,690,851		$	11,949,139	$	5,208,561,177

At April 30, 2014, there were no transfers between Levels 1 and 2.

A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended April 30, 2014, was as follows:

	Beginning Balance 10/31/13		Purchases		Sales			Accrued Discount (Premiums)			Net Realized Gain (Loss)		Net Change in Unrealized Appreciation/ Depreciation			Transfers into Level 3		Transfers out of Level 3**			Ending Balance 4/30/14
Investments in Securities – Assets
Corporate Bonds & Notes:
Diversified Financial Services		$11,000,000		$    –		$    –			$(40,650	)		$    –		$104,650			$    –		$    –			$11,064,000
Mortgage-Backed Securities		3,429,153		436,807		(269,662	)		(16	)		45		(775	)		–		(3,178,759	)		416,793
Asset-Backed Securities		510,119		–		(46,575	)		–			–		4,802			–		–			468,346
Totals		$14,939,272		$436,807		$(316,237	)		$(40,666	)		$  45		$108,677			$    –		$(3,178,759	)		$11,949,139

The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at April 30, 2014.

	Ending Balance at 4/30/14		Valuation Technique Used	Unobservable Inputs	Input Values
Investments in Securities – Assets
Corporate Bonds & Notes		$11,064,000	Third-Party Pricing Vendor	Single Broker Quote	$110.64
Mortgage-Backed Securities		416,793	Benchmark Pricing	Security Price Reset	$96.25
Asset-Backed Securities		468,346	Benchmark Pricing	Security Price Reset	$5.95–$84.34

* Other financial instruments are derivatives, such as futures contracts, swap agreements and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) of the instrument.

** Transferred out of Level 3 into Level 2 because an evaluated price with observable inputs from an independent third-party vendor became available.

The net change in unrealized appreciation/depreciation of Level 3 investments held at April 30, 2014, was $96,557. Net realized gain (loss) and net change in unrealized appreciation/depreciation are reflected on the Statement of Operations.

70 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

(w) The following is a summary of the derivative instruments categorized by risk exposure:

The effect of derivatives on the Statement of Assets and Liabilities at April 30, 2014:

Location	Interest Rate Contracts			Credit Contracts			Foreign Exchange Contracts			Total
Asset derivatives:
Investments, at value (options purchased)		$38,270			$–			$–			$38,270
Unrealized appreciation of OTC swaps		997,122			3,197,666			–			4,194,788
Receivable for variation margin on futures contracts*		1,893,107			–			–			1,893,107
Unrealized appreciation of forward foreign currency contracts		–			–			1,980,429			1,980,429
Total asset derivatives		$2,928,499			$3,197,666			$1,980,429			$8,106,594
Liability derivatives:
Unrealized depreciation of OTC swaps		$(7,711,292	)		$(830,255	)		$–			$(8,541,547	)
Payable for variation margin on centrally cleared swaps**		(2,799,063	)		–			–			(2,799,063	)
Options written, at value		(833,410	)		(81,474	)		(151,777	)		(1,066,661	)
Payable for variation margin on futures contracts*		(2,317,000	)		–			–			(2,317,000	)
Unrealized depreciation of forward foreign currency contracts		–			–			(978,534	)		(978,534	)
Total liability derivatives		$(13,660,765	)		$(911,729	)		$(1,130,311	)		$(15,702,805	)

* Included in net unrealized depreciation of $10,078,813 on futures contracts as reported in note (m) of the Notes to Schedule of Investments.

** Included in net unrealized depreciation of $33,812,391 on centrally cleared swaps as reported in note (p) of the Notes to Schedule of Investments.

The effect of derivatives on the Statement of Operations for the six months ended April 30, 2014:

Location	Interest Rate Contracts			Credit Contracts		Foreign Exchange Contracts			Total
Net realized gain (loss) on:
Investments (options purchased)		$(41,724	)		$–		$–			$(41,724	)
Futures contracts		54,940			–		–			54,940
Options written		19,698,297			1,074,780		877,393			21,650,470
Swaps		(13,442,676	)		1,274,821		–			(12,167,855	)
Foreign currency transactions (forward foreign currency contracts)		–			–		5,311,720			5,311,720
Total net realized gain		$6,268,837			$2,349,601		$6,189,113			$14,807,551
Net change in unrealized appreciation/depreciation of:
Investments (options purchased)		$(19,877	)		$–		$–			$(19,877	)
Futures contracts		(14,922,000	)		–		–			(14,922,000	)
Options written		(8,375,882	)		384,726		1,020,383			(6,970,773	)
Swaps		(12,825,196	)		292,767		–			(12,532,429	)
Foreign currency transactions (forward foreign currency contracts)		–			–		(874,629	)		(874,629	)
Total net change in unrealized appreciation/depreciation		$(36,142,955	)		$677,493		$145,754			$(35,319,708	)

The average volume (measured at each fiscal quarter-end) of derivative activity during the six months ended April 30, 2014:

Options Purchased(1)	Options Purchased(2)		Options Written(1)		Options Written(2)		Futures Contracts(1)					Forward Foreign Currency Contracts(3)				Credit Default Swap Agreements(2)				Interest Rate Swap Agreements(2)
							Long		Short			Purchased		Sold		Buy		Sell
840		$222,000		179		$8,892,467		13,082		(1,156	)		$322,431,623		$211,209,572		$12,533		$103,333		$755,733
																			€ 8,200		BRL 277,733
																					¥ 4,860,000
																					MXN 329,400

(1) Number of contracts

(2) Notional Amount (in thousands)

(3) U.S. $ Value on origination date

April 30, 2014 |  Semi-Annual Report 71

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

(x) The following tables present by counterparty the Portfolio’s derivative assets and liabilities net of related collateral held by the Fund at April 30, 2014 which has not been offset in the Statement of Assets and Liabilities, but would be available for offset to the extent of a default by the counterparty to the transaction.

Financial Assets and Derivative Assets, and Collateral Received at April 30, 2014:

Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Gross Asset Derivatives Presented in Statement of Assets and Liabilities		Financial Instrument/ Derivative Offset			Cash Collateral Received			Net Amount
Foreign Currency Exchange Contracts
Bank of America		$760,887		$(498,725	)		$(190,000	)		$72,162
BNP Paribas		129,155		–			–			129,155
Citigroup		73,066		(73,066	)		–			–
Goldman Sachs		10,541		(10,541	)		–			–
Morgan Stanley		51,392		(51,392	)		–			–
Royal Bank of Scotland		800,701		–			(790,000	)		10,701
UBS		154,687		(154,687	)		–			–
Swaps
Bank of America		397,396		(397,396	)		–			–
Barclays Bank		388,554		(388,554	)		–			–
Deutsche Bank		33,042		(33,042	)		–			–
Goldman Sachs		3,164,624		(1,390	)		(3,163,234	)†,#		–
HSBC Bank		211,172		–			(211,172	)†,#		–
Totals		$6,175,217		$(1,608,793	)		$(4,354,406	)		$212,018

Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Gross Financial Assets Presented in Statement of Assets and Liabilities		Financial Instrument/ Derivative Offset			Net Amount
Repurchase Agreement
State Street Bank & Trust Co.		$1,604,000		$(1,604,000	)†		$–

Financial Liabilities and Derivative Liabilities, and Collateral Pledged at April 30, 2014:

Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Gross Liability Derivatives Presented in Statement of Assets and Liabilities		Financial Instrument/ Derivative Offset			Cash Collateral Received (Pledged)			Net Amount
Foreign Currency Exchange Contracts
Bank of America		$367,725		$(367,725	)		$–			$–
Citigroup		541,099		(541,099	)††		–			–
Goldman Sachs		11,931		(11,931	)		–			–
Morgan Stanley		50,145		(50,145	)		–			–
UBS		7,634		(7,634	)		–			–
Swaps				–
Bank of America		528,396		(528,396	)		–			–
Barclays Bank		1,207,418		(1,110,763	)		–			96,655
Deutsche Bank		2,298,202		(2,080,461	)††		(217,741	)##		–
Morgan Stanley		547,174		(617,490	)		1,000,529	#		930,213
UBS		3,960,357		(3,960,357	)††		–			–
Totals		$9,520,081		$(9,276,001	)		$782,788			$1,026,868

72 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series M

April 30, 2014 (unaudited) (continued)

Counterparty	Gross Financial Liability Presented in Statement of Assets and Liabilities			Financial Instrument/ Derivative Offset			Cash Collateral Pledged		Net Amount
Reverse Repurchase Agreements
Bank of America		$259,400,227	†††		$(259,335,495	)		–		$64,732
Barclays Bank		129,322,500	†††		(129,146,157	)		–		176,343
Deutsche Bank		497,035,491	†††		(496,525,927	)		–		509,564
Royal Bank of Scotland		547,522,980	†††		(547,522,980	)††		–		–
Totals		$1,433,281,198			$(1,432,530,559	)		–		$750,639

† The actual collateral received is greater than the amount shown here due to over collateralization.

†† The actual collateral pledged is greater than the amount shown here due to over collateralization.

††† The amount includes interest payable for Reverse Repurchase Agreements.

# The amount includes upfront premiums received.

## The amount includes upfront premiums paid.

Glossary:

ABS	-	Asset-Backed Securities
BRL	-	Brazilian Real
£	-	British Pound
CAD	-	Canadian Dollar
CBOT	-	Chicago Board of Trade
CDI	-	Inter-Bank Deposit Certificate
CDX.IG	-	Credit Derivatives Index Investment Grade
CME	-	Chicago Mercantile Exchange
CMO	-	Collateralized Mortgage Obligation
CP	-	Certificates of Participation
EURIBOR	-	Euro Inter-Bank Offered Rate
€	-	Euro
GO	-	General Obligation Bond
JPY/¥	-	Japanese Yen
LIBOR	-	London Inter-Bank Offered Rate
MBS	-	Mortgage-Backed Securities
MXN	-	Mexican Peso
OTC	-	Over-the-Counter
TBA	-	To Be Announced
TIIE	-	Inter-Bank Equilibrium Interest Rate

See accompanying Notes to Financial Statements   |  April 30, 2014  |   Semi-Annual Report 73

Schedule of Investments

Fixed Income SHares: Series R

April 30, 2014 (unaudited)

Principal Amount (000s)			Value
	U.S. Treasury Obligations – 105.4%
		U.S. Treasury Inflation Indexed Bonds (e),
	$23,801	0.125%, 4/15/19		$24,304,419
	933	0.125%, 1/15/22		923,480
	3,834	1.375%, 2/15/44 (d)		4,046,219
	43,814	1.75%, 1/15/28		49,408,271
	591	2.00%, 1/15/26		683,558
	1,048	2.375%, 1/15/27		1,263,498
	31,162	2.50%, 1/15/29		38,514,176
		U.S. Treasury Inflation Indexed Notes (e),
	319	0.125%, 4/15/16 (f)		328,357
	3,936	0.125%, 4/15/17 (d)(f)		4,061,494
	18,735	0.125%, 4/15/18 (d)		19,254,368
	6,840	0.125%, 7/15/22		6,764,750
	4,678	0.125%, 1/15/23		4,575,634
	1,210	0.375%, 7/15/23		1,211,056
	11,403	0.50%, 4/15/15 (d)		11,621,576
	3,125	0.625%, 7/15/21		3,244,571
	1,556	1.125%, 1/15/21		1,664,491
	38,717	1.25%, 7/15/20 (d)(f)(g)		42,034,887
	326	1.375%, 1/15/20 (f)(g)		354,196
	7,377	1.625%, 1/15/15 (d)		7,558,395
	3,143	1.875%, 7/15/15 (d)(f)		3,291,087
	8,364	1.875%, 7/15/19 (d)		9,369,739
	22,228	2.625%, 7/15/17 (d)		24,936,992
		U.S. Treasury Notes (f),
	600	0.25%, 1/15/15		600,762
	512	0.25%, 1/31/15		512,690
	Total U.S. Treasury Obligations (cost-$264,096,079)			260,528,666
	Sovereign Debt Obligations – 24.3%
		Australia – 3.7%
	AUD 5,100	Australia Government Bond, 5.50%, 4/21/23		5,328,514
		New South Wales Treasury Corp. (e),
	300	2.50%, 11/20/35, Ser. CI-B2		338,173
	2,900	2.75%, 11/20/25, Ser. CI-B1		3,495,994
				9,162,681
		Denmark – 3.0%
	DKK 40,387	Denmark I/L Government Bond, 0.10%, 11/15/23, Ser. B (e)		7,433,731
		Germany – 3.4%
	€5,691	Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond,
		0.75%, 4/15/18 (e)		8,334,911
		Ireland – 0.4%
	$900	VEB Finance PLC for Vnesheconombank, 5.45%, 11/22/17 (a)(c)		885,375
		Italy – 3.9%
		Italy Buoni Poliennali Del Tesoro,
	€3,008	1.70%, 9/15/18 (e)		4,376,388
	106	2.10%, 9/15/16 (e)		154,405

74 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series R

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		Italy (continued)
	€1,504	2.10%, 9/15/21 (e)		$2,195,290
	300	2.55%, 10/22/16 (e)		434,180
	210	3.10%, 9/15/26 (e)		324,987
	1,100	4.75%, 9/15/16		1,661,492
	400	5.25%, 8/1/17		625,261
				9,772,003
		Mexico – 1.9%
		Mexican Bonos de Proteccion al Ahorro (e)(h),
	MXN 59,800	3.56%, 1/30/20		4,557,628
	1,200	3.57%, 6/29/17		91,560
				4,649,188
		New Zealand – 0.4%
	NZD 1,200	New Zealand Government Bond, 3.00%, 9/20/30 (e)		1,062,283
		Spain – 7.6%
		Spain Government Bond,
	€9,100	2.75%, 4/30/19		13,268,495
	3,300	5.40%, 1/31/23 (a)(c)		5,492,576
				18,761,071
	Total Sovereign Debt Obligations (cost-$58,210,330)			60,061,243
	Corporate Bonds & Notes – 13.6%
		Airlines – 2.1%
	$5,000	United Airlines, Inc., 6.75%, 9/15/15 (a)(c)		5,093,750
		Banking – 3.2%
	700	Ally Financial, Inc., 2.436%, 12/1/14 (h)		704,136
	€400	Bank of America Corp., 0.752%, 7/22/14 (h)		555,368
	$4,400	BNP Paribas, 0.683%, 5/7/17 (d)(h)		4,400,000
	300	CIT Group, Inc., 4.75%, 2/15/15 (a)(c)		308,438
	£770	LBG Capital No. 2 PLC, 15.00%, 12/21/19		1,891,598
				7,859,540
		Chemicals – 0.5%
	$1,000	RPM International, Inc., 6.50%, 2/15/18		1,148,398
		Diversified Financial Services – 0.9%
	1,800	Credit Agricole Home Loan SFH, 0.987%, 7/21/14 (a)(c)(h)		1,802,437
	500	International Lease Finance Corp., 6.50%, 9/1/14 (a)(c)		511,250
				2,313,687
		Insurance – 4.2%
	3,000	Marsh & McLennan Cos., Inc., 9.25%, 4/15/19		3,916,890
	6,100	Stone Street Trust, 5.902%, 12/15/15 (a)(c)		6,543,415
				10,460,305
		Media – 2.1%
	5,000	DISH DBS Corp., 6.625%, 10/1/14		5,125,000
		Oil & Gas – 0.6%
	1,440	Odebrecht Drilling Norbe VIII/IX Ltd., 6.35%, 6/30/21 (a)(c)		1,521,000
	Total Corporate Bonds & Notes (cost-$31,696,030)			33,521,680

April 30, 2014 |  Semi-Annual Report 75

Schedule of Investments

Fixed Income SHares: Series R

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
	Mortgage-Backed Securities – 8.8%
		Bear Stearns Adjustable Rate Mortgage Trust, CMO (h),
	$22	2.21%, 8/25/35		$22,423
	17	2.533%, 3/25/35		17,060
	67	2.56%, 3/25/35		68,595
		Citigroup Mortgage Loan Trust, Inc., CMO (h),
	27	2.20%, 9/25/35		26,899
	44	2.29%, 9/25/35		44,262
	650	2.895%, 9/25/37		545,112
	4,864	Commercial Mortgage Trust, 3.156%, 7/10/46, CMO (a)(c)		4,982,951
		Countrywide Alternative Loan Trust, CMO (h),
	2,145	0.352%, 12/20/46		1,631,179
	488	1.129%, 2/25/36		432,523
		Countrywide Home Loan Mortgage Pass-Through Trust, CMO (h),
	18	0.494%, 6/25/35 (a)(c)		16,469
	671	2.518%, 4/20/35		685,239
	£598	Granite Mortgages PLC, 0.843%, 3/20/44, CMO (h)		1,004,497
	$96	GSR Mortgage Loan Trust, 2.651%, 9/25/35, CMO (h)		97,498
	618	Merrill Lynch Mortgage Investors Trust, 1.596%, 10/25/35, CMO (h)		607,434
		NCUA Guaranteed Notes Trust, CMO,
	3,505	0.526%, 11/6/17 (h)		3,513,539
	6,780	2.65%, 10/29/20		6,968,512
	346	Residential Accredit Loans, Inc., 0.334%, 6/25/46, CMO (h)		154,322
	AUD 609	Swan Trust, 3.935%, 4/25/41, CMO (h)		570,213
	$296	Wachovia Bank Commercial Mortgage Trust, 5.088%, 8/15/41, CMO (h)		297,069
	Total Mortgage-Backed Securities (cost-$20,901,322)			21,685,796
	Asset-Backed Securities – 1.0%
	76	Ares VIR CLO Ltd., 0.462%, 3/12/18 (a)(c)(h)		76,249
	294	Bear Stearns Asset-Backed Securities I Trust, 1.154%, 10/25/37 (h)		274,455
	352	Citigroup Mortgage Loan Trust, Inc., 0.234%, 1/25/37 (h)		216,127
	216	JPMorgan Mortgage Acquisition Corp., 0.644%, 7/25/35 (h)		214,298
	€245	Magi Funding PLC, 0.591%, 4/11/21 (a)(c)(h)		335,857
	$160	Massachusetts Educational Financing Auth., 1.189%, 4/25/38 (h)		161,305
	115	Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, 0.574%, 6/25/35 (h)		114,854
	400	Residential Asset Securities Corp., 0.572%, 12/25/35 (h)		317,177
	365	Saxon Asset Securities Trust, 4.034%, 6/25/33		370,920
	116	Structured Asset Securities Corp. Mortgage Loan Trust, 1.154%, 8/25/37 (h)		108,584
	€120	Wood Street CLO II BV, 0.666%, 3/29/21 (a)(c)(h)		164,539
	Total Asset-Backed Securities (cost-$2,340,158)			2,354,365
	U.S. Government Agency Securities (h) – 0.2%
		Fannie Mae,
	$197	0.599%, 2/25/37, CMO		197,432
	9	1.326%, 10/1/44, MBS		9,325
		Freddie Mac, MBS,
	125	2.09%, 7/1/36		133,305
	130	2.137%, 9/1/36		137,823
	Total U.S. Government Agency Securities (cost-$462,971)			477,885

76 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series R

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
	Senior Loans – 0.1%
		Electric Utilities – 0.1%
	$208	AES Corp., 3.75%, 6/1/18, Term B (a)(b) (cost-$207,592)		$208,677
	Short-Term Investments – 3.1%
		Sovereign Debt Obligations – 1.9%
		Greece – 1.9%
		Hellenic Treasury Bill,
	€1,700	2.535%, 7/18/14		2,351,419
	1,700	2.585%, 7/18/14		2,351,418
	Total Sovereign Debt Obligations (cost-$4,669,703)			4,702,837
		U.S. Treasury Obligations (f) – 1.2%
	$2,667	U.S. Treasury Bills, 0.046%-0.076%, 5/8/14-10/30/14 (i)		2,666,770
	206	U.S. Treasury Notes, 0.25%, 12/15/14		206,245
	Total U.S. Treasury Obligations (cost-$2,872,829)			2,873,015
		Repurchase Agreements – 0.0%
	116	State Street Bank and Trust Co.,
		dated 4/30/14, 0.00%, due 5/1/14,
		proceeds $116,000; collateralized by
		Fannie Mae, 2.26%, due 10/17/22,
		valued at $118,348 including accrued interest (cost-$116,000)		116,000
	Total Short-Term Investments (cost-$7,658,532)			7,691,852
Notional Amount (000s)
	Options Purchased (j) – 0.0%
		Put Options – 0.0%
	€7,800	5-Year Interest Rate Swap (OTC), Receive 6-Month EUR-EURIBOR Floating Rate Index, strike rate 1.00%, expires 10/29/14		100,711
	$44	U.S. Treasury 10-Year Note Futures, (CBOT), strike price $112.00, expires 5/23/14		682
		U.S. Treasury 5-Year Note Futures, (CBOT),
	$392	strike price $113.00, expires 5/23/14		3,037
	$230	strike price $114.50, expires 5/23/14		1,778
	Total Options Purchased (cost-$122,436)			106,208
	Total Investments, before options written (cost-$385,695,450) – 156.5%			386,636,372
	Options Written (j) – (0.1)%
		Call Options – (0.0)%
	$6,500	Inflation Cap CPURNSA Index (OTC), Exercise Index=Maximum of ((Index Final/Index Initial-1)-4.00%) or 0, strike price $4.00, expires 4/22/24		(46,070	)
	€2,700	iTraxx EU21 5Y Index (OTC), strike price $0.65, expires 6/18/14		(2,861	)
		U.S. Dollar versus Brazilian Real, (OTC),
	$6,470	strike price $2.505, expires 6/10/14		(3,442	)
	$2,779	strike price $2.523, expires 6/11/14		(1,287	)
	$3,477	strike price $2.506, expires 6/20/14		(3,310	)
	$3,875	strike price $2.468, expires 6/25/14		(6,909	)

April 30, 2014 |  Semi-Annual Report 77

Schedule of Investments

Fixed Income SHares: Series R

April 30, 2014 (unaudited) (continued)

Contracts/ Notional Amount (000s)			Value
		Call Options (continued)
		U.S. Dollar versus Indian Rupee, (OTC),
	$3,091	strike price $64.20, expires 6/11/14		$(7,811	)
	$2,859	strike price $64.70, expires 6/12/14		(5,804	)
	$2,612	strike price $64.90, expires 6/19/14		(6,266	)
	$2,116	strike price $64.00, expires 6/26/14		(9,339	)
	90	U.S. Treasury 5-Year Note Futures, (CBOT), strike price $120.00, expires 5/23/14		(13,553	)
				(106,652	)
		Put Options – (0.1)%
	€15,600	5-Year Interest Rate Swap (OTC), Pay 6-Month EUR-EURIBOR Floating Rate Index, strike rate 1.25%, expires 10/29/14		(97,801	)
		Inflation Floor CPURNSA Index (OTC), Exercise Index=Maximum of ((1+0.00%)^10-(Index Final/Index Initial)) or $0,
	$1,800	strike index 0.001, expires 1/22/18		(7,545	)
	$32,200	strike index 216.687, expires 4/7/20		(25,721	)
	$1,500	strike index 217.965, expires 9/29/20		(1,148	)
	$1,500	Inflation Floor CPURNSA Index (OTC), Exercise Index=Maximum of (0.00%-(Index Final/Index Initial-1)) or $0, strike index 215.949, expires 3/10/20		(809	)
	€11,300	iTraxx EU20 5Y Index (OTC), strike price $0.90, expires 6/18/14		(3,635	)
		iTraxx EU21 5Y Index (OTC),
	€2,700	strike price $0.90, expires 6/18/14		(2,178	)
	€700	strike price $1.00, expires 6/18/14		(285	)
	€4,100	strike price $0.95, expires 9/17/14		(11,400	)
	€4,900	strike price $1.10, expires 9/17/14		(7,966	)
	$3,477	U.S. Dollar versus Brazilian Real, (OTC), strike price $2.20, expires 6/20/14		(22,406	)
	$2,501	U.S. Dollar versus Japanese Yen, (OTC), strike price $100.00, expires 6/5/14		(4,992	)
				(185,886	)
	Total Options Written (premiums received-$955,930)			(292,538	)
	Total Investments, net of options written (cost-$384,739,520) – 156.4%			386,343,834
	Other liabilities in excess of other assets – (56.4)%			(139,264,355	)
	Net Assets – 100.0%			$247,079,479

Notes to Schedule of Investments:

(a) Private Placement–Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $27,942,983, representing 11.3% of net assets.

(b) These securities generally pay interest at rates which are periodically pre-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the “LIBOR” or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. These securities are generally considered to be restricted as the Portfolio is ordinarily contractually obligated to receive approval from the Agent bank and/or borrower prior to disposition. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower. Such prepayments cannot be predicted with certainty. The interest rate disclosed reflects the rate in effect on April 30, 2014.

(c) 144A–Exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.

(d) When-issued or delayed-delivery. To be settled/delivered after April 30, 2014.

(e) Inflationary Bonds–Principal amount of security is adjusted for inflation/deflation.

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Schedule of Investments

Fixed Income SHares: Series R

April 30, 2014 (unaudited) (continued)

(f) All or partial amount segregated for the benefit of the counterparty as collateral for derivatives and/or when-issued or delayed-delivery securities.

(g) All or partial amount segregated for the benefit of the counterparty as collateral for options written.

(h) Variable or Floating Rate Security–Securities with an interest rate that changes periodically. The interest rate disclosed reflects the rate in effect on April 30, 2014.

(i) Rates reflect the effective yields at purchase date.

(j) Non-income producing.

(k) Futures contracts outstanding at April 30, 2014:

Type		Contracts			Market Value (000s)			Expiration Date		Unrealized Appreciation (Depreciation)
Long:	10-Year U.S. Treasury Note Futures		44			$5,475			6/19/14		$21,263
	5-Year U.S. Treasury Note Futures		622			74,300			6/30/14		(258,244	)
	Financial Futures Euro-90 day		19			4,713			9/14/15		4,885
	Financial Futures Euro-90 day		151			37,246			3/14/16		(94,416	)
Short:	10-Year Euro-Bund		(18	)		(11	)		5/23/14		367
											$(326,145	)

(l) Transactions in options written for the six months ended April 30, 2014:

	Contracts			Notional Amount (000s)			Notional Amount (000s)			Premiums
Options outstanding, October 31, 2013		93			$262,500			€56,000			$1,638,067
Options written		90			92,157			42,000			725,888
Options terminated in closing transactions		–			(52,400	)		–			(105,418	)
Options expired		(93	)		–			(28,000	)		(1,245,042	)
Options exercised		–			(225,500	)		(28,000	)		(57,565	)
Options outstanding, April 30, 2014		90			$76,757			€42,000			$955,930

(m) Credit default swap agreements outstanding at April 30, 2014:

OTC buy protection swap agreements:

Swap Counterparty/ Referenced Debt Issuer	Notional Amount (000s)(1)		Credit Spread			Termination Date		Payments Made			Value(2)			Upfront Premiums Paid (Received)		Unrealized Depreciation
Bank of America:
Marsh & McLennan Cos., Inc.		$3,000		0.34	%		6/20/19		(0.90	)%		$(87,815	)		$–		$(87,815	)
Goldman Sachs:
RPM International, Inc.		1,000		0.44	%		3/20/18		(1.50	)%		(42,542	)		–		(42,542	)
												$(130,357	)		$–		$(130,357	)

April 30, 2014 |  Semi-Annual Report 79

Schedule of Investments

Fixed Income SHares: Series R

April 30, 2014 (unaudited) (continued)

OTC sell protection swap agreements:

Swap Counterparty/ Referenced Debt Issuer	Notional Amount (000s)(1)		Credit Spread			Termination Date		Payments Received			Value(2)			Upfront Premiums Paid (Received)			Unrealized Appreciation
Bank of America:
Brazilian Government International Bond		$100		1.39	%		3/20/19		1.00	%		$(1,692	)		$(5,135	)		$3,443
BNP Paribas:
Italy Government International Bond		6,800		1.11	%		3/20/19		1.00	%		(25,775	)		(117,653	)		91,878
Citigroup:
Russian Federation Government International Bond		400		2.56	%		3/20/19		1.00	%		(27,413	)		(33,435	)		6,022
Deutsche Bank:
Brazilian Government International Bond		2,400		1.39	%		3/20/19		1.00	%		(40,632	)		(121,067	)		80,435
HSBC Bank:
Petrobras International Finance Co. - Pifco		2,000		1.05	%		9/20/15		1.00	%		1,001			(63,728	)		64,729
Spain Government International Bond		1,600		0.87	%		3/20/19		1.00	%		11,574			(12,075	)		23,649
JPMorgan Chase:
Brazilian Government International Bond		900		1.39	%		3/20/19		1.00	%		(15,237	)		(45,809	)		30,572
HSBC Bank		4,500		0.59	%		6/20/19		1.00	%		97,123			55,872			41,251
Morgan Stanley:
Brazilian Government International Bond		2,500		1.39	%		3/20/19		1.00	%		(42,324	)		(127,248	)		84,924
Spain Government International Bond		3,000		0.87	%		3/20/19		1.00	%		21,701			(18,418	)		40,119
												$(21,674	)		$(488,696	)		$467,022

Centrally cleared sell protection swap agreements:

Broker (Exchange)/ Referenced Debt Issuer	Notional Amount (000s)(1)		Credit Spread			Termination Date		Payments Received			Value(2)			Unrealized Appreciation
Barclays Bank (ICE):
Dow Jones CDX.IT-21 5-Year Index		$10,100		1.01	%		6/20/19		1.00	%		$222,860			$17,717
Credit Suisse First Boston (ICE):
Dow Jones CDX.IG-22 5-Year Index		10,100		1.02	%		6/20/19		1.00	%		189,240			20,088
Dow Jones CDX.IT-21 10-Year Index		1,300		0.99	%		6/20/24		1.00	%		(22,821	)		7,565
Dow Jones CDX.IT-21 5-Year Index		9,050		1.01	%		6/20/19		1.00	%		199,691			21,712
												$588,970			$67,082

(1) This represents the maximum potential amount the Portfolio could be required to make available as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(2) The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the status at April 30, 2014 of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

80 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series R

April 30, 2014 (unaudited) (continued)

(n) Interest rate swap agreements outstanding at April 30, 2014:

OTC swap agreements:

Swap Counterparty	Notional Amount (000s)		Termination Date		Rate Type		Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
					Payments Made	Payments Received
Bank of America		€1,500		7/25/21	1-Month EUR- FRCPXTOB Index	1.95%		$82,098			$3,676			$78,422
BNP Paribas		5,600		7/25/21	6-Month EUR-LIBOR	1.95%		306,499			70,570			235,929
BNP Paribas		$8,300		7/15/22	2.50%	3-Month USD- CPURNSA Index		(247,422	)		87,610			(335,032	)
BNP Paribas		€2,800		10/8/23	1-Month EUR- FRCPXTOB Index	2.11%		177,233			26,797			150,436
Citigroup		$15,000		7/15/17	2.25%	3-Month USD- CPURNSA Index		(347,291	)		3,600			(350,891	)
Citigroup		€900		4/1/21	1-Month EUR- FRCPXTOB Index	2.15%		78,303			14,046			64,257
Citigroup		1,300		7/25/21	1-Month EUR- FRCPXTOB Index	1.95%		71,152			1,825			69,327
Deutsche Bank		$11,800		11/5/16	1.86%	3-Month USD- CPURNSA Index		12,034			–			12,034
Deutsche Bank		8,200		1/28/17	2.36%	3-Month USD- CPURNSA Index		(187,432	)		–			(187,432	)
Deutsche Bank		AUD 8,400		6/18/19	3-Month AUD-LIBOR	4.00%		135,328			19,522			115,806
Deutsche Bank		€1,000		4/1/21	1-Month EUR- FRCPXTOB Index	2.15%		87,005			22,022			64,983
Deutsche Bank		$5,000		7/15/22	2.50%	3-Month USD- CPURNSA Index		(149,049	)		102,720			(251,769	)
Deutsche Bank		€5,600		7/25/23	1-Month EUR- FRCPXTOB Index	1.95%		241,954			47,448			194,506
Goldman Sachs		$3,900		4/15/16	1.73%	3-Month USD- CPURNSA Index		(1,167	)		–			(1,167	)
Goldman Sachs		23,000		4/15/16	1.73%	3-Month USD- CPURNSA Index		(6,880	)		(48,721	)		41,841
Goldman Sachs		BRL 44,100		1/2/17	BRL-CDI-Compounded	8.30%		(1,513,958	)		21,518			(1,535,476	)
Goldman Sachs		100		1/2/17	BRL-CDI-Compounded	10.91%		(633	)		(27	)		(606	)
Goldman Sachs		$5,300		4/15/18	2.03%	3-Month USD- CPURNSA Index		(31,107	)		–			(31,107	)
Goldman Sachs		€5,200		4/1/21	1-Month EUR- FRCPXTOB Index	2.15%		452,421			67,598			384,823
JPMorgan Chase		BRL 18,900		1/2/15	BRL-CDI-Compounded	7.90%		(215,654	)		(67,479	)		(148,175	)
Morgan Stanley		1,700		1/2/17	BRL-CDI-Compounded	8.22%		(60,999	)		(90	)		(60,909	)
Royal Bank of Scotland		$7,800		10/31/16	1.93%	3-Month USD- CPURNSA Index		(9,064	)		–			(9,064	)
Royal Bank of Scotland		27,000		7/15/17	2.25%	3-Month USD- CPURNSA Index		(625,124	)		(50,400	)		(574,724	)
Royal Bank of Scotland		9,700		7/15/17	2.25%	3-Month USD- CPURNSA Index		(224,582	)		27,917			(252,499	)
UBS		BRL 39,800		1/2/17	BRL-CDI-Compounded	8.15%		(1,466,902	)		(39,489	)		(1,427,413	)
								$(3,443,237	)		$310,663			$(3,753,900	)

April 30, 2014 |  Semi-Annual Report 81

Schedule of Investments

Fixed Income SHares: Series R

April 30, 2014 (unaudited) (continued)

Centrally cleared swap agreements:

	Notional Amount (000s)		Termination Date		Rate Type					Unrealized Appreciation (Depreciation)
Broker (Exchange)					Payments Made	Payments Received	Value
Barclays Bank (CME)		¥310,000		9/18/23	1.00%	6-Month JPY-LIBOR		$(76,632	)		$(32,222	)
Barclays Bank (CME)		$2,900		6/19/43	2.75%	3-Month USD-LIBOR		364,110			190,345
Barclays Bank (CME)		1,100		12/18/43	3.50%	3-Month USD-LIBOR		(24,863	)		(63,891	)
Barclays Bank (CME)		€500		9/17/44	2.75%	3-Month USD-LIBOR		(52,528	)		(3,917	)
Citigroup (CME)		$29,400		12/18/43	3.50%	3-Month USD-LIBOR		(664,521	)		(1,927,361	)
Citigroup (CME)		€800		9/17/44	2.75%	3-Month USD-LIBOR		(84,045	)		(18,406	)
Credit Suisse First Boston (CME)		¥810,000		9/18/23	1.00%	6-Month JPY-LIBOR		(200,233	)		(152,486	)
Credit Suisse First Boston (CME)		€3,400		1/29/24	2.00%	3-Month USD-LIBOR		(158,456	)		(130,854	)
Credit Suisse First Boston (CME)		$4,100		12/18/43	3.50%	3-Month USD-LIBOR		(92,671	)		(241,838	)
Credit Suisse First Boston (CME)		€3,100		9/17/44	2.75%	3-Month USD-LIBOR		(325,674	)		(187,248	)
Deutsche Bank (CME)		24,600		1/17/16	0.55%	3-Month USD-LIBOR		(90,144	)		(60,180	)
Morgan Stanley (CME)		¥620,000		9/18/23	1.00%	6-Month JPY-LIBOR		(153,265	)		(116,261	)
Morgan Stanley (CME)		$1,800		6/19/43	2.75%	3-Month USD-LIBOR		226,000			118,145
Morgan Stanley (CME)		€2,100		9/17/44	2.75%	3-Month USD-LIBOR		(220,618	)		(104,781	)
								$(1,553,540	)		$(2,730,955	)

(o) Forward foreign currency contracts outstanding at April 30, 2014:

	Counterparty	U.S.$ Value on Origination Date		U.S.$ Value April 30, 2014		Unrealized Appreciation (Depreciation)
Purchased:
12,090,000 Australian Dollar settling 5/2/14	Morgan Stanley		$11,217,402		$11,231,613		$14,211
2,574,454 Brazilian Real settling 5/5/14	Credit Suisse First Boston		1,082,522		1,154,593		72,071
8,725,274 Brazilian Real settling 5/5/14	UBS		3,724,607		3,913,117		188,510
8,725,274 Brazilian Real settling 6/3/14	UBS		3,891,042		3,877,571		(13,471	)
32,133,000 Euro settling 5/2/14	Bank of America		44,459,508		44,579,696		120,188
1,880,406 Euro settling 7/30/14	Bank of America		2,598,063		2,608,306		10,243
748,801 Euro settling 7/30/14	Goldman Sachs		1,035,435		1,038,661		3,226
20,838,600 Indian Rupee settling 7/23/14	Deutsche Bank		340,000		339,726		(274	)
23,309,200 Indian Rupee settling 7/23/14	Goldman Sachs		380,000		380,004		4
24,205,600 Indian Rupee settling 7/23/14	HSBC Bank		395,001		394,618		(383	)
20,180,860 Indian Rupee settling 7/23/14	JPMorgan Chase		329,000		329,003		3
21,158,850 Indian Rupee settling 7/23/14	UBS		345,000		344,947		(53	)
12,908,000 Mexican Peso settling 6/25/14	BNP Paribas		965,257		982,571		17,314
36,327,000 Mexican Peso settling 5/14/14	Citigroup		2,747,155		2,774,684		27,529
56,983,856 Mexican Peso settling 5/14/14	Goldman Sachs		4,360,731		4,352,470		(8,261	)
2,638,800 Polish Zloty settling 7/30/14	BNP Paribas		869,686		866,818		(2,868	)
4,630,189 Polish Zloty settling 7/30/14	HSBC Bank		1,527,712		1,520,968		(6,744	)
Sold:
12,090,000 Australian Dollar settling 5/2/14	Bank of America		11,129,510		11,231,613		(102,103	)
12,090,000 Australian Dollar settling 6/3/14	Morgan Stanley		11,192,463		11,207,028		(14,565	)
2,574,454 Brazilian Real settling 5/5/14	Credit Suisse First Boston		1,151,366		1,154,593		(3,227	)
8,725,274 Brazilian Real settling 5/5/14	UBS		3,923,234		3,913,117		10,117
1,160,000 British Pound settling 6/12/14	Deutsche Bank		1,929,793		1,957,917		(28,124	)
649,000 British Pound settling 6/12/14	Goldman Sachs		1,087,410		1,095,421		(8,011	)
681,000 Canadian Dollar settling 6/19/14	Citigroup		613,496		620,607		(7,111	)
39,735,000 Danish Krone settling 5/13/14	Citigroup		7,298,334		7,386,053		(87,719	)
32,133,000 Euro settling 6/3/14	Bank of America		44,456,006		44,576,690		(120,684	)
12,683,000 Euro settling 5/2/14	Barclays Bank		17,415,684		17,595,751		(180,067	)
623,871 Euro settling 7/30/14	BNP Paribas		869,686		865,371		4,315
4,921,000 Euro settling 5/2/14	Credit Suisse First Boston		6,786,369		6,827,146		(40,777	)

82 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series R

April 30, 2014 (unaudited) (continued)

	Counterparty	U.S.$ Value on Origination Date		U.S.$ Value April 30, 2014		Unrealized Appreciation (Depreciation)
1,097,461 Euro settling 7/30/14	HSBC Bank		$1,527,712		$1,522,286		$5,426
14,529,000 Euro settling 5/2/14	Royal Bank of Scotland		20,015,571		20,156,798		(141,227	)
583,978,770 Hungarian Forint settling 7/30/14	Bank of America		2,598,064		2,629,521		(31,457	)
232,940,000 Hungarian Forint settling 7/30/14	Goldman Sachs		1,035,435		1,048,875		(13,440	)
42,754,000 Japanese Yen settling 5/13/14	Citigroup		419,255		418,221		1,034
93,310,857 Mexican Peso settling 5/14/14	BNP Paribas		6,986,093		7,127,154		(141,061	)
56,983,856 Mexican Peso settling 8/25/14	Goldman Sachs		4,325,971		4,316,621		9,350
1,191,000 New Zealand Dollar settling 6/3/14	BNP Paribas		1,016,128		1,024,284		(8,156	)
1,191,000 New Zealand Dollar settling 5/2/14	HSBC Bank		1,029,275		1,026,999		2,276
							$(473,966	)

(p) At April 30, 2014, the Portfolio held $325,000 in cash as collateral and pledged cash collateral of $2,417,000 for derivative contracts. Cash collateral held may be invested in accordance with the Portfolio’s investment strategy.

(q) The weighted average daily balance of reverse repurchase agreements during the six months ended April 30, 2014 was $18,766,909, at a weighted average interest rate of (0.11)%. There were no open reverse repurchase agreements at April 30, 2014.

(r) The weighted average borrowing for sale-buybacks during the six months ended April 30, 2014 was $149,125,203 at a weighted average interest rate of 0.12%.

(s) Fair Value Measurements-See Note 1(b) in the Notes to Financial Statements.

	Level 1 – Quoted Prices			Level 2 – Other Significant Observable Inputs			Level 3 – Significant Unobservable Inputs			Value at 4/30/14
Investments in Securities – Assets
U.S. Treasury Obligations	$	–		$	260,528,666			$–		$	260,528,666
Sovereign Debt Obligations		–			60,061,243			–			60,061,243
Corporate Bonds & Notes		–			33,521,680			–			33,521,680
Mortgage-Backed Securities		–			21,685,796			–			21,685,796
Asset-Backed Securities		–			2,354,365			–			2,354,365
U.S. Government Agency Securities		–			477,885			–			477,885
Senior Loans		–			208,677			–			208,677
Short-Term Investments		–			7,691,852			–			7,691,852
Options Purchased:
Interest Rate Contracts		–			106,208			–			106,208
		–			386,636,372			–			386,636,372
Investment in Securities – Liabilities
Options Written, at value:
Credit Contracts		–			(28,325	)		–			(28,325	)
Foreign Exchange Contracts		–			(71,566	)		–			(71,566	)
Interest Rate Contracts		–			(111,354	)		(81,293	)		(192,647	)
		–			(211,245	)		(81,293	)		(292,538	)
Other Financial Instruments* – Assets
Credit Contracts		–			534,104			–			534,104
Foreign Exchange Contracts		–			485,817			–			485,817
Interest Rate Contracts		26,515			1,720,854			–			1,747,369
		26,515			2,740,775			–			2,767,290
Other Financial Instruments* – Liabilities
Credit Contracts		–			(130,357	)		–			(130,357	)
Foreign Exchange Contracts		–			(959,783	)		–			(959,783	)
Interest Rate Contracts		(352,660	)		(8,205,709	)		–			(8,558,369	)
		(352,660	)		(9,295,849	)		–			(9,648,509	)
Totals	$	(326,145	)	$	379,870,053		$	(81,293	)	$	379,462,615

April 30, 2014 |  Semi-Annual Report 83

Schedule of Investments

Fixed Income SHares: Series R

April 30, 2014 (unaudited) (continued)

At April 30, 2014, there were no transfers between Levels 1 and 2.

A roll forward of fair value measurements using significant unobservable inputs (Level 3) for the six months ended April 30, 2014, was as follows:

	Beginning Balance 10/31/13			Purchases		Sales			Accrued Discount (Premiums)		Net Realized Gain (Loss)		Net Change in Unrealized Appreciation/ Depreciation		Transfers into Level 3		Transfers out of Level 3**			Ending Balance 4/30/14
Investments in Securities – Assets
Mortgage-Backed Securities		$3,916,300			$    –		$(404,842	)		$    –		$    –		$2,081		$    –		$(3,513,539	)		$    –
Investments in Securities – Liabilities
Options Written:
Interest Rate Contracts		(48,704	)		–		(47,288	)		–		–		14,699		–		–			(81,293	)
Totals		$3,867,596			$    –		$(452,130	)		$    –		$    –		$16,780		$    –		$(3,513,539	)		$(81,293	)

The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at April 30, 2014.

	Ending Balance at 4/30/14			Valuation Technique Used	Unobservable Inputs	Input Values
Investments in Securities – Liabilities
Options Written:
Interest Rate Contracts		$(81,293	)	Third-Party Pricing Vendor	Single Broker Quote	$(0.05) – $(0.71)

* Other financial instruments are derivatives, such as futures contracts, swap agreements and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) of the instrument.

** Transferred out of Level 3 into Level 2 because an evaluated price with observable inputs from an independent third-party vendor became available.

The net change in unrealized appreciation/depreciation of Level 3 investments held at April 30, 2014, was $14,699. Net change in unrealized appreciation/depreciation is reflected on the Statement of Operations.

(t) The following is a summary of the derivative instruments categorized by risk exposure:

The effect of derivatives on the Statement of Assets and Liabilities at April 30, 2014:

Location	Interest Rate Contracts			Credit Contracts			Foreign Exchange Contracts			Total
Asset derivatives:
Investments, at value (options purchased)		$106,208			$–			$–			$106,208
Unrealized appreciation of OTC swaps		1,412,364			467,022			–			1,879,386
Receivable for variation margin on centrally cleared swaps**		–			99,219			–			99,219
Receivable for variation margin on futures contracts*		229,450			–			–			229,450
Unrealized appreciation of forward foreign currency contracts		–			–	��		485,817			485,817
Total asset derivatives		$1,748,022			$566,241			$485,817			$2,800,080
Liability derivatives:
Unrealized depreciation of OTC swaps		$(5,166,264	)		$(130,357	)		$–			$(5,296,621	)
Payable for variation margin on centrally cleared swaps**		(258,870	)		–			–			(258,870	)
Options written, at value		(192,647	)		(28,325	)		(71,566	)		(292,538	)
Payable for variation margin on futures contracts*		(1,248	)		–			–			(1,248	)
Unrealized depreciation of forward foreign currency contracts		–			–			(959,783	)		(959,783	)
Total liability derivatives		$(5,619,029	)		$(158,682	)		$(1,031,349	)		$(6,809,060	)

* Included in net unrealized depreciation of $326,145 on futures contracts as reported in note (k) of the Notes to Schedule of Investments.

** Included in net unrealized depreciation of $2,663,873 on centrally cleared swaps as reported in note (m) and (n) of the Notes to Schedule of Investments.

84 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series R

April 30, 2014 (unaudited) (continued)

The effect of derivatives on the Statement of Operations for the six months ended April 30, 2014:

Location	Interest Rate Contracts			Credit Contracts			Foreign Exchange Contracts			Total
Net realized gain (loss) on:
Investments (options purchased)		$(355,950	)		$–			$–			$(355,950	)
Futures contracts		1,091,217			–			–			1,091,217
Options written		1,277,349			–			–			1,277,349
Swaps		2,082,704			(24,669	)		–			2,058,035
Foreign currency transactions (forward foreign currency contracts)		–			–			(238,743	)		(238,743	)
Total net realized gain (loss)		$4,095,320			$(24,669	)		$(238,743	)		$3,831,908
Net change in unrealized appreciation/depreciation of:
Investments (options purchased)		$174,253			$–			$–			$174,253
Futures contracts		(1,564,031	)		–			–			(1,564,031	)
Options written		(628,042	)		49,594			250,906			(327,542	)
Swaps		(4,442,807	)		463,156			–			(3,979,651	)
Foreign currency transactions (forward foreign currency contracts)		–			–			(376,017	)		(376,017	)
Total net change in unrealized appreciation/depreciation		$(6,460,627	)		$512,750			$(125,111	)		$(6,072,988	)

The average volume (measured at each fiscal quarter-end) of derivative activity during the six months ended April 30, 2014:

Options Purchased(3)	Options Written(1)		Options Written(3)		Futures Contracts(1)					Forward Foreign Currency Contracts(2)				Credit Default Swap Agreements(3)				Interest Rate Swap Agreements(3)
					Long		Short			Purchased		Sold		Buy		Sell
$4,899		122		$180,452		1,289		(43	)		$53,295,825		$96,464,944		$4,000		$21,550		$172,967
€2,600				€ 32,667															AUD 2,800
																			BRL 104,600
																			€51,367
																			¥1,740,000

(1) Number of contracts

(2) U.S. $ Value on origination date

(3) Notional Amount (in thousands)

April 30, 2014 |  Semi-Annual Report 85

Schedule of Investments

Fixed Income SHares: Series R

April 30, 2014 (unaudited) (continued)

(4) The following tables present by counterparty the Portfolio’s derivative assets and liabilities net of related collateral held by the Fund at April 30, 2014 which has not been offset in the Statement of Assets and Liabilities, but would be available for offset to the extent of a default by the counterparty to the transaction.

Financial Assets and Derivative Assets, and Collateral Received at April 30, 2014:

Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Gross Asset Derivatives Presented in Statement of Assets and Liabilities		Financial Instrument/ Derivative Offset			Cash Collateral Paid (Received)			Net Amount
Foreign Currency Exchange Contracts
Bank of America		$130,431		$(130,431	)		$–			$–
BNP Paribas		21,629		(21,629	)		–			–
Citigroup		28,563		(28,563	)		–			–
Credit Suisse First Boston		72,071		(44,004	)		–			28,067
Goldman Sachs		12,580		(12,580	)		–			–
HSBC Bank		7,702		(7,127	)		–			575
JPMorgan Chase		3		(3	)		–			–
Morgan Stanley		14,211		(14,211	)		–			–
UBS		198,627		(198,627	)		–			–
Swaps
Bank of America		81,865		(81,865	)		–			–
BNP Paribas		478,243		(465,488	)		(12,755	)#,##		–
Citigroup		139,606		(139,606	)		–			–
Deutsche Bank		467,764		(467,599	)		70,645	#,##		70,810
Goldman Sachs		426,664		(426,664	)		–			–
HSBC Bank		88,378		–			(75,803	)#		12,575
JPMorgan Chase		71,823		(71,823	)		–			–
Morgan Stanley		125,043		(61,263	)		(63,780	)#		–
Totals		$2,365,203		$(2,171,483	)		$(81,693	)		$112,027

Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Gross Financial Assets Presented in Statement of Assets and Liabilities		Financial Instrument/ Derivative Offset			Net Amount
Repurchase Agreement
State Street Bank & Trust Co.		$116,000		$(116,000	)†		$–

86 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series R

April 30, 2014 (unaudited) (continued)

Financial Liabilities and Derivative Liabilities, and Collateral Pledged at March 31, 2014:

Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Gross Liability Derivatives Presented in Statement of Assets and Liabilities		Financial Instrument/ Derivative Offset			Cash Collateral Received (Pledged)			Net Amount
Foreign Currency Exchange Contracts
Bank of America		$254,244		$(254,244	)††		$–			$–
Barclays Bank		180,067		–						180,067
BNP Paribas		152,085		(152,085	)		–			–
Citigroup		94,830		(94,830	)		–			–
Credit Suisse First Boston		44,004		(44,004	)		–			–
Deutsche Bank		28,398		(28,398	)		–			–
Goldman Sachs		29,712		(29,712	)		–			–
HSBC Bank		7,127		(7,127	)		–			–
Morgan Stanley		14,565		(14,565	)		–			–
Royal Bank of Scotland		141,227		(141,227	)		–			–
UBS		13,524		(13,524	)		–			–
Swaps
Bank of America		87,815		(89,274	)††		1,459	#,##		–
BNP Paribas		335,032		(335,032	)		–			–
Citigroup		350,891		(343,703	)		13,964	#,##		21,152
Deutsche Bank		439,201		(439,201	)		–			–
Goldman Sachs		1,610,898		(1,552,217	)		(40,368	)#,##		18,313
JPMorgan Chase		148,175		(205,591	)††		57,416	#,##		–
Morgan Stanley		60,909		(60,909	)		–			–
Royal Bank of Scotland		836,287		(857,972	)		92,483	#,##		70,798
UBS		1,427,413		(1,466,902	)††		39,489	#		–
Totals		$6,256,404		$(6,130,517	)		$164,443			$290,330

† The actual collateral received is greater than the amount shown here due to over collateralization.

†† The actual collateral pledged is greater than the amount shown here due to over collateralization.

# The amount includes upfront premiums received.

## The amount includes upfront premiums paid.

April 30, 2014 |  Semi-Annual Report 87

Schedule of Investments

Fixed Income SHares: Series R

April 30, 2014 (unaudited) (continued)

Glossary:

AUD	-	Australian Dollar
BRL	-	Brazilian Real
£	-	British Pound
CBOT	-	Chicago Board of Trade
CDI	-	Inter-Bank Deposit Certificate
CDX.IG	-	Credit Derivatives Index Investment Grade
CDX.IT	-	Credit Derivatives Index iTraxx
CLO	-	Collateralized Loan Obligation
CME	-	Chicago Mercantile Exchange
CMO	-	Collateralized Mortgage Obligation
CPURNSA	-	Consumer Price All Urban Non-Seasonally Adjusted Index
DKK	-	Danish Krone
EUR/€	-	Euro
EURIBOR	-	Euro Inter-Bank Offered Rate
FRCPXTOB	-	France CPI ex-Tobacco Index
ICE	-	Intercontinental Exchange
JPY/¥	-	Japanese Yen
LIBOR	-	London Inter-Bank Offered Rate
MBS	-	Mortgage-Backed Securities
MXN	-	Mexican Peso
NZD	-	New Zealand Dollar
OTC	-	Over-the-Counter

88 Semi-Annual Report   |  April 30, 2014  |   See accompanying Notes to Financial Statements

Schedule of Investments

Fixed Income SHares: Series TE

April 30, 2014 (unaudited)

Principal Amount (000s)			Value
	MUNICIPAL BONDS – 85.5%
		Arizona – 4.0%
	$1,000	Phoenix Civic Improvement Corp. Rev., 5.00%, 7/1/28, Ser. A		$1,076,060
	1,000	Salt River Project Agricultural Improvement & Power Dist. Rev., 5.00%, 12/1/30, Ser. A		1,144,730
	175	State Univ. Rev., 5.00%, 7/1/25, Ser. A		201,789
	1,000	Water Infrastructure Finance Auth. Rev., 4.25%, 10/1/19, Ser. A		1,149,550
				3,572,129
		Arkansas – 0.3%
	260	Univ. of Arkansas Rev., 5.00%, 5/1/26, Ser. A		297,690
		California – 9.4%
	2,000	Bay Area Toll Auth. Rev., 5.00%, 4/1/38, Ser. S-4		2,168,800
	1,000	Bay Area Water Supply & Conservation Agcy. Rev., 5.00%, 10/1/26, Ser. A		1,168,880
	500	Contra Costa Transportation Auth. Rev., 5.00%, 3/1/25, Ser. B		583,535
	400	East Bay Municipal Utility Dist. Rev., 5.00%, 6/1/22, Ser. B		487,704
	1,000	Health Facs. Financing Auth. Rev., St. Joseph Health System, 5.00%, 7/1/43, Ser. D (b)		1,181,200
	500	Sutter Health, 5.25%, 8/15/22, Ser. A		565,630
	100	Irvine, Special Assessment, 4.00%, 9/2/21		108,170
	730	Los Angeles, GO, 5.00%, 9/1/22, Ser. B		880,117
	250	Los Angeles Cnty. Public Works Financing Auth. Rev., 5.00%, 8/1/42		264,685
	500	Los Angeles Department of Airports Rev., 5.00%, 5/15/29, Ser. B		565,155
	200	San Francisco Bay Area Rapid Transit Dist. Rev., 5.00%, 7/1/24		228,724
	100	Statewide Communities Dev. Auth. Rev., Sutter Health, 5.00%, 8/15/23, Ser. A		116,311
				8,318,911
		Colorado – 3.5%
	500	Denver City & Cnty. School Dist. No. 1, GO, 5.00%, 12/1/26, Ser. B		580,825
	2,125	Health Facs. Auth. Rev., Childrens Hospital, 5.00%, 12/1/33, Ser. A		2,273,367
	250	State Board of Governors Rev., 5.00%, 3/1/18, Ser. A		286,393
				3,140,585
		Connecticut – 1.2%
	1,000	Health & Educational Facs. Auth. Rev., Hartford Healthcare, 5.00%, 7/1/26, Ser. E		1,114,450
		Florida – 4.9%
	1,300	Broward Cnty. Airport System Rev., 5.00%, 10/1/37, Ser. Q-1		1,360,775
	555	Miami-Dade Cnty. Water & Sewer System Rev., 5.00%, 10/1/28, Ser. B		628,821
	1,800	Municipal Power Agcy. Rev., St. Lucie Project, 5.00%, 10/1/26, Ser. A		2,041,344
	250	State, GO, 5.00%, 7/1/25, Ser. B		293,427
				4,324,367
		Georgia – 1.2%
	1,000	Atlanta Department of Aviation Rev., 5.00%, 1/1/42, Ser. B		1,059,920
		Kansas – 2.5%
	2,000	Dev. Finance Auth. Rev., Adventist Health, 5.00%, 11/15/34, Ser. A		2,183,480
		Massachusetts – 5.0%
	1,150	Bay Transportation Auth. Rev., 5.50%, 7/1/18, Ser. C		1,357,023
		School Building Auth. Rev.,
	100	5.00%, 8/15/27, Ser. B		115,990
	165	5.00%, 8/15/30, Ser. A		188,115
	450	5.00%, 8/15/30, Ser. B		513,040

April 30, 2014 |  Semi-Annual Report 89

Schedule of Investments

Fixed Income SHares: Series TE

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		Massachusetts (continued)
	$2,000	State College Building Auth. Rev., 5.00%, 5/1/28, Ser. A		$2,316,520
				4,490,688
		Minnesota – 1.3%
	1,000	Anoka-Hennepin Independent School Dist. No. 11, GO, 5.00%, 2/1/19, Ser. A		1,156,030
		Missouri – 1.0%
	750	Metropolitan St. Louis Sewer Dist. Rev., 5.00%, 5/1/23, Ser. B		896,408
		Nebraska – 0.3%
	200	Omaha Public Power Dist. Rev., 5.00%, 2/1/25, Ser. A		233,444
		New Jersey – 4.6%
	1,000	Economic Dev. Auth. Rev., 5.00%, 3/1/24		1,156,490
	1,000	Health Care Facs. Financing Auth. Rev., Robert Wood Johnson Univ. Hospital, 5.25%, 7/1/35		1,082,230
		State Turnpike Auth. Rev.,
	175	5.00%, 1/1/21, Ser. B		205,651
	1,300	5.00%, 1/1/31, Ser. A		1,434,342
	210	Transportation Trust Fund Auth. Rev., 5.50%, 6/15/41, Ser. A		230,820
				4,109,533
		New York – 10.9%
		Metropolitan Transportation Auth. Rev.,
	165	5.00%, 11/15/27, Ser. D		183,917
	1,340	5.00%, 11/15/28, Ser. A		1,534,903
	125	New York City, GO, 5.00%, 8/1/23, Ser. I		146,407
		New York City Trust for Cultural Res. Rev., Wildlife Conservation Society, Ser. A,
	200	5.00%, 8/1/24		235,592
	365	5.00%, 8/1/25		424,466
		State Dormitory Auth. Rev., Ser. A,
	1,725	5.00%, 12/15/26		2,000,655
	170	5.00%, 3/15/27		193,763
	1,130	Tompkins Cnty. Dev. Corp. Rev., Tompkins Cortland Community College, 5.00%, 7/1/20		1,209,507
		Triborough Bridge & Tunnel Auth. Rev.,
	300	5.00%, 11/15/25, Ser. A		350,502
	2,000	5.00%, 11/15/27, Ser. B		2,320,340
	1,000	5.00%, 11/15/29, Ser. A		1,120,170
				9,720,222
		North Carolina – 4.6%
	1,000	Cary Combined Utility Systems Rev., 5.00%, 12/1/24		1,202,060
	100	Charlotte-Mecklenburg Hospital Auth. Rev., 5.00%, 1/15/28, Ser. A		111,897
	1,250	Raleigh Combined Enterprise System Rev., 5.00%, 3/1/24, Ser. A		1,503,675
	100	State Rev., 5.00%, 5/1/26, Ser. C		115,731
	1,000	Turnpike Auth. Rev., 5.00%, 7/1/24		1,162,840
				4,096,203
		Ohio – 6.7%
	4,000	Air Quality Dev. Auth. Rev., 3.75%, 12/1/23 (b)		4,081,840
	900	Cleveland Department of Public Utilities Division of Water Rev., 5.00%, 1/1/24, Ser. X		1,056,546
	450	Higher Educational Fac. Commission Rev., Western Univ., 5.00%, 12/1/21, Ser. A		532,273
	250	State Rev., 5.00%, 12/15/24, Ser. 1		288,868
				5,959,527

90 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series TE

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		Oklahoma – 0.4%
	$300	Water Res. Board Rev., 5.00%, 4/1/22, Ser. B		$353,115
		Pennsylvania – 2.7%
	100	Monroeville Finance Auth. Rev., 5.00%, 2/15/22		117,336
	1,000	River Port Auth. Rev., 5.00%, 1/1/23		1,105,630
	1,000	Turnpike Commission Rev., 5.00%, 12/1/20, Ser. B		1,155,720
				2,378,686
		Tennessee – 0.4%
	100	Metropolitan Gov’t of Nashville & Davidson Cnty., GO, 5.00%, 7/1/23		119,642
	200	Tennessee Energy Acquisition Corp. Rev., 5.25%, 9/1/24, Ser. A		224,560
				344,202
		Texas – 9.4%
	300	Dallas, GO, 5.00%, 2/15/23		358,554
	500	Dallas/Fort Worth International Airport Rev., 5.00%, 11/1/27, Ser. B		565,250
		Harris Cnty., GO,
	250	5.00%, 8/15/26		291,177
	1,580	5.125%, 8/15/24		1,926,968
	200	La Joya Independent School Dist., GO, 5.00%, 2/15/27 (GTD-PSF)		232,140
	750	Lower River Auth. Rev., 5.00%, 5/15/33, Ser. A		805,320
	175	North Texas Tollway Auth. Rev., 5.00%, 1/1/28, Ser. B		192,488
	250	San Antonio Public Facs. Corp. Rev., 5.00%, 9/15/25		288,523
		Texas Municipal Gas Acquisition & Supply Corp. I Rev.,
	1,000	5.25%, 12/15/23, Ser. A		1,132,150
	2,000	6.25%, 12/15/26, Ser. D		2,420,040
	100	Texas Municipal Gas Acquisition & Supply Corp. III Rev., 5.00%, 12/15/26		107,220
				8,319,830
		Utah – 1.3%
	1,000	Intermountain Power Agcy. Rev., 5.00%, 7/1/23, Ser. A		1,120,730
		Virginia – 6.7%
	560	College Building Auth. Rev., 5.00%, 2/1/25		654,500
	2,315	Loudoun Cnty., GO, 5.00%, 12/1/27, Ser. A		2,718,041
	1,000	Public Building Auth. Rev., 5.00%, 8/1/25, Ser. A		1,179,740
	1,000	Public School Auth. Rev., 5.00%, 8/1/21, Ser. A		1,203,460
	175	Virginia Resource Auth. Rev., 5.00%, 11/1/26, Ser. A		206,224
				5,961,965
		Washington – 1.9%
	1,250	Central Puget Sound Regional Transit Auth. Rev., 5.00%, 2/1/24, Ser. P-1		1,467,637
	200	State, GO, 5.00%, 1/1/28, Ser. C		222,614
				1,690,251
		Wisconsin – 1.3%
	1,000	WPPI Energy Rev., 5.00%, 7/1/25, Ser. A		1,166,010
	Total Municipal Bonds (cost-$75,541,429)			76,008,376
		U.S. Treasury Obligations – 0.7%
	600	U.S. Treasury Notes, 0.094%, 4/30/16 (b) (cost-$600,000)		600,000
	Short-Term Investments – 13.7%
		U.S. Government Agency Securities (c) – 7.8%
		Federal Home Loan Bank Discount Notes,
	400	0.079%, 10/8/14		399,929

April 30, 2014 |  Semi-Annual Report 91

Schedule of Investments

Fixed Income SHares: Series TE

April 30, 2014 (unaudited) (continued)

Principal Amount (000s)			Value
		U.S. Government Agency Securities (c) (continued)
	$300	0.086%, 7/16/14		$299,981
	3,200	0.091%, 7/18/14		3,199,792
	3,100	0.101%, 7/30/14		3,099,767
	Total U.S. Government Agency Securities (cost-$6,998,409)			6,999,469
		Repurchase Agreements – 5.2%
	4,600	Goldman Sachs,
		dated 4/30/14, 0.05%, due 5/1/14,
		proceeds $4,600,006; collateralized by
		Freddie Mac, 3.50%, due 9/1/42,
		valued at $4,739,126 including accrued interest (cost-$4,600,000)		4,600,000
		U.S. Treasury Obligations – 0.7%
	607	U.S. Treasury Bills, 0.048%, 10/16/14 (a)(c) (cost-$606,866)		606,890
	Total Short-Term Investments (cost-$12,205,275)			12,206,359
	Total Investments (cost-$88,346,704) – 99.9%			88,814,735
	Other assets less liabilities – 0.1%			70,942
	Net Assets – 100.0%			$88,885,677

Industry classification of portfolio holdings as a percentage of net assets was as follows:

Revenue Bonds:
Electric Power & Light Revenue	12.0	%
Highway Revenue Tolls	10.0
Health, Hospital & Nursing Home Revenue	9.7
Water Revenue	8.6
Miscellaneous Revenue	7.7
Port, Airport & Marina Revenue	6.6
College & University Revenue	5.4
Sales Tax Revenue	5.1
Natural Gas Revenue	4.4
Income Tax Revenue	2.4
Miscellaneous Taxes	1.7
Sewer Revenue	1.0
Lease (Appropriation)	0.3
Lease (Abatement)	0.3
Transit Revenue	0.2
Total Revenue Bonds			75.4	%
General Obligation			10.0
U.S. Government Agency Securities			7.8
Repurchase Agreements			5.2
U.S. Treasury Obligations			1.4
Special Assessment			0.1
Other assets less liabilities			0.1
Net Assets			100.0	%

Notes to Schedule of Investments:

(a) All or partial amount segregated for the benefit of the counterparty as collateral for derivatives.

(b) Variable or Floating Rate Security–Securities with an interest rate that changes periodically. The interest rate disclosed reflects the rate in effect on April 30, 2014.

92 Semi-Annual Report |  April 30, 2014

Schedule of Investments

Fixed Income SHares: Series TE

April 30, 2014 (unaudited) (continued)

(c) Rates reflect the effective yields at purchase date.

(d) Futures contracts outstanding at April 30, 2014:

	Type	Contracts			Market Value (000s)			Expiration Date		Unrealized Depreciation
Short:	30-Year U.S. Treasury Bond Futures		(140	)		$(18,869	)		6/19/14		$(21,997	)

(e) Interest rate swap agreements outstanding at April 30, 2014:

Centrally cleared swap agreements:

Broker (Exchange)

Notional Amount (000s)

Termination Date

Rate Type

Value

Unrealized Depreciation

Payments Made

Payments Received

Morgan Stanley (CME)

$8,000

12/18/43

3.50

%

3-Month USD-LIBOR

$(180,822

)

$(573,142

)

(f) Fair Value Measurements-See Note 1(b) in the Notes to Financial Statements.

	Level 1 – Quoted Prices			Level 2 – Other Significant Observable Inputs			Level 3 – Significant Unobservable Inputs		Value at 4/30/14
Investments in Securities – Assets
Municipal Bonds	$	–			$76,008,376			$–		$76,008,376
U.S. Treasury Obligations		–			600,000			–		600,000
Short-Term Investments		–			12,206,359			–		12,206,359
		–			88,814,735			–		88,814,735
Other Financial Instruments* – Liabilities
Interest Rate Contracts		(21,997	)		(573,142	)		–		(595,139	)
Totals	$	(21,997	)	$	88,241,593			$–	$	88,219,596

At April 30, 2014, there were no transfers between Levels 1 and 2.

* Other financial instruments are derivatives, such as futures contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) of the instrument.

(g) The following is a summary of the derivative instruments categorized by risk exposure:

The effect of derivatives on the Statement of Assets and Liabilities at April 30, 2014:

Location	Interest Rate Contracts
Liability derivatives:
Payable for variation margin on centrally cleared swaps**		$(48,560	)
Payable for variation margin on futures contracts*		(21,997	)
Total liability derivatives		$(70,557	)

* Included in net unrealized depreciation of $21,997 on futures contracts as reported in note (d) of the Notes to Schedule of Investments.

** Included in net unrealized depreciation of $573,142 on centrally cleared swaps as reported in note (e) of the Notes to Schedule of Investments.

April 30, 2014 |  Semi-Annual Report 93

Schedule of Investments

Fixed Income SHares: Series TE

April 30, 2014 (unaudited) (continued)

The effect of derivatives on the Statement of Operations for the six months ended April 30, 2014:

Location	Interest Rate Contracts
Net realized loss on:
Swaps		$(121	)
Net change in unrealized appreciation/depreciation of:
Futures contracts		$(21,997	)
Swaps		(573,142	)
Total net change in unrealized appreciation/depreciation		$(595,139	)

The average volume (measured at each fiscal quarter-end) of derivative activity during the six months ended April 30, 2014:

Futures Contracts(1)	Interest Rate Swap Agreements(2)
Short
(47)		$5,333

(1) Number of contracts

(2) Notional Amount (in thousands)

(h) The following tables present by counterparty the Portfolio’s derivative assets and liabilities net of related collateral held by the Fund at April 30, 2014 which has not been offset in the Statement of Assets and Liabilities, but would be available for offset to the extent of a default by the counterparty to the transaction.

Financial Assets and Derivative Assets, and Collateral Received at April 30, 2014:

Gross Amounts Not Offset in the Statement of Assets and Liabilities
Counterparty	Gross Financial Assets Presented in Statement of Assets and Liabilities		Financial Instrument/ Derivative Offset			Net Amount
Repurchase Agreement
Goldman Sachs		$4,600,000		$(4,600,000	)†		$–

† The actual collateral received is greater than the amount shown here due to over collateralization.

Glossary:

CME	-	Chicago Mercantile Exchange
GO	-	General Obligation Bond
GTD	-	Guaranteed
LIBOR	-	London Inter-Bank Offered Rate
PSF	-	Public School Fund

94 Semi-Annual Report   |  April 30, 2014  |   See accompanying Notes to Financial Statements

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April 30, 2014 |  Semi-Annual Report 95

Statements of Assets and Liabilities

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

	Series C		Series LD		Series M		Series R		Series TE
Assets:
Investments, at value (cost-$2,776,474,033, $8,915,735, $5,140,307,995, $385,695,450 and $88,346,704, respectively)		$2,961,683,274		$8,969,962		$5,256,863,906		$386,636,372		$88,814,735
Cash		1,101,663		–		192,689		21,437		528,095
Foreign currency, at value (cost-$3,103,095, $2,120, $2,910,135, $1,130,666 and $0, respectively)		3,160,123		2,092		2,938,711		1,134,038		–
Receivable for investments sold		75,494,622		5,428,209		657,209,928		30,152,474		–
Interest receivable		31,069,897		70,457		27,506,591		1,493,060		996,252
Unrealized appreciation of OTC swaps		25,432,230		413		4,194,788		1,879,386		–
Swap premiums paid		9,529,782		–		217,741		572,741		–
Unrealized appreciation of forward foreign currency contracts		4,695,255		2,629		1,980,429		485,817		–
Receivable for shares of beneficial interest sold		2,332,790		114,746		2,992,481		93,295		122,924
Receivable for variation margin on futures contracts		893,963		319		1,893,107		229,450		–
Deposits with brokers for derivatives collateral		9,000		7,000		8,524,000		2,417,000		–
Receivable for variation margin on centrally cleared swaps		1,954		–		–		99,219		–
Receivable for principal paydowns		124		22,157		45,361		513		–
Receivable from broker		–		–		183,585		–		–
Receivable for terminated swaps		–		–		–		169,728		–
Unsettled reverse repurchase agreements		–		–		255,637,500		–		–
Prepaid expenses		17,041		–		17,041		–		–
Total Assets		3,115,421,718		14,617,984		6,220,397,858		425,384,530		90,462,006
Liabilities:
Payable for investments purchased		21,895,661		5,025,282		1,703,904,425		16,995,551		1,219,067
Payable for reverse repurchase agreements		–		854,000		1,433,251,500		–		–
Payable for shares of beneficial interest redeemed		4,041,546		–		3,926,918		556,956		119,440
Payable to custodian for cash overdraft		–		291,038		–		–		–
Payable to brokers for cash collateral received		28,482,000		–		16,130,000		325,000		–
Payable for variation margin on centrally cleared swaps		1,797,320		–		2,799,063		258,870		48,560
Payable to broker		221,016		–		–		–		–

96 Semi-Annual Report   |  April 30, 2014  |   See accompanying Notes to Financial Statements

Statements of Assets and Liabilities

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited) (continued)

	Series C		Series LD		Series M		Series R		Series TE
Payable for terminated swaps		$–		$–		$–		$67,023		$–
Payable for variation margin on futures contracts		32,913		–		2,317,000		1,248		21,997
Payable for sale-buyback financing transactions		–		–		134,821,284		152,074,958		–
Securities sold short, at value (proceeds received-$48,108,281, $99,526, $0, $0 and $0, respectively)		48,517,548		99,816		–		–		–
Unrealized depreciation of forward foreign currency contracts		11,476,032		14,306		978,534		959,783		–
Dividends payable		9,626,466		11,948		7,641,870		725,726		167,265
Swap premiums received		6,057,214		938		461,269		750,774		–
Unrealized depreciation of OTC swaps		572,360		–		8,541,547		5,296,621		–
Options written, at value (premiums received-$2,457,212, $0, $5,302,335, $955,930 and $0, respectively)		296,221		–		1,066,661		292,538		–
Interest payable for cash collateral received		237		138		135		3		–
Interest payable for reverse repurchase agreements		–		28		29,698		–		–
Total Liabilities		133,016,534		6,297,494		3,315,869,904		178,305,051		1,576,329
Net Assets		$2,982,405,184		$8,320,490		$2,904,527,954		$247,079,479		$88,885,677
Net Assets Consist of:
Shares of beneficial interest of $0.001 par value (unlimited number authorized)		$243,524		$820		$271,029		$23,871		$9,046
Paid-in-capital in excess of par		2,854,038,167		8,219,812		2,790,631,383		269,585,065		89,039,972
Undistributed net investment income		5,322,386		693		6,150,554		1,084,474		64,280
Accumulated net realized gain (loss)		(66,780,118)		56,325		33,900,730		(18,351,162)		(100,513)
Net unrealized appreciation (depreciation)		189,581,225		42,840		73,574,258		(5,262,769)		(127,108)
Net Assets		$2,982,405,184		$8,320,490		$2,904,527,954		$247,079,479		$88,885,677
Shares Outstanding		243,524,020		819,740		271,029,437		23,870,823		9,045,721
Net Asset Value, Offering Price and Redemption Price Per Share		$12.25		$10.15		$10.72		$10.35		$9.83

See accompanying Notes to Financial Statements   |  April 30, 2014  |   Semi-Annual Report 97

Statements of Operations

AllianzGI Managed Accounts Trust

Period or Six Months ended April 30, 2014 (unaudited)

	Series C		Series LD*		Series M		Series R		Series TE
Investment Income:
Interest**		$64,978,839		$34,460		$55,085,196		$3,849,703		$1,009,515
Miscellaneous		3,967		–		58,065		–		–
Total Investment Income		64,982,806		34,460		55,143,261		3,849,703		1,009,515
Expenses:
Interest		253,245		176		264,882		94,625		–
Miscellaneous		–		–		36		–		–
Total Expenses		253,245		176		264,918		94,625		–
Net Investment Income		64,729,561		34,284		54,878,343		3,755,078		1,009,515
Realized and Change in Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(43,607,341)		56,593		25,993,247		(1,091,808)		(4,150)
Futures contracts		8,991,905		824		54,940		1,091,217		–
Options written		8,544,783		239		21,650,470		1,277,349		–
Swaps		(29,590,198)		86		(12,167,855)		2,058,035		(121)
Foreign currency transactions		(5,798,730)		(1,417)		5,334,168		(292,344)		–
Net change in unrealized appreciation/depreciation of:
Investments		51,293,055		54,227		(513,351)		2,125,624		2,159,978
Securities sold short		(350,203)		(290)		–		–		–
Futures contracts		(11,549,067)		110		(14,922,000)		(1,564,031)		(21,997)
Options written		151,806		–		(6,970,773)		(327,542)		–
Swaps		17,364,326		413		(12,532,429)		(3,979,651)		(573,142)
Foreign currency transactions		1,968,151		(11,620)		(829,143)		(353,915)		–
Net realized and change in unrealized gain (loss)		(2,581,513)		99,165		5,097,274		(1,057,066)		1,560,568
Net Increase in Net Assets Resulting from Investment Operations		$62,148,048		$133,449		$59,975,617		$2,698,012		$2,570,083
**Including foreign withholding taxes of:		(4,134)		–		–		–		–

* For the period December 23, 2013 (commencement of operations) through April 30, 2014.

98 Semi-Annual Report   |  April 30, 2014  |   See accompanying Notes to Financial Statements

Statements of Changes in Net Assets

AllianzGI Managed Accounts Trust

	Series C
	Six Months ended April 30, 2014 (unaudited)		Year ended October 31, 2013
Investment Operations:
Net investment income		$64,729,561		$171,734,858
Net realized gain (loss)		(61,459,581)		247,851,712
Net change in unrealized appreciation/depreciation		58,878,068		(318,536,731)
Net increase in net assets resulting from investment operations		62,148,048		101,049,839
Dividends and Distributions to Shareholders from:
Net investment income		(69,975,738)		(252,691,443)
Net realized gains		(205,507,950)		(28,713,093)
Total dividends and distributions to shareholders		(275,483,688)		(281,404,536)
Share Transactions:
Net proceeds from the sale of shares		567,339,495		1,005,089,507
Cost of shares redeemed		(632,649,114)		(1,582,526,880)
Net decrease in net assets from share transactions		(65,309,619)		(577,437,373)
Total decrease in net assets		(278,645,259)		(757,792,070)
Net Assets:
Beginning of period		3,261,050,443		4,018,842,513
End of period*		$2,982,405,184		$3,261,050,443
*Including undistributed net investment income of:		$5,322,386		$10,568,563
Shares Issued and Redeemed:
Issued		45,555,685		75,594,711
Redeemed		(50,725,230)		(119,237,180)
Net Decrease		(5,169,545)		(43,642,469)

See accompanying Notes to Financial Statements   |  April 30, 2014  |   Semi-Annual Report 99

Statements of Changes in Net Assets

AllianzGI Managed Accounts Trust

	Series LD
	Period from December 23, 2013** through April 30, 2014 (unaudited)
Investment Operations:
Net investment income		$34,284
Net realized gain		56,325
Net change in unrealized appreciation/depreciation		42,840
Net increase in net assets resulting from investment operations		133,449
Dividends to Shareholders from:
Net investment income		(33,591)
Share Transactions:
Net proceeds from the sale of shares		5,222,252
Cost of shares redeemed		(1,620)
Net increase in net assets from share transactions		5,220,632
Total increase in net assets		5,320,490
Net Assets:
Beginning of period		3,000,000
End of period*		$8,320,490
*Including undistributed net investment income of:		$693
Shares Issued and Redeemed:
Issued		819,900
Redeemed		(160)
Net Increase		819,740

** Commencement of operations.

100 Semi-Annual Report   |  April 30, 2014  |   See accompanying Notes to Financial Statements

Statements of Changes in Net Assets

AllianzGI Managed Accounts Trust

	Series M
	Six Months ended April 30, 2014 (unaudited)		Year ended October 31, 2013
Investment Operations:
Net investment income		$54,878,343		$116,509,038
Net realized gain		40,864,970		129,621,830
Net change in unrealized appreciation/depreciation		(35,767,696)		(209,794,999)
Net increase in net assets resulting from investment operations		59,975,617		36,335,869
Dividends and Distributions to Shareholders from:
Net investment income		(47,475,585)		(153,919,510)
Net realized gains		(50,577,866)		–
Total dividends and distributions to shareholders		(98,053,451)		(153,919,510)
Share Transactions:
Net proceeds from the sale of shares		530,194,656		954,104,263
Cost of shares redeemed		(584,519,004)		(1,827,599,582)
Net decrease in net assets from share transactions		(54,324,348)		(873,495,319)
Total decrease in net assets		(92,402,182)		(991,078,960)
Net Assets:
Beginning of period		2,996,930,136		3,988,009,096
End of period*		$2,904,527,954		$2,996,930,136
*Including undistributed (dividends in excess of) net investment income of:		$6,150,554		$(1,252,204)
Shares Issued and Redeemed:
Issued		49,520,669		86,881,849
Redeemed		(54,483,358)		(166,386,495)
Net Decrease		(4,962,689)		(79,504,646)

See accompanying Notes to Financial Statements   |  April 30, 2014  |   Semi-Annual Report 101

Statements of Changes in Net Assets

AllianzGI Managed Accounts Trust

	Series R
	Six Months ended April 30, 2014 (unaudited)		Year ended October 31, 2013
Investment Operations:
Net investment income		$3,755,078		$10,725,951
Net realized gain		3,042,449		2,648,849
Net change in unrealized appreciation/depreciation		(4,099,515)		(42,388,608)
Net increase (decrease) in net assets resulting from investment operations		2,698,012		(29,013,808)
Dividends and Distributions to Shareholders from:
Net investment income		(1,516,700)		(10,834,508)
Net realized gains		(7,339,502)		(34,897,070)
Total dividends and distributions to shareholders		(8,856,202)		(45,731,578)
Share Transactions:
Net proceeds from the sale of shares		26,175,081		183,493,231
Cost of shares redeemed		(123,096,417)		(361,307,822)
Net decrease in nets assets from share transactions		(96,921,336)		(177,814,591)
Total decrease in net assets		(103,079,526)		(252,559,977)
Net Assets:
Beginning of period		350,159,005		602,718,982
End of period*		$247,079,479		$350,159,005
*Including undistributed (dividends in excess of) net investment income of:		$1,084,474		$(1,153,904)
Shares Issued and Redeemed:
Issued		2,577,210		16,264,728
Redeemed		(11,988,918)		(33,504,463)
Net Decrease		(9,411,708)		(17,239,735)

102 Semi-Annual Report   |  April 30, 2014  |   See accompanying Notes to Financial Statements

Statements of Changes in Net Assets

AllianzGI Managed Accounts Trust

	Series TE
	Six Months ended April 30, 2014 (unaudited)		Year ended October 31, 2013
Investment Operations:
Net investment income		$1,009,515		$902,893
Net realized loss		(4,271)		(90,885)
Net change in unrealized appreciation/depreciation		1,564,839		(1,734,314)
Net increase (decrease) in net assets resulting from investment operations		2,570,083		(922,306)
Dividends to Shareholders from:
Net investment income		(945,243)		(902,893)
Share Transactions:
Net proceeds from the sale of shares		33,436,605		70,208,582
Cost of shares redeemed		(11,769,835)		(12,239,806)
Net increase in net assets from share transactions		21,666,770		57,968,776
Total increase in net assets		23,291,610		56,143,577
Net Assets:
Beginning of period		65,594,067		9,450,490
End of period*		$88,885,677		$65,594,067
*Including undistributed net investment income of:		$64,280		$8
Shares Issued and Redeemed:
Issued		3,461,577		7,125,971
Redeemed		(1,220,416)		(1,267,512)
Net Increase		2,241,161		5,858,459

See accompanying Notes to Financial Statements   |  April 30, 2014  |   Semi-Annual Report 103

Statements of Cash Flows†

AllianzGI Managed Accounts Trust

Period or Six Months ended April 30, 2014 (unaudited)

	Series C		Series LD(1)		Series M		Series R
Increase (decrease) in Cash and Foreign Currency from:
Cash Flows provided by (used for) Operating Activities:
Net increase in net assets resulting from investment operations		$62,148,048		$133,449		$59,975,617		$2,698,012
Adjustments to Reconcile Net Increase in Net Assets Resulting from Investment Operations to Net Cash provided by (used for) Operating Activities:
Purchases of long-term investments		(4,445,145,689)		(437,924,466)		(18,394,597,091)		(1,664,678,223)
Proceeds from sales of long-term investments		5,889,895,396		430,045,350		17,092,528,232		1,766,368,179
(Purchases) sales of short-term portfolio investments, net		(319,630,377)		(1,004,421)		(30,039,574)		26,274,921
Net change in unrealized appreciation/depreciation		(58,878,068)		(42,840)		35,767,696		4,099,515
Net realized (gain) loss		61,459,581		(56,325)		(40,864,970)		(3,042,449)
Net amortization/accretion on investments		7,627,883		24,633		4,772,543		992,483
Proceeds for securities sold short		19,256,250		99,526		–		–
Increase in receivable for investments sold		(4,717,924)		(5,428,209)		(422,206,764)		(16,794,974)
(Increase) decrease in interest and dividends receivable		9,383,324		(70,457)		(5,448,035)		582,152
(Increase) decrease in receivable for principal paydown		(2)		(22,157)		122,149		1,080
Proceeds from futures contracts transactions		(3,574,574)		615		(12,931,552)		(676,072)
(Increase) decrease in deposits with brokers for derivatives collateral		17,282,000		(7,000)		33,897,000		(351,000)
Increase in receivable from broker		–		–		(4,269)		–
Increase (decrease) in payable for investments purchased		(20,193,026)		5,025,282		529,692,696		7,217,621
Increase (decrease) in payable to brokers for cash collateral received		6,940,000		–		2,046,000		(1,119,000)
Net cash provided by (used for) swap transactions		(30,405,206)		1,024		(20,205,341)		(856,612)
Net cash provided by (used for) foreign currency transactions		(5,713,764)		(1,359)		5,373,584		(270,083)
Increase (decrease) in interest payable for reverse repurchase agreements		(3,718)		28		29,698		(1,296)
Increase (decrease) in interest payable on cash collateral received		(117)		138		(96)		(26)
Net cash provided by (used for) operating activities*		1,185,730,017		(9,227,189)		(1,162,092,477)		120,444,228

104 Semi-Annual Report   |  April 30, 2014  |   See accompanying Notes to Financial Statements

Statements of Cash Flows†

AllianzGI Managed Accounts Trust

Period or Six Months ended April 30, 2014 (unaudited) (continued)

	Series C		Series LD(1)		Series M		Series R
Cash Flows provided by (used for) Financing Activities:
Payments for reverse repurchase agreements		$(2,017,778,777)		$(2,438,000)		$(7,555,378,575)		$(123,376,876)
Proceeds on reverse repurchase agreements		1,709,133,777		3,292,000		8,988,630,075		28,478,375
Increase in unsettled reverse repurchase agreements		–		–		(255,637,500)		–
Cash Dividends Paid		(279,594,708)		(21,643)		(99,526,585)		(8,645,199)
Proceeds from shares of beneficial interest sold		570,495,763		5,107,506		532,185,839		26,629,586
Payment on shares of beneficial interest redeemed		(631,918,512)		(1,620)		(583,703,139)		(122,695,727)
Increase (decrease) in payable to custodian for cash overdraft		–		291,038		(39,298)		–
Proceeds on sale-buyback financing transactions		(3,588,765,161)		–		(4,361,972,276)		(1,423,413,353)
Payments for sale-buyback financing transactions		3,055,701,984		–		4,498,931,120		1,503,336,649
Net cash provided by (used for) financing activities		(1,182,725,634)		6,229,281		1,163,489,661		(119,686,545)
Net increase (decrease) in cash and foreign currency		3,004,383		(2,997,908)		1,397,184		757,683
Cash and foreign currency, at beginning of period		1,257,403		3,000,000		1,734,216		397,792
Cash and foreign currency, at end of period		$4,261,786		$2,092		$3,131,400		$1,155,475

*Cash paid for interest primarily related to participation in reverse repurchase agreement transactions was $257,080, $10, $235,280, and $95,947, respectively.

(1) For the period December 23, 2013 (commencement of operations) through April 30, 2014.

† Statement of Cash Flows is not required for Series TE.

See accompanying Notes to Financial Statements   |  April 30, 2014  |   Semi-Annual Report 105

Financial Highlights

Fixed Income SHares: Series C

For a share outstanding throughout each period:

	Six Months ended April 30, 2014 (unaudited)			Year ended October 31,
				2013			2012			2011			2010			2009
Net asset value, beginning of period		$13.11			$13.75			$12.71			$14.05			$13.83			$11.50
Investment Operations:
Net investment income		0.26			0.60			0.65			0.78			0.75			0.83
Net realized and change in unrealized gain (loss)		(0.01	)		(0.24	)		1.06			(0.46	)		1.93			3.86
Total from investment operations		0.25			0.36			1.71			0.32			2.68			4.69
Dividends and Distributions to Shareholders from:
Net investment income		(0.28	)		(0.90	)		(0.67	)		(1.25	)		(1.67	)		(1.36	)
Net realized gains		(0.83	)		(0.10	)		–			(0.41	)		(0.79	)		(1.00	)
Total dividends and distributions to shareholders		(1.11	)		(1.00	)		(0.67	)		(1.66	)		(2.46	)		(2.36	)
Net asset value, end of period		$12.25			$13.11			$13.75			$12.71			$14.05			$13.83
Total Investment Return (1)		2.07	%		2.72	%		13.79	%		2.75	%		22.40	%		45.84	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000s)		$2,982,405			$3,261,050			$4,018,843			$3,680,966			$3,345,203			$2,893,227
Ratio of operating expenses to average net assets, including interest expense (2)		0.02	%(4)		0.00	%(3)		0.00	%(3)		0.00	%(3)		0.00	%(3)		0.01	%
Ratio of operating expenses to average net assets, excluding interest expense (2)		0.00	%(4)		0.00	%(3)		0.00	%		0.00	%		0.00	%		0.00	%
Ratio of net investment income to average net assets (2)		4.16	%(4)		4.65	%		4.87	%		5.72	%		5.70	%		6.71	%
Portfolio turnover rate		41	%		149	%		83	%		178	%		164	%		683	%

(1) The calculation assumes that all income dividends and capital gain distributions, if any, have been reinvested. Total return does not reflect broker commissions or “wrap fee” charges. Total investment return for a period of less than one year is not annualized.

(2) Reflects the fact that no fees or expenses are incurred. The Portfolios are an integral part of “wrap-fee” programs sponsored by investment advisers and/or broker-dealers unaffiliated with Series C, the Investment Manager or the Sub-Adviser. Participants in these programs pay a “wrap” fee to the sponsor of the program.

(3) Less than 0.005%.

(4) Annualized.

106 Semi-Annual Report   |  April 30, 2014  |   See accompanying Notes to Financial Statements

Financial Highlights

Fixed Income SHares: Series LD

For a share outstanding throughout each period:

	Period from December 23, 2013* through April 30, 2014 (unaudited)
Net asset value, beginning of period		$10.00
Investment Operations:
Net investment income		0.05
Net realized and change in unrealized gain		0.15
Total from investment operations		0.20
Dividends to Shareholders from Net Investment Income		(0.05	)
Net asset value, end of period		$10.15
Total Investment Return (1)		2.03	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000s)		$8,320
Ratio of operating expenses to average net assets, including interest expense (2)(3)		0.01	%
Ratio of operating expenses to average net asset excluding interest expense (2)(3)		0.00	%
Ratio of net investment income to average net assets (2)(3)		1.64	%
Portfolio turnover rate		8,531	%

* Commencement of operations.

(1) The calculation assumes that all income dividends and capital gain distributions, if any, have been reinvested. Total return does not reflect broker commissions or “wrap fee” charges. Total investment return for a period of less than one year is not annualized.

(2) Reflects the fact that no fees or expenses are incurred. The Portfolios are an integral part of “wrap-fee” programs sponsored by investment advisers and/or broker-dealers unaffiliated with Series LD, the Investment Manager or the Sub-Adviser. Participants in these programs pay a “wrap” fee to the sponsor of the program.

(3) Annualized.

See accompanying Notes to Financial Statements   |  April 30, 2014  |   Semi-Annual Report 107

Financial Highlights

Fixed Income SHares: Series M

For a share outstanding throughout each period:

	Six Months ended April 30, 2014 (unaudited)			Year ended October 31,
				2013			2012			2011			2010			2009
Net asset value, beginning of period		$10.86			$11.22			$10.51			$10.94			$9.90			$8.36
Investment Operations:
Net investment income		0.20			0.34			0.41			0.48			0.47			1.19
Net realized and change in unrealized gain (loss)		0.01			(0.23	)		0.84			(0.29	)		1.25			1.62
Total from investment operations		0.21			0.11			1.25			0.19			1.72			2.81
Dividends and Distributions to Shareholders from:
Net investment income		(0.17	)		(0.47	)		(0.54	)		(0.49	)		(0.68	)		(1.27	)
Net realized gains		(0.18	)		–			–			(0.13	)		–			–
Total dividends and distributions to shareholders		(0.35	)		(0.47	)		(0.54	)		(0.62	)		(0.68	)		(1.27	)
Net asset value, end of period		$10.72			$10.86			$11.22			$10.51			$10.94			$9.90
Total Investment Return (1)		2.04	%		0.97	%		12.23	%		1.95	%		18.22	%		36.99	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000s)		$2,904,528			$2,996,930			$3,988,009			$3,643,832			$3,351,404			$2,779,932
Ratio of operating expenses to average net assets, including interest expense (2)		0.02	%(4)		0.00	%(3)		0.00	%(3)		0.00	%(3)		0.01	%		1.78	%
Ratio of operating expenses to average net assets, excluding interest expense (2)		0.00	%(3)(4)		0.00	%(3)		0.00	%		0.00	%		0.00	%		0.00	%
Ratio of net investment income to average net assets (2)		3.71	%(4)		3.25	%		3.78	%		4.57	%		4.67	%		13.01	%
Portfolio turnover rate		273	%		448	%		516	%		514	%		482	%		916	%

(1) The calculation assumes that all income dividends and capital gain distributions, if any, have been reinvested. Total return does not reflect broker commissions or “wrap fee” charges. Total investment return for a period of less than one year is not annualized.

(2) Reflects the fact that no fees or expenses are incurred. The Portfolios are an integral part of “wrap-fee” programs sponsored by investment advisers and/or broker-dealers unaffiliated with Series M, the Investment Manager or the Sub-Adviser. Participants in these programs pay a “wrap” fee to the sponsor of the program.

(3) Less than 0.005%.

(4) Annualized.

108 Semi-Annual Report   |  April 30, 2014  |   See accompanying Notes to Financial Statements

Financial Highlights

Fixed Income SHares: Series R

For a share outstanding throughout each period:

	Six Months ended April 30, 2014 (unaudited)			Year ended October 31,
				2013			2012			2011			2010			2009
Net asset value, beginning of period		$10.52			$11.93			$11.97			$12.13			$10.83			$9.27
Investment Operations:
Net investment income		0.14			0.19			0.31			0.40			0.33			0.25
Net realized and change in unrealized gain (loss)		(0.00	)(1)		(0.69	)		1.10			0.85			1.54			2.00
Total from investment operations		0.14			(0.50	)		1.41			1.25			1.87			2.25
Dividends and Distributions to Shareholders from:
Net investment income		(0.06	)		(0.23	)		(0.40	)		(0.43	)		(0.52	)		(0.29	)
Net realized gains		(0.25	)		(0.68	)		(1.05	)		(0.98	)		(0.05	)		(0.40	)
Total dividends and distributions to shareholders		(0.31	)		(0.91	)		(1.45	)		(1.41	)		(0.57	)		(0.69	)
Net asset value, end of period		$10.35			$10.52			$11.93			$11.97			$12.13			$10.83
Total Investment Return (2)		1.72	%		(4.78	)%		13.26	%		12.23	%		17.94	%		25.50	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000s)		$247,079			$350,159			$602,719			$492,949			$403,376			$287,966
Ratio of operating expenses to average net assets, including interest expense (3)		0.07	%(5)		0.04	%		0.02	%		0.00	%(4)		0.00	%(4)		0.00	%(4)
Ratio of operating expenses to average net assets, excluding interest expense (3)		0.00	%(5)		0.00	%(4)		0.00	%		0.00	%		0.00	%		0.00	%
Ratio of net investment income to average net assets (3)		2.65	%(5)		2.06	%		2.67	%		3.62	%		2.90	%		2.77	%
Portfolio turnover rate		36	%		69	%		264	%		805	%		495	%		1,216	%

(1) Less than $(0.005) per common share.

(2) The calculation assumes that all income dividends and capital gain distributions, if any, have been reinvested. Total return does not reflect broker commissions or “wrap fee” charges. Total investment return for a period of less than one year is not annualized.

(3) Reflects the fact that no fees or expenses are incurred. The Portfolios are an integral part of “wrap-fee” programs sponsored by investment advisers and/or broker-dealers unaffiliated with Series R, the Investment Manager or the Sub-Adviser. Participants in these programs pay a “wrap” fee to the sponsor of the program.

(4) Less than 0.005%.

(5) Annualized.

See accompanying Notes to Financial Statements   |  April 30, 2014  |   Semi-Annual Report 109

Financial Highlights

Fixed Income SHares: Series TE

For a share outstanding throughout each period:

	Six Months ended April 30, 2014 (unaudited)			Year ended October 31, 2013			For the Period June 26, 2012* through October 31, 2012
Net asset value, beginning of period		$9.64			$9.99			$10.00
Investment Operations:
Net investment income		0.13			0.22			0.05
Net realized and change in unrealized gain (loss)		0.18			(0.35	)		(0.01	)
Total from investment operations		0.31			(0.13	)		0.04
Dividends to Shareholders from Net Investment Income		(0.12	)		(0.22	)		(0.05	)
Net asset value, end of period		$9.83			$9.64			$9.99
Total Investment Return (1)		3.25	%		(1.40	)%		0.43	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000s)		$88,886			$65,594			$9,450
Ratio of operating expenses to average net assets (3)		0.00	%(2)		0.00	%(4)		0.00	%(2)
Ratio of net investment income to average net assets (3)		2.65	%(2)		2.19	%		1.71	%(2)
Portfolio turnover rate		0	%(5)		18	%		30	%

* Commencement of operations.

(1) The calculation assumes that all income dividends and capital gain distributions, if any, have been reinvested. Total return does not reflect broker commissions or “wrap fee” charges. Total investment return for a period of less than one year is not annualized.

(2) Annualized.

(3) Reflects the fact that no fees or expenses are incurred. The Portfolios are an integral part of “wrap-fee” programs sponsored by investment advisers and/or broker-dealers unaffiliated with Series TE, the Investment Manager or the Sub-Adviser. Participants in these programs pay a “wrap” fee to the sponsor of the program.

(4) Less than 0.005%.

(5) Less than 1%.

110 Semi-Annual Report   |  April 30, 2014  |   See accompanying Notes to Financial Statements

Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

1. Organization and Significant Accounting Policies

AllianzGI Managed Accounts Trust (the “Trust”) was organized as a Massachusetts business trust on November 3, 1999. The Trust is comprised of Fixed Income SHares: Series C, Series LD, Series M, Series R and Series TE (each a “Portfolio” and collectively the “Portfolios”). Allianz Global Investors Fund Management LLC (“AGIFM” or the “Investment Manager”) and Pacific Investment Management Company LLC (“PIMCO” or the “Sub-Adviser”) serve as the Portfolios’ investment adviser/administrator and Sub-Adviser, respectively, and are indirect, wholly-owned subsidiaries of Allianz Asset Management of America L.P. (“AAM”). AAM is an indirect, wholly-owned subsidiary of Allianz SE, a publicly traded European insurance and financial services company. Each Portfolio has authorized an unlimited amount of shares of beneficial interest with $0.001 par value.

Fixed Income SHares: Series LD sold and issued 300,000 shares of beneficial interest in the amount of $3,000,000 to the Investment Manager on December 23, 2013.

The preparation of the Portfolios’ financial statements in accordance with accounting principles generally accepted in the United States of America requires the Portfolios’ management to make estimates and assumptions that affect the reported amounts and disclosures in each Portfolio’s financial statements. Actual results could differ from those estimates.

In the normal course of business, the Portfolios enter into contracts that contain a variety of representations that provide general indemnifications. The Portfolios’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolios that have not yet occurred.

The following is a summary of significant accounting policies consistently followed by the Portfolios:

(a) Valuation of Investments

Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is generally determined on the basis of last reported sales prices, or if no sales are reported, on the basis of quotes obtained from a quotation reporting system, established market makers, or independent pricing services. The Portfolios’ investments are valued daily using prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the mean between the last quoted bid and ask price. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Centrally cleared swaps and exchange traded futures are valued at the price determined by the relevant exchange. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily until settlement at the forward settlement date.

The Board of Trustees (the “Board”) has adopted procedures for valuing portfolio securities and other financial instruments in circumstances where market quotes are not readily available, and has delegated the responsibility for applying the valuation methods to the Investment Manager and Sub-Adviser. The Trust’s Valuation Committee was established by the Board to oversee the implementation of the Portfolios’ valuation methods and to make fair value determinations on behalf of the Board, as instructed. The Sub-Adviser monitors the continued appropriateness of methods applied and

April 30, 2014  | Semi-Annual Report 111

Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

1. Organization and Significant Accounting Policies (continued)

determines if adjustments should be made in light of market changes, events affecting the issuer, or other factors. If the Sub-Adviser determines that a valuation method may no longer be appropriate, another valuation method may be selected, or the Valuation Committee will be convened to consider the matter and take any appropriate action in accordance with procedures set forth by the Board. The Board shall review the appropriateness of the valuation methods and these methods may be amended or supplemented from time to time by the Valuation Committee.

Benchmark pricing procedures are used as the basis for setting the base price of a fixed-income security and for subsequently adjusting the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Committee. The validity of the fair value is reviewed by the Sub-Adviser on a periodic basis and may be amended as the availability of market data indicates a material change.

Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing premium or discount based on their value on the 61^st day prior to maturity, if the original term to maturity exceeded 60 days.

Investments initially valued in currencies other than the U.S. dollar are converted to the U.S.

dollar using exchange rates obtained from pricing services. As a result, the net asset value (“NAV”) of each Portfolio’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the New York Stock Exchange (“NYSE”) is closed.

The prices used by the Portfolios to value investments may differ from the value that would be realized if the investments were sold, and these differences could be material to the Portfolios’ financial statements. Each Portfolio’s NAV is normally determined as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the NYSE on each day the NYSE is open for business.

(b) Fair Value Measurements

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants. The three levels of the fair value hierarchy are described below:

n Level 1 – quoted prices in active markets for identical investments that the Portfolios have the ability to access

n Level 2 – valuations based on other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates or other market corroborated inputs

n Level 3 – valuations based on significant unobservable inputs (including the Sub-Adviser’s or Valuation Committee’s own assumptions and securities whose price was determined by using a single broker’s quote)

112 Semi-Annual Report |  April 30, 2014

Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

1. Organization and Significant Accounting Policies (continued)

The valuation techniques used by the Portfolios to measure fair value during the six months ended April 30, 2014 were intended to maximize the use of observable inputs and to minimize the use of unobservable inputs.

The Portfolios’ policy is to recognize transfers between levels at the end of the reporting period. An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to the fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation techniques used. Investments categorized as Level 1 or 2 as of period end may have been transferred between Levels 1 and 2 since the prior period due to changes in the valuation method utilized in valuing the investments.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Portfolios generally use to evaluate how to classify each major category of assets and liabilities for Level 2 and Level 3, in accordance with Generally Accepted Accounting Principles (“GAAP”).

U.S. Treasury Obligations – U.S. Treasury obligations are valued by independent pricing services based on pricing models that evaluate the mean between the most recently quoted bid and ask price. The models also take into consideration data received from active market makers and broker-dealers, yield curves, and the spread over comparable U.S. Treasury issues. The spreads change daily in response to

market conditions and are generally obtained from the new issue market and broker-dealer sources. To the extent that these inputs are observable, the values of U.S. Treasury obligations are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

Government Sponsored Enterprise and Mortgage-Backed Securities – Government sponsored enterprise and mortgage-backed securities are valued by independent pricing services using pricing models based on inputs that include issuer type, coupon, cash flows, mortgage prepayment projection tables and Adjustable Rate Mortgage evaluations that incorporate index data, periodic life caps and the next coupon reset date. To the extent that these inputs are observable, the values of government sponsored enterprise and mortgage-backed securities are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

Sovereign Debt Obligations – Sovereign debt obligations are valued by independent pricing services based on discounted cash flow models that incorporate option adjusted spreads along with benchmark curves and credit spreads. In addition, international bond markets are monitored regularly for information pertaining to the issuer and/or the specific issue. To the extent that these inputs are observable, the values of sovereign debt obligations are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

Municipal Bonds – Municipal bonds are valued by independent pricing services based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-

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Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

1. Organization and Significant Accounting Policies (continued)

want lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable, the values of municipal bonds are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

Corporate Bonds & Notes – Corporate bonds & notes are generally comprised of two main categories: investment grade bonds and high yield bonds. Investment grade bonds are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations, live trading levels, recently executed transactions in securities of the issuer or comparable issuers, and option adjusted spread models that include base curve and spread curve inputs. Adjustments to individual bonds can be applied to recognize trading differences compared to other bonds issued by the same issuer. High yield bonds are valued by independent pricing services based primarily on broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading activity, and the activity of the underlying equities, listed bonds and sector-specific trends. To the extent that these inputs are observable, the values of corporate bonds & notes are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

Asset-Backed Securities and Collateralized Mortgage Obligations – Asset-backed securities and collateralized mortgage obligations are

valued by independent pricing services using pricing models based on a security’s average life volatility. The models also take into account tranche characteristics such as coupon, average life, collateral types, ratings, the issuer and tranche type, underlying collateral and performance of the collateral, and discount margin for certain floating rate issues. To the extent that these inputs are observable, the values of asset-backed securities and collateralized mortgage obligations are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

Option Contracts – Option contracts traded over-the-counter (“OTC”) and FLexible EXchange (“FLEX”) options are valued by independent pricing services based on pricing models that incorporate various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-the-money contracts based on a given strike price. To the extent that these inputs are observable, the values of OTC and FLEX option contracts are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

Forward Foreign Currency Contracts – Forward foreign currency contracts are valued by independent pricing services using various inputs and techniques, which include broker-dealer quotations, actual trading information and foreign currency exchange rates gathered from leading market makers and foreign currency exchange trading centers throughout the world. To the extent that these inputs are observable, the values of forward foreign currency contracts are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

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Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

1. Organization and Significant Accounting Policies (continued)

Credit Default Swaps – OTC credit default swaps are valued by independent pricing services using pricing models that take into account, among other factors, information received from market makers and broker-dealers, default probabilities from index specific credit spread curves, recovery rates, and cash flows. Centrally cleared credit default swaps are valued at the price determined by the relevant exchange. To the extent that these inputs are observable, the values of credit default swaps are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

Interest Rate Swaps – OTC interest rate swaps are valued by independent pricing services using pricing models that are based on real-time intraday snapshots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps is monitored regularly to ensure that interest rates are properly depicting the current market rate. Centrally cleared interest rate swaps are valued at the price determined by the relevant exchange. To the extent that these inputs are observable, the values of interest rate swaps are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

Senior Loans – Senior Loans are valued by independent pricing services based on the average of quoted prices received from multiple dealers or valued relative to other benchmark securities when broker-dealer quotes are unavailable. These quoted prices are based on interest rates, yield curves, option adjusted spreads and credit spreads. To the extent that

these inputs are observable, the values of Senior Loans are categorized as Level 2. To the extent that these inputs are unobservable, the values are categorized as Level 3.

(c) Investment Transactions and Investment Income

Investment transactions are accounted for on the trade date. Securities purchased and sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses on investments are determined on an identified cost basis. Interest income adjusted for the accretion of discount and amortization of premiums is recorded on an accrual basis. Discounts or premiums on debt securities purchased are accreted or amortized, respectively, to interest income. Dividend income is recorded on the ex-dividend date. Facility fees and other fees (such as origination fees) received at the settlement date are amortized as income over the expected term of the senior loan. Facility fees and other fees (such as origination fees) received after the settlement date relating to senior loans, consent fees relating to corporate actions and commitment fees received relating to unfunded purchase commitments are recorded as miscellaneous income upon receipt. Paydown gains and losses are netted and recorded as interest income on the Statements of Operations.

(d) Federal Income Taxes

The Portfolios intend to distribute all of their taxable income and to comply with the other requirements of Subchapter M of the U.S. Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, no provision for U.S. federal income taxes is required.

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Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

1. Organization and Significant Accounting Policies (continued)

Accounting for uncertainty in income taxes establishes for all entities, including pass-through entities such as the Portfolios, a minimum threshold for financial statement recognition of the benefit of positions taken in filing tax returns (including whether an entity is taxable in a particular jurisdiction), and requires certain expanded tax disclosures. In accordance with provisions set forth under U.S. GAAP, the Investment Manager has reviewed the Portfolios’ tax positions for all open tax years. As of April 30, 2014, the Portfolios have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken. The Portfolios’ federal income tax returns for the prior three years, as applicable, remain subject to examination by the Internal Revenue Service.

(e) Dividends and Distributions

The Portfolios declare dividends from net investment income to common shareholders monthly. Distributions of net realized capital gains, if any, are paid at least annually. The Portfolios record dividends and distributions on the ex-dividend date. The amount of dividends from net investment income and distributions from net realized capital gains is determined in accordance with federal income tax regulations, which may differ from GAAP. These “book-tax” differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal income tax treatment; temporary differences do not require reclassification. To the extent dividends and/or distributions exceed current and accumulated earnings and profits for federal income tax purposes, they are reported as dividends and/or distributions to shareholders from return of capital.

(f) Foreign Currency Translation

The Portfolios’ accounting records are maintained in U.S. dollars as follows: (1) the foreign currency market value of investments and other assets and liabilities denominated in foreign currencies are translated at the prevailing exchange rate at the end of the period; and (2) purchases and sales, income and expenses are translated at the prevailing exchange rate on the respective dates of such transactions. The resulting net foreign currency gain (loss) is included in the Portfolios’ Statements of Operations.

The Portfolios do not generally isolate that portion of the results of operations arising as a result of changes in foreign currency exchange rates from the fluctuations arising from changes in the market prices of securities. Accordingly, such foreign currency gain (loss) is included in net realized and unrealized gain (loss) on investments. However, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations pursuant to U.S. federal income tax regulations; such amount is categorized as foreign currency gain (loss) for both financial reporting and income tax reporting purposes.

(g) Senior Loans

The Portfolios may purchase assignments of, and participations in, Senior Loans originated, negotiated and structured by a U.S. or foreign commercial bank, insurance company, finance company or other financial institution (the “Agent”) for a lending syndicate of financial institutions (the “Lender”). When purchasing an assignment, the Portfolios succeed to all the rights and obligations under the loan agreement with the same rights and obligations as the assigning Lender. Assignments may, however, be arranged through private

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Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

1. Organization and Significant Accounting Policies (continued)

negotiations between potential assignees and potential assignors, and the rights and obligations acquired by the purchaser of an assignment may differ from, and be more limited than, those held by the assigning Lender.

(h) Repurchase Agreements

The Portfolios are parties to Master Repurchase Agreements (“Master Repo Agreements”) with select counterparties. The Master Repo Agreements maintain provisions for initiation, income payments, events of default, and maintenance of collateral.

The Portfolios enter into transactions, under the terms of the Master Repo Agreements, with their custodian bank or securities brokerage firms whereby they purchase securities under agreements to resell such securities at an agreed upon price and date (“repurchase agreements”). The Portfolios, through their custodian, take possession of securities collateralizing the repurchase agreement. Such agreements are carried at the contract amount in the financial statements, which is considered to represent fair value. Collateral pledged (the securities received), which consists primarily of U.S. government obligations and asset-backed securities, is held by the custodian bank for the benefit of the Portfolios until maturity of the repurchase agreement. Provisions of the repurchase agreements and the procedures adopted by the Portfolios require that the market value of the collateral, including accrued interest thereon, be sufficient in the event of default by the counterparty. If the counterparty defaults under the Master Repo Agreements, and the value of the collateral declines or if the counterparty enters an insolvency proceeding, realization of the collateral by the Portfolios may be delayed or limited.

(i) Reverse Repurchase Agreements

In a reverse repurchase agreement, the Portfolios sell securities to a bank or broker-dealer and agree to repurchase the securities at a mutually agreed upon date and price. Generally, the effect of such a transaction is that the Portfolios can recover and reinvest all or most of the cash invested in portfolio securities involved during the term of the reverse repurchase agreement and still be entitled to the returns associated with those portfolio securities. Such transactions are advantageous if the interest cost to the Portfolios of the reverse repurchase transaction is less than the returns the Portfolios obtain on investments purchased with the cash. To the extent the Portfolios do not cover their positions in reverse repurchase agreements (by segregating liquid assets at least equal in amount to the forward purchase commitment), the Portfolios’ uncovered obligations under the agreements will be subject to the Portfolios’ limitations on borrowings. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Portfolios are obligated to repurchase under the agreements may decline below the repurchase price. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Portfolios’ use of the proceeds of the agreement may be restricted pending determination by the other party, or its trustee or receiver, whether to enforce the Portfolios’ obligation to repurchase the securities.

(j) When-Issued/Delayed-Delivery Transactions

When-issued or delayed-delivery transactions involve a commitment to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the

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Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

1. Organization and Significant Accounting Policies (continued)

Portfolios will set aside and maintain until the settlement date in a designated account, liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed-delivery basis, the Portfolios assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations; consequently, such fluctuations are taken into account when determining the NAV. The Portfolios may dispose of or renegotiate a delayed-delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a realized gain or loss. When a security is sold on a delayed-delivery basis, the Portfolios do not participate in future gains and losses with respect to the security.

(k) Inflation-Indexed Bonds

Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value, which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond will be considered interest income in the Statements of Operations, even though investors do not receive principal until maturity.

(l) Sale-Buybacks

A Portfolio may enter into financing transactions referred to as ‘sale-buybacks’. A sale-buyback transaction consists of a sale of a security by a Portfolio to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed-upon price and date. A Portfolio is not entitled to receive principal and interest payments, if

any, made on the security sold to the counterparty during the term of the agreement. The agreed-upon proceeds for securities to be repurchased by a Portfolio are reflected as a liability on the Statements of Assets and Liabilities. A Portfolio will recognize net income represented by the price differential between the price received for the transferred security and the agreed-upon repurchase price. This is commonly referred to as the ‘price drop’. A price drop consists of (i) the foregone interest and inflationary income adjustments, if any, a Portfolio would have otherwise received had the security not been sold and (ii) the negotiated financing terms between a Portfolio and the counterparty. Foregone interest and inflationary income adjustments, if any, are recorded as components of interest income on the Statements of Operations. Interest payments based upon negotiated financing terms made by a Portfolio to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Portfolio may receive a fee for use of the security by the counterparty, which may result in interest income to the Portfolio. A Portfolio will segregate assets determined to be liquid by the Investment Manager or otherwise cover its obligations under sale-buyback transactions.

(m) Securities Traded on To-Be-Announced Basis

The Portfolios may from time to time purchase securities on a to-be-announced (“TBA”) basis. In a TBA transaction, the Portfolio commits to purchasing or selling securities for which all specific information is not yet known at the time of the trade, particularly the face amount and maturity date of the underlying security transactions. Securities purchased on a TBA basis are not settled until they are delivered to the Portfolio, normally 15 to 45 days later. Beginning on the date the Portfolio enters into a

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Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

1. Organization and Significant Accounting Policies (continued)

TBA transaction, cash, U.S. government securities or other liquid securities are segregated in an amount equal in value to the purchase price of the TBA security. These transactions are subject to market fluctuations, and their current value is determined in the same manner as for other securities.

(n) Mortgage-Related and Other Asset-Backed Securities

Investments in mortgage-related or other asset-backed securities include mortgage pass-through securities, collateralized mortgage obligations (“CMOs”), commercial mortgage-backed securities, mortgage dollar rolls, CMO residuals, stripped mortgage-backed securities (“SMBSs”) and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. The value of some mortgage-related or asset-backed securities may be particularly sensitive to changes in prevailing interest rates. Early repayment of principal on some mortgage-related securities may expose the Portfolios to a lower rate of return upon reinvestment of principal. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. The decline in liquidity and prices of these types of securities may make it more difficult to determine fair market value. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.

SMBSs are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. SMBSs will have one class that

will receive all of the interest (the interest-only or “IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). Payments received for IOs are included in interest income on the Statements of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities.

(o) U.S. Government Agencies or Government-Sponsored Enterprises

Securities issued by U.S. Government agencies or government-sponsored enterprises may not be guaranteed by the U.S. Treasury. The Government National Mortgage Association (“GNMA” or “Ginnie Mae”), a wholly-owned U.S. Government corporation, is authorized to guarantee, with the full faith and credit of the U.S. Government, the timely payment of principal and interest on securities issued by institutions approved by GNMA and backed by pools of mortgages insured by the Federal Housing Administration or guaranteed by the Department of Veterans Affairs. Government-related guarantors not backed by the full faith and credit of the U.S. Government include the Federal National Mortgage Association (“FNMA” or “Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but its participation certificates are not backed by the full faith and credit of the U.S. Government.

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Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

1. Organization and Significant Accounting Policies (continued)

(p) Short Sales

Short sale transactions involve the Portfolios selling securities they do not own in anticipation of a decline in the market price of the securities. The Portfolios are obligated to deliver securities at the market price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested.

(q) Restricted Securities

The Portfolios are permitted to invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult.

(r) Interest Expense

Interest expense primarily relates to the Portfolios’ participation in reverse repurchase agreement transactions. Interest expense is recorded as it is incurred.

2. Principal Risks

In the normal course of business, the Portfolios trade financial instruments and enter into financial transactions where risk of potential loss exists due to, among other things, changes in the market (market risk) or failure of the other party to a transaction to perform (counterparty risk). The Portfolios are also exposed to other risks such as, but not limited to, interest rate, foreign currency, credit and leverage risks.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest

rates rise, the values of certain fixed income securities held by the Portfolios are likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is used primarily as a measure of the sensitivity of a fixed income security’s market price to interest rate (i.e. yield) movements. Interest rate changes can be sudden and unpredictable, and the Portfolios may lose money as a result of movements in interest rates. The Portfolios may not be able to hedge against changes in interest rates or may choose not to do so for cost or other reasons. In addition, any hedges may not work as intended.

Variable and floating rate securities generally are less sensitive to interest rate changes but may decline in value if their interest rates do not rise as much, or as quickly, as interest rates in general. Conversely, floating rate securities will not generally increase in value if interest rates decline. Inverse floating rate securities may decrease in value if interest rates increase. Inverse floating rate securities may also exhibit greater price volatility than a fixed rate obligation with similar credit quality. When a Portfolio holds variable or floating rate securities, a decrease (or, in the case of inverse floating rate securities, an increase) in market interest rates will adversely affect the income received from such securities and the NAV of the Portfolio’s shares.

Mortgage-related and other asset-backed securities often involve risks that are different from or more acute than risks associated with other types of debt instruments. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities,

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Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

2. Principal Risks (continued)

making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, if a Portfolio holds mortgage-related securities, it may exhibit additional volatility since individual mortgage holders are less likely to exercise prepayment options, thereby putting additional downward pressure on the value of these securities and potentially causing the Portfolio to lose money. This is known as extension risk. Mortgage-backed securities can be highly sensitive to rising interest rates, such that even small movements can cause an investing Portfolio to lose value. Mortgage-backed securities, and in particular those not backed by a government guarantee, are subject to credit risk. In addition, adjustable and fixed rate mortgage-related securities are subject to prepayment risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of the Portfolios because the Portfolios may have to reinvest that money at the lower prevailing interest rates. The Portfolios’ investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets. Payment of principal and interest on asset-backed securities may be largely dependent upon the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets.

The Portfolios are exposed to credit risk, which is the risk of losing money if the issuer or guarantor of a fixed income security is unable or unwilling, or is perceived (whether by market participants, rating agencies, pricing services or otherwise) as unable or unwilling, to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are

subject to varying degrees of credit risk, which are often reflected in credit ratings.

To the extent the Portfolios directly invest in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in derivatives that provide exposure to foreign currencies, they will be subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedging positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including economic growth, inflation, changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or the imposition of currency controls or other political developments in the United States or abroad. As a result, the Portfolios’ investments in foreign currency-denominated securities may reduce the returns of the Portfolios.

The Portfolios are subject to elements of risk not typically associated with investments in the U.S., due to concentrated investments in foreign issuers located in a specific country or region. Such concentrations will subject the Portfolios to additional risks resulting from future political or economic conditions in such country or region and the possible imposition of adverse governmental laws or currency exchange restrictions affecting such country or region, which could cause the securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies.

The market values of securities may decline due to general market conditions (market risk) which are not specifically related to a particular

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Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

2. Principal Risks (continued)

company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, adverse changes to credit markets or adverse investor sentiment. They may also decline due to factors that affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity-related investments generally have greater market price volatility than fixed income securities, although under certain market conditions fixed income securities may have comparable or greater price volatility. Credit ratings downgrades may also negatively affect securities held by the Portfolios. Even when markets perform well, there is no assurance that the investments held by the Portfolios will increase in value along with the broader market. In addition, market risk includes the risk that geopolitical events will disrupt the economy on a national or global level.

The Portfolios are exposed to counterparty risk, or the risk that an institution or other entity with which the Portfolios have unsettled or open transactions will default. The potential loss to the Portfolios could exceed the value of the financial assets recorded in the Portfolios’ financial statements. Financial assets, which potentially expose the Portfolios to counterparty risk, consist principally of cash due from counterparties and investments. The Sub-Adviser seeks to minimize the Portfolios’ counterparty risk by performing reviews of each counterparty and by minimizing concentration of counterparty risk by undertaking transactions with multiple customers and counterparties on recognized and reputable exchanges. Delivery of securities sold is only made once the Portfolios have received payment. Payment is made on a purchase once the securities have

been delivered by the counterparty. The trade will fail if either party fails to meet its obligation.

The Portfolios are exposed to risks associated with leverage. Leverage may cause the value of the Portfolios’ shares to be more volatile than if the Portfolios did not use leverage. This is because leverage tends to exaggerate the effect of any increase or decrease in the value of the Portfolios’ portfolio securities. The Portfolios may engage in transactions or purchase instruments that give rise to forms of leverage. Obligations to settle reverse repurchase agreements may be detrimental to the Portfolios’ performance. In addition, to the extent the Portfolios employ leverage, dividend and interest costs may not be recovered by any appreciation of the securities purchased with the leverage proceeds and could exceed the Portfolios’ investment returns, resulting in greater losses.

The Portfolios hold defaulted securities that may involve special considerations including bankruptcy proceedings, other regulatory and legal restrictions affecting the Portfolios’ ability to trade, and the availability of prices from independent pricing services or dealer quotations. Defaulted securities are often illiquid and may not be actively traded. Sale of securities in bankrupt companies at an acceptable price may be difficult and differences compared to the value of the securities used by the Portfolios could be material. A Portfolio may incur additional expenses to the extent it is required to seek recovery upon a portfolio security’s default in the payment of principal or interest. In any bankruptcy proceeding relating to a defaulted investment, a Portfolio may lose its entire investment or may be required to accept cash or securities with a value substantially less than its original investment.

122 Semi-Annual Report |  April 30, 2014

Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

2. Principal Risks (continued)

The Portfolios are party to International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) with select counterparties that govern transactions, over-the-counter derivatives and foreign exchange contracts entered into by the Portfolios and those counterparties. The ISDA Master Agreements contain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements of the Portfolios.

The considerations and factors surrounding the settlement of certain purchases and sales made on a delayed-delivery basis are governed by Master Securities Forward Transaction Agreements (“Master Forward Agreements”) between the Portfolios and select counterparties. The Master Forward Agreements maintain provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral.

The counterparty risk associated with certain contracts may be reduced by master netting arrangements to the extent that if an event of default occurs, all amounts with the counterparty are terminated and settled on a net basis. The Portfolios’ overall exposure to counterparty risk with respect to transactions subject to master netting arrangements can change substantially within a short period, as it is affected by each transaction subject to the arrangement.

Certain Portfolios had security transactions outstanding with Lehman Brothers entities as counterparty at the time the relevant Lehman

Brothers entities filed for bankruptcy protection or were placed in administration. Series M’s security transactions associated with Lehman Brothers, Inc. (“SLH”) and Series R’s security transactions associated with Lehman Brothers International (Europe) (“LBI”) as counterparties were written down to their estimated recoverable values. Adjustments to anticipated losses for security and derivative transactions associated with Lehman Brothers have been incorporated as net realized gain (loss) on the Statements of Operations of the applicable Portfolios. The remaining balances due from (Series M) and due to (Series C) SLH are included in receivable from/payable to broker on the Statements of Assets and Liabilities of the applicable Portfolios. The estimated recoverable value of the receivables is determined by independent broker quotes.

3. Financial Derivative Instruments

Disclosure about derivatives and hedging activities requires qualitative disclosure regarding objectives and strategies for using derivatives, quantitative disclosure about fair value amounts of gains and losses on derivatives, and disclosure about credit-risk-related contingent features in derivative agreements. The disclosure requirements distinguish between derivatives, which are accounted for as “hedges,” and those that do not qualify for such accounting. Although the Portfolios at times use derivatives for hedging purposes, the Portfolios reflect derivatives at fair value and recognize changes in fair value through the Portfolios’ Statements of Operations, and such derivatives do not qualify for hedge accounting treatment.

(a) Futures Contracts

The Portfolios use futures contracts to manage their exposure to the securities markets or the movements in interest rates and currency values. A futures contract is an agreement

April 30, 2014  | Semi-Annual Report 123

Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

3. Financial Derivative Instruments (continued)

between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into such a contract, the Portfolios are required to pledge to the broker an amount of cash or securities equal to the minimum “initial margin” requirements of the exchange. Pursuant to the contracts, the Portfolios agree to receive from or pay to the broker an amount of cash or securities equal to the daily fluctuation in the value of the contracts. Such receipts or payments are known as “variation margin” and are recorded by the Portfolios as unrealized appreciation or depreciation. When the contracts are closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contracts at the time they were opened and the value at the time they were closed. Any unrealized appreciation or depreciation recorded is simultaneously reversed. The use of futures transactions involves various risks, including the risk of an imperfect correlation in the movements in the price of futures contracts, interest rates and underlying hedging assets, and possible inability or unwillingness of counterparties to meet the terms of their contracts.

(b) Option Transactions

The Portfolios purchase put and call options on securities and indices for hedging purposes, risk management purposes or otherwise as part of their investment strategies. The risks associated with purchasing an option include the risk that the Portfolios pay a premium whether or not the option is exercised. Additionally, the Portfolios bear the risk of loss of premiums and changes in market value should the counterparty not perform under the contract. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by the

premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.

The Portfolios may write (sell) put and call options on securities and indices to earn premiums, for hedging purposes, risk management purposes or otherwise as part of their investment strategies. When an option is written, the premium received is recorded as an asset with an equal liability that is subsequently marked to market to reflect the market value of the option written. These liabilities, if any, are reflected as options written in the Portfolios’ Statements of Assets and Liabilities. Premiums received from writing options which expire unexercised are recorded on the expiration date as a realized gain. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option written is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether there has been a realized gain or loss. If a put option written is exercised, the premium reduces the cost basis of the security. In writing an option, the Portfolios bear the market risk of an unfavorable change in the price of the security underlying the written option. Exercise of a written option could result in the Portfolios purchasing a security at a price different from its current market value.

(c) Swap Agreements

Swap agreements are bilaterally negotiated agreements between the Portfolios and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market or event-linked returns at specified, future intervals. Swap agreements may be privately

124 Semi-Annual Report |  April 30, 2014

Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

3. Financial Derivative Instruments (continued)

negotiated in the over-the-counter market (“OTC swaps”) or may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“centrally cleared swaps”). The Portfolios may enter into credit default, cross-currency, interest rate, total return, variance and other forms of swap agreements in order to, among other things, to manage their exposure to credit, currency and interest rate risk. In connection with these agreements, securities or cash may be identified as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.

OTC swap payments received or made at the beginning of the measurement period, if any, are reflected as such on the Portfolios’ Statements of Assets and Liabilities and represent payments made or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). These upfront payments are recorded as realized gains or losses on the Portfolios’ Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss on the Portfolios’ Statements of Operations. Net periodic payments received or paid by the Portfolios are included as part of realized gains or losses on the Portfolios’ Statements of Operations. Changes in market value, if any, are reflected as a component of net changes in unrealized appreciation/depreciation on the Portfolios’ Statements of Operations. Daily changes in valuation of

centrally cleared swaps, if any, are recorded as a receivable or payable, as applicable, for variation margin on centrally cleared swaps on the Portfolios’ Statements of Assets and Liabilities.

Entering into these agreements involves, to varying degrees, elements of credit, legal, market and documentation risk in excess of the amounts recognized on the Portfolios’ Statements of Assets and Liabilities. Such risks include the possibility that there will be no liquid market for these agreements, that the counterparties to the agreements may default on their obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.

Credit Default Swap Agreements – Credit default swap agreements involve one party (referred to as the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event for the referenced entity, obligation or index. As the sellers of protection on credit default swap agreements, the Portfolios will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the sellers, the Portfolios would effectively add leverage to their investment portfolios because, in addition to their total net assets, the Portfolios would be subject to investment exposure on the notional amount of the swap.

If the Portfolios are sellers of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or

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Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

3. Financial Derivative Instruments (continued)

underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If the Portfolios are buyers of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

Credit default swap agreements on corporate or sovereign issues involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a

credit event). The Portfolios use credit default swaps on corporate or sovereign issues to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where the Portfolios own or have exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default.

Credit default swap agreements on asset-backed securities involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit events. Unlike credit default swaps on corporate or sovereign issues, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount of the swap agreement will be adjusted by corresponding amounts. The Portfolios use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default.

Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a basket of credit instruments or exposures designed to be representative of

126 Semi-Annual Report |  April 30, 2014

Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

3. Financial Derivative Instruments (continued)

some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index, or in the case of a tranched index credit default swap, the credit event is settled based on the name’s weight in the index that falls within the tranche for which the Portfolios bear exposure. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. The Portfolios use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Credit-default swaps on indices are benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end are disclosed in the Notes to Schedules of Investments, serve as an indicator of the current status of the payment/performance risk, and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a

particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The maximum potential amount of future payments (undiscounted) that the Portfolios as sellers of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of April 30, 2014 for which the Portfolios are sellers of protection are disclosed in the Notes to Schedules of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Portfolios for the same referenced entity or entities.

Interest Rate Swap Agreements – Interest rate swap agreements involve the exchange by the Portfolios with a counterparty of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments, with respect to the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the

April 30, 2014  | Semi-Annual Report 127

Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

3. Financial Derivative Instruments (continued)

other to the extent that interest rates exceed a specified rate, or “cap,” (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor,” (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the counterparty may terminate the swap transaction in whole at zero cost by a predetermined date and time prior to the maturity date, (v) spreadlocks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swaps, under which two parties can exchange variable interest rates based on different money markets.

(d) Forward Foreign Currency Contracts

A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. The Portfolios enter into forward foreign currency contracts for the purpose of hedging against foreign currency risk arising from the investment or anticipated investment in securities denominated in foreign currencies. The Portfolios also enter into these contracts for purposes of increasing exposure to a foreign currency or shifting exposure to foreign currency fluctuations from one country to another. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. All commitments are marked to market daily at the applicable exchange rates and any resulting unrealized appreciation or depreciation is recorded. Realized gains or losses are recorded

at the time the forward contract matures or by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In addition, these contracts may involve market risk in excess of the unrealized appreciation (depreciation) reflected in the Portfolios’ Statements of Assets and Liabilities.

4. Investment Manager/Sub-Adviser/Administrator/Distributor

(a) Investment Manager/Sub-Adviser

The Investment Manager serves as manager of the Portfolios pursuant to an Investment Advisory Agreement with the Trust. Pursuant to a Portfolio Management Agreement between the Investment Manager and PIMCO, the Investment Manager employs PIMCO to serve as the Sub-Adviser and provide investment advisory services to the Portfolios. Neither the Investment Manager nor PIMCO receive investment management or other fees from the Portfolios or the Trust. The financial statements reflect the fact that no investment management fees or expenses are incurred by the Portfolios. It should be understood, however, that the Portfolios are an integral part of “wrap-fee” programs sponsored by investment advisers unaffiliated with the Portfolios, the Investment Manager or the Sub-Adviser. Typically, participants in these programs pay a “wrap fee” to their investment adviser. Although the Portfolios do not compensate the Investment Manager or Sub-Adviser directly for their services under the Investment Advisory Agreement or Portfolio Management Agreement, respectively, the Investment Manager and Sub-Adviser may benefit from their relationship with the sponsors of wrap fee programs for which the Trust is an investment option.

128 Semi-Annual Report |  April 30, 2014

Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

4. Investment Manager/Sub-Adviser/ Administrator/Distributor (continued)

Please see Note 7 for a discussion of recently approved changes to the Portfolios’ investment management and sub-advisory arrangements.

(b) Administrator

The Investment Manager also serves as administrator to the Portfolios pursuant to an administration agreement (“Administration Agreement”) with the Trust. The administrator’s responsibilities include providing or procuring certain administrative services to the Portfolios as well as arranging at its own expense for the provision of legal, audit, custody, transfer agency and other services required for the ordinary operation of the Portfolios, and is responsible for printing, trustees’ fees, and other costs of the Portfolios. Under the Administration Agreement, the Investment Manager has agreed to provide

or procure these services, and to bear these expenses at no charge to the Portfolios.

Please see Note 7 for a discussion of recently approved changes to the Portfolios’ administration arrangements.

(c) Distributor

Allianz Global Investors Distributors LLC (the “Distributor”), an affiliate of the Investment Manager, serves as the distributor of the Portfolios’ shares. Pursuant to a distribution agreement with the Trust, the Investment Manager, on behalf of the Portfolios, pays the Distributor.

Please see Note 7 for a discussion of recently approved changes to the Portfolios’ distribution arrangements.

5. Investments in Securities

For the six months ended April 30, 2014, purchases and sales of investments, other than short-term securities were:

	U.S. Government Obligations				All Other
	Purchases		Sales		Purchases		Sales
Series C	$	809,490,989	$	2,290,950,019	$	579,952,716	$	558,720,957
Series LD		419,472,853		419,513,046		18,451,613		10,524,996
Series M		13,414,233,777		12,210,392,679		481,362,185		385,536,989
Series R		99,833,929		222,507,959		59,446,274		35,656,532
Series TE		5,203,762		–		13,036,675		110,658

6. Income Tax Information

At April 30, 2014, the aggregate cost basis and the net unrealized appreciation (depreciation) of investments (before options written and securities sold short) for federal income tax purposes were:

	Federal Tax Cost Basis		Unrealized Appreciation		Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Series C	$	2,776,502,457	$	199,441,482	$	14,260,665	$	185,180,817
Series LD		8,915,735		60,054		5,827		54,227
Series M		5,143,901,610		139,191,401		26,229,105		112,962,296
Series R		397,556,857		6,654,385		17,574,870		(10,920,485	)
Series TE		88,346,704		1,405,187		937,156		468,031

April 30, 2014  | Semi-Annual Report 129

Notes to Financial Statements

AllianzGI Managed Accounts Trust

April 30, 2014 (unaudited)

7. Subsequent Events

Differences, if any, between book and tax cost basis were attributable to wash sale loss deferrals and sale-buyback adjustments.

In preparing these financial statements, the Portfolios’ management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.

At a special meeting of shareholders held on June 9, 2014, shareholders of each Portfolio approved an Investment Advisory Contract (the “Contract”) between the Trust, on behalf of the Portfolios, and PIMCO. Pursuant to the Contract, PIMCO will replace AGIFM as the investment adviser to the Portfolios. Under the Contract, PIMCO will continue to provide the day-to-day portfolio management services it currently provides to each Portfolio as its sub-adviser and the same investment professionals that are currently responsible for managing each Portfolio will continue to do so following the transition. In addition, PIMCO will enter into a new Supervision and Administration Agreement (the “PIMCO Administration Agreement”) with the Trust and begin providing supervisory and administrative services to the Portfolios, in replacement of AGIFM, which serves as the Trust’s current administrator. Accordingly, PIMCO personnel will replace AGIFM personnel as Trust officers and in other roles to provide and oversee the administrative, accounting/financial reporting, compliance, legal, transfer agency, shareholder servicing and other services required for the daily operations of the Portfolios. In addition, the Trust, on behalf of the Portfolios, will enter into a new Distribution Contract with PIMCO Investments LLC (“PIMCO Investments”), a U.S. registered broker-dealer affiliate of PIMCO, under which PIMCO Investments will provide the distribution services for the Portfolios that are currently provided by the Distributor.

PIMCO will receive no compensation under the Contract or the PIMCO Administration Agreement with respect to the Portfolios and PIMCO Investments will receive no compensation under its Distribution Contract with respect to the Portfolios and the fee and expense levels and arrangements of the Portfolios will not change as a result of the transition. Each Portfolio is, and will continue to be, an integral part of one or more “wrap-fee” programs, including those sponsored by investment advisers and broker-dealers unaffiliated with the Portfolios, and unaffiliated with AGIFM or PIMCO. Participants in these programs pay a “wrap” fee to the sponsor of the program. PIMCO and/or its affiliates receive fees or other benefits from or through their relationships with the sponsors of such wrap-fee programs for which the Portfolios are an investment option, which arrangements are not expected to change as a result of the Contract.

The Contract and the PIMCO Administration Agreement will become effective at a date and time mutually agreeable to the Trust, PIMCO and AGIFM, and the new Distribution Contract will become effective at a date and time mutually agreeable to the Trust, PIMCO Investments and the Distributor (collectively, the “Transition Date”), each in order to effect an efficient transition for the Portfolios and their shareholders. The Transition Date will be announced at a later date. Following the Transition Date, PIMCO will assume sole management responsibility for the Portfolios and AGIFM will continue to serve as adviser/administrator for numerous non-PIMCO sub-advised open- and closed-end funds. In addition, it is expected that, on the Transition Date, the Trust will change its name to PIMCO Managed Accounts Trust, although the names of the individual Portfolios will not change.

130 Semi-Annual Report |  April 30, 2014

Special Shareholder Meeting Results/Corporate Changes (unaudited)

AllianzGI Managed Accounts Trust

Special Shareholder Meeting Results:

The Trust held a special meeting of shareholders on June 9, 2014. Shareholders voted as indicated below:

Proposal 1:	Approval of a new Investment Advisory Contract between the Trust, on behalf of each Portfolio, and PIMCO
		For	Against	Abstain
	Fixed Income SHares: Series C	233,270,735	33,245	13,440
	Fixed Income SHares: Series LD	609,405	0	0
	Fixed Income SHares: Series M	259,492,006	28,645	0
	Fixed Income SHares: Series R	22,605,603	0	23,948
	Fixed Income SHares: Series TE	8,163,877	0	0
Proposal 2:	Election of Trustees
			Affirmative	Withheld Authority
	Re-election of Hans W. Kertess		554,569,689	173,580
	Election of Craig A. Dawson1, 2		554,653,581	89,688
	Election of Deborah A. DeCotis		554,573,596	169,673
	Re-election of Bradford K. Gallagher		554,579,171	164,098
	Re-election of James A. Jacobson		554,579,171	164,098
	Re-election of John C. Maney3		554,569,689	173,580
	Re-election of William B. Ogden, IV		554,569,689	173,580
	Re-election of Alan Rappaport		554,569,689	173,580

1 Mr. Dawson is an “interested person” of the Trust (as that term is defined in the 1940 Act) because of his affiliations with PIMCO and its affiliates.

2 The election of Mr. Dawson as a Trustee of the Trust is expected to be effective upon the effectiveness of the new Investment Advisory Contract between the Trust and PIMCO.

3 Mr. Maney is an “interested person” of the Trust (as that term is defined in the 1940 Act) because of his affiliations with Allianz Asset Management of America L.P. and its affiliates.

Corporate Changes:

On March 14, 2014, Julian Sluyters became President and Chief Executive Officer of the Trust.

April 30, 2014 |  Semi-Annual Report 131

Matters Relating to the Trustees’ Consideration of the Investment Advisory Agreement (unaudited)

AllianzGI Managed Accounts Trust

At a meeting of the Board of Trustees of the Trust (the “Board” or the “Trustees”) on December 10, 2013, the Board received a preliminary presentation from PIMCO regarding the proposed transition of the Portfolios’ investment advisory, administrative and distribution services from AGIFM to PIMCO and agreed that PIMCO and PIMCO Investments LLC (“PIMCO Investments”) should prepare materials regarding the proposed advisory contract between PIMCO and the Trust (the “Proposed Advisory Agreement”), the proposed supervisions and administration agreement between PIMCO and the Trust (the “PIMCO Administration Agreement”), the proposed distribution contract between PIMCO Investments and the Trust (the “Distribution Contract”) and related arrangements for formal consideration at the Board’s next regularly scheduled meeting. On February 4, 2014, the Board held a special in-person meeting with members of PIMCO’s senior management and with other PIMCO personnel proposed to serve as officers of the Trust to discuss the proposed transition. On February 25, 2014, the non-interested Trustees (the “Independent Trustees”) met separately via conference call with their counsel to discuss materials provided by PIMCO and PIMCO Investments regarding the proposed agreements and related arrangements, and representatives from PIMCO and PIMCO Investments attended a portion of that meeting to respond to questions from the Independent Trustees and to field requests for supplemental information regarding the proposed arrangements. The Board then held an in-person meeting with management on March 10-11, 2014 to consider approval of the Proposed Advisory Agreement and related arrangements (the meetings of the Board discussed herein collectively referred to as the “Meetings”). Following careful consideration of the matters as described in more detail herein, the Board, including all of the Independent Trustees, approved the Proposed Advisory

Agreement with respect to each Portfolio for an initial one-year term, subject to approval of the Proposed Advisory Agreement by each Portfolio’s shareholders. The information, material factors and conclusions that formed the basis for the Board’s approvals are described below. As noted, the Independent Trustees were assisted in their evaluation of the Proposed Advisory Agreement by independent legal counsel, from whom they received separate legal advice and with whom they met separately from Trust management during the Meetings.

In connection with their deliberations regarding the approval of the Proposed Advisory Agreement the Trustees, including the Independent Trustees, considered such information and factors as they believed, in light of the legal advice furnished to them and their own business judgment, to be relevant. As described below, the Trustees considered the nature, quality and extent of the various investment management, administrative and other services to be provided to each Portfolio by PIMCO under the Proposed Advisory Agreement and PIMCO Administration Agreement and the distribution and underwriting services to be provided to each Portfolio by PIMCO Investments under the Distribution Contract.

In connection with the Meetings, the Trustees received and relied upon materials provided by PIMCO and PIMCO Investments (or AGIFM, as applicable) which included, among other items, (i) information regarding the investment performance and management fees of mutual funds and other accounts managed by PIMCO with strategies that have similarities (but are not substantially similar) to those of the Portfolios, (ii) the estimated profitability to AGIFM as investment adviser and administrator to the Portfolios for the one-year period ended December 31, 2012, (iii) estimates of what the profitability to PIMCO would have been as

132 Semi-Annual Report |  April 30, 2014

Matters Relating to the Trustees’ Consideration of the Investment Advisory Agreement (unaudited) (continued)

AllianzGI Managed Accounts Trust

investment adviser and administrator to the Portfolios for the one-year period ended December 31, 2013 and what the profitability to PIMCO as investment adviser and administrator to the Portfolios is estimated to be for the calendar years ending December 31, 2014, 2015 and 2016, (iv) information provided by PIMCO on each Portfolio’s risk-adjusted returns over various time periods, (v) descriptions of various functions and services to be performed or procured by PIMCO and PIMCO Investments for the Portfolios under the Proposed Advisory Agreement, the PIMCO Administration Agreement and the Distribution Contract, such as portfolio management, compliance monitoring, portfolio trading, distribution, underwriting, custody, transfer agency, dividend disbursement, recordkeeping, tax, legal, audit, valuation and other administrative and shareholder services and (vi) information regarding the overall organization of PIMCO, including information regarding senior management, portfolio managers and other personnel who will provide investment management, administrative, distribution and other services to the Portfolios under the Proposed Advisory Agreement, the PIMCO Administration Agreement and the Distribution Contract.

The Trustees’ conclusions as to the approval of the Proposed Advisory Agreement with respect to each Portfolio were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, attributing different weights to various factors.

As part of their review, the Trustees examined PIMCO’s ability to provide high-quality investment management and other services to

the Portfolios. Among other information, the Trustees considered the investment philosophy and research and decision-making processes of PIMCO; the experience of key advisory personnel of PIMCO responsible for portfolio management of the Portfolios; the ability of PIMCO to attract and retain capable personnel; and the capability of the senior management and staff of PIMCO. In addition, the Trustees reviewed the quality of PIMCO’s services with respect to regulatory compliance and compliance with the investment policies of the Portfolios and conditions that might affect PIMCO’s ability to provide high quality services to the Portfolios in the future under the Proposed Advisory Agreement, including PIMCO’s financial condition and operational stability. The Trustees took into account their familiarity and experience with PIMCO as the sub-adviser and portfolio manager to the Portfolios since their inceptions, and noted that the same investment professionals who are currently responsible for managing each Portfolio will continue to do so following the proposed transition. They further noted that each Portfolio will continue to have the same investment objective(s) and policies following the proposed transition.

The Trustees also considered the nature of certain supervisory, administrative and distribution services that PIMCO and PIMCO Investments would be responsible for providing to the Portfolios under the Proposed Advisory Agreement, the PIMCO Administration Agreement and the Distribution Contract. The Trustees considered PIMCO’s representation that it could offer the Portfolios an integrated set of high-quality investment advisory, administrative and distribution services under a single platform, which PIMCO believes will allow for greater efficiencies and enhanced coordination among various investment advisory, administrative and distribution functions. The Trustees also took into account that the fund administration group at PIMCO, then comprised of approximately 140

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Matters Relating to the Trustees’ Consideration of the Investment Advisory Agreement (unaudited) (continued)

AllianzGI Managed Accounts Trust

professionals worldwide, provided administrative services for approximately $860 billion in assets under management globally (as of October 31, 2013), including over 150 PIMCO open-end funds and ETFs which, like the Trust, are U.S. registered investment companies. The Trustees also considered PIMCO’s representation that the PIMCO fund administration group is well integrated with all critical functions related to the PIMCO funds business, including portfolio management, compliance, legal, accounting and tax, account management, distribution, shareholder communications/services and technology, and noted PIMCO’s and PIMCO Investments’ belief that the Portfolios and shareholders will benefit by having all such services provided “under one roof” by the highly experienced team at PIMCO and PIMCO Investments. Moreover, the Trustees noted that the proposed PIMCO-only management, administration and distribution structure for the Portfolios aligns with the “two pillar” approach adopted by Allianz SE with respect to other PIMCO and Allianz Global Investors products globally. Based on the foregoing, the Trustees concluded that PIMCO’s investment process, research capabilities and philosophy were well suited to each Portfolio given its investment objective and policies, and that PIMCO and PIMCO Investments would be able to provide high-quality supervisory, administrative and distribution services to the Portfolios and meet any reasonably foreseeable obligations under the Proposed Advisory Agreement, the PIMCO Administration Agreement and the Distribution Contract.

The Trustees also considered the performance of the Portfolios as compared to the performance of other mutual funds and accounts managed by PIMCO, including composites of such mutual funds and accounts. The Trustees noted that the Portfolios do not have investment objectives or strategies that align closely with any particular account or fund managed by PIMCO, but that management had

provided information for various mutual funds and other accounts managed by PIMCO with strategies that have similarities (but are not substantially similar) to those of the Portfolios. The Trustees noted that meaningful performance information was not yet available for Fixed Income SHares: Series LD, as it had only recently commenced operations.

The Trustees also gave substantial consideration to the fact that, with respect to the Portfolios, no fees will be payable to PIMCO or PIMCO Investments under the Proposed Advisory Agreement, the PIMCO Administration Agreement or the Distribution Contract, and that, if the Proposed Advisory Agreement is approved, PIMCO will enter into an Expense Limitation Agreement with the Trust, on behalf of each Portfolio, pursuant to which, so long as PIMCO serves as the investment adviser to the Portfolio, PIMCO will waive all fees and/or pay or reimburse all expenses of the Portfolio, except extraordinary expenses, including extraordinary legal expenses, and expenses incurred as a result of portfolio investments, such as any brokerage fees and commissions and other portfolio transaction expenses, costs, including interest expenses, of borrowing money or engaging in other types of leverage financing, fees and expenses of any underlying funds or other pooled vehicles in which the Portfolio invests, taxes, governmental fees and dividends and interest on short positions.

The Trustees also considered the amounts that would be paid by the sponsors of the “wrap” programs to PIMCO and/or its affiliates with respect to the Trust, as well as the fees that would be “imputed” to PIMCO, for purposes of arriving at an estimate of profitability arising from PIMCO’s and its affiliates’ relationships with the Portfolios. In this regard, the Trustees considered profitability analyses provided by PIMCO, which included the estimated profitability to AGIFM as investment adviser and administrator to the Portfolios for the one-year

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Matters Relating to the Trustees’ Consideration of the Investment Advisory Agreement (unaudited) (continued)

AllianzGI Managed Accounts Trust

period ended December 31, 2012 (such estimate having been prepared by AGIFM); pro forma estimated profitability to PIMCO for the one-year period ended December 31, 2013 assuming PIMCO had served as investment adviser and administrator to the Portfolios; and pro forma estimated profitability to PIMCO as investment adviser and administrator to the Portfolios for the calendar years ending December 31, 2014, 2015 and 2016. Based on the profitability analyses provided by PIMCO, the Trustees determined, taking into account the various assumptions made, that such profitability did not appear to be excessive.

Because the Portfolios would pay no fees to PIMCO directly under the Proposed Advisory Agreement, the PIMCO Administration Agreement or the Distribution Contract and PIMCO would bear substantially all of the Portfolio’s operating expenses, the Trustees did not place emphasis on the extent to which economies of scale would be realized due to potential growth of assets in the Portfolios or whether fee and expense levels reflect economies of scale for Shareholders.

The Trustees considered the fact that PIMCO and its affiliates may benefit from their relationships with the sponsors of wrap programs for which the Portfolios are an investment option. They noted such benefits

include the receipt by PIMCO and its affiliates of fees paid by the sponsor of the wrap program based on assets under management of the wrap program. The Trustees also took into account other so-called “fallout benefits” to PIMCO, such as reputational value derived from serving as investment adviser and the fact that PIMCO receives services from brokers who execute portfolio transactions for the Portfolios.

After reviewing these and other factors described herein, the Trustees concluded, with respect to each Portfolio, within the context of their overall conclusions regarding the Proposed Advisory Agreement and based upon the information provided and related representations made by PIMCO, that they were satisfied with PIMCO’s responses and efforts relating to the investment management and performance of the Portfolio. They also concluded that they were satisfied with PIMCO’s information and responses as to its resources and capabilities to serve as investment adviser of each Portfolio under the Proposed Advisory Agreement following the transition. Based on their evaluation of factors that they deemed to be material, including those factors described above, the Trustees, including the Independent Trustees, unanimously concluded that the approval of the Proposed Advisory Agreement was in the interests of each Portfolio and its shareholders, and determined to recommend the same for approval by shareholders.

April 30, 2014 |  Semi-Annual Report 135

Trustees

Hans W. Kertess

Chairman of the Board of Trustees

Deborah A. DeCotis

Bradford K. Gallagher

James A. Jacobson

John C. Maney

William B. Ogden, IV

Alan Rappaport

Fund Officers

Julian Sluyters

President & Chief Executive Officer

Lawrence G. Altadonna

Treasurer, Principal Financial & Accounting Officer

Thomas J. Fuccillo

Vice President, Secretary & Chief Legal Officer

Scott Whisten

Assistant Treasurer

Richard J. Cochran

Assistant Treasurer

Orhan Dzemaili

Assistant Treasurer

Thomas L. Harter

Chief Compliance Officer

Lagan Srivastava

Assistant Secretary

Investment Manager

Allianz Global Investors Fund Management LLC

1633 Broadway

New York, NY 10019

Sub-Adviser

Pacific Investment Management Company LLC

650 Newport Center Drive

Newport Beach, CA 92660

Distributor

Allianz Global Investors Distributors LLC

1633 Broadway

New York, NY 10019

Custodian & Accounting Agent

State Street Bank & Trust Co

801 Pennsylvania Avenue

Kansas City, MO 64105-1307

Transfer Agent, Dividend Paying Agent and Registrar

Boston Financial Data Services-Midwest

330 West 9th Street

Kansas City, MO 64105

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

1100 Walnut, Suite 1300

Kansas City, MO 64106

Legal Counsel

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

This report, including the financial information herein, is transmitted to the shareholders of AllianzGI Managed Accounts Trust for their information. It is not a prospectus, circular or representation intended for use in the purchase of shares of the Portfolios or any securities mentioned in this report.

The financial information included herein is taken from the records of the Portfolios without examination by an independent registered public accounting firm, who did not express an opinion herein.

The Portfolios file their complete schedules of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of their fiscal year on Form N-Q. The Portfolios’ Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330.

us.allianzgi.com

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	AZ080SA_043014
©2014 Allianz Global Investors Distributors U.S. LLC

AGI-2014-05-05-9670

ITEM 2. CODE OF ETHICS

Not required for this filing.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT

Not required in this filing.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES

Not required in this filing.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANT

Not applicable to this registrant.

ITEM 6. INVESTMENTS

(a) The registrant’s Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.

(b) Not applicable.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES

Not applicable to this registrant.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES

Not applicable to this registrant.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED COMPANIES.

Not applicable to this registrant.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.

ITEM 11. CONTROLS AND PROCEDURES

(a) The registrant’s President and Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

(b) There were no significant changes in 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 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.

ITEM 12. EXHIBITS

(a) (1) Not required in this filing.

(a) (2) Exhibit 99.302 Cert. — Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

(a) (3) Not Applicable

(b) Exhibit 99.906 Cert. — Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

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.

AllianzGI Managed Accounts Trust

By:	/s/ Julian Sluyters
	Julian Sluyters President & Chief Executive Officer Date: July 1, 2014

By:	/s/ Lawrence G. Altadonna
	Lawrence G. Altadonna Treasurer, Principal Financial & Accounting Officer Date: July 1, 2014

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/ Julian Sluyters
	Julian Sluyters
	President & Chief Executive Officer Date: July 1, 2014

By:	/s/ Lawrence G. Altadonna
	Lawrence G. Altadonna
	Treasurer, Principal Financial & Accounting Officer Date: July 1, 2014