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 | 811-21114 | |||||||
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ProShares Trust | ||||||||
(Exact name of registrant as specified in charter) | ||||||||
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7501 Wisconsin Avenue, Suite 1000 |
| 20814 | ||||||
(Address of principal executive offices) |
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ProShare Advisors LLC | ||||||||
(Name and address of agent for service) | ||||||||
| ||||||||
Registrant’s telephone number, including area code: | (240) 497-6400 |
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Date of fiscal year end: | May 31 |
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Date of reporting period: | November 30, 2007 |
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Item 1. Reports to Stockholders.
The following is a copy of the semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
Ultra ProShares
Ultra MarketCap
ULTRA ®
ULTRA Dow30SM
ULTRA S&P500®
ULTRA MidCap400
ULTRA SmallCap600
ULTRA Russell2000
Ultra Style
ULTRA Russell1000 Value
ULTRA Russell1000 Growth
ULTRA Russell MidCap Value
ULTRA Russell MidCap Growth
ULTRA Russell2000 Value
ULTRA Russell2000 Growth
Ultra Sector
ULTRA Basic Materials
ULTRA Consumer Goods
ULTRA Consumer Services
ULTRA Financials
ULTRA Health Care
ULTRA Industrials
ULTRA Oil & Gas
ULTRA Real Estate
ULTRA Semiconductors
ULTRA Technology
ULTRA Utilities
Short ProShares
Short/UltraShort MarketCap
SHORT ®
SHORT Dow30SM
SHORT S&P500®
SHORT MidCap400
SHORT SmallCap600
SHORT Russell2000
ULTRASHORT ®
ULTRASHORT Dow30SM
ULTRASHORT S&P500®
ULTRASHORT MidCap400
ULTRASHORT SmallCap600
ULTRASHORT Russell2000
UltraShort Style
ULTRASHORT Russell1000 Value
ULTRASHORT Russell1000 Growth
ULTRASHORT Russell MidCap Value
ULTRASHORT Russell MidCap Growth
ULTRASHORT Russell2000 Value
ULTRASHORT Russell2000 Growth
UltraShort Sector
ULTRASHORT Basic Materials
ULTRASHORT Consumer Goods
ULTRASHORT Consumer Services
ULTRASHORT Financials
ULTRASHORT Health Care
ULTRASHORT Industrials
ULTRASHORT Oil & Gas
ULTRASHORT Real Estate
ULTRASHORT Semiconductors
ULTRASHORT Technology
ULTRASHORT Utilities
Short/UltraShort International
SHORT MSCI EAFE
SHORT MSCI Emerging Markets
ULTRASHORT MSCI EAFE
ULTRASHORT MSCI Emerging Markets
ULTRASHORT FTSE/Xinhua China 25
ULTRASHORT MSCI Japan
Semiannual Report
ProShares Trust
NOVEMBER 30, 2007
Table of Contents
1 | Shareholder Letter | ||||||
2 | Allocation of Portfolio Holdings and Index Composition | ||||||
31 | Expense Examples | ||||||
37 | Premium and Discount Information | ||||||
Schedule of Portfolio Investments | |||||||
56 | ULTRA QQQ® | ||||||
59 | ULTRA Dow30SM | ||||||
61 | ULTRA S&P500® | ||||||
69 | ULTRA MidCap400 | ||||||
76 | ULTRA SmallCap600 | ||||||
85 | ULTRA Russell2000 | ||||||
88 | ULTRA Russell1000 Value | ||||||
91 | ULTRA Russell1000 Growth | ||||||
94 | ULTRA Russell MidCap Value | ||||||
97 | ULTRA Russell MidCap Growth | ||||||
100 | ULTRA Russell2000 Value | ||||||
103 | ULTRA Russell2000 Growth | ||||||
106 | ULTRA Basic Materials | ||||||
109 | ULTRA Consumer Goods | ||||||
113 | ULTRA Consumer Services | ||||||
118 | ULTRA Financials | ||||||
123 | ULTRA Health Care | ||||||
126 | ULTRA Industrials | ||||||
132 | ULTRA Oil & Gas | ||||||
135 | ULTRA Real Estate | ||||||
138 | ULTRA Semiconductors | ||||||
140 | ULTRA Technology | ||||||
144 | ULTRA Utilities | ||||||
147 | SHORT QQQ® | ||||||
149 | SHORT Dow30SM | ||||||
151 | SHORT S&P500® | ||||||
153 | SHORT MidCap400 | ||||||
155 | SHORT SmallCap600 | ||||||
156 | SHORT Russell2000 | ||||||
157 | ULTRASHORT QQQ® | ||||||
159 | ULTRASHORT Dow30SM | ||||||
161 | ULTRASHORT S&P500® | ||||||
163 | ULTRASHORT MidCap400 | ||||||
165 | ULTRASHORT SmallCap600 | ||||||
166 | ULTRASHORT Russell2000 | ||||||
168 | ULTRASHORT Russell1000 Value | ||||||
169 | ULTRASHORT Russell1000 Growth | ||||||
170 | ULTRASHORT Russell MidCap Value | ||||||
171 | ULTRASHORT Russell MidCap Growth | ||||||
172 | ULTRASHORT Russell2000 Value | ||||||
173 | ULTRASHORT Russell2000 Growth | ||||||
174 | ULTRASHORT Basic Materials | ||||||
175 | ULTRASHORT Consumer Goods | ||||||
176 | ULTRASHORT Consumer Services | ||||||
177 | ULTRASHORT Financials | ||||||
178 | ULTRASHORT Health Care | ||||||
179 | ULTRASHORT Industrials | ||||||
180 | ULTRASHORT Oil & Gas | ||||||
181 | ULTRASHORT Real Estate | ||||||
182 | ULTRASHORT Semiconductors | ||||||
183 | ULTRASHORT Technology | ||||||
184 | ULTRASHORT Utilities | ||||||
185 | SHORT MSCI EAFE | ||||||
186 | SHORT MSCI Emerging Markets | ||||||
187 | ULTRASHORT MSCI EAFE | ||||||
188 | ULTRASHORT MSCI Emerging Markets | ||||||
189 | ULTRASHORT FTSE/Xinhua China 25 | ||||||
190 | ULTRASHORT MSCI Japan | ||||||
191 | Statement of Assets and Liabilities | ||||||
201 | Statement of Operations | ||||||
211 | Statement of Changes in Net Assets | ||||||
230 | Financial Highlights | ||||||
245 | Notes to Financial Statements | ||||||
262 | Board Approval of Investment Advisory Agreement | ||||||
264 | Proxy Voting & Quarterly Portfolio Holdings Information | ||||||
265 | Change in Auditors | ||||||
Dear Shareholder,
At the beginning of this reporting period, ProShares had just completed the most successful first year of any ETF company, ever.(1) Since that time, the enthusiastic response to ProShares ETFs has continued.
In fact, ProShares' assets under management grew by more than 65% during the reporting period, fueled in part by the introduction of six Short International ProShares. They are the only ETFs built to go up when foreign markets go down, making it simple for investors to get short exposure to markets abroad. UltraShort FTSE/Xinhua China 25 ProShares (FXP) had a particularly strong debut, trading more than 525,000 shares on its first day.(2)
ProShares now manages over $11 billion across a broad lineup of 58 ETFs that provides short or magnified exposure to practically any segment of the market, including a range of market cap, style, sector and international indexes. In the upcoming months, we plan to launch more innovative products, including the first ETFs that provide short exposure to the fixed-income market.
I believe our rapid growth demonstrates that investors value the newfound simplicity ProShares bring to implementing sophisticated investment strategies. I hope that our ETFs have indeed made it simple for you to execute your strategies, and on behalf of everyone at ProShares, I thank you for your confidence and trust.
Sincerely,
Michael Sapir
Chairman
Carefully consider the investment objectives, risks, and charges and expenses of ProShares before investing. This and other information can be found in the prospectus. For a ProShares prospectus, please download it at www.proshares.com and seek advice from your financial adviser or broker. Financial professionals can call ProShares at 866-PRO-5125.
Investing involves risk, including possible loss of principal. ProShares ETFs entail certain risks, including aggressive investment technique, inverse correlation and market price variance risks, all of which can increase volatility and decrease performance. In addition, ProShares ETFs are not diversified investments, and narrowly focused investments typically exhibit higher volatility and may be more susceptible to single-issuer risk than a more diversified fund. International investments, including emerging markets, may be subject to currency fluctuations and economic or political instability. ProShares ETFs are distributed by SEI Investments Distribution Co., which is not affiliated with the advisor or any other affiliate.
(1) According to FRC, the total assets in ProShares ETFs after the first 12 months of operation were more than any other ETF provider's assets after its first 12 months of operation.
(2) Source: Bloomberg.
1
Allocation of Portfolio Holdings & Index Composition
November 30, 2007 (Unaudited)
Ultra QQQ® (Ticker: QLD)
Ultra QQQ® ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the NASDAQ Index-100 Index®. The NASDAQ-100 Index represents the largest non-financial domestic and international issues listed on The NASDAQ Stock Market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 88 | % | |||||
Swap Agreements | 102 | % | |||||
Futures Contracts | 10 | % | |||||
200 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Apple, Inc. | 11.1 | % | |||||
Microsoft Corp. | 5.4 | % | |||||
Google, Inc., Class A | 4.9 | % | |||||
Qualcomm, Inc. | 4.1 | % | |||||
Research In Motion Ltd. | 3.2 | % |
Nasdaq-100
Index – Composition
% of Index | |||||||
Technology | 44.0 | % | |||||
Communications | 28.9 | % | |||||
Consumer, Non-Cyclical | 14.5 | % | |||||
Consumer, Cyclical | 8.2 | % | |||||
Industrial | 3.9 | % | |||||
Basic Materials | 0.3 | % | |||||
Energy | 0.2 | % |
Ultra Dow 30SM (Ticker: DDM)
Ultra Dow30SM ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones Industrial AverageSM (DJIA). The DJIA is a price-weighted index maintained by editors of The Wall Street Journal. The DJIA includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 86 | % | |||||
Swap Agreements | 103 | % | |||||
Futures Contracts | 11 | % | |||||
200 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
International Business Machines Corp. | 5.5 | % | |||||
Boeing Co. | 4.9 | % | |||||
Exxon Mobil Corp. | 4.7 | % | |||||
3M Co. | 4.4 | % | |||||
Altria Group, Inc. | 4.1 | % |
Dow Jones U.S. Industrials Average
Index – Composition
% of Index | |||||||
Industrial | 25.4 | % | |||||
Consumer, Non-Cyclical | 22.1 | % | |||||
Technology | 13.2 | % | |||||
Financial | 11.9 | % | |||||
Consumer, Cyclical | 10.0 | % | |||||
Communications | 7.0 | % | |||||
Energy | 5.4 | % | |||||
Basic Materials | 5.0 | % |
2
Ultra S&P500® (Ticker: SSO)
Ultra S&P500® ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the S&P 500® Index. The S&P 500 Index is a measure of large-cap U.S. stock market performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 86 | % | |||||
Swap Agreements | 103 | % | |||||
Futures Contracts | 11 | % | |||||
200 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Exxon Mobil Corp. | 3.3 | % | |||||
General Electric Co. | 2.6 | % | |||||
Microsoft Corp. | 1.8 | % | |||||
AT&T, Inc. | 1.5 | % | |||||
Procter & Gamble Co. | 1.5 | % |
S&P 500
Index – Composition
% of Index | |||||||
Consumer, Non-Cyclical | 20.9 | % | |||||
Financial | 18.4 | % | |||||
Energy | 11.9 | % | |||||
Industrial | 11.9 | % | |||||
Communications | 11.4 | % | |||||
Technology | 11.3 | % | |||||
Consumer, Cyclical | 7.3 | % | |||||
Utilities | 3.5 | % | |||||
Basic Materials | 3.3 | % | |||||
Diversified | 0.1 | % |
Ultra MidCap400 (Ticker: MVV)
Ultra MidCap400 ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the S&P MidCap 400 Index. The S&P MidCap 400 Index is a measure of mid-size company U.S. stock market performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 88 | % | |||||
Swap Agreements | 101 | % | |||||
Futures Contracts | 11 | % | |||||
200 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Intuitive Surgical, Inc. | 1.0 | % | |||||
Lyondell Chemical Co. | 0.9 | % | |||||
Cameron International Corp. | 0.8 | % | |||||
GameStop Corp., Class A | 0.7 | % | |||||
Harris Corp. | 0.7 | % |
S&P MidCap400
Index – Composition
% of Index | |||||||
Consumer, Non-Cyclical | 19.5 | % | |||||
Industrial | 16.2 | % | |||||
Financial | 13.9 | % | |||||
Consumer, Cyclical | 12.6 | % | |||||
Energy | 9.9 | % | |||||
Technology | 8.7 | % | |||||
Basic Materials | 6.6 | % | |||||
Utilities | 6.5 | % | |||||
Communications | 6.1 | % |
3
Allocation of Portfolio Holdings & Index Composition
November 30, 2007 (Unaudited) (continued)
Ultra SmallCap600 (Ticker:SAA)
Ultra SmallCap600 ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the S&P SmallCap 600 Index®. The S&P SmallCap 600 Index measures the performance of publicly traded securities in the small-capitalization sector of the United States equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 91 | % | |||||
Swap Agreements | 108 | % | |||||
Futures Contracts | — | ||||||
199 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Shaw Group, Inc. (The) | 0.9 | % | |||||
Flir Systems, Inc. | 0.8 | % | |||||
Trimble Navigation Ltd. | 0.8 | % | |||||
Idexx Laboratories, Inc. | 0.6 | % | |||||
Helix Energy Solutions Group, Inc. | 0.6 | % |
S&P SmallCap600
Index – Composition
% of Index | |||||||
Industrial | 21.6 | % | |||||
Consumer, Non-Cyclical | 18.3 | % | |||||
Financial | 15.5 | % | |||||
Consumer, Cyclical | 15.2 | % | |||||
Technology | 10.0 | % | |||||
Energy | 7.5 | % | |||||
Utilities | 4.7 | % | |||||
Communications | 4.2 | % | |||||
Basic Materials | 3.0 | % |
Ultra Russell2000 (Ticker: UWM)
Ultra Russell2000 ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Russell 2000® Index. The Russell 2000 Index is a measure of small-cap U.S. stock market performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 90 | % | |||||
Swap Agreements | 100 | % | |||||
Futures Contracts | 10 | % | |||||
200 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Hologic, Inc. | 0.6 | % | |||||
CF Industries Holdings, Inc. | 0.4 | % | |||||
Exterran Holdings, Inc. | 0.3 | % | |||||
Flir Systems, Inc. | 0.3 | % | |||||
Priceline.com, Inc. | 0.3 | % |
Russell 2000
Index – Composition
% of Index | |||||||
Consumer, Non-Cyclical | 21.8 | % | |||||
Financial | 19.1 | % | |||||
Industrial | 14.9 | % | |||||
Consumer, Cyclical | 12.0 | % | |||||
Technology | 9.4 | % | |||||
Communications | 9.3 | % | |||||
Energy | 5.9 | % | |||||
Basic Materials | 4.4 | % | |||||
Utilities | 3.0 | % | |||||
Diversified | 0.2 | % |
4
Ultra Russell1000 Value (Ticker: UVG)
Ultra Russell1000 Value ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Russell 1000® Value Index. The Russell 1000 Value Index is a subset of the Russell 1000 Index.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 92 | % | |||||
Swap Agreements | 107 | % | |||||
Futures Contracts | — | ||||||
199 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Exxon Mobil Corp. | 5.2 | % | |||||
General Electric Co. | 4.5 | % | |||||
AT&T, Inc. | 3.1 | % | |||||
Bank of America Corp. | 2.7 | % | |||||
Chevron Corp. | 2.4 | % |
Russell 1000Value
Index – Composition
% of Index | |||||||
Financial | 30.1 | % | |||||
Consumer, Non-Cyclical | 15.3 | % | |||||
Energy | 15.2 | % | |||||
Industrial | 11.4 | % | |||||
Communications | 10.5 | % | |||||
Utilities | 6.4 | % | |||||
Consumer, Cyclical | 4.8 | % | |||||
Basic Materials | 4.2 | % | |||||
Technology | 2.0 | % | |||||
Diversified | 0.1 | % |
Ultra Russell1000 Growth (Ticker: UKF)
Ultra Russell1000 Growth ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Russell 1000® Growth Index. The Russell 1000 Growth Index is a subset of the Russell 1000 Index.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 90 | % | |||||
Swap Agreements | 109 | % | |||||
Futures Contracts | — | ||||||
199 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Microsoft Corp. | 3.2 | % | |||||
Cisco Systems, Inc. | 2.0 | % | |||||
Google, Inc., Class A | 1.8 | % | |||||
Apple, Inc. | 1.8 | % | |||||
Intel Corp. | 1.8 | % |
Russell 1000 Growth
Index – Composition
% of Index | |||||||
Consumer, Non-Cyclical | 25.4 | % | |||||
Technology | 19.4 | % | |||||
Industrial | 12.9 | % | |||||
Communications | 11.7 | % | |||||
Consumer, Cyclical | 10.7 | % | |||||
Energy | 8.4 | % | |||||
Financial | 7.2 | % | |||||
Basic Materials | 3.0 | % | |||||
Utilities | 1.3 | % |
5
Allocation of Portfolio Holdings & Index Composition
November 30, 2007 (Unaudited) (continued)
Ultra Russell MidCap Value (Ticker: UVU)
Ultra Russell MidCap Value ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Russell MidCap® Value Index. The Russell MidCap Value Index measures the performance of the mid-capitalization value sector of the United States equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 90 | % | |||||
Swap Agreements | 109 | % | |||||
Futures Contracts | — | ||||||
199 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Hess Corp. | 1.0 | % | |||||
American Electric Power Co., Inc. | 0.9 | % | |||||
Edison International | 0.9 | % | |||||
Principal Financial Group, Inc. | 0.8 | % | |||||
Sempra Energy | 0.8 | % |
Russell MidCap Value
Index – Composition
% of Index | |||||||
Financial | 28.1 | % | |||||
Utilities | 13.5 | % | |||||
Industrial | 11.7 | % | |||||
Consumer, Non-Cyclical | 11.1 | % | |||||
Consumer, Cyclical | 8.1 | % | |||||
Energy | 7.8 | % | |||||
Communications | 7.1 | % | |||||
Basic Materials | 6.8 | % | |||||
Technology | 5.4 | % | |||||
Diversified | 0.4 | % |
Ultra Russell MidCap Growth (Ticker: UKW)
Ultra Russell MidCap Growth ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Russell MidCap® Growth Index. The Russell MidCap Growth Index measures the performance of the mid-capitalization growth sector of the United States equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 88 | % | |||||
Swap Agreements | 111 | % | |||||
Futures Contracts | — | ||||||
199 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
National Oilwell Varco, Inc. | 0.9 | % | |||||
Weatherford International Ltd. | 0.8 | % | |||||
Allergan, Inc. | 0.7 | % | |||||
Precision Castparts Corp. | 0.7 | % | |||||
Yum! Brands, Inc. | 0.7 | % |
Russell MidCap Growth
Index – Composition
% of Index | |||||||
Consumer, Non-Cyclical | 18.8 | % | |||||
Industrial | 16.6 | % | |||||
Technology | 15.2 | % | |||||
Consumer, Cyclical | 14.6 | % | |||||
Energy | 11.8 | % | |||||
Financial | 8.4 | % | |||||
Communications | 7.7 | % | |||||
Basic Materials | 3.8 | % | |||||
Utilities | 3.1 | % |
6
Ultra Russell2000 Value (Ticker: UVT)
Ultra Russell2000 Value ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Russell 2000® Value Index. The Russell 2000 Value Index is a subset of the Russell 2000 Index, and measures the performance of the small-capitalization value sector of the United States equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 93 | % | |||||
Swap Agreements | 106 | % | |||||
Futures Contracts | — | ||||||
199 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Exterran Holdings, Inc. | 0.7 | % | |||||
CF Industries Holdings, Inc. | 0.7 | % | |||||
Realty Income Corp. (REIT) | 0.4 | % | |||||
Aptargroup, Inc. | 0.4 | % | |||||
Westar Energy, Inc. | 0.4 | % |
Russell 2000 Value
Index – Composition
% of Index | |||||||
Financial | 32.2 | % | |||||
Industrial | 13.9 | % | |||||
Consumer, Non-Cyclical | 12.9 | % | |||||
Consumer, Cyclical | 10.6 | % | |||||
Communications | 7.4 | % | |||||
Technology | 6.1 | % | |||||
Basic Materials | 5.9 | % | |||||
Utilities | 5.8 | % | |||||
Energy | 4.9 | % | |||||
Diversified | 0.3 | % |
Ultra Russell2000 Growth (Ticker: UKK)
Ultra Russell2000 Growth ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Russell 2000® Growth Index. The Russell 2000 Growth Index is a subset of the Russell 2000 Index, and measures the performance of the small-capitalization growth sector of the United States equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 91 | % | |||||
Swap Agreements | 108 | % | |||||
Futures Contracts | — | ||||||
199 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Hologic, Inc. | 1.1 | % | |||||
Flir Systems, Inc. | 0.6 | % | |||||
priceline.com, Inc. | 0.6 | % | |||||
Chipotle Mexican Grill, Inc., Class B | 0.5 | % | |||||
Equinix, Inc. | 0.5 | % |
Russell 2000 Growth
Index – Composition
% of Index | |||||||
Consumer, Non-Cyclical | 29.7 | % | |||||
Industrial | 15.8 | % | |||||
Consumer, Cyclical | 13.2 | % | |||||
Technology | 12.3 | % | |||||
Communications | 11.0 | % | |||||
Financial | 7.7 | % | |||||
Energy | 6.7 | % | |||||
Basic Materials | 3.0 | % | |||||
Utilities | 0.6 | % |
7
Allocation of Portfolio Holdings & Index Composition
November 30, 2007 (Unaudited) (continued)
Ultra Basic Materials (Ticker: UYM)
Ultra Basic Materials ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Basic Materials Index. The Dow Jones U.S. Basic Materials Index measures the performance of the basic materials industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 83 | % | |||||
Swap Agreements | 116 | % | |||||
Futures Contracts | — | ||||||
199 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Monsanto Co. | 8.0 | % | |||||
EI Du Pont de Nemours & Co. | 6.4 | % | |||||
Dow Chemical Co. (The) | 6.1 | % | |||||
Freeport-McMoRan Copper & Gold, Inc. | 5.6 | % | |||||
Alcoa, Inc. | 4.8 | % |
Dow Jones U.S. Basic Materials
Index – Composition
% of Index | |||||||
Chemicals | 55.9 | % | |||||
Industrial Metals | 26.6 | % | |||||
Mining | 11.0 | % | |||||
Forestry and Paper | 6.5 | % |
Ultra Consumer Goods (Ticker: UGE)
Ultra Consumer Goods ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Consumer Goods Index. The Dow Jones U.S. Consumer Goods Index measures the performance of consumer spending in the goods industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 90 | % | |||||
Swap Agreements | 109 | % | |||||
Futures Contracts | — | ||||||
199 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Procter & Gamble Co. | 14.6 | % | |||||
Altria Group, Inc. | 10.3 | % | |||||
Coca-Cola Co. (The) | 8.4 | % | |||||
PepsiCo, Inc. | 7.9 | % | |||||
Kraft Foods, Inc. | 3.5 | % |
Dow Jones U.S. Consumer Goods
Index – Composition
% of Index | |||||||
Beverages | 23.4 | % | |||||
Household Goods | 22.9 | % | |||||
Food Producers | 16.5 | % | |||||
Tobacco | 13.8 | % | |||||
Personal Goods | 11.3 | % | |||||
Automobiles and Parts | 6.9 | % | |||||
Leisure Goods | 5.2 | % |
8
Ultra Consumer Services (Ticker: UCC)
Ultra Consumer Services ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Consumer Services Index. The Dow Jones U.S. Consumer Services Index measures the performance of consumer spending in the services industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 85 | % | |||||
Swap Agreements | 114 | % | |||||
Futures Contracts | — | ||||||
199 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Wal-Mart Stores, Inc. | 6.1 | % | |||||
McDonald's Corp. | 3.5 | % | |||||
Time Warner, Inc. | 3.2 | % | |||||
Walt Disney Co. (The) | 3.0 | % | |||||
CVS Caremark Corp. | 3.0 | % |
Dow Jones U.S. Consumer Services
Index – Composition
% of Index | |||||||
General Retailers | 38.6 | % | |||||
Media | 29.3 | % | |||||
Travel and Leisure | 18.8 | % | |||||
Food and Drug Retailers | 13.3 | % |
Ultra Financials (Ticker: UYG)
Ultra Financials ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Financials Index. The Dow Jones U.S. Financials Index measures the performance of the financial services industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 85 | % | |||||
Swap Agreements | 114 | % | |||||
Futures Contracts | — | ||||||
199 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Bank of America Corp. | 6.3 | % | |||||
Citigroup, Inc. | 5.1 | % | |||||
JPMorgan Chase & Co. | 4.7 | % | |||||
American International Group, Inc. | 4.0 | % | |||||
Wells Fargo & Co. | 3.2 | % |
Dow Jones U.S. Financials
Index – Composition
% of Index | |||||||
Banks | 39.1 | % | |||||
General Financial | 26.8 | % | |||||
Nonlife Insurance | 16.4 | % | |||||
Real Estate | 11.0 | % | |||||
Life Insurance | 6.7 | % |
9
Allocation of Portfolio Holdings & Index Composition
November 30, 2007 (Unaudited) (continued)
Ultra Health Care (Ticker: RXL)
Ultra Health Care ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Health Care Index. The Dow Jones U.S. Health Care Index measures the performance of the healthcare industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 84 | % | |||||
Swap Agreements | 115 | % | |||||
Futures Contracts | — | ||||||
199 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Johnson & Johnson | 9.1 | % | |||||
Pfizer, Inc. | 7.7 | % | |||||
Merck & Co., Inc. | 6.0 | % | |||||
Abbott Laboratories | 4.1 | % | |||||
UnitedHealth Group, Inc. | 3.4 | % |
Dow Jones U.S. Health Care
Index – Composition
% of Index | |||||||
Pharmaceuticals and Biotech | 63.2 | % | |||||
Health Care and Equipment Services | 36.8 | % |
Ultra Industrials (Ticker: UXI)
Ultra Industrials ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Industrials Index. The Dow Jones U.S. Industrials Index measures the performance of the industrial industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 89 | % | |||||
Swap Agreements | 111 | % | |||||
Futures Contracts | — | ||||||
200 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
General Electric Co. | 16.8 | % | |||||
United Technologies Corp. | 2.9 | % | |||||
Boeing Co. | 2.8 | % | |||||
3M Co. | 2.4 | % | |||||
United Parcel Service, Inc., Class B | 2.1 | % |
Dow Jones U.S. Industrials
Index – Composition
% of Index | |||||||
General Industrials | 29.7 | % | |||||
Aerospace and Defense | 17.3 | % | |||||
Support Services | 12.4 | % | |||||
Industrial Engineering | 11.9 | % | |||||
Industrial Transportation | 11.0 | % | |||||
Electronic & Electrical Equipment | 11.0 | % | |||||
Construction and Materials | 6.7 | % |
10
Ultra Oil & Gas (Ticker: DIG)
Ultra Oil & Gas ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Oil & Gas Index. The Dow Jones U.S. Oil & Gas Index measures the performance of the oil and gas industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 89 | % | |||||
Swap Agreements | 110 | % | |||||
Futures Contracts | — | ||||||
199 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Exxon Mobil Corp. | 26.8 | % | |||||
Chevron Corp. | 10.1 | % | |||||
ConocoPhillips | 6.6 | % | |||||
Schlumberger Ltd. | 6.0 | % | |||||
Occidental Petroleum Corp. | 3.2 | % |
Dow Jones U.S. Oil & Gas
Index – Composition
% of Index | |||||||
Oil and Gas Producers | 75.2 | % | |||||
Oil Equipment, Services and Distribution | 24.8 | % |
Ultra Real Estate (Ticker: URE)
Ultra Real Estate ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Real Estate Index. The Dow Jones U.S. Real Estate Index measures the performance of the real estate sector of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 85 | % | |||||
Swap Agreements | 114 | % | |||||
Futures Contracts | — | ||||||
199 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Simon Property Group, Inc. | 6.1 | % | |||||
Prologis | 4.7 | % | |||||
Vornado Realty Trust | 3.6 | % | |||||
Boston Properties, Inc. | 3.3 | % | |||||
General Growth Properties, Inc. | 3.0 | % |
Dow Jones U.S. Real Estate
Index – Composition
% of Index | |||||||
Real Estate | 100 | % |
11
Allocation of Portfolio Holdings & Index Composition
November 30, 2007 (Unaudited) (continued)
Ultra Semiconductors (Ticker: USD)
Ultra Semiconductors ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Semiconductors Index. The Dow Jones U.S. Semiconductors Index measures the performance of the semiconductor subsector of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 87 | % | |||||
Swap Agreements | 112 | % | |||||
Futures Contracts | — | ||||||
199 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Intel Corp. | 30.7 | % | |||||
Texas Instruments, Inc. | 9.2 | % | |||||
Applied Materials, Inc. | 5.3 | % | |||||
MEMC Electronic Materials, Inc. | 3.5 | % | |||||
Nvidia Corp. | 3.5 | % |
Dow Jones U.S. Semiconductors
Index – Composition
% of Index | |||||||
Semiconductors | 100 | % |
Ultra Technology (Ticker: ROM)
Ultra Technology ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Technology Index. The Dow Jones U.S. Technology Index measures the performance of the technology industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 90 | % | |||||
Swap Agreements | 109 | % | |||||
Futures Contracts | — | ||||||
199 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Microsoft Corp. | 11.2 | % | |||||
Cisco Systems, Inc. | 6.8 | % | |||||
Google, Inc., Class A | 6.3 | % | |||||
Apple, Inc. | 6.3 | % | |||||
Intel Corp. | 6.1 | % |
Dow Jones U.S. Technology
Index – Composition
% of Index | |||||||
Technology Hardware and Equipment | 58.7 | % | |||||
Software and Computer Services | 41.3 | % |
12
Ultra Utilities (Ticker: UPW)
Ultra Utilities ProShares seeks daily investment results, before fees and expenses, that correspond to twice the daily performance of the Dow Jones U.S. Utilities Index. The Dow Jones U.S. Utilities Index measures the performance of the utilities industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 85 | % | |||||
Swap Agreements | 115 | % | |||||
Futures Contracts | — | ||||||
200 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Exelon Corp. | 7.4 | % | |||||
Southern Co. | 3.9 | % | |||||
Dominion Resources, Inc. | 3.8 | % | |||||
FPL Group, Inc. | 3.5 | % | |||||
Duke Energy Corp. | 3.4 | % |
Dow Jones U.S. Utilities
Index – Composition
% of Index | |||||||
Electricity | 74.2 | % | |||||
Gas, Water & Multi Utilities | 25.8 | % |
Short QQQ® (Ticker: PSQ)
Short QQQ® ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse daily performance of the NASDAQ Index-100 Index®. The NASDAQ-100 Index represents the largest non-financial domestic and international issues listed on The NASDAQ Stock Market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -90 | % | |||||
Futures Contracts | -10 | % | |||||
-100 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Nasdaq-100 Index – Composition
% of Index | |||||||
Technology | 44.0 | % | |||||
Communications | 28.9 | % | |||||
Consumer, Non-Cyclical | 14.5 | % | |||||
Consumer, Cyclical | 8.2 | % | |||||
Industrial | 3.9 | % | |||||
Basic Materials | 0.3 | % | |||||
Energy | 0.2 | % |
13
Allocation of Portfolio Holdings & Index Composition
November 30, 2007 (Unaudited) (continued)
Short Dow30SM (Ticker: DOG)
Short Dow30SM ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse daily performance of the Dow Jones Industrial AverageSM (DJIA). The DJIA is a price-weighted index maintained by editors of The Wall Street Journal. The DJIA includes 30 large-cap, "blue-chip"U.S. stocks, excluding utility and transportation companies.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -91 | % | |||||
Futures Contracts | -9 | % | |||||
-100 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average Index – Composition
% of Index | |||||||
Industrial | 25.4 | % | |||||
Consumer, Non-Cyclical | 22.1 | % | |||||
Technology | 13.2 | % | |||||
Financial | 11.9 | % | |||||
Consumer, Cyclical | 10.0 | % | |||||
Communications | 7.0 | % | |||||
Energy | 5.4 | % | |||||
Basic Materials | 5.0 | % |
Short S&P500® (Ticker: SH)
Short S&P500® ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse daily performance of the S&P 500® Index. The S&P 500 Index is a measure of large-cap U.S. stock market performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -91 | % | |||||
Futures Contracts | -9 | % | |||||
-100 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
S&P 500 Index – Composition
% of Index | |||||||
Consumer, Non-Cyclical | 20.9 | % | |||||
Financial | 18.4 | % | |||||
Energy | 11.9 | % | |||||
Industrial | 11.9 | % | |||||
Communications | 11.4 | % | |||||
Technology | 11.3 | % | |||||
Consumer, Cyclical | 7.3 | % | |||||
Utilities | 3.5 | % | |||||
Basic Materials | 3.3 | % | |||||
Diversified | 0.1 | % |
14
Short MidCap400 (Ticker: MYY)
Short MidCap400 ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse daily performance of the S&P MidCap 400 Index. The S&P MidCap 400 Index is a measure of mid-size company U.S. stock market performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -91 | % | |||||
Futures Contracts | -9 | % | |||||
-100 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
S&P MidCap400 Index – Composition
% of Index | |||||||
Consumer, Non-Cyclical | 19.5 | % | |||||
Industrial | 16.2 | % | |||||
Financial | 13.9 | % | |||||
Consumer, Cyclical | 12.6 | % | |||||
Energy | 9.9 | % | |||||
Technology | 8.7 | % | |||||
Basic Materials | 6.6 | % | |||||
Utilities | 6.5 | % | |||||
Communications | 6.1 | % |
Short SmallCap600 (Ticker: SBB)
Short SmallCap600 ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse daily performance of the S&P SmallCap 600 Index®. The S&P SmallCap 600 Index measures the performance of publicly traded securities in the small-capitalization sector of the United States equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -100 | % | |||||
Futures Contracts | — | ||||||
-100 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
S&P SmallCap 600 Index – Composition
% of Index | |||||||
Industrial | 21.6 | % | |||||
Consumer, Non-Cyclical | 18.3 | % | |||||
Financial | 15.5 | % | |||||
Consumer, Cyclical | 15.2 | % | |||||
Technology | 10.0 | % | |||||
Energy | 7.5 | % | |||||
Utilities | 4.7 | % | |||||
Communications | 4.2 | % | |||||
Basic Materials | 3.0 | % |
15
Allocation of Portfolio Holdings & Index Composition
November 30, 2007 (Unaudited) (continued)
Short Russell2000 (Ticker: RWM)
Short Russell2000 ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse daily performance of the Russell 2000® Index. The Russell 2000 Index is a measure of small-cap U.S. stock market performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -90 | % | |||||
Futures Contracts | -10 | % | |||||
-100 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Russell 2000 Index – Composition
% of Index | |||||||
Consumer, Non-Cyclical | 21.8 | % | |||||
Financial | 19.1 | % | |||||
Industrial | 14.9 | % | |||||
Consumer, Cyclical | 12.0 | % | |||||
Technology | 9.4 | % | |||||
Communications | 9.3 | % | |||||
Energy | 5.9 | % | |||||
Basic Materials | 4.4 | % | |||||
Utilities | 3.0 | % | |||||
Diversified | 0.2 | % |
UltraShort QQQ® (Ticker: QID)
UltraShort QQQ® ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the NASDAQ Index-100 Index®. The NASDAQ-100 Index represents the largest non-financial domestic and international issues listed on The NASDAQ Stock Market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -192 | % | |||||
Futures Contracts | -8 | % | |||||
-200 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Nasdaq-100 Index – Composition
% of Index | |||||||
Technology | 44.0 | % | |||||
Communications | 28.9 | % | |||||
Consumer, Non-Cyclical | 14.5 | % | |||||
Consumer, Cyclical | 8.2 | % | |||||
Industrial | 3.9 | % | |||||
Basic Materials | 0.3 | % | |||||
Energy | 0.2 | % |
16
UltraShort Dow30SM (Ticker: DXD)
UltraShort Dow30SM ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones Industrial AverageSM (DJIA). The DJIA is a price-weighted index maintained by editors of The Wall Street Journal. The DJIA includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -192 | % | |||||
Futures Contracts | -8 | % | |||||
-200 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average Index – Composition
% of Index | |||||||
Industrial | 25.4 | % | |||||
Consumer, Non-Cyclical | 22.1 | % | |||||
Technology | 13.2 | % | |||||
Financial | 11.9 | % | |||||
Consumer, Cyclical | 10.0 | % | |||||
Communications | 7.0 | % | |||||
Energy | 5.4 | % | |||||
Basic Materials | 5.0 | % |
UltraShort S&P500® (Ticker: SDS)
UltraShort S&P500® ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the S&P 500® Index. The S&P 500 Index is a measure of large-cap U.S. stock market performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -192 | % | |||||
Futures Contracts | -8 | % | |||||
-200 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
S&P 500 Index – Composition
% of Index | |||||||
Consumer, Non-Cyclical | 20.9 | % | |||||
Financial | 18.4 | % | |||||
Energy | 11.9 | % | |||||
Industrial | 11.9 | % | |||||
Communications | 11.4 | % | |||||
Technology | 11.3 | % | |||||
Consumer, Cyclical | 7.3 | % | |||||
Utilities | 3.5 | % | |||||
Basic Materials | 3.3 | % | |||||
Diversified | 0.1 | % |
17
Allocation of Portfolio Holdings & Index Composition
November 30, 2007 (Unaudited) (continued)
UltraShort MidCap400 (Ticker: MZZ)
UltraShort MidCap400 ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the S&P MidCap 400 Index. The S&P MidCap 400 Index is a measure of mid-size company U.S. stock market performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -192 | % | |||||
Futures Contracts | -8 | % | |||||
-200 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
S&P MidCap400 Index – Composition
% of Index | |||||||
Consumer, Non-Cyclical | 19.5 | % | |||||
Industrial | 16.2 | % | |||||
Financial | 13.9 | % | |||||
Consumer, Cyclical | 12.6 | % | |||||
Energy | 9.9 | % | |||||
Technology | 8.7 | % | |||||
Basic Materials | 6.6 | % | |||||
Utilities | 6.5 | % | |||||
Communications | 6.1 | % |
UltraShort SmallCap600 (Ticker: SDD)
UltraShort SmallCap600 ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the S&P SmallCap 600 Index®. The S&P SmallCap 600 Index measures the performance of publicly traded securities in the small-capitalization sector of the United States equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -201 | % | |||||
Futures Contracts | — | ||||||
-201 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
S&P SmallCap 600 Index – Composition
% of Index | |||||||
Industrial | 21.6 | % | |||||
Consumer, Non-Cyclical | 18.3 | % | |||||
Financial | 15.5 | % | |||||
Consumer, Cyclical | 15.2 | % | |||||
Technology | 10.0 | % | |||||
Energy | 7.5 | % | |||||
Utilities | 4.7 | % | |||||
Communications | 4.2 | % | |||||
Basic Materials | 3.0 | % |
18
UltraShort Russell2000 (Ticker: TWM)
UltraShort Russell2000 ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Russell 2000® Index. The Russell 2000 Index is a measure of small-cap U.S. stock market performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -190 | % | |||||
Futures Contracts | -10 | % | |||||
-200 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Russell 2000 Index – Composition
% of Index | |||||||
Consumer, Non-Cyclical | 21.8 | % | |||||
Financial | 19.1 | % | |||||
Industrial | 14.9 | % | |||||
Consumer, Cyclical | 12.0 | % | |||||
Technology | 9.4 | % | |||||
Communications | 9.3 | % | |||||
Energy | 5.9 | % | |||||
Basic Materials | 4.4 | % | |||||
Utilities | 3.0 | % | |||||
Diversified | 0.2 | % |
UltraShort Russell1000 Value (Ticker: SJF)
UltraShort Russell1000 Value ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Russell 1000® Value Index. The Russell 1000 Value Index is a subset of the Russell 1000 Index.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -201 | % | |||||
Futures Contracts | — | ||||||
-201 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Russell 1000 Value Index – Composition
% of Index | |||||||
Financial | 30.1 | % | |||||
Consumer, Non-Cyclical | 15.3 | % | |||||
Energy | 15.2 | % | |||||
Industrial | 11.4 | % | |||||
Communications | 10.5 | % | |||||
Utilities | 6.4 | % | |||||
Consumer, Cyclical | 4.8 | % | |||||
Basic Materials | 4.2 | % | |||||
Technology | 2.0 | % | |||||
Diversified | 0.1 | % |
19
Allocation of Portfolio Holdings & Index Composition
November 30, 2007 (Unaudited) (continued)
UltraShort Russell1000 Growth (Ticker: SKF)
UltraShort Russell1000 Growth ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Russell 1000® Growth Index. The Russell 1000 Growth Index is a subset of the Russell 1000 Index.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -201 | % | |||||
Futures Contracts | — | ||||||
-201 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Russell 1000 Growth Index – Composition
% of Index | |||||||
Consumer, Non-Cyclical | 25.4 | % | |||||
Technology | 19.4 | % | |||||
Industrial | 12.9 | % | |||||
Communications | 11.7 | % | |||||
Consumer, Cyclical | 10.7 | % | |||||
Energy | 8.4 | % | |||||
Financial | 7.2 | % | |||||
Basic Materials | 3.0 | % | |||||
Utilities | 1.3 | % |
UltraShort Russell MidCap Value (Ticker: SJL)
UltraShort Russell MidCap Value ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Russell MidCap® Value Index. The Russell MidCap Value Index measures the performance of the mid-capitalization value sector of the United States equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -201 | % | |||||
Futures Contracts | — | ||||||
-201 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Russell MidCap Value Index – Composition
% of Index | |||||||
Financial | 28.1 | % | |||||
Utilities | 13.5 | % | |||||
Industrial | 11.7 | % | |||||
Consumer, Non-Cyclical | 11.1 | % | |||||
Consumer, Cyclical | 8.1 | % | |||||
Energy | 7.8 | % | |||||
Communications | 7.1 | % | |||||
Basic Materials | 6.8 | % | |||||
Technology | 5.4 | % | |||||
Diversified | 0.4 | % |
20
UltraShort Russell MidCap Growth (Ticker: SDK)
UltraShort Russell MidCap Growth ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Russell MidCap® Growth Index. The Russell MidCap Growth Index measures the performance of the mid-capitalization growth sector of the United States equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -201 | % | |||||
Futures Contracts | — | ||||||
-201 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Russell MidCap Growth Index – Composition
% of Index | |||||||
Consumer, Non-Cyclical | 18.8 | % | |||||
Industrial | 16.6 | % | |||||
Technology | 15.2 | % | |||||
Consumer, Cyclical | 14.6 | % | |||||
Energy | 11.8 | % | |||||
Financial | 8.4 | % | |||||
Communications | 7.7 | % | |||||
Basic Materials | 3.8 | % | |||||
Utilities | 3.1 | % |
UltraShort Russell2000 Value (Ticker: SJH)
UltraShort Russell2000 Value ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Russell 2000® Value Index. The Russell 2000 Value Index is a subset of the Russell 2000 Index, and measures the performance of the small-capitalization value sector of the United States equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -201 | % | |||||
Futures Contracts | — | ||||||
-201 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Russell 2000 Value Index – Composition
% of Index | |||||||
Financial | 32.2 | % | |||||
Industrial | 13.9 | % | |||||
Consumer, Non-Cyclical | 12.9 | % | |||||
Consumer, Cyclical | 10.6 | % | |||||
Communications | 7.4 | % | |||||
Technology | 6.1 | % | |||||
Basic Materials | 5.9 | % | |||||
Utilities | 5.8 | % | |||||
Energy | 4.9 | % | |||||
Diversified | 0.3 | % |
21
Allocation of Portfolio Holdings & Index Composition
November 30, 2007 (Unaudited) (continued)
UltraShort Russell2000 Growth (Ticker: SKK)
UltraShort Russell2000 Growth ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Russell 2000® Growth Index. The Russell 2000 Growth Index is a subset of the Russell 2000 Index, and measures the performance of the small-capitalization growth sector of the United States equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -201 | % | |||||
Futures Contracts | — | ||||||
-201 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Russell 2000 Growth Index – Composition
% of Index | |||||||
Consumer, Non-Cyclical | 29.7 | % | |||||
Industrial | 15.8 | % | |||||
Consumer, Cyclical | 13.2 | % | |||||
Technology | 12.3 | % | |||||
Communications | 11.0 | % | |||||
Financial | 7.7 | % | |||||
Energy | 6.7 | % | |||||
Basic Materials | 3.0 | % | |||||
Utilities | 0.6 | % |
UltraShort Basic Materials (Ticker: SMN)
UltraShort Basic Materials ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Basic Materials Index. The Dow Jones U.S. Basic Materials Index measures the performance of the basic materials industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -201 | % | |||||
Futures Contracts | — | ||||||
-201 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Dow Jones U.S. Basic Materials Index – Composition
% of Index | |||||||
Chemicals | 55.9 | % | |||||
Industrial Metals | 26.6 | % | |||||
Mining | 11.0 | % | |||||
Forestry and Paper | 6.5 | % |
22
UltraShort Consumer Goods (Ticker: SZK)
UltraShort Consumer Goods ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Consumer Goods Index. The Dow Jones U.S. Consumer Goods Index measures the performance of consumer spending in the goods industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -202 | % | |||||
Futures Contracts | — | ||||||
-202 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Dow Jones U.S. Consumer Goods Index – Composition
% of Index | |||||||
Beverages | 23.4 | % | |||||
Household Goods | 22.9 | % | |||||
Food Producers | 16.5 | % | |||||
Tobacco | 13.8 | % | |||||
Personal Goods | 11.3 | % | |||||
Automobiles and Parts | 6.9 | % | |||||
Leisure Goods | 5.2 | % |
UltraShort Consumer Services (Ticker: SCC)
UltraShort Consumer Services ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Consumer Services Index. The Dow Jones U.S. Consumer Services Index measures the performance of consumer spending in the services industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -201 | % | |||||
Futures Contracts | — | ||||||
-201 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Dow Jones U.S. Consumer Services Index – Composition
% of Index | |||||||
General Retailers | 38.6 | % | |||||
Media | 29.3 | % | |||||
Travel and Leisure | 18.8 | % | |||||
Food and Drug Retailers | 13.3 | % |
23
Allocation of Portfolio Holdings & Index Composition
November 30, 2007 (Unaudited) (continued)
UltraShort Financials (Ticker: SKF)
UltraShort Financials ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Financials Index. The Dow Jones U.S. Financials Index measures the performance of the financial services industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -203 | % | |||||
Futures Contracts | — | ||||||
-203 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index – Composition
% of Index | |||||||
Banks | 39.1 | % | |||||
General Financial | 26.8 | % | |||||
Nonlife Insurance | 16.4 | % | |||||
Real Estate | 11.0 | % | |||||
Life Insurance | 6.7 | % |
UltraShort Health Care (Ticker: RXD)
UltraShort Health Care ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Health Care Index. The Dow Jones U.S. Health Care Index measures the performance of the healthcare industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -200 | % | |||||
Futures Contracts | — | ||||||
-200 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Dow Jones U.S. Health Care Index – Composition
% of Index | |||||||
Pharmaceuticals and Biotech | 63.2 | % | |||||
Health Care and Equipment Services | 36.8 | % |
24
UltraShort Industrials (Ticker: SIJ)
UltraShort Industrials ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Industrials Index. The Dow Jones U.S. Industrials Index measures the performance of the industrial industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -201 | % | |||||
Futures Contracts | — | ||||||
-201 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Dow Jones U.S. Industrials Index – Composition
% of Index | |||||||
General Industrials | 29.7 | % | |||||
Aerospace and Defense | 17.3 | % | |||||
Support Services | 12.4 | % | |||||
Industrial Engineering | 11.9 | % | |||||
Industrial Transportation | 11.0 | % | |||||
Electronic & Electrical Equipment | 11.0 | % | |||||
Construction and Materials | 6.7 | % |
UltraShort Oil & Gas (Ticker: DUG)
UltraShort Oil & Gas ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Oil & Gas Index. The Dow Jones U.S. Oil & Gas Index measures the performance of the oil and gas industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -202 | % | |||||
Futures Contracts | — | ||||||
-202 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Dow Jones U.S. Oil & Gas Index – Composition
% of Index | |||||||
Oil and Gas Producers | 75.2 | % | |||||
Oil Equipment, Services and Distribution | 24.8 | % |
25
Allocation of Portfolio Holdings & Index Composition
November 30, 2007 (Unaudited) (continued)
UltraShort Real Estate (Ticker: SRS)
UltraShort Real Estate ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Real Estate Index. The Dow Jones U.S. Real Estate Index measures the performance of the real estate sector of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -202 | % | |||||
Futures Contracts | — | ||||||
-202 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Dow Jones U.S. Real Estate Index – Composition
% of Index | |||||||
Real Estate | 100 | % |
UltraShort Semiconductors (Ticker: SSG)
UltraShort Semiconductors ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Semiconductors Index. The Dow Jones U.S. Semiconductors Index measures the performance of the semiconductor subsector of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -200 | % | |||||
Futures Contracts | — | ||||||
-200 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Dow Jones U.S. Semiconductors Index – Composition
% of Index | |||||||
Semiconductors | 100 | % |
26
UltraShort Technology (Ticker: REW)
UltraShort Technology ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Technology Index. The Dow Jones U.S. Technology Index measures the performance of the technology industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -201 | % | |||||
Futures Contracts | — | ||||||
-201 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Dow Jones U.S. Technology Index – Composition
% of Index | |||||||
Technology Hardware and Equipment | 58.7 | % | |||||
Software and Computer Services | 41.3 | % |
UltraShort Utilities (Ticker: SDP)
UltraShort Utilities ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the Dow Jones U.S. Utilities Index. The Dow Jones U.S. Utilities Index measures the performance of the utilities industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -201 | % | |||||
Futures Contracts | — | ||||||
-201 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
Dow Jones U.S. Utilities Index – Composition
% of Index | |||||||
Electricity | 74.2 | % | |||||
Gas, Water & Multi Utilities | 25.8 | % |
27
Allocation of Portfolio Holdings & Index Composition
November 30, 2007 (Unaudited) (continued)
Short MSCI EAFE (Ticker: EFZ)
Short MSCI EAFE ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse daily performance of the MSCI EAFE Index. The MSCI EAFE Index adjusts the market capitalization of index constituents for free float and targets for index inclusion 85% of free float-adjusted market capitalization in each industry group, in developed market countries, excluding the US and Canada.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -100 | % | |||||
Futures Contracts | — | ||||||
-100 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
MSCI Emerging Markets Index – Composition
Industry Breakdown | % of Index | ||||||
Financial | 27.11 | % | |||||
Consumer, Non-cyclical | 15.65 | % | |||||
Industrial | 11.96 | % | |||||
Consumer, Cyclical | 10.52 | % | |||||
Communications | 9.66 | % | |||||
Basic Materials | 8.99 | % | |||||
Energy | 7.53 | % | |||||
Utilities | 5.78 | % | |||||
Technology | 1.99 | % | |||||
Diversified | 0.81 | % | |||||
Country Breakdown | |||||||
UK | 22.43 | % | |||||
Japan | 20.24 | % | |||||
France | 10.64 | % | |||||
Germany | 9.02 | % | |||||
Switzerland | 6.79 | % | |||||
Australia | 6.57 | % | |||||
All Other ** | 24.31 | % |
** All other countries, none of which comprise more than 5.00% of the Index.
Short MSCI Emerging Markets (Ticker: EUM)
Short MSCI Emerging Markets ProShares seeks daily investment results, before fees and expenses, that correspond to the inverse daily performance of the MSCI Emerging Markets Index. The MSCI Emerging Markets Index adjusts the market capitalization of index constituents for free float and targets for index inclusion 85% of free float-adjusted market capitalization in each industry group, in global emerging markets countries.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -101 | % | |||||
Futures Contracts | — | ||||||
-101 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
MSCI Emerging Markets Index – Composition
Industry Breakdown | % of Index | ||||||
Financial | 21.73 | % | |||||
Energy | 17.06 | % | |||||
Communications | 13.34 | % | |||||
Basic Materials | 13.29 | % | |||||
Industrial | 11.56 | % | |||||
Technology | 6.91 | % | |||||
Consumer, Non-cyclical | 5.18 | % | |||||
Consumer, Cyclical | 5.18 | % | |||||
Utilities | 3.29 | % | |||||
Diversified | 2.46 | % | |||||
Country Breakdown | |||||||
CHINA | 16.62 | % | |||||
KOREA | 14.61 | % | |||||
BRAZIL | 12.98 | % | |||||
TAIWAN | 10.12 | % | |||||
RUSSIA | 9.75 | % | |||||
INDIA | 7.79 | % | |||||
SOUTH AFRICA | 6.99 | % | |||||
All Other ** | 21.14 | % |
** All other countries, none of which comprise more than 5.00% of the Index.
28
UltraShort MSCI EAFE (Ticker: EFU)
UltraShort MSCI EAFE ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the MSCI EAFE Index. The MSCI EAFE Index adjusts the market capitalization of index constituents for free float and targets for index inclusion 85% of free float-adjusted market capitalization in each industry group, in developed market countries, excluding the US and Canada.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -200 | % | |||||
Futures Contracts | — | ||||||
-200 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
MSCI EAFE Index – Composition
Industry Breakdown | % of Index | ||||||
Financial | 27.11 | % | |||||
Consumer, Non-cyclical | 15.65 | % | |||||
Industrial | 11.96 | % | |||||
Consumer, Cyclical | 10.52 | % | |||||
Communications | 9.66 | % | |||||
Basic Materials | 8.99 | % | |||||
Energy | 7.53 | % | |||||
Utilities | 5.78 | % | |||||
Technology | 1.99 | % | |||||
Diversified | 0.81 | % | |||||
Country Breakdown | |||||||
UK | 22.43 | % | |||||
Japan | 20.24 | % | |||||
France | 10.64 | % | |||||
Germany | 9.02 | % | |||||
Switzerland | 6.79 | % | |||||
Australia | 6.57 | % | |||||
All Other ** | 24.31 | % |
** All other countries, none of which comprise more than 5.00% of the Index.
UltraShort MSCI Emerging Markets (Ticker: EEV)
UltraShort MSCI Emerging Markets ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the MSCI Emerging Markets Index. The MSCI Emerging Markets Index adjusts the market capitalization of index constituents for free float and targets for index inclusion 85% of free float-adjusted market capitalization in each industry group, in global emerging markets countries.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -202 | % | |||||
Futures Contracts | — | ||||||
-202 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
MSCI Emerging Markets Index – Composition
Industry Breakdown | % of Index | ||||||
Financial | 21.73 | % | |||||
Energy | 17.06 | % | |||||
Communications | 13.34 | % | |||||
Basic Materials | 13.29 | % | |||||
Industrial | 11.56 | % | |||||
Technology | 6.91 | % | |||||
Consumer, Non-cyclical | 5.18 | % | |||||
Consumer, Cyclical | 5.18 | % | |||||
Utilities | 3.29 | % | |||||
Diversified | 2.46 | % | |||||
Country Breakdown | |||||||
CHINA | 16.62 | % | |||||
KOREA | 14.61 | % | |||||
BRAZIL | 12.98 | % | |||||
TAIWAN | 10.12 | % | |||||
RUSSIA | 9.75 | % | |||||
INDIA | 7.79 | % | |||||
SOUTH AFRICA | 6.99 | % | |||||
All Other ** | 21.14 | % |
** All other countries, none of which comprise more than 5.00% of the Index.
29
Allocation of Portfolio Holdings & Index Composition
November 30, 2007 (Unaudited) (continued)
UltraShort FTSE/Xinhua China 25 (Ticker: FXP)
UltraShort FTSE/Xinhua China 25 ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the FTSE/Xinhua Chaina 25 Index. The FTSE/Xinhua China 25 Index is comprised of 25 of the largest and most liquid Chinese stacks listed on the Hong Kong Stock Exchange (HKEX). This free float adjusted index caps the weight of any of constituent stock at 10 percent to ensure broad representation of the Chinese economy.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -204 | % | |||||
Futures Contracts | — | ||||||
-204 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
FTSE/Xinhua China 25 Index – Composition
Industry Breakdown | % of Index | ||||||
Financial | 40.84 | % | |||||
Energy | 24.19 | % | |||||
Communications | 18.86 | % | |||||
Industrial | 6.78 | % | |||||
Diversified | 4.89 | % | |||||
Basic Materials | 2.34 | % | |||||
Utilities | 2.10 | % |
UltraShort MSCI Japan (Ticker: EWV)
UltraShort MSCI Japan ProShares seeks daily investment results, before fees and expenses, that correspond to twice the inverse daily performance of the MSCI Japan Index. The MSCI Japan Index adjusts the market capitalization of index constituents for free float and targets for index inclusion 85% of free float-adjusted market capitalization in each industry group, in Japan.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -199 | % | |||||
Futures Contracts | — | ||||||
-199 | % |
"Market Exposure" excludes any short-term investments and cash equivalents.
MSCI Japan Index – Composition
Industry Breakdown | % of Index | ||||||
Consumer, Cyclical | 26.29 | % | |||||
Industrial | 21.68 | % | |||||
Financial | 19.05 | % | |||||
Consumer, Non-cyclical | 9.80 | % | |||||
Basic Materials | 8.46 | % | |||||
Technology | 4.80 | % | |||||
Utilities | 4.43 | % | |||||
Communications | 4.21 | % | |||||
Energy | 1.28 | % |
30
ProShares Trust
Expense Examples (Unaudited)
As a shareholder, you incur two types of costs: (1) transactions costs for purchasing and selling shares and (2) ongoing costs, including advisory fees and other Fund expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in exchange-traded funds.
Actual Expenses
The actual expense examples are based on an investment of $1,000 invested at the beginning of the six-month (or less if the Fund has been in operations for less than six months) period and held through the period ended, November 30, 2007.
The first line in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading "Expenses Paid During the Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense examples are based on an investment of $1,000 invested at the beginning of the six month period and held through the period ended, November 30, 2007. For Funds that have been in operation for less than six months, the "Hypothetical Expenses Paid During the Period" reflect projected activity for the full six month period for the purposes of comparability. This projection assumes that the annualized expense ratio for each Fund was in effect during the period from June 1, 2007 to November 30, 2007.
The second line in the following tables provides information about hypothetical account values and hypothetical expenses based on the Funds' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as creation or redemption fees, or brokerage charges. Therefore, the second line for each Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value 11/30/07 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | ||||||||||||||||
Ultra QQQ® | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,115.70 | $ | 5.02 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Dow30SM | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 939.80 | $ | 4.61 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra S&P500® | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 906.80 | $ | 4.53 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % |
31
ProShares Trust
Expense Examples (Unaudited)
Beginning Account Value | Ending Account Value 11/30/07 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | ||||||||||||||||
Ultra MidCap400 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 849.80 | $ | 4.39 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra SmallCap600 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 785.40 | $ | 4.24 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Russell2000 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 785.90 | $ | 4.24 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Russell1000 Value | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 816.60 | $ | 4.31 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Russell1000 Growth | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 996.80 | $ | 4.74 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Russell MidCap Value | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 754.80 | $ | 4.17 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Russell MidCap Growth | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 920.20 | $ | 4.56 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Russell2000 Value | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 692.60 | $ | 4.02 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Russell2000 Growth | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 888.00 | $ | 4.48 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Basic Materials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,062.90 | $ | 4.90 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Consumer Goods | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,028.70 | $ | 4.82 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Consumer Services | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 787.10 | $ | 4.24 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % |
32
ProShares Trust
Expense Examples (Unaudited)
Beginning Account Value | Ending Account Value 11/30/07 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | ||||||||||||||||
Ultra Financials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 655.10 | $ | 3.93 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Health Care | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 989.20 | $ | 4.72 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Industrials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 952.30 | $ | 4.64 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Oil & Gas | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,092.70 | $ | 4.97 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Real Estate | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 645.30 | $ | 3.91 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Semiconductors | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 938.40 | $ | 4.60 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Technology | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,051.00 | $ | 4.87 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Utilities | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 991.40 | $ | 4.73 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Short QQQ® | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 941.00 | $ | 4.61 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Short Dow30SM | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,037.30 | $ | 4.84 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Short S&P500® | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,051.50 | $ | 4.87 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Short MidCap400 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,087.60 | $ | 4.96 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % |
33
ProShares Trust
Expense Examples (Unaudited)
Beginning Account Value | Ending Account Value 11/30/07 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | ||||||||||||||||
Short SmallCap600 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,122.10 | $ | 5.04 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Short Russell2000 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,113.10 | $ | 5.02 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short QQQ® | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 848.10 | $ | 4.39 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short Dow30SM | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.50 | $ | 4.84 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short S&P500® | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,064.70 | $ | 4.70 | 0.91 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.45 | $ | 4.60 | 0.91 | % | |||||||||||
Ultra Short MidCap400 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,137.90 | $ | 5.08 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short SmallCap600 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,204.30 | $ | 5.24 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short Russell2000 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,180.50 | $ | 5.18 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short Russell1000 Value | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,181.10 | $ | 5.18 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short Russell1000 Growth | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 978.40 | $ | 4.70 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short Russell MidCap Value | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,278.00 | $ | 5.41 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short Russell MidCap Growth | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,047.10 | $ | 4.86 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % |
34
ProShares Trust
Expense Examples (Unaudited)
Beginning Account Value | Ending Account Value 11/30/07 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | ||||||||||||||||
Ultra Short Russell2000 Value | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,336.60 | $ | 5.55 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short Russell2000 Growth | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,061.20 | $ | 4.90 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short Basic Materials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 849.90 | $ | 4.39 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short Consumer Goods | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 970.50 | $ | 4.68 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short Consumer Services | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,235.80 | $ | 5.31 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short Financials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,367.90 | $ | 5.62 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short Health Care | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,014.30 | $ | 4.78 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short Industrials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.00 | $ | 4.79 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short Oil & Gas | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 833.80 | $ | 4.36 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short Real Estate | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,358.80 | $ | 5.60 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short Semiconductors | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 989.10 | $ | 4.72 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short Technology | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 904.30 | $ | 4.52 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % |
35
ProShares Trust
Expense Examples (Unaudited)
Beginning Account Value | Ending Account Value 11/30/07 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | ||||||||||||||||
Ultra Short Utilities | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 963.20 | $ | 4.66 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Short MSCI EAFE** | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,006.00 | $ | 0.99 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Short MSCI Emerging Markets*** | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,035.40 | $ | 0.82 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short MSCI EAFE** | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,001.00 | $ | 0.99 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short MSCI Emerging Markets*** | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,045.10 | $ | 0.82 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short FTSE/Xinhua China 25**** | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 993.60 | $ | 0.62 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||
Ultra Short MSCI Japan**** | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 992.10 | $ | 0.62 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % |
* Expenses are equal to the average account value over the period multiplied by the Fund's annualized expense ratio, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one half year period).
** The Fund commenced operations on October 23, 2007. Expenses are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 38 divided by 366 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 183 divided by 366 (to reflect the one half year period).
*** The Fund commenced operations on October 30, 2007. Expenses are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 31 divided by 366 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 183 divided by 366 (to reflect the one half year period).
**** The Fund commenced operations on November 6, 2007. Expenses are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 24 divided by 366 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 183 divided by 366 (to reflect the one half year period).
36
ProShares Trust
Premium/Discount
November 30, 2007 (Unaudited)
The tables that follow present information about the differences between the daily market price on secondary markets for shares of a Fund and that Fund's net asset value. Net asset value, or "NAV", is the price per share at which each Fund issues and redeems shares. It is calculated in accordance with the standard formula for valuing mutual fund shares. The "Market Price" of each Fund generally is determined using the midpoint between the highest bid and the lowest offer on the stock exchange on which the shares of such Fund is listed for trading, as of the time that the Fund's NAV is calculated. Each Fund's Market Price may be at, above or below its NAV. The NAV of each Fund will fluctuate with changes in the market value of its portfolio holdings. The Market Price of each Fund will fluctuate in accordance with changes in its NAV, as well as market supply and demand.
Premiums or discounts are the differences (expressed as a percentage) between the NAV and Market Price of a Fund on a given day, generally at the time NAV is calculated. A premium is the amount that a Fund is trading above the reported NAV, expressed as a percentage of the NAV. A discount is the amount that a Fund is trading below the reported NAV, expressed as a percentage of the NAV.
The following information shows the frequency distributions of premiums and discounts for each of the Funds. The information shown for each Fund is for the full calendar quarter completed after the inception date of such Fund through the date of the most recent calendar quarter-end. Information for the SHORT MSCI EAFE, SHORT MSCI Emerging Markets, ULTRASHORT MSCI EAFE, ULTRASHORT MSCI Emerging Markets, ULTRASHORT FTSE/XINHUA China 25, and ULTRASHORT MSCI Japan Funds are not presented as these Funds commenced operations during the most recent calendar quarter-end. The specific periods covered for each Fund is disclosed in the table for such Fund.
Each line in the table shows the number of trading days in which the Fund traded within the premium/discount range indicated. The number of trading days in each premium/discount range is also shown as a percentage of the total number of trading days in the period covered by each table. All data presented here represents past performance, which cannot be used to predict future results.
37
ProShares Trust
Premium/Discount
November 30, 2007 (Unaudited) (continued)
ULTRA QQQ®
Period Covered: July 1, 2006 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 2 | 0.64 | % | ||||||||
100.0 — 149.9 | 1 | 0.32 | |||||||||
50.0 — 99.9 | 3 | 0.96 | |||||||||
25.0 — 49.9 | 13 | 4.15 | |||||||||
-24.9 — 24.9 | 280 | 89.45 | |||||||||
-49.9 — -25.0 | 9 | 2.88 | |||||||||
-99.9 — -50.0 | 1 | 0.32 | |||||||||
-149.9 — -100.0 | 1 | 0.32 | |||||||||
<-150.0 | 3 | 0.96 | |||||||||
313 | 100.00 | % |
ULTRA Dow30SM
Period Covered: July 1, 2006 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.32 | % | ||||||||
100.0 — 149.9 | 1 | 0.32 | |||||||||
50.0 — 99.9 | 7 | 2.24 | |||||||||
25.0 — 49.9 | 9 | 2.88 | |||||||||
-24.9 — 24.9 | 287 | 91.68 | |||||||||
-49.9 — -25.0 | 6 | 1.92 | |||||||||
-99.9 — -50.0 | 1 | 0.32 | |||||||||
-149.9 — -100.0 | 1 | 0.32 | |||||||||
<-150.0 | — | — | |||||||||
313 | 100.00 | % |
ULTRA S&P500®
Period Covered: July 1, 2006 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 2 | 0.64 | % | ||||||||
100.0 — 149.9 | 1 | 0.32 | |||||||||
50.0 — 99.9 | 3 | 0.96 | |||||||||
25.0 — 49.9 | 7 | 2.24 | |||||||||
-24.9 — 24.9 | 294 | 93.92 | |||||||||
-49.9 — -25.0 | 4 | 1.28 | |||||||||
-99.9 — -50.0 | — | — | |||||||||
-149.9 — -100.0 | 1 | 0.32 | |||||||||
<-150.0 | 1 | 0.32 | |||||||||
313 | 100.00 | % |
38
ULTRA MidCap400
Period Covered: July 1, 2006 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.32 | % | ||||||||
100.0 — 149.9 | 1 | 0.32 | |||||||||
50.0 — 99.9 | 5 | 1.60 | |||||||||
25.0 — 49.9 | 17 | 5.43 | |||||||||
-24.9 — 24.9 | 267 | 85.30 | |||||||||
-49.9 — -25.0 | 18 | 5.75 | |||||||||
-99.9 — -50.0 | 2 | 0.64 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | 2 | 0.64 | |||||||||
313 | 100.00 | % |
ULTRA SmallCap600
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.79 | % | ||||||||
100.0 — 149.9 | 2 | 1.59 | |||||||||
50.0 — 99.9 | 1 | 0.79 | |||||||||
25.0 — 49.9 | 5 | 3.97 | |||||||||
-24.9 — 24.9 | 96 | 76.20 | |||||||||
-49.9 — -25.0 | 17 | 13.49 | |||||||||
-99.9 — -50.0 | 4 | 3.17 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | — | — | |||||||||
126 | 100.00 | % |
ULTRA Russell2000
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.79 | % | ||||||||
100.0 — 149.9 | 1 | 0.79 | |||||||||
50.0 — 99.9 | 2 | 1.59 | |||||||||
25.0 — 49.9 | 4 | 3.17 | |||||||||
-24.9 — 24.9 | 95 | 75.40 | |||||||||
-49.9 — -25.0 | 21 | 16.67 | |||||||||
-99.9 — -50.0 | 2 | 1.59 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | — | — | |||||||||
126 | 100.00 | % |
39
ProShares Trust
Premium/Discount
November 30, 2007 (Unaudited) (continued)
ULTRA Russell1000 Value
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 2 | 1.59 | % | ||||||||
100.0 — 149.9 | 1 | 0.79 | |||||||||
50.0 — 99.9 | 1 | 0.79 | |||||||||
25.0 — 49.9 | 3 | 2.38 | |||||||||
-24.9 — 24.9 | 118 | 93.66 | |||||||||
-49.9 — -25.0 | 1 | 0.79 | |||||||||
-99.9 — -50.0 | — | — | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | — | — | |||||||||
126 | 100.00 | % |
ULTRA Russell1000 Growth
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 4 | 3.17 | % | ||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 1 | 0.79 | |||||||||
25.0 — 49.9 | 6 | 4.76 | |||||||||
-24.9 — 24.9 | 100 | 79.37 | |||||||||
-49.9 — -25.0 | 12 | 9.53 | |||||||||
-99.9 — -50.0 | 1 | 0.79 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | 2 | 1.59 | |||||||||
126 | 100.00 | % |
ULTRA Russell MidCap Value
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 2 | 1.59 | % | ||||||||
25.0 — 49.9 | 9 | 7.14 | |||||||||
-24.9 — 24.9 | 107 | 84.92 | |||||||||
-49.9 — -25.0 | 2 | 1.59 | |||||||||
-99.9 — -50.0 | 3 | 2.38 | |||||||||
-149.9 — -100.0 | 1 | 0.79 | |||||||||
<-150.0 | 2 | 1.59 | |||||||||
126 | 100.00 | % |
40
ULTRA Russell MidCap Growth
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 3 | 2.38 | % | ||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | — | — | |||||||||
-24.9 — 24.9 | 118 | 93.66 | |||||||||
-49.9 — -25.0 | 1 | 0.79 | |||||||||
-99.9 — -50.0 | 1 | 0.79 | |||||||||
-149.9 — -100.0 | 1 | 0.79 | |||||||||
<-150.0 | 2 | 1.59 | |||||||||
126 | 100.00 | % |
ULTRA Russell2000 Value
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 4 | 3.17 | % | ||||||||
100.0 — 149.9 | 1 | 0.79 | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | 2 | 1.59 | |||||||||
-24.9 — 24.9 | 110 | 87.31 | |||||||||
-49.9 — -25.0 | 9 | 7.14 | |||||||||
-99.9 — -50.0 | — | — | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | — | — | |||||||||
126 | 100.00 | % |
ULTRA Russell2000 Growth
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 3 | 2.38 | % | ||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | — | — | |||||||||
-24.9 — 24.9 | 119 | 94.45 | |||||||||
-49.9 — -25.0 | 3 | 2.38 | |||||||||
-99.9 — -50.0 | 1 | 0.79 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | — | — | |||||||||
126 | 100.00 | % |
41
ProShares Trust
Premium/Discount
November 30, 2007 (Unaudited) (continued)
ULTRA Basic Materials
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 3 | 2.38 | % | ||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 1 | 0.79 | |||||||||
25.0 — 49.9 | 2 | 1.59 | |||||||||
-24.9 — 24.9 | 113 | 89.68 | |||||||||
-49.9 — -25.0 | 7 | 5.56 | |||||||||
-99.9 — -50.0 | — | — | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | — | — | |||||||||
126 | 100.00 | % |
ULTRA Consumer Goods
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.79 | % | ||||||||
100.0 — 149.9 | 1 | 0.79 | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | 1 | 0.79 | |||||||||
-24.9 — 24.9 | 119 | 94.46 | |||||||||
-49.9 — -25.0 | 4 | 3.17 | |||||||||
-99.9 — -50.0 | — | — | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | — | — | |||||||||
126 | 100.00 | % |
ULTRA Consumer Services
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.79 | % | ||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 2 | 1.59 | |||||||||
25.0 — 49.9 | 1 | 0.79 | |||||||||
-24.9 — 24.9 | 120 | 95.24 | |||||||||
-49.9 — -25.0 | 2 | 1.59 | |||||||||
-99.9 — -50.0 | — | — | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | — | — | |||||||||
126 | 100.00 | % |
42
ULTRA Financials
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.79 | % | ||||||||
100.0 — 149.9 | 1 | 0.79 | |||||||||
50.0 — 99.9 | 2 | 1.59 | |||||||||
25.0 — 49.9 | 3 | 2.38 | |||||||||
-24.9 — 24.9 | 110 | 87.31 | |||||||||
-49.9 — -25.0 | 6 | 4.76 | |||||||||
-99.9 — -50.0 | 3 | 2.38 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | — | — | |||||||||
126 | 100.00 | % |
ULTRA Health Care
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.79 | % | ||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 1 | 0.79 | |||||||||
25.0 — 49.9 | 5 | 3.97 | |||||||||
-24.9 — 24.9 | 116 | 92.07 | |||||||||
-49.9 — -25.0 | 3 | 2.38 | |||||||||
-99.9 — -50.0 | — | — | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | — | — | |||||||||
126 | 100.00 | % |
ULTRA Industrials
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.79 | % | ||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 1 | 0.79 | |||||||||
25.0 — 49.9 | 2 | 1.59 | |||||||||
-24.9 — 24.9 | 122 | 96.83 | |||||||||
-49.9 — -25.0 | — | — | |||||||||
-99.9 — -50.0 | — | — | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | — | — | |||||||||
126 | 100.00 | % |
43
ProShares Trust
Premium/Discount
November 30, 2007 (Unaudited) (continued)
ULTRA Oil & Gas
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 2 | 1.59 | % | ||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 1 | 0.79 | |||||||||
25.0 — 49.9 | 8 | 6.35 | |||||||||
-24.9 — 24.9 | 112 | 88.89 | |||||||||
-49.9 — -25.0 | 2 | 1.59 | |||||||||
-99.9 — -50.0 | 1 | 0.79 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | — | — | |||||||||
126 | 100.00 | % |
ULTRA Real Estate
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 2 | 1.59 | % | ||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | 8 | 6.35 | |||||||||
-24.9 — 24.9 | 94 | 74.60 | |||||||||
-49.9 — -25.0 | 18 | 14.29 | |||||||||
-99.9 — -50.0 | 4 | 3.17 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | — | — | |||||||||
126 | 100.00 | % |
ULTRA Semiconductor
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 3 | 2.38 | % | ||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | 3 | 2.38 | |||||||||
-24.9 — 24.9 | 119 | 94.45 | |||||||||
-49.9 — -25.0 | 1 | 0.79 | |||||||||
-99.9 — -50.0 | — | — | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | — | — | |||||||||
126 | 100.00 | % |
44
ULTRA Technology
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 2 | 1.59 | % | ||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | 1 | 0.79 | |||||||||
-24.9 — 24.9 | 119 | 94.45 | |||||||||
-49.9 — -25.0 | 4 | 3.17 | |||||||||
-99.9 — -50.0 | — | — | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | — | — | |||||||||
126 | 100.00 | % |
ULTRA Utilities
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 2 | 1.59 | % | ||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | 3 | 2.38 | |||||||||
-24.9 — 24.9 | 117 | 92.86 | |||||||||
-49.9 — -25.0 | 3 | 2.38 | |||||||||
-99.9 — -50.0 | 1 | 0.79 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | — | — | |||||||||
126 | 100.00 | % |
SHORT QQQ®
Period Covered: July 1, 2006 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.32 | % | ||||||||
100.0 — 149.9 | 1 | 0.32 | |||||||||
50.0 — 99.9 | 4 | 1.28 | |||||||||
25.0 — 49.9 | 12 | 3.83 | |||||||||
-24.9 — 24.9 | 285 | 91.05 | |||||||||
-49.9 — -25.0 | 4 | 1.28 | |||||||||
-99.9 — -50.0 | 3 | 0.96 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | 3 | 0.96 | |||||||||
313 | 100.00 | % |
45
ProShares Trust
Premium/Discount
November 30, 2007 (Unaudited) (continued)
SHORT Dow30SM
Period Covered: July 1, 2006 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 2 | 0.64 | % | ||||||||
25.0 — 49.9 | 1 | 0.32 | |||||||||
-24.9 — 24.9 | 302 | 96.48 | |||||||||
-49.9 — -25.0 | 5 | 1.60 | |||||||||
-99.9 — -50.0 | 2 | 0.64 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | 1 | 0.32 | |||||||||
313 | 100.00 | % |
SHORT S&P500®
Period Covered: July 1, 2006 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 1 | 0.32 | % | ||||||||
25.0 — 49.9 | 2 | 0.64 | |||||||||
-24.9 — 24.9 | 307 | 98.08 | |||||||||
-49.9 — -25.0 | 1 | 0.32 | |||||||||
-99.9 — -50.0 | 1 | 0.32 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | 1 | 0.32 | |||||||||
313 | 100.00 | % |
SHORT MidCap400
Period Covered: July 1, 2006 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 2 | 0.64 | % | ||||||||
100.0 — 149.9 | 4 | 1.28 | |||||||||
50.0 — 99.9 | 2 | 0.64 | |||||||||
25.0 — 49.9 | 8 | 2.56 | |||||||||
-24.9 — 24.9 | 284 | 90.73 | |||||||||
-49.9 — -25.0 | 11 | 3.51 | |||||||||
-99.9 — -50.0 | 1 | 0.32 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | 1 | 0.32 | |||||||||
313 | 100.00 | % |
46
SHORT SmallCap600
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | 8 | 6.35 | % | ||||||||
-24.9 — 24.9 | 114 | 90.48 | |||||||||
-49.9 — -25.0 | 1 | 0.79 | |||||||||
-99.9 — -50.0 | 2 | 1.59 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | 1 | 0.79 | |||||||||
126 | 100.00 | % |
SHORT Russell2000
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | 4 | 3.17 | % | ||||||||
-24.9 — 24.9 | 118 | 93.66 | |||||||||
-49.9 — -25.0 | 2 | 1.59 | |||||||||
-99.9 — -50.0 | 1 | 0.79 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | 1 | 0.79 | |||||||||
126 | 100.00 | % |
ULTRASHORT QQQ®
Period Covered: October 1, 2006 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.40 | % | ||||||||
100.0 — 149.9 | 1 | 0.40 | |||||||||
50.0 — 99.9 | 3 | 1.20 | |||||||||
25.0 — 49.9 | 11 | 4.40 | |||||||||
-24.9 — 24.9 | 217 | 86.80 | |||||||||
-49.9 — -25.0 | 11 | 4.40 | |||||||||
-99.9 — -50.0 | 2 | 0.80 | |||||||||
-149.9 — -100.0 | 1 | 0.40 | |||||||||
<-150.0 | 3 | 1.20 | |||||||||
250 | 100.00 | % |
47
ProShares Trust
Premium/Discount
November 30, 2007 (Unaudited) (continued)
ULTRASHORT Dow30SM
Period Covered: October 1, 2006 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.40 | % | ||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 3 | 1.20 | |||||||||
25.0 — 49.9 | 21 | 8.40 | |||||||||
-24.9 — 24.9 | 213 | 85.20 | |||||||||
-49.9 — -25.0 | 4 | 1.60 | |||||||||
-99.9 — -50.0 | 5 | 2.00 | |||||||||
-149.9 — -100.0 | 1 | 0.40 | |||||||||
<-150.0 | 2 | 0.80 | |||||||||
250 | 100.00 | % |
ULTRASHORT S&P500®
Period Covered: October 1, 2006 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.40 | % | ||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 2 | 0.80 | |||||||||
25.0 — 49.9 | 17 | 6.80 | |||||||||
-24.9 — 24.9 | 224 | 89.60 | |||||||||
-49.9 — -25.0 | 2 | 0.80 | |||||||||
-99.9 — -50.0 | 2 | 0.80 | |||||||||
-149.9 — -100.0 | 1 | 0.40 | |||||||||
<-150.0 | 1 | 0.40 | |||||||||
250 | 100.00 | % |
ULTRASHORT MidCap400
Period Covered: October 1, 2006 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 5 | 2.00 | % | ||||||||
25.0 — 49.9 | 24 | 9.60 | |||||||||
-24.9 — 24.9 | 199 | 79.60 | |||||||||
-49.9 — -25.0 | 15 | 6.00 | |||||||||
-99.9 — -50.0 | 6 | 2.40 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | 1 | 0.40 | |||||||||
250 | 100.00 | % |
48
ULTRASHORT SmallCap600
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 5 | 3.97 | % | ||||||||
25.0 — 49.9 | 18 | 14.29 | |||||||||
-24.9 — 24.9 | 95 | 75.40 | |||||||||
-49.9 — -25.0 | 4 | 3.17 | |||||||||
-99.9 — 50.0 | 1 | 0.79 | |||||||||
-149.9 — -100.0 | 2 | 1.59 | |||||||||
<-150.0 | 1 | 0.79 | |||||||||
126 | 100.00 | % |
ULTRASHORT Russell2000
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 3 | 2.38 | % | ||||||||
25.0 — 49.9 | 17 | 13.49 | |||||||||
-24.9 — 24.9 | 98 | 77.78 | |||||||||
-49.9 — -25.0 | 4 | 3.18 | |||||||||
-99.9 — -50.0 | 2 | 1.59 | |||||||||
-149.9 — -100.0 | 1 | 0.79 | |||||||||
<-150.0 | 1 | 0.79 | |||||||||
126 | 100.00 | % |
ULTRASHORT Russell1000 Value
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.79 | % | ||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | 1 | 0.79 | |||||||||
-24.9 — 24.9 | 114 | 90.49 | |||||||||
-49.9 — -25.0 | 6 | 4.76 | |||||||||
-99.9 — -50.0 | 3 | 2.38 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | 1 | 0.79 | |||||||||
126 | 100.00 | % |
49
ProShares Trust
Premium/Discount
November 30, 2007 (Unaudited) (continued)
ULTRASHORT Russell1000 Growth
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.79 | % | ||||||||
100.0 — 149.9 | 2 | 1.59 | |||||||||
50.0 — 99.9 | 3 | 2.38 | |||||||||
25.0 — 49.9 | 11 | 8.73 | |||||||||
-24.9 — 24.9 | 100 | 79.37 | |||||||||
-49.9 — -25.0 | 6 | 4.76 | |||||||||
-99.9 — -50.0 | 2 | 1.59 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | 1 | 0.79 | |||||||||
126 | 100.00 | % |
ULTRASHORT Russell MidCap Value
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 2 | 1.59 | % | ||||||||
25.0 — 49.9 | 9 | 7.14 | |||||||||
-24.9 — 24.9 | 107 | 84.92 | |||||||||
-49.9 — -25.0 | 2 | 1.59 | |||||||||
-99.9 — -50.0 | 3 | 2.38 | |||||||||
-149.9 — -100.0 | 1 | 0.79 | |||||||||
<-150.0 | 2 | 1.59 | |||||||||
126 | 100.00 | % |
ULTRASHORT Russell MidCap Growth
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 2 | 1.59 | % | ||||||||
100.0 — 149.9 | 1 | 0.79 | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | 1 | 0.79 | |||||||||
-24.9 — 24.9 | 119 | 94.46 | |||||||||
-49.9 — -25.0 | 1 | 0.79 | |||||||||
-99.9 — -50.0 | — | — | |||||||||
-149.9 — -100.0 | 1 | 0.79 | |||||||||
<-150.0 | 1 | 0.79 | |||||||||
126 | 100.00 | % |
50
ULTRASHORT Russell2000 Value
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.79 | % | ||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 1 | 0.79 | |||||||||
25.0 — 49.9 | 8 | 6.36 | |||||||||
-24.9 — 24.9 | 113 | 89.69 | |||||||||
-49.9 — -25.0 | 1 | 0.79 | |||||||||
-99.9 — -50.0 | — | — | |||||||||
-149.9 — -100.0 | 1 | 0.79 | |||||||||
<-150.0 | 1 | 0.79 | |||||||||
126 | 100.00 | % |
ULTRASHORT Russell2000 Growth
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | 1 | 0.79 | % | ||||||||
50.0 — 99.9 | 3 | 2.38 | |||||||||
25.0 — 49.9 | 4 | 3.17 | |||||||||
-24.9 — 24.9 | 117 | 92.87 | |||||||||
-49.9 — -25.0 | — | — | |||||||||
-99.9 — -50.0 | — | — | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | 1 | 0.79 | |||||||||
126 | 100.00 | % |
ULTRASHORT Basic Materials
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 1 | 0.79 | % | ||||||||
25.0 — 49.9 | 7 | 5.56 | |||||||||
-24.9 — 24.9 | 113 | 89.68 | |||||||||
-49.9 — -25.0 | 2 | 1.59 | |||||||||
-99.9 — -50.0 | 1 | 0.79 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | 2 | 1.59 | |||||||||
126 | 100.00 | % |
51
ProShares Trust
Premium/Discount
November 30, 2007 (Unaudited) (continued)
ULTRASHORT Consumer Goods
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | 3 | 2.38 | % | ||||||||
-24.9 — 24.9 | 111 | 88.10 | |||||||||
-49.9 — -25.0 | 10 | 7.94 | |||||||||
-99.9 — -50.0 | — | — | |||||||||
-149.9 — -100.0 | 1 | 0.79 | |||||||||
<-150.0 | 1 | 0.79 | |||||||||
126 | 100.00 | % |
ULTRASHORT Consumer Services
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | 2 | 1.59 | % | ||||||||
-24.9 — 24.9 | 119 | 94.45 | |||||||||
-49.9 — -25.0 | 3 | 2.38 | |||||||||
-99.9 — -50.0 | 1 | 0.79 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | 1 | 0.79 | |||||||||
126 | 100.00 | % |
ULTRASHORT Financials
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 1 | 0.79 | % | ||||||||
25.0 — 49.9 | 5 | 3.97 | |||||||||
-24.9 — 24.9 | 108 | 85.72 | |||||||||
-49.9 — -25.0 | 5 | 3.97 | |||||||||
-99.9 — -50.0 | 4 | 3.17 | |||||||||
-149.9 — -100.0 | 2 | 1.59 | |||||||||
<-150.0 | 1 | 0.79 | |||||||||
126 | 100.00 | % |
52
ULTRASHORT Health Care
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | 2 | 1.59 | % | ||||||||
-24.9 — 24.9 | 110 | 87.31 | |||||||||
-49.9 — -25.0 | 11 | 8.73 | |||||||||
-99.9 — -50.0 | 1 | 0.79 | |||||||||
-149.9 — -100.0 | 1 | 0.79 | |||||||||
<-150.0 | 1 | 0.79 | |||||||||
126 | 100.00 | % |
ULTRASHORT Industrials
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | 2 | 1.59 | % | ||||||||
-24.9 — 24.9 | 118 | 93.66 | |||||||||
-49.9 — -25.0 | 4 | 3.17 | |||||||||
-99.9 — -50.0 | 1 | 0.79 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | 1 | 0.79 | |||||||||
126 | 100.00 | % |
ULTRASHORT Oil & Gas
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 2 | 1.59 | % | ||||||||
25.0 — 49.9 | 17 | 13.50 | |||||||||
-24.9 — 24.9 | 98 | 77.78 | |||||||||
-49.9 — -25.0 | 6 | 4.76 | |||||||||
-99.9 — -50.0 | 1 | 0.79 | |||||||||
-149.9 — -100.0 | 1 | 0.79 | |||||||||
<-150.0 | 1 | 0.79 | |||||||||
126 | 100.00 | % |
53
ProShares Trust
Premium/Discount
November 30, 2007 (Unaudited) (continued)
ULTRASHORT Real Estate
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | 3 | 2.38 | % | ||||||||
25.0 — 49.9 | 12 | 9.52 | |||||||||
-24.9 — 24.9 | 105 | 83.34 | |||||||||
-49.9 — -25.0 | 3 | 2.38 | |||||||||
-99.9 — -50.0 | 1 | 0.79 | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | 2 | 1.59 | |||||||||
126 | 100.00 | % |
ULTRASHORT Semiconductor
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | 7 | 5.56 | % | ||||||||
-24.9 — 24.9 | 111 | 88.10 | |||||||||
-49.9 — -25.0 | 6 | 4.76 | |||||||||
-99.9 — -50.0 | — | — | |||||||||
-149.9 — -100.0 | 1 | 0.79 | |||||||||
<-150.0 | 1 | 0.79 | |||||||||
126 | 100.00 | % |
ULTRASHORT Technology
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | 1 | 0.79 | % | ||||||||
50.0 — 99.9 | 1 | 0.79 | |||||||||
25.0 — 49.9 | 2 | 1.59 | |||||||||
-24.9 — 24.9 | 117 | 92.87 | |||||||||
-49.9 — -25.0 | 3 | 2.38 | |||||||||
-99.9 — -50.0 | — | — | |||||||||
-149.9 — -100.0 | 1 | 0.79 | |||||||||
<-150.0 | 1 | 0.79 | |||||||||
126 | 100.00 | % |
54
ULTRASHORT Utilities
Period Covered: April 1, 2007 through September 30, 2007
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | — | — | |||||||||
100.0 — 149.9 | — | — | |||||||||
50.0 — 99.9 | — | — | |||||||||
25.0 — 49.9 | 7 | 5.56 | % | ||||||||
-24.9 — 24.9 | 114 | 90.47 | |||||||||
-49.9 — -25.0 | 3 | 2.38 | |||||||||
-99.9 — -50.0 | — | — | |||||||||
-149.9 — -100.0 | — | — | |||||||||
<-150.0 | 2 | 1.59 | |||||||||
126 | 100.00 | % |
55
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra QQQ®
Shares | Value | ||||||||||
Common Stocks (a) — 87.6% | |||||||||||
Consumer Discretionary — 12.5% | |||||||||||
105,738 | Amazon.Com, Inc.* | $ | 9,575,633 | ||||||||
67,504 | Apollo Group, Inc., Class A* | 5,165,406 | |||||||||
140,572 | Bed Bath & Beyond, Inc.* | 4,420,989 | |||||||||
559,359 | Comcast Corp., Class A* | 11,489,234 | |||||||||
91,860 | Discovery Holding Co., Class A* | 2,246,896 | |||||||||
83,127 | EchoStar Communications Corp., Class A* | 3,582,774 | |||||||||
105,802 | Expedia, Inc.* | 3,449,145 | |||||||||
77,408 | Garmin Ltd. | 8,309,749 | |||||||||
115,499 | IAC/InterActiveCorp* | 3,214,337 | |||||||||
30,248 | Lamar Advertising Co., Class A | 1,573,198 | |||||||||
75,023 | Liberty Global, Inc., Class A* | 3,047,434 | |||||||||
223,663 | Liberty Media Corp. - Interactive, Class A* | 4,506,809 | |||||||||
51,349 | PetSmart, Inc. | 1,462,420 | |||||||||
52,590 | Ross Stores, Inc. | 1,387,324 | |||||||||
57,546 | Sears Holdings Corp.* | 6,071,678 | |||||||||
609,799 | Sirius Satellite Radio, Inc.* | 2,335,530 | |||||||||
184,740 | Staples, Inc. | 4,378,338 | |||||||||
399,727 | Starbucks Corp.* | 9,349,615 | |||||||||
137,276 | Virgin Media, Inc. | 2,608,244 | |||||||||
46,158 | Wynn Resorts Ltd. | 5,859,297 | |||||||||
121,876 | XM Satellite Radio Holdings, Inc., Class A* | 1,901,266 | |||||||||
95,935,316 | |||||||||||
Consumer Staples — 1.1% | |||||||||||
88,860 | Costco Wholesale Corp. | 5,989,164 | |||||||||
52,509 | Whole Foods Market, Inc. | 2,258,412 | |||||||||
8,247,576 | |||||||||||
Energy — 0.1% | |||||||||||
61,160 | Patterson-UTI Energy, Inc. | 1,152,866 | |||||||||
Health Care — 11.5% | |||||||||||
195,126 | Amgen, Inc.* | 10,780,711 | |||||||||
49,071 | Amylin Pharmaceuticals, Inc.* | 1,874,021 | |||||||||
120,572 | Biogen Idec, Inc.* | 8,936,797 | |||||||||
146,189 | Celgene Corp.* | 8,997,933 | |||||||||
25,088 | Cephalon, Inc.* | 1,879,593 | |||||||||
56,224 | Dentsply International, Inc. | 2,405,263 | |||||||||
88,637 | Express Scripts, Inc.* | 6,005,157 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
127,073 | Genzyme Corp.* | $ | 9,521,580 | ||||||||
351,433 | Gilead Sciences, Inc.* | 16,355,692 | |||||||||
34,231 | Henry Schein, Inc.* | 2,024,764 | |||||||||
14,531 | Intuitive Surgical, Inc.* | 4,761,518 | |||||||||
51,702 | Patterson Cos., Inc.* | 1,663,770 | |||||||||
40,144 | Sepracor, Inc.* | 1,065,020 | |||||||||
235,572 | Teva Pharmaceutical Industries Ltd. (ADR) | 10,513,578 | |||||||||
53,086 | Vertex Pharmaceuticals, Inc.* | 1,347,854 | |||||||||
88,133,251 | |||||||||||
Industrials — 4.1% | |||||||||||
65,707 | CH Robinson Worldwide, Inc. | 3,387,196 | |||||||||
73,421 | Cintas Corp. | 2,348,738 | |||||||||
80,604 | Expeditors International Washington, Inc. | 3,781,940 | |||||||||
55,451 | Fastenal Co. | 2,198,077 | |||||||||
28,698 | Foster Wheeler Ltd.* | 4,276,002 | |||||||||
40,877 | Joy Global, Inc. | 2,370,866 | |||||||||
51,559 | Monster Worldwide, Inc.* | 1,741,147 | |||||||||
161,008 | Paccar, Inc. | 8,148,615 | |||||||||
44,789 | Ryanair Holdings plc (ADR)* | 1,817,090 | |||||||||
41,805 | UAL Corp.* | 1,711,497 | |||||||||
31,781,168 | |||||||||||
Information Technology — 56.6% | |||||||||||
98,200 | Activision, Inc.* | 2,175,130 | |||||||||
222,158 | Adobe Systems, Inc.* | 9,361,738 | |||||||||
61,127 | Akamai Technologies, Inc.* | 2,326,494 | |||||||||
186,563 | Altera Corp. | 3,503,653 | |||||||||
467,265 | Apple, Inc.* | 85,145,028 | |||||||||
274,548 | Applied Materials, Inc. | 5,169,739 | |||||||||
92,320 | Autodesk, Inc.* | 4,347,349 | |||||||||
139,999 | BEA Systems, Inc.* | 2,216,184 | |||||||||
164,519 | Broadcom Corp., Class A* | 4,399,238 | |||||||||
112,016 | Cadence Design Systems, Inc.* | 1,859,466 | |||||||||
84,728 | Check Point Software Technologies* | 1,933,493 | |||||||||
32,418 | Checkfree Corp.* | 1,543,097 | |||||||||
835,577 | Cisco Systems, Inc.* | 23,412,868 | |||||||||
86,824 | Citrix Systems, Inc.* | 3,210,752 | |||||||||
108,621 | Cognizant Technology Solutions Corp., Class A* | 3,378,113 | |||||||||
321,932 | Dell, Inc.* | 7,900,211 | |||||||||
390,292 | eBay, Inc.* | 13,086,491 |
See accompanying notes to the financial statements.
56
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
121,141 | Electronic Arts, Inc.* | $ | 6,806,913 | ||||||||
79,503 | Fiserv, Inc.* | 4,080,889 | |||||||||
347,608 | Flextronics International Ltd.* | 4,157,392 | |||||||||
54,582 | Google, Inc., Class A* | 37,825,326 | |||||||||
43,093 | Infosys Technologies Ltd. (ADR) | 1,816,370 | |||||||||
787,785 | Intel Corp. | 20,545,433 | |||||||||
163,413 | Intuit, Inc.* | 4,791,269 | |||||||||
130,157 | Juniper Networks, Inc.* | 3,868,266 | |||||||||
85,031 | Kla-Tencor Corp. | 4,088,290 | |||||||||
49,143 | Lam Research Corp.* | 2,253,207 | |||||||||
114,301 | Linear Technology Corp. | 3,481,608 | |||||||||
68,313 | Logitech International S.A. (Registered)* | 2,324,691 | |||||||||
217,061 | Marvell Technology Group Ltd.* | 3,242,891 | |||||||||
70,061 | Microchip Technology, Inc. | 2,017,056 | |||||||||
1,243,006 | Microsoft Corp. | 41,765,002 | |||||||||
143,329 | Network Appliance, Inc.* | 3,541,660 | |||||||||
207,606 | Nvidia Corp.* | 6,547,893 | |||||||||
821,283 | Oracle Corp.* | 16,573,491 | |||||||||
139,953 | Paychex, Inc. | 5,458,167 | |||||||||
777,866 | Qualcomm, Inc. | 31,721,375 | |||||||||
215,752 | Research In Motion Ltd.* | 24,556,893 | |||||||||
80,525 | SanDisk Corp.* | 3,014,856 | |||||||||
148,202 | Sun Microsystems, Inc.* | 3,079,632 | |||||||||
355,493 | Symantec Corp.* | 6,327,775 | |||||||||
54,636 | Telefonaktiebolaget LM Ericsson (ADR) | 1,336,397 | |||||||||
96,463 | Tellabs, Inc.* | 671,382 | |||||||||
80,255 | VeriSign, Inc.* | 3,282,429 | |||||||||
152,509 | Xilinx, Inc. | 3,339,947 | |||||||||
248,060 | Yahoo!, Inc.* | 6,650,489 | |||||||||
434,136,033 | |||||||||||
Materials — 0.3% | |||||||||||
48,307 | Sigma-Aldrich Corp. | 2,543,364 | |||||||||
Telecommunication Services — 1.4% | |||||||||||
26,105 | Leap Wireless International, Inc.* | 906,104 | |||||||||
576,146 | Level 3 Communications, Inc.* | 1,935,851 | |||||||||
37,603 | Millicom International Cellular S.A.* | 4,485,286 | |||||||||
64,724 | NII Holdings, Inc.* | 3,570,176 | |||||||||
10,897,417 | |||||||||||
Total Common Stock (Cost $630,540,689) | 672,826,991 |
Principal Amount | Value | ||||||||||
Repurchase Agreements — 17.3% | |||||||||||
$ | 26,443,489 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $26,453,714 ** | $ | 26,443,489 | |||||||
30,415,686 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $30,427,219 *** | 30,415,686 | |||||||||
5,288,698 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $5,290,703 **** | 5,288,698 | |||||||||
70,515,971 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $70,542,708 ***** | 70,515,971 | |||||||||
Total Repurchase Agreements (Cost $132,663,844) | 132,663,844 | ||||||||||
Total Investments (Cost $763,204,533) — 104.9% | 805,490,835 | ||||||||||
Liabilities in excess of other assets — (4.9%) | (37,814,347 | ) | |||||||||
Net Assets — 100.0% | $ | 767,676,488 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $26,972,475. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $31,024,097. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
57
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra QQQ® (continued)
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $5,394,494. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $71,926,306. The investment in the repurchase agreement was through participation in a pooled account.
ADR American Depositary Receipt
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 59,856,131 | |||||
Aggregated gross unrealized depreciation | (28,997,568 | ) | |||||
Net unrealized appreciation | $ | 30,858,563 | |||||
Federal income tax cost of investments | $ | 774,632,272 |
Futures Contracts Purchased
Ultra QQQ® had the following open long futures contracts as of November 30, 2007:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation | ||||||||||||||||
E-Mini NASDAQ-100® Futures Contracts | 1,794 | December - 07 | $ | 75,043,020 | $ | 2,272,303 |
Cash collateral in the amount of $4,510,025 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.
Swap Agreements
Ultra QQQ® had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07 | $ | 515,042,486 | $ | (32,483,605 | ) | ||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07 | 126,248,267 | (2,784,793 | ) | ||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07 | 125,578,527 | (2,670,507 | ) | ||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07 | 61,723,934 | (4,201,369 | ) | ||||||||
$ | (42,140,274 | ) |
See accompanying notes to the financial statements.
58
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Dow 30SM
Shares | Value | ||||||||||
Common Stocks (a) — 86.3% | |||||||||||
Consumer Discretionary — 7.9% | |||||||||||
135,764 | General Motors Corp. | $ | 4,049,840 | ||||||||
135,764 | Home Depot, Inc. | 3,877,420 | |||||||||
135,764 | McDonald's Corp. | 7,938,121 | |||||||||
135,764 | Walt Disney Co. (The) | 4,500,577 | |||||||||
20,365,958 | |||||||||||
Consumer Staples — 13.7% | |||||||||||
135,764 | Altria Group, Inc. | 10,529,856 | |||||||||
135,764 | Coca-Cola Co. (The) | 8,430,944 | |||||||||
135,764 | Procter & Gamble Co. | 10,046,536 | |||||||||
135,764 | Wal-Mart Stores, Inc. | 6,503,096 | |||||||||
35,510,432 | |||||||||||
Energy — 4.7% | |||||||||||
135,764 | Exxon Mobil Corp. | 12,104,718 | |||||||||
Financials — 10.3% | |||||||||||
135,764 | American Express Co. | 8,007,361 | |||||||||
135,764 | American International Group, Inc. | 7,891,961 | |||||||||
135,764 | Citigroup, Inc. | 4,520,941 | |||||||||
135,764 | JPMorgan Chase & Co. | 6,193,554 | |||||||||
26,613,817 | |||||||||||
Health Care — 7.9% | |||||||||||
135,764 | Johnson & Johnson | 9,196,653 | |||||||||
135,764 | Merck & Co., Inc. | 8,058,951 | |||||||||
135,764 | Pfizer, Inc. | 3,225,753 | |||||||||
20,481,357 | |||||||||||
Industrials — 21.9% | |||||||||||
135,764 | 3M Co. | 11,303,711 | |||||||||
135,764 | Boeing Co. | 12,563,601 | |||||||||
135,764 | Caterpillar, Inc. | 9,761,432 | |||||||||
135,764 | General Electric Co. | 5,198,403 | |||||||||
135,764 | Honeywell International, Inc. | 7,686,958 | |||||||||
135,764 | United Technologies Corp. | 10,151,074 | |||||||||
56,665,179 | |||||||||||
Information Technology — 11.3% | |||||||||||
135,764 | Hewlett-Packard Co. | 6,945,686 | |||||||||
135,764 | Intel Corp. | 3,540,725 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
135,764 | International Business Machines Corp. | $ | 14,279,658 | ||||||||
135,764 | Microsoft Corp. | 4,561,670 | |||||||||
29,327,739 | |||||||||||
Materials — 4.3% | |||||||||||
135,764 | Alcoa, Inc. | 4,937,737 | |||||||||
135,764 | EI Du Pont de Nemours & Co. | 6,265,508 | |||||||||
11,203,245 | |||||||||||
Telecommunication Services — 4.3% | |||||||||||
135,764 | AT&T, Inc. | 5,187,542 | |||||||||
135,764 | Verizon Communications, Inc. | 5,866,363 | |||||||||
11,053,905 | |||||||||||
Total Common Stock (Cost $220,250,424) | 223,326,350 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 15.5% | |||||||||||
$ | 7,974,072 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $7,977,155 ** | 7,974,072 | ||||||||
9,171,893 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $9,175,371 *** | 9,171,893 | |||||||||
1,594,814 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,595,419 **** | 1,594,814 | |||||||||
21,264,191 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $21,272,254 ***** | 21,264,191 | |||||||||
Total Repurchase Agreements (Cost $40,004,970) | 40,004,970 | ||||||||||
Total Investments (Cost $260,255,394) — 101.8% | 263,331,320 | ||||||||||
Liabilities in excess of other assets — (1.8%) | (4,724,108 | ) | |||||||||
Net Assets — 100.0% | $ | 258,607,212 |
See accompanying notes to the financial statements.
59
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Dow 30SM (continued)
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $8,133,588. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $9,355,361. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows:
Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $1,626,717. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $21,689,480. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 7,951,621 | |||||
Aggregate gross unrealized depreciation | (6,183,940 | ) | |||||
Net unrealized appreciation | $ | 1,767,681 | |||||
Federal income tax cost of investments | $ | 261,563,639 |
Futures Contracts Purchased
Ultra Dow 30SM had the following open futures contracts as of November 30, 2007:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation | ||||||||||||||||
E-Mini Dow Jones Futures Contracts | 422 | December - 07 | $ | 28,297,210 | $ | 747,270 |
Cash collateral in the amount of $1,392,571 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.
Swap Agreements
Ultra Dow 30SM had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index, expiring 12/27/07 | $ | 88,935,201 | $ | (361,457 | ) | ||||||
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index, expiring 12/27/07 | 20,848,089 | (437,765 | ) | ||||||||
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index, expiring 12/27/07 | 160,000,000 | (3,364,830 | ) | ||||||||
$ | (4,164,052 | ) |
See accompanying notes to the financial statements.
60
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra S&P500®
Shares | Value | ||||||||||
Common Stocks (a) — 85.9% | |||||||||||
Consumer Discretionary — 7.6% | |||||||||||
3,499 | Abercrombie & Fitch Co. | $ | 287,058 | ||||||||
12,338 | Amazon.Com, Inc.* | 1,117,329 | |||||||||
5,736 | Apollo Group, Inc., Class A* | 438,919 | |||||||||
5,570 | AutoNation, Inc.* | 91,905 | |||||||||
1,847 | Autozone, Inc.* | 206,181 | |||||||||
10,954 | Bed Bath & Beyond, Inc.* | 344,503 | |||||||||
14,167 | Best Buy Co., Inc. | 723,225 | |||||||||
4,109 | Big Lots, Inc.* | 76,715 | |||||||||
2,652 | Black & Decker Corp. | 219,188 | |||||||||
3,589 | Brunswick Corp. | 73,180 | |||||||||
17,615 | Carnival Corp. | 794,789 | |||||||||
27,650 | CBS Corp., Class B | 758,439 | |||||||||
4,843 | Centex Corp. | 101,025 | |||||||||
6,803 | Circuit City Stores, Inc. | 44,015 | |||||||||
20,101 | Clear Channel Communications, Inc. | 721,626 | |||||||||
15,062 | Coach, Inc.* | 559,403 | |||||||||
124,766 | Comcast Corp., Class A* | 2,562,694 | |||||||||
5,720 | Darden Restaurants, Inc. | 227,599 | |||||||||
2,456 | Dillard's, Inc., Class A | 50,078 | |||||||||
28,981 | DIRECTV Group, Inc. (The)* | 720,757 | |||||||||
2,634 | Dow Jones & Co., Inc. | 157,381 | |||||||||
11,031 | DR Horton, Inc. | 132,041 | |||||||||
11,586 | Eastman Kodak Co. | 272,039 | |||||||||
3,623 | EW Scripps Co., Class A | 157,419 | |||||||||
8,249 | Expedia, Inc.* | 268,917 | |||||||||
5,877 | Family Dollar Stores, Inc. | 138,403 | |||||||||
84,759 | Ford Motor Co.* | 636,540 | |||||||||
6,184 | Fortune Brands, Inc. | 474,004 | |||||||||
9,402 | Gannett Co., Inc. | 345,523 | |||||||||
19,979 | Gap, Inc. (The) | 407,572 | |||||||||
22,844 | General Motors Corp. | 681,436 | |||||||||
6,860 | Genuine Parts Co. | 329,623 | |||||||||
8,518 | Goodyear Tire & Rubber Co. (The)* | 244,892 | |||||||||
13,105 | H&R Block, Inc. | 257,906 | |||||||||
10,141 | Harley-Davidson, Inc. | 486,971 | |||||||||
2,441 | Harman International Industries, Inc. | 179,658 | |||||||||
7,559 | Harrah's Entertainment, Inc. | 665,721 | |||||||||
5,937 | Hasbro, Inc. | 164,870 | |||||||||
68,167 | Home Depot, Inc. | 1,946,849 | |||||||||
7,713 | IAC/InterActiveCorp* | 214,653 | |||||||||
13,548 | International Game Technology | 591,506 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
19,033 | Interpublic Group of Cos., Inc.* | $ | 180,623 | ||||||||
8,948 | JC Penney Co., Inc. | 394,786 | |||||||||
23,979 | Johnson Controls, Inc. | 926,069 | |||||||||
3,442 | Jones Apparel Group, Inc. | 64,159 | |||||||||
3,108 | KB Home | 64,926 | |||||||||
12,829 | Kohl's Corp.* | 632,213 | |||||||||
7,053 | Leggett & Platt, Inc. | 145,151 | |||||||||
5,629 | Lennar Corp., Class A | 89,163 | |||||||||
4,128 | Liz Claiborne, Inc. | 103,572 | |||||||||
59,690 | Lowe's Cos., Inc. | 1,457,033 | |||||||||
12,871 | Ltd Brands, Inc. | 258,450 | |||||||||
17,501 | Macy's, Inc. | 518,905 | |||||||||
12,900 | Marriott International, Inc., Class A | 483,750 | |||||||||
14,809 | Mattel, Inc. | 295,884 | |||||||||
48,111 | McDonald's Corp. | 2,813,050 | |||||||||
13,681 | McGraw-Hill Cos., Inc. (The) | 671,463 | |||||||||
1,553 | Meredith Corp. | 85,493 | |||||||||
5,810 | New York Times Co., (The), Class A | 95,865 | |||||||||
11,154 | Newell Rubbermaid, Inc. | 298,704 | |||||||||
93,456 | News Corp., Class A | 1,969,118 | |||||||||
15,608 | Nike, Inc., Class B | 1,024,665 | |||||||||
7,986 | Nordstrom, Inc. | 267,850 | |||||||||
11,012 | Office Depot, Inc.* | 188,746 | |||||||||
3,041 | OfficeMax, Inc. | 75,812 | |||||||||
13,253 | Omnicom Group, Inc. | 646,084 | |||||||||
2,418 | Polo Ralph Lauren Corp. | 166,794 | |||||||||
8,575 | Pulte Homes, Inc. | 87,636 | |||||||||
5,562 | RadioShack Corp. | 102,897 | |||||||||
3,056 | Sears Holdings Corp.* | 322,439 | |||||||||
4,383 | Sherwin-Williams Co. (The) | 275,384 | |||||||||
2,338 | Snap-On, Inc. | 114,281 | |||||||||
3,314 | Stanley Works (The) | 172,825 | |||||||||
28,821 | Staples, Inc. | 683,058 | |||||||||
30,087 | Starbucks Corp.* | 703,735 | |||||||||
8,039 | Starwood Hotels & Resorts Worldwide, Inc. | 431,534 | |||||||||
34,177 | Target Corp. | 2,052,671 | |||||||||
5,519 | Tiffany & Co. | 256,247 | |||||||||
150,550 | Time Warner, Inc. | 2,598,493 | |||||||||
17,949 | TJX Cos., Inc. | 526,624 | |||||||||
3,108 | Tribune Co. | 96,472 | |||||||||
3,588 | VF Corp. | 268,347 | |||||||||
27,718 | Viacom, Inc., Class B* | 1,164,710 |
See accompanying notes to the financial statements.
61
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra S&P500® (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
78,354 | Walt Disney Co. (The) | $ | 2,597,435 | ||||||||
3,526 | Wendy's International, Inc. | 98,834 | |||||||||
3,149 | Whirlpool Corp. | 254,943 | |||||||||
7,210 | Wyndham Worldwide Corp. | 210,316 | |||||||||
20,991 | Yum! Brands, Inc. | 779,816 | |||||||||
46,589,577 | |||||||||||
Consumer Staples — 8.8% | |||||||||||
84,986 | Altria Group, Inc. | 6,591,514 | |||||||||
30,260 | Anheuser-Busch Cos., Inc. | 1,595,307 | |||||||||
25,981 | Archer-Daniels-Midland Co. | 944,409 | |||||||||
17,466 | Avon Products, Inc. | 716,979 | |||||||||
3,491 | Brown-Forman Corp., Class B | 246,604 | |||||||||
9,072 | Campbell Soup Co. | 333,124 | |||||||||
5,586 | Clorox Co. | 362,420 | |||||||||
80,322 | Coca-Cola Co. (The) | 4,987,996 | |||||||||
11,507 | Coca-Cola Enterprises, Inc. | 298,837 | |||||||||
20,586 | Colgate-Palmolive Co. | 1,648,527 | |||||||||
19,773 | ConAgra Foods, Inc. | 494,720 | |||||||||
7,832 | Constellation Brands, Inc., Class A* | 184,444 | |||||||||
17,679 | Costco Wholesale Corp. | 1,191,565 | |||||||||
59,783 | CVS Caremark Corp. | 2,396,700 | |||||||||
5,229 | Dean Foods Co. | 130,411 | |||||||||
4,627 | Estee Lauder Cos., Inc. (The) | 207,660 | |||||||||
13,329 | General Mills, Inc. | 801,739 | |||||||||
6,825 | Hershey Co. (The) | 272,386 | |||||||||
12,884 | HJ Heinz Co. | 609,413 | |||||||||
10,711 | Kellogg Co. | 578,822 | |||||||||
17,182 | Kimberly-Clark Corp. | 1,199,475 | |||||||||
63,651 | Kraft Foods, Inc. | 2,199,142 | |||||||||
28,561 | Kroger Co. (The) | 821,129 | |||||||||
5,236 | McCormick & Co., Inc. (Non-Voting) | 200,068 | |||||||||
5,503 | Molson Coors Brewing Co., Class B | 296,282 | |||||||||
5,657 | Pepsi Bottling Group, Inc. | 241,384 | |||||||||
65,228 | PepsiCo, Inc. | 5,034,297 | |||||||||
125,983 | Procter & Gamble Co. | 9,322,742 | |||||||||
6,907 | Reynolds American, Inc. | 483,628 | |||||||||
17,726 | Safeway, Inc. | 616,865 | |||||||||
29,249 | Sara Lee Corp. | 492,261 | |||||||||
8,482 | SUPERVALU, Inc. | 355,141 | |||||||||
24,624 | SYSCO Corp. | 800,526 | |||||||||
11,105 | Tyson Foods, Inc., Class A | 165,576 | |||||||||
6,434 | UST, Inc. | 372,529 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
96,897 | Wal-Mart Stores, Inc. | $ | 4,641,366 | ||||||||
40,113 | Walgreen Co. | 1,467,735 | |||||||||
5,611 | Whole Foods Market, Inc. | 241,329 | |||||||||
8,770 | WM. Wrigley Jr. Co. | 561,280 | |||||||||
54,106,332 | |||||||||||
Energy — 10.2% | |||||||||||
18,727 | Anadarko Petroleum Corp. | 1,059,948 | |||||||||
13,403 | Apache Corp. | 1,297,276 | |||||||||
12,900 | Baker Hughes, Inc. | 1,035,483 | |||||||||
11,773 | BJ Services Co. | 289,380 | |||||||||
17,871 | Chesapeake Energy Corp. | 676,417 | |||||||||
86,056 | Chevron Corp. | 7,553,135 | |||||||||
65,689 | ConocoPhillips | 5,257,748 | |||||||||
7,360 | CONSOL Energy, Inc. | 436,301 | |||||||||
18,005 | Devon Energy Corp. | 1,490,994 | |||||||||
28,281 | El Paso Corp. | 454,759 | |||||||||
5,975 | ENSCO International, Inc. | 321,754 | |||||||||
9,883 | EOG Resources, Inc. | 818,115 | |||||||||
223,899 | Exxon Mobil Corp. | 19,962,835 | |||||||||
35,935 | Halliburton Co. | 1,315,580 | |||||||||
11,168 | Hess Corp. | 795,385 | |||||||||
27,496 | Marathon Oil Corp. | 1,537,026 | |||||||||
7,610 | Murphy Oil Corp. | 544,267 | |||||||||
11,351 | Nabors Industries Ltd.* | 305,342 | |||||||||
14,380 | National Oilwell Varco, Inc.* | 979,997 | |||||||||
10,839 | Noble Corp. | 565,037 | |||||||||
6,908 | Noble Energy, Inc. | 497,652 | |||||||||
33,537 | Occidental Petroleum Corp. | 2,339,877 | |||||||||
10,718 | Peabody Energy Corp. | 596,350 | |||||||||
4,461 | Rowan Cos., Inc. | 157,919 | |||||||||
48,123 | Schlumberger Ltd. | 4,497,094 | |||||||||
8,095 | Smith International, Inc. | 507,718 | |||||||||
25,519 | Spectra Energy Corp. | 628,788 | |||||||||
4,859 | Sunoco, Inc. | 326,039 | |||||||||
5,524 | Tesoro Corp. | 271,670 | |||||||||
12,502 | Transocean, Inc. | 1,716,394 | |||||||||
22,358 | Valero Energy Corp. | 1,454,835 | |||||||||
13,604 | Weatherford International Ltd.* | 851,883 | |||||||||
24,231 | Williams Cos., Inc. | 841,058 | |||||||||
15,575 | XTO Energy, Inc. | 962,847 | |||||||||
62,346,903 |
See accompanying notes to the financial statements.
62
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Financials — 15.9% | |||||||||||
13,282 | ACE Ltd. | $ | 794,662 | ||||||||
19,720 | Aflac, Inc. | 1,235,261 | |||||||||
23,616 | Allstate Corp. (The) | 1,207,250 | |||||||||
4,107 | AMBAC Financial Group, Inc. | 111,834 | |||||||||
7,587 | American Capital Strategies Ltd. | 285,347 | |||||||||
47,752 | American Express Co. | 2,816,413 | |||||||||
103,523 | American International Group, Inc. | 6,017,792 | |||||||||
9,498 | Ameriprise Financial, Inc. | 557,438 | |||||||||
11,819 | AON Corp. | 590,595 | |||||||||
3,905 | Apartment Investment & Management Co. (REIT) | 155,302 | |||||||||
3,895 | Assurant, Inc. | 254,850 | |||||||||
3,219 | AvalonBay Communities, Inc. (REIT) | 320,097 | |||||||||
179,133 | Bank of America Corp. | 8,263,405 | |||||||||
45,934 | Bank of New York Mellon Corp. (The) | 2,202,995 | |||||||||
22,282 | BB&T Corp. | 803,935 | |||||||||
4,688 | Bear Stearns Cos., Inc. (The) | 467,394 | |||||||||
4,805 | Boston Properties, Inc. (REIT) | 472,908 | |||||||||
16,862 | Capital One Financial Corp. | 898,913 | |||||||||
7,960 | CB Richard Ellis Group, Inc., Class A* | 189,050 | |||||||||
38,261 | Charles Schwab Corp. (The) | 930,125 | |||||||||
15,878 | Chubb Corp. | 866,145 | |||||||||
6,944 | Cincinnati Financial Corp. | 277,621 | |||||||||
7,702 | CIT Group, Inc. | 204,873 | |||||||||
200,820 | Citigroup, Inc. | 6,687,306 | |||||||||
2,144 | CME Group, Inc. | 1,412,038 | |||||||||
6,177 | Comerica, Inc. | 282,783 | |||||||||
7,761 | Commerce Bancorp, Inc. | 309,043 | |||||||||
23,253 | Countrywide Financial Corp. | 251,597 | |||||||||
5,014 | Developers Diversified Realty Corp. (REIT) | 222,672 | |||||||||
19,266 | Discover Financial Services | 334,650 | |||||||||
17,167 | E*Trade Financial Corp.* | 78,968 | |||||||||
11,188 | Equity Residential (REIT) | 416,305 | |||||||||
39,298 | Fannie Mae | 1,509,829 | |||||||||
3,534 | Federated Investors, Inc., Class B | 144,152 | |||||||||
21,626 | Fifth Third Bancorp | 646,834 | |||||||||
5,096 | First Horizon National Corp. | 112,520 | |||||||||
6,553 | Franklin Resources, Inc. | 807,199 | |||||||||
26,246 | Freddie Mac | 920,447 | |||||||||
9,914 | General Growth Properties, Inc. (REIT) | 460,406 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
17,871 | Genworth Financial, Inc. | $ | 468,935 | ||||||||
16,376 | Goldman Sachs Group, Inc. (The) | 3,711,457 | |||||||||
12,825 | Hartford Financial Services Group, Inc. | 1,222,479 | |||||||||
21,084 | Host Hotels & Resorts, Inc. (REIT) | 404,602 | |||||||||
21,470 | Hudson City Bancorp, Inc. | 326,773 | |||||||||
14,772 | Huntington Bancshares, Inc. | 231,773 | |||||||||
2,797 | IntercontinentalExchange, Inc.* | 466,987 | |||||||||
6,372 | Janus Capital Group, Inc. | 213,908 | |||||||||
136,606 | JPMorgan Chase & Co. | 6,231,966 | |||||||||
15,718 | Keycorp | 414,012 | |||||||||
10,182 | Kimco Realty Corp. (REIT) | 402,087 | |||||||||
5,360 | Legg Mason, Inc. | 409,022 | |||||||||
21,428 | Lehman Brothers Holdings, Inc. | 1,342,036 | |||||||||
6,646 | Leucadia National Corp. | 312,096 | |||||||||
10,927 | Lincoln National Corp. | 672,775 | |||||||||
17,947 | Loews Corp. | 857,687 | |||||||||
3,028 | M&T Bank Corp. | 275,427 | |||||||||
21,880 | Marsh & McLennan Cos., Inc. | 549,626 | |||||||||
7,173 | Marshall & Ilsley Corp. | 225,734 | |||||||||
5,109 | MBIA, Inc. | 186,530 | |||||||||
34,795 | Merrill Lynch & Co., Inc. | 2,085,612 | |||||||||
29,989 | MetLife, Inc. | 1,966,979 | |||||||||
3,308 | MGIC Investment Corp. | 77,804 | |||||||||
8,943 | Moody's Corp. | 336,793 | |||||||||
42,491 | Morgan Stanley | 2,240,126 | |||||||||
25,565 | National City Corp. | 505,164 | |||||||||
7,730 | Northern Trust Corp. | 626,053 | |||||||||
10,658 | NYSE Euronext | 922,983 | |||||||||
7,048 | Plum Creek Timber Co., Inc. (REIT) | 326,816 | |||||||||
13,806 | PNC Financial Services Group, Inc. | 1,010,737 | |||||||||
10,723 | Principal Financial Group, Inc. | 702,249 | |||||||||
29,232 | Progressive Corp. (The) | 537,869 | |||||||||
10,374 | Prologis (REIT) | 678,667 | |||||||||
18,530 | Prudential Financial, Inc. | 1,744,414 | |||||||||
5,025 | Public Storage (REIT) | 388,633 | |||||||||
28,417 | Regions Financial Corp. | 751,061 | |||||||||
3,817 | Safeco Corp. | 220,279 | |||||||||
9,018 | Simon Property Group, Inc. (REIT) | 887,822 | |||||||||
16,657 | SLM Corp. | 634,299 | |||||||||
14,507 | Sovereign Bancorp, Inc. | 170,747 | |||||||||
15,725 | State Street Corp. | 1,256,270 | |||||||||
14,091 | SunTrust Banks, Inc. | 987,920 |
See accompanying notes to the financial statements.
63
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra S&P500® (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
13,218 | Synovus Financial Corp. | $ | 328,996 | ||||||||
10,705 | T. Rowe Price Group, Inc. | 658,143 | |||||||||
3,863 | Torchmark Corp. | 238,270 | |||||||||
26,503 | Travelers Cos., Inc. (The) | 1,407,574 | |||||||||
69,695 | U.S. Bancorp | 2,306,208 | |||||||||
14,565 | Unum Group | 361,795 | |||||||||
5,400 | Vornado Realty Trust (REIT) | 486,000 | |||||||||
76,824 | Wachovia Corp. | 3,303,432 | |||||||||
35,352 | Washington Mutual, Inc. | 689,364 | |||||||||
134,933 | Wells Fargo & Co. | 4,375,877 | |||||||||
7,337 | XL Capital Ltd., Class A | 429,435 | |||||||||
4,343 | Zions Bancorporation | 236,998 | |||||||||
97,328,255 | |||||||||||
Health Care — 10.5% | |||||||||||
62,389 | Abbott Laboratories | 3,587,991 | |||||||||
20,645 | Aetna, Inc. | 1,153,643 | |||||||||
12,414 | Allergan, Inc. | 832,235 | |||||||||
7,274 | AmerisourceBergen Corp. | 330,021 | |||||||||
43,871 | Amgen, Inc.* | 2,423,873 | |||||||||
7,403 | Applera Corp.- Applied Biosystems Group | 252,886 | |||||||||
4,328 | Barr Pharmaceuticals, Inc.* | 232,414 | |||||||||
26,027 | Baxter International, Inc. | 1,558,236 | |||||||||
9,825 | Becton Dickinson & Co. | 812,822 | |||||||||
11,623 | Biogen Idec, Inc.* | 861,497 | |||||||||
53,857 | Boston Scientific Corp.* | 680,214 | |||||||||
79,847 | Bristol-Myers Squibb Co. | 2,365,867 | |||||||||
14,716 | Cardinal Health, Inc. | 891,054 | |||||||||
15,451 | Celgene Corp.* | 951,009 | |||||||||
11,419 | Cigna Corp. | 612,173 | |||||||||
6,310 | Coventry Health Care, Inc.* | 365,223 | |||||||||
20,071 | Covidien Ltd. | 805,048 | |||||||||
4,173 | CR Bard, Inc. | 352,744 | |||||||||
39,838 | Eli Lilly & Co. | 2,109,422 | |||||||||
10,409 | Express Scripts, Inc.* | 705,210 | |||||||||
12,763 | Forest Laboratories, Inc.* | 492,014 | |||||||||
10,645 | Genzyme Corp.* | 797,630 | |||||||||
37,397 | Gilead Sciences, Inc.* | 1,740,456 | |||||||||
6,342 | Hospira, Inc.* | 274,609 | |||||||||
6,805 | Humana, Inc.* | 524,189 | |||||||||
7,871 | IMS Health, Inc. | 183,788 | |||||||||
116,850 | Johnson & Johnson | 7,915,419 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
9,857 | King Pharmaceuticals, Inc.* | $ | 104,386 | ||||||||
4,735 | Laboratory Corp. of America Holdings* | 344,092 | |||||||||
11,949 | McKesson Corp. | 797,357 | |||||||||
10,931 | Medco Health Solutions, Inc.* | 1,092,991 | |||||||||
45,784 | Medtronic, Inc. | 2,328,116 | |||||||||
87,859 | Merck & Co., Inc. | 5,215,310 | |||||||||
2,178 | Millipore Corp.* | 178,335 | |||||||||
12,204 | Mylan, Inc. | 175,493 | |||||||||
5,650 | Patterson Cos., Inc.* | 181,817 | |||||||||
4,897 | PerkinElmer, Inc. | 133,590 | |||||||||
279,643 | Pfizer, Inc. | 6,644,318 | |||||||||
6,311 | Quest Diagnostics, Inc. | 347,484 | |||||||||
65,374 | Schering-Plough Corp. | 2,046,206 | |||||||||
13,762 | St. Jude Medical, Inc.* | 547,039 | |||||||||
9,578 | Stryker Corp. | 695,650 | |||||||||
19,130 | Tenet Healthcare Corp.* | 105,406 | |||||||||
17,221 | Thermo Fisher Scientific, Inc.* | 992,618 | |||||||||
53,485 | UnitedHealth Group, Inc. | 2,941,675 | |||||||||
5,103 | Varian Medical Systems, Inc.* | 254,946 | |||||||||
4,029 | Waters Corp.* | 314,423 | |||||||||
4,138 | Watson Pharmaceuticals, Inc.* | 121,285 | |||||||||
23,064 | WellPoint, Inc.* | 1,942,219 | |||||||||
54,282 | Wyeth | 2,665,246 | |||||||||
9,534 | Zimmer Holdings, Inc.* | 617,136 | |||||||||
64,598,825 | |||||||||||
Industrials — 9.9% | |||||||||||
28,897 | 3M Co. | 2,405,964 | |||||||||
11,641 | Allied Waste Industries, Inc.* | 132,824 | |||||||||
4,299 | Avery Dennison Corp. | 224,021 | |||||||||
31,638 | Boeing Co. | 2,927,781 | |||||||||
12,127 | Burlington Northern Santa Fe Corp. | 1,012,847 | |||||||||
25,802 | Caterpillar, Inc. | 1,855,164 | |||||||||
6,968 | CH Robinson Worldwide, Inc. | 359,200 | |||||||||
5,446 | Cintas Corp. | 174,218 | |||||||||
7,416 | Cooper Industries Ltd., Class A | 372,432 | |||||||||
17,723 | CSX Corp. | 744,366 | |||||||||
4,200 | Cummins, Inc. | 490,980 | |||||||||
9,953 | Danaher Corp. | 864,119 | |||||||||
8,957 | Deere & Co. | 1,538,813 | |||||||||
8,259 | Dover Corp. | 382,227 | |||||||||
5,882 | Eaton Corp. | 525,321 |
See accompanying notes to the financial statements.
64
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
31,974 | Emerson Electric Co. | $ | 1,823,158 | ||||||||
5,322 | Equifax, Inc. | 198,138 | |||||||||
8,598 | Expeditors International Washington, Inc. | 403,418 | |||||||||
12,465 | FedEx Corp. | 1,227,429 | |||||||||
3,565 | Fluor Corp. | 524,661 | |||||||||
16,378 | General Dynamics Corp. | 1,454,039 | |||||||||
413,632 | General Electric Co. | 15,837,969 | |||||||||
5,056 | Goodrich Corp. | 360,442 | |||||||||
30,212 | Honeywell International, Inc. | 1,710,603 | |||||||||
16,937 | Illinois Tool Works, Inc. | 940,004 | |||||||||
11,572 | Ingersoll-Rand Co., Ltd., Class A | 597,578 | |||||||||
7,310 | ITT Corp. | 471,056 | |||||||||
4,841 | Jacobs Engineering Group, Inc.* | 405,531 | |||||||||
5,088 | L-3 Communications Holdings, Inc. | 562,987 | |||||||||
14,017 | Lockheed Martin Corp. | 1,551,261 | |||||||||
5,064 | Manitowoc Co., Inc. (The) | 222,056 | |||||||||
14,821 | Masco Corp. | 331,990 | |||||||||
5,343 | Monster Worldwide, Inc.* | 180,433 | |||||||||
15,889 | Norfolk Southern Corp. | 813,676 | |||||||||
13,874 | Northrop Grumman Corp. | 1,093,132 | |||||||||
15,054 | Paccar, Inc. | 761,883 | |||||||||
4,949 | Pall Corp. | 189,299 | |||||||||
7,035 | Parker Hannifin Corp. | 558,790 | |||||||||
8,876 | Pitney Bowes, Inc. | 341,726 | |||||||||
5,565 | Precision Castparts Corp. | 819,947 | |||||||||
8,966 | R.R. Donnelley & Sons Co. | 328,694 | |||||||||
17,655 | Raytheon Co. | 1,091,962 | |||||||||
6,618 | Robert Half International, Inc. | 178,421 | |||||||||
6,159 | Rockwell Automation, Inc. | 418,135 | |||||||||
6,728 | Rockwell Collins, Inc. | 485,223 | |||||||||
2,415 | Ryder System, Inc. | 104,714 | |||||||||
30,169 | Southwest Airlines Co. | 426,891 | |||||||||
4,114 | Terex Corp.* | 265,147 | |||||||||
10,081 | Textron, Inc. | 696,093 | |||||||||
6,920 | Trane, Inc. | 254,033 | |||||||||
20,069 | Tyco International Ltd. | 805,369 | |||||||||
10,755 | Union Pacific Corp. | 1,356,636 | |||||||||
42,379 | United Parcel Service, Inc., Class B | 3,122,485 | |||||||||
40,038 | United Technologies Corp. | 2,993,641 | |||||||||
20,956 | Waste Management, Inc. | 719,210 | |||||||||
2,719 | WW Grainger, Inc. | 240,088 | |||||||||
60,878,225 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Information Technology — 14.0% | |||||||||||
23,755 | Adobe Systems, Inc.* | $ | 1,001,036 | ||||||||
24,181 | Advanced Micro Devices, Inc.* | 236,007 | |||||||||
4,019 | Affiliated Computer Services, Inc., Class A* | 168,637 | |||||||||
15,605 | Agilent Technologies, Inc.* | 590,337 | |||||||||
6,685 | Akamai Technologies, Inc.* | 254,431 | |||||||||
13,559 | Altera Corp. | 254,638 | |||||||||
12,562 | Analog Devices, Inc. | 386,658 | |||||||||
35,107 | Apple, Inc.* | 6,397,198 | |||||||||
55,633 | Applied Materials, Inc. | 1,047,569 | |||||||||
9,285 | Autodesk, Inc.* | 437,231 | |||||||||
21,439 | Automatic Data Processing, Inc. | 966,041 | |||||||||
8,122 | BMC Software, Inc.* | 268,676 | |||||||||
18,937 | Broadcom Corp., Class A* | 506,375 | |||||||||
15,689 | CA, Inc. | 384,224 | |||||||||
3,470 | Ciena Corp.* | 152,611 | |||||||||
245,885 | Cisco Systems, Inc.* | 6,889,698 | |||||||||
7,658 | Citrix Systems, Inc.* | 283,193 | |||||||||
11,675 | Cognizant Technology Solutions Corp., Class A* | 363,092 | |||||||||
7,024 | Computer Sciences Corp.* | 371,008 | |||||||||
11,554 | Compuware Corp.* | 95,436 | |||||||||
5,473 | Convergys Corp.* | 89,265 | |||||||||
63,501 | Corning, Inc. | 1,542,439 | |||||||||
91,704 | Dell, Inc.* | 2,250,416 | |||||||||
46,057 | eBay, Inc.* | 1,544,291 | |||||||||
12,556 | Electronic Arts, Inc.* | 705,522 | |||||||||
20,545 | Electronic Data Systems Corp. | 416,242 | |||||||||
84,666 | EMC Corp.* | 1,631,514 | |||||||||
6,858 | Fidelity National Information Services, Inc. | 296,403 | |||||||||
6,737 | Fiserv, Inc.* | 345,810 | |||||||||
9,325 | Google, Inc., Class A* | 6,462,225 | |||||||||
104,075 | Hewlett-Packard Co. | 5,324,477 | |||||||||
235,757 | Intel Corp. | 6,148,543 | |||||||||
54,919 | International Business Machines Corp. | 5,776,380 | |||||||||
13,681 | Intuit, Inc.* | 401,127 | |||||||||
8,379 | Jabil Circuit, Inc. | 142,024 | |||||||||
8,544 | JDS Uniphase Corp.* | 115,002 | |||||||||
20,754 | Juniper Networks, Inc.* | 616,809 | |||||||||
7,353 | Kla-Tencor Corp. | 353,532 | |||||||||
3,815 | Lexmark International, Inc., Class A* | 133,067 |
See accompanying notes to the financial statements.
65
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra S&P500® (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
8,962 | Linear Technology Corp. | $ | 272,982 | ||||||||
28,907 | LSI Corp.* | 160,434 | |||||||||
9,087 | MEMC Electronic Materials, Inc.* | 704,969 | |||||||||
1 | Metavante Technologies, Inc.* | 8 | |||||||||
8,778 | Microchip Technology, Inc. | 252,719 | |||||||||
30,554 | Micron Technology, Inc.* | 254,209 | |||||||||
325,496 | Microsoft Corp. | 10,936,666 | |||||||||
5,797 | Molex, Inc. | 159,765 | |||||||||
93,439 | Motorola, Inc. | 1,492,221 | |||||||||
9,705 | National Semiconductor Corp. | 221,856 | |||||||||
14,364 | Network Appliance, Inc.* | 354,934 | |||||||||
14,123 | Novell, Inc.* | 99,143 | |||||||||
4,689 | Novellus Systems, Inc.* | 121,961 | |||||||||
22,155 | Nvidia Corp.* | 698,769 | |||||||||
158,936 | Oracle Corp.* | 3,207,328 | |||||||||
13,732 | Paychex, Inc. | 535,548 | |||||||||
5,526 | QLogic Corp.* | 74,712 | |||||||||
67,588 | Qualcomm, Inc. | 2,756,239 | |||||||||
9,198 | SanDisk Corp.* | 344,373 | |||||||||
33,450 | Sun Microsystems, Inc.* | 695,086 | |||||||||
36,309 | Symantec Corp.* | 646,300 | |||||||||
17,694 | Tellabs, Inc.* | 123,150 | |||||||||
7,287 | Teradata Corp.* | 189,171 | |||||||||
7,010 | Teradyne, Inc.* | 76,339 | |||||||||
57,691 | Texas Instruments, Inc. | 1,821,305 | |||||||||
20,071 | Tyco Electronics Ltd. | 750,455 | |||||||||
14,127 | Unisys Corp.* | 70,070 | |||||||||
8,920 | VeriSign, Inc.* | 364,828 | |||||||||
31,192 | Western Union Co. (The) | 704,939 | |||||||||
37,780 | Xerox Corp.* | 637,726 | |||||||||
11,945 | Xilinx, Inc. | 261,595 | |||||||||
54,385 | Yahoo!, Inc.* | 1,458,062 | |||||||||
85,797,046 | |||||||||||
Materials — 2.9% | |||||||||||
8,723 | Air Products & Chemicals, Inc. | 863,926 | |||||||||
35,688 | Alcoa, Inc. | 1,297,973 | |||||||||
4,126 | Allegheny Technologies, Inc. | 403,316 | |||||||||
2,257 | Ashland, Inc. | 111,135 | |||||||||
4,134 | Ball Corp. | 191,197 | |||||||||
4,219 | Bemis Co., Inc. | 114,461 | |||||||||
38,353 | Dow Chemical Co. (The) | 1,608,525 | |||||||||
3,393 | Eastman Chemical Co. | 217,865 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
7,031 | Ecolab, Inc. | $ | 336,785 | ||||||||
37,161 | EI Du Pont de Nemours & Co. | 1,714,980 | |||||||||
15,410 | Freeport-McMoRan Copper & Gold, Inc. | 1,524,511 | |||||||||
4,683 | Hercules, Inc. | 90,897 | |||||||||
3,284 | International Flavors & Fragrances, Inc. | 164,660 | |||||||||
17,344 | International Paper Co. | 585,360 | |||||||||
7,405 | MeadWestvaco Corp. | 243,402 | |||||||||
22,020 | Monsanto Co. | 2,188,127 | |||||||||
18,228 | Newmont Mining Corp. | 905,749 | |||||||||
11,622 | Nucor Corp. | 688,139 | |||||||||
5,277 | Pactiv Corp.* | 134,036 | |||||||||
6,623 | PPG Industries, Inc. | 454,603 | |||||||||
12,912 | Praxair, Inc. | 1,102,427 | |||||||||
5,127 | Rohm & Haas Co. | 278,755 | |||||||||
6,520 | Sealed Air Corp. | 152,372 | |||||||||
5,301 | Sigma-Aldrich Corp. | 279,098 | |||||||||
4,278 | Temple-Inland, Inc. | 196,660 | |||||||||
3,536 | Titanium Metals Corp.* | 104,913 | |||||||||
4,772 | United States Steel Corp. | 466,224 | |||||||||
4,360 | Vulcan Materials Co. | 387,168 | |||||||||
8,714 | Weyerhaeuser Co. | 637,691 | |||||||||
17,444,955 | |||||||||||
Telecommunication Services — 3.0% | |||||||||||
16,584 | American Tower Corp., Class A* | 755,235 | |||||||||
246,212 | AT&T, Inc. | 9,407,761 | |||||||||
4,518 | CenturyTel, Inc. | 192,602 | |||||||||
13,736 | Citizens Communications Co. | 178,293 | |||||||||
6,159 | Embarq Corp. | 313,801 | |||||||||
64,497 | Qwest Communications International, Inc.* | 427,615 | |||||||||
114,916 | Sprint Nextel Corp. | 1,783,496 | |||||||||
117,174 | Verizon Communications, Inc. | 5,063,089 | |||||||||
19,272 | Windstream Corp. | 249,573 | |||||||||
18,371,465 | |||||||||||
Utilities — 3.1% | |||||||||||
26,992 | AES Corp. (The)* | 589,775 | |||||||||
6,704 | Allegheny Energy, Inc. | 407,268 | |||||||||
8,381 | Ameren Corp. | 451,317 | |||||||||
16,116 | American Electric Power Co., Inc. | 768,250 | |||||||||
12,966 | Centerpoint Energy, Inc. | 231,443 |
See accompanying notes to the financial statements.
66
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
9,066 | CMS Energy Corp. | $ | 158,020 | ||||||||
10,939 | Consolidated Edison, Inc. | 529,995 | |||||||||
7,286 | Constellation Energy Group, Inc. | 730,130 | |||||||||
23,497 | Dominion Resources, Inc. | 1,109,763 | |||||||||
6,889 | DTE Energy Co. | 337,905 | |||||||||
50,875 | Duke Energy Corp. | 1,006,816 | |||||||||
20,006 | Dynegy, Inc., Class A* | 152,246 | |||||||||
13,153 | Edison International | 736,305 | |||||||||
7,900 | Entergy Corp. | 944,366 | |||||||||
27,216 | Exelon Corp. | 2,206,401 | |||||||||
12,306 | FirstEnergy Corp. | 843,699 | |||||||||
16,424 | FPL Group, Inc. | 1,145,738 | |||||||||
3,068 | Integrys Energy Group, Inc. | 156,499 | |||||||||
1,821 | Nicor, Inc. | 76,737 | |||||||||
11,068 | NiSource, Inc. | 204,869 | |||||||||
7,812 | Pepco Holdings, Inc. | 219,517 | |||||||||
14,265 | PG&E Corp. | 660,042 | |||||||||
4,049 | Pinnacle West Capital Corp. | 173,540 | |||||||||
15,466 | PPL Corp. | 788,147 | |||||||||
10,452 | Progress Energy, Inc. | 510,267 | |||||||||
10,265 | Public Service Enterprise Group, Inc. | 982,771 | |||||||||
6,969 | Questar Corp. | 372,493 | |||||||||
10,658 | Sempra Energy | 667,404 | |||||||||
30,537 | Southern Co. | 1,148,802 | |||||||||
8,499 | TECO Energy, Inc. | 147,203 | |||||||||
16,950 | Xcel Energy, Inc. | 391,715 | |||||||||
18,849,443 | |||||||||||
Total Common Stock (Cost $508,677,683) | 526,311,026 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 15.5% | |||||||||||
$ | 18,876,425 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $18,883,724 ** | 18,876,425 | ||||||||
21,711,938 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $21,720,170 *** | 21,711,938 | |||||||||
3,775,285 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $3,776,716 **** | 3,775,285 |
Principal Amount | Value | ||||||||||
Repurchase Agreements (continued) | |||||||||||
$ | 50,337,133 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $50,356,219 ***** | $ | 50,337,133 | |||||||
Total Repurchase Agreements (Cost $94,700,781) | 94,700,781 | ||||||||||
Total Investments (Cost $603,378,464) — 101.4% | 621,011,807 | ||||||||||
Liabilities in excess of other assets — (1.4%) | (8,550,218 | ) | |||||||||
Net Assets — 100.0% | $ | 612,461,589 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $19,254,036. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $22,146,247. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $3,850,807. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
67
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra S&P500® (continued)
*****Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $51,343,887. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 33,718,569 | |||||
Aggregate gross unrealized depreciation | (21,169,572 | ) | |||||
Net unrealized appreciation | $ | 12,548,997 | |||||
Federal income tax cost of investments | $ | 608,462,810 |
Futures Contracts Purchased
Ultra S&P500® had the following open long futures contracts as of November 30, 2007:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation | ||||||||||||||||
E-Mini S&P 500 Futures Contracts | 903 | December - 07 | $ | 67,036,463 | $ | 1,870,631 |
Cash collateral in the amount of $3,911,262 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.
Swap Agreements
Ultra S&P500® had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07 | $ | 392,303,041 | $ | (10,607,150 | ) | ||||||
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07 | 151,432,213 | 690,347 | |||||||||
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07 | 99,557,445 | (2,571,750 | ) | ||||||||
$ | (12,488,553 | ) |
See accompanying notes to the financial statements.
68
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra MidCap400
Shares | Value | ||||||||||
Common Stocks (a) — 88.3% | |||||||||||
Consumer Discretionary — 12.6% | |||||||||||
2,949 | 99 Cents Only Stores* | $ | 23,769 | ||||||||
6,293 | Advance Auto Parts, Inc. | 226,296 | |||||||||
4,844 | Aeropostale, Inc.* | 123,764 | |||||||||
13,505 | American Eagle Outfitters, Inc. | 309,129 | |||||||||
3,497 | American Greetings Corp., Class A | 81,340 | |||||||||
3,910 | AnnTaylor Stores Corp.* | 119,060 | |||||||||
4,542 | ArvinMeritor, Inc. | 45,920 | |||||||||
3,186 | Barnes & Noble, Inc. | 122,502 | |||||||||
5,523 | Belo Corp., Class A | 91,461 | |||||||||
1,613 | Blyth, Inc. | 31,728 | |||||||||
2,222 | Bob Evans Farms, Inc. | 68,527 | |||||||||
3,697 | Borders Group, Inc. | 46,250 | |||||||||
3,641 | BorgWarner, Inc. | 351,757 | |||||||||
3,527 | Boyd Gaming Corp. | 136,565 | |||||||||
6,608 | Brinker International, Inc. | 152,182 | |||||||||
4,165 | Callaway Golf Co. | 71,055 | |||||||||
5,731 | Career Education Corp.* | 164,652 | |||||||||
13,677 | Carmax, Inc.* | 312,793 | |||||||||
1,537 | CBRL Group, Inc. | 51,428 | |||||||||
7,701 | Charming Shoppes, Inc.* | 42,587 | |||||||||
4,534 | Cheesecake Factory (The)* | 105,597 | |||||||||
11,061 | Chico's FAS, Inc.* | 125,100 | |||||||||
2,063 | Chipotle Mexican Grill, Inc., Class A* | 274,688 | |||||||||
3,883 | Coldwater Creek, Inc.* | 32,035 | |||||||||
4,118 | Collective Brands, Inc.* | 63,129 | |||||||||
5,316 | Corinthian Colleges, Inc.* | 92,817 | |||||||||
3,753 | DeVry, Inc. | 206,340 | |||||||||
5,211 | Dick's Sporting Goods, Inc.* | 162,896 | |||||||||
5,981 | Dollar Tree Stores, Inc.* | 171,416 | |||||||||
1,661 | Entercom Communications Corp., Class A | 27,058 | |||||||||
9,700 | Foot Locker, Inc. | 126,585 | |||||||||
3,037 | Furniture Brands International, Inc. | 30,765 | |||||||||
9,994 | GameStop Corp., Class A* | 574,155 | |||||||||
9,033 | Gentex Corp. | 179,034 | |||||||||
2,979 | Getty Images, Inc.* | 86,838 | |||||||||
3,430 | Guess?, Inc. | 160,970 | |||||||||
6,026 | Hanesbrands, Inc.* | 170,114 | |||||||||
3,110 | Harte-Hanks, Inc. | 52,248 | |||||||||
2,306 | Hovnanian Enterprises, Inc., Class A* | 17,433 | |||||||||
1,962 | International Speedway Corp., Class A | 83,601 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,877 | ITT Educational Services, Inc.* | $ | 212,364 | ||||||||
2,808 | John Wiley & Sons, Inc., Class A | 118,357 | |||||||||
5,135 | Lamar Advertising Co., Class A | 267,071 | |||||||||
4,844 | Lear Corp.* | 142,607 | |||||||||
2,496 | Lee Enterprises, Inc. | 34,944 | |||||||||
2,113 | Life Time Fitness, Inc.* | 114,778 | |||||||||
1,967 | Matthews International Corp., Class A | 86,823 | |||||||||
2,189 | MDC Holdings, Inc. | 77,469 | |||||||||
1,422 | Media General, Inc., Class A | 35,223 | |||||||||
2,067 | Modine Manufacturing Co. | 42,043 | |||||||||
3,464 | Mohawk Industries, Inc.* | 278,644 | |||||||||
3,103 | NetFlix, Inc.* | 71,679 | |||||||||
323 | NVR, Inc.* | 158,916 | |||||||||
7,216 | O'Reilly Automotive, Inc.* | 237,118 | |||||||||
4,399 | Pacific Sunwear of California* | 72,056 | |||||||||
8,457 | PetSmart, Inc. | 240,855 | |||||||||
3,548 | Phillips-Van Heusen | 150,506 | |||||||||
2,775 | Regis Corp. | 81,557 | |||||||||
4,346 | Rent-A-Center, Inc.* | 61,539 | |||||||||
8,616 | Ross Stores, Inc. | 227,290 | |||||||||
3,247 | Ruby Tuesday, Inc. | 42,568 | |||||||||
2,630 | Ryland Group, Inc. | 60,490 | |||||||||
9,012 | Saks, Inc. * | 185,647 | |||||||||
1,634 | Scholastic Corp.* | 57,582 | |||||||||
4,078 | Scientific Games Corp.* | 132,086 | |||||||||
18,041 | Service Corp. International | 239,585 | |||||||||
4,161 | Sotheby's | 155,829 | |||||||||
911 | Strayer Education, Inc. | 164,764 | |||||||||
2,173 | Thor Industries, Inc. | 76,598 | |||||||||
3,158 | Timberland Co., Class A* | 51,412 | |||||||||
7,979 | Toll Brothers, Inc.* | 164,926 | |||||||||
3,881 | Tupperware Brands Corp. | 135,369 | |||||||||
7,086 | Urban Outfitters, Inc.* | 185,653 | |||||||||
3,009 | Valassis Communications, Inc.* | 37,101 | |||||||||
2,859 | Warnaco Group, Inc. (The)* | 105,497 | |||||||||
364 | Washington Post Co. (The), Class B | 293,566 | |||||||||
5,661 | Williams-Sonoma, Inc. | 164,792 | |||||||||
10,280,888 | |||||||||||
Consumer Staples — 2.9% | |||||||||||
5,291 | Alberto-Culver Co. | 135,238 | |||||||||
4,090 | BJ's Wholesale Club, Inc.* | 153,171 |
See accompanying notes to the financial statements.
69
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra MidCap400 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
4,141 | Church & Dwight Co., Inc. | $ | 232,393 | ||||||||
4,671 | Corn Products International, Inc. | 183,710 | |||||||||
3,579 | Energizer Holdings, Inc.* | 406,682 | |||||||||
3,717 | Hansen Natural Corp.* | 161,355 | |||||||||
4,547 | Hormel Foods Corp. | 180,743 | |||||||||
3,614 | JM Smucker Co. (The) | 177,556 | |||||||||
1,374 | Lancaster Colony Corp. | 52,926 | |||||||||
3,556 | NBTY, Inc.* | 106,218 | |||||||||
3,722 | PepsiAmericas, Inc. | 125,990 | |||||||||
2,322 | Ruddick Corp. | 83,104 | |||||||||
7,339 | Smithfield Foods, Inc.* | 220,537 | |||||||||
1,694 | Tootsie Roll Industries, Inc. | 41,740 | |||||||||
1,720 | Universal Corp. | 92,330 | |||||||||
2,353,693 | |||||||||||
Energy — 8.0% | |||||||||||
8,992 | Arch Coal, Inc. | 340,437 | |||||||||
2,105 | Bill Barrett Corp.* | 81,253 | |||||||||
6,830 | Cameron International Corp.* | 636,761 | |||||||||
5,223 | Cimarex Energy Co. | 201,764 | |||||||||
7,669 | Denbury Resources, Inc.* | 408,911 | |||||||||
3,342 | Encore Acquisition Co.* | 108,782 | |||||||||
4,134 | Exterran Holdings, Inc.* | 330,885 | |||||||||
8,142 | FMC Technologies, Inc.* | 452,532 | |||||||||
5,528 | Forest Oil Corp.* | 260,258 | |||||||||
6,733 | Frontier Oil Corp. | 297,599 | |||||||||
8,061 | Grant Prideco, Inc.* | 387,734 | |||||||||
6,489 | Helmerich & Payne, Inc. | 224,195 | |||||||||
8,166 | Newfield Exploration Co.* | 407,075 | |||||||||
1,786 | Overseas Shipholding Group, Inc. | 127,878 | |||||||||
9,842 | Patterson-UTI Energy, Inc. | 185,522 | |||||||||
7,625 | Pioneer Natural Resources Co. | 339,846 | |||||||||
7,089 | Plains Exploration & Production Co.* | 357,356 | |||||||||
10,480 | Pride International, Inc.* | 345,526 | |||||||||
3,203 | Quicksilver Resources, Inc.* | 162,072 | |||||||||
10,697 | Southwestern Energy Co.* | 532,390 | |||||||||
5,119 | Superior Energy Services* | 178,653 | |||||||||
3,504 | Tidewater, Inc. | 171,311 | |||||||||
6,538,740 | |||||||||||
Financials — 13.1% | |||||||||||
6,278 | AMB Property Corp. (REIT) | 383,963 | |||||||||
4,724 | American Financial Group, Inc. | 138,035 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
7,195 | AmeriCredit Corp.* | $ | 82,527 | ||||||||
5,989 | Arthur J. Gallagher & Co. | 157,391 | |||||||||
7,987 | Associated Banc-Corp. | 217,326 | |||||||||
5,167 | Astoria Financial Corp. | 129,382 | |||||||||
3,107 | Bank of Hawaii Corp. | 161,782 | |||||||||
3,191 | BRE Properties, Inc. (REIT) | 142,159 | |||||||||
7,143 | Brown & Brown, Inc. | 175,718 | |||||||||
3,527 | Camden Property Trust (REIT) | 185,555 | |||||||||
3,140 | Cathay General Bancorp | 90,997 | |||||||||
2,572 | City National Corp. | 165,688 | |||||||||
9,636 | Colonial BancGroup, Inc. (The) | 153,405 | |||||||||
2,856 | Commerce Group, Inc. | 102,673 | |||||||||
2,346 | Cousins Properties, Inc. (REIT) | 55,764 | |||||||||
3,712 | Cullen/Frost Bankers, Inc. | 195,288 | |||||||||
9,046 | Duke Realty Corp. (REIT) | 237,819 | |||||||||
7,767 | Eaton Vance Corp. | 339,884 | |||||||||
2,320 | Equity One, Inc. (REIT) | 54,914 | |||||||||
3,972 | Everest Re Group Ltd. | 416,782 | |||||||||
13,882 | Fidelity National Financial, Inc., Class A | 216,837 | |||||||||
6,018 | First American Corp. | 205,695 | |||||||||
1,664 | First Community Bancorp, Inc. | 74,863 | |||||||||
6,621 | First Niagara Financial Group, Inc. | 82,299 | |||||||||
5,057 | FirstMerit Corp. | 104,225 | |||||||||
3,261 | Hanover Insurance Group, Inc. (The) | 147,071 | |||||||||
7,076 | HCC Insurance Holdings, Inc. | 217,516 | |||||||||
5,090 | Health Care REIT, Inc. (REIT) | 228,083 | |||||||||
3,590 | Highwoods Properties, Inc. (REIT) | 113,911 | |||||||||
2,711 | Horace Mann Educators Corp. | 53,027 | |||||||||
5,899 | Hospitality Properties Trust (REIT) | 215,549 | |||||||||
5,058 | IndyMac Bancorp, Inc. | 48,304 | |||||||||
7,038 | Jefferies Group, Inc. | 179,891 | |||||||||
2,352 | Jones Lang LaSalle, Inc. | 197,733 | |||||||||
5,735 | Liberty Property Trust (REIT) | 179,563 | |||||||||
4,516 | Macerich Co. (The) (REIT) | 350,667 | |||||||||
4,269 | Mack-Cali Realty Corp. (REIT) | 152,361 | |||||||||
2,235 | Mercury General Corp. | 115,974 | |||||||||
5,716 | Nationwide Health Properties, Inc. (REIT) | 178,796 | |||||||||
19,723 | New York Community Bancorp, Inc. | 367,045 | |||||||||
14,552 | Old Republic International Corp. | 218,426 | |||||||||
5,098 | PMI Group, Inc. (The) | 67,447 | |||||||||
2,453 | Potlatch Corp. (REIT) | 112,617 |
See accompanying notes to the financial statements.
70
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
4,408 | Protective Life Corp. | $ | 182,403 | ||||||||
5,052 | Radian Group, Inc. | 57,290 | |||||||||
5,928 | Raymond James Financial, Inc. | 192,541 | |||||||||
4,892 | Rayonier, Inc. (REIT) | 226,891 | |||||||||
6,351 | Realty Income Corp. (REIT) | 181,004 | |||||||||
4,368 | Regency Centers Corp. (REIT) | 290,210 | |||||||||
7,999 | SEI Investments Co. | 248,129 | |||||||||
3,112 | Stancorp Financial Group, Inc. | 162,104 | |||||||||
2,161 | SVB Financial Group* | 111,248 | |||||||||
6,861 | TCF Financial Corp. | 133,172 | |||||||||
8,467 | UDR, Inc. (REIT) | 186,528 | |||||||||
3,295 | Unitrin, Inc. | 152,427 | |||||||||
5,266 | Waddell & Reed Financial, Inc. | 179,992 | |||||||||
5,490 | Washington Federal, Inc. | 128,850 | |||||||||
3,434 | Webster Financial Corp. | 115,691 | |||||||||
4,835 | Weingarten Realty Investors (REIT) | 172,368 | |||||||||
1,868 | Westamerica Bancorporation | 87,815 | |||||||||
4,273 | Wilmington Trust Corp. | 152,632 | |||||||||
10,356 | WR Berkley Corp. | 316,687 | |||||||||
10,692,934 | |||||||||||
Health Care — 11.0% | |||||||||||
3,799 | Advanced Medical Optics, Inc.* | 95,811 | |||||||||
4,305 | Affymetrix, Inc.* | 89,759 | |||||||||
2,747 | Apria Healthcare Group, Inc.* | 59,527 | |||||||||
3,890 | Beckman Coulter, Inc. | 275,140 | |||||||||
4,202 | Cephalon, Inc.* | 314,814 | |||||||||
4,124 | Cerner Corp.* | 246,409 | |||||||||
4,267 | Charles River Laboratories International, Inc.* | 271,083 | |||||||||
6,025 | Community Health Systems, Inc.* | 201,356 | |||||||||
4,003 | Covance, Inc.* | 349,582 | |||||||||
9,552 | Dentsply International, Inc. | 408,635 | |||||||||
3,599 | Edwards Lifesciences Corp.* | 177,971 | |||||||||
8,423 | Endo Pharmaceuticals Holdings, Inc.* | 230,874 | |||||||||
3,326 | Gen-Probe, Inc.* | 222,476 | |||||||||
15,236 | Health Management Associates, Inc., Class A | 103,757 | |||||||||
6,991 | Health Net, Inc.* | 339,623 | |||||||||
5,597 | Henry Schein, Inc.* | 331,063 | |||||||||
3,892 | Hillenbrand Industries, Inc. | 209,545 | |||||||||
7,197 | Hologic, Inc.* | 477,809 | |||||||||
2,372 | Intuitive Surgical, Inc.* | 777,257 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
2,910 | Invitrogen Corp.* | $ | 282,299 | ||||||||
1,877 | Kindred Healthcare, Inc.* | 46,118 | |||||||||
3,372 | Kinetic Concepts, Inc.* | 197,734 | |||||||||
3,648 | LifePoint Hospitals, Inc.* | 115,423 | |||||||||
5,038 | Lincare Holdings, Inc.* | 172,249 | |||||||||
3,508 | Medicis Pharmaceutical Corp., Class A | 94,365 | |||||||||
20,137 | Millennium Pharmaceuticals, Inc.* | 296,819 | |||||||||
7,643 | Omnicare, Inc. | 194,744 | |||||||||
2,229 | Par Pharmaceutical Cos., Inc.* | 42,886 | |||||||||
7,342 | PDL BioPharma, Inc.* | 130,027 | |||||||||
4,887 | Perrigo Co. | 151,008 | |||||||||
6,566 | Pharmaceutical Product Development, Inc. | 278,004 | |||||||||
3,414 | Psychiatric Solutions, Inc.* | 124,713 | |||||||||
4,869 | Resmed, Inc.* | 223,000 | |||||||||
6,743 | Sepracor, Inc.* | 178,892 | |||||||||
4,084 | STERIS Corp. | 114,189 | |||||||||
2,483 | Techne Corp.* | 161,767 | |||||||||
3,387 | Universal Health Services, Inc., Class B | 172,568 | |||||||||
5,778 | Valeant Pharmaceuticals International* | 66,736 | |||||||||
1,917 | Varian, Inc.* | 134,286 | |||||||||
5,278 | VCA Antech, Inc.* | 216,556 | |||||||||
1,838 | Ventana Medical Systems, Inc.* | 163,251 | |||||||||
8,280 | Vertex Pharmaceuticals, Inc.* | 210,229 | |||||||||
2,621 | WellCare Health Plans, Inc.* | 101,983 | |||||||||
9,052,337 | |||||||||||
Industrials — 13.3% | |||||||||||
5,748 | AGCO Corp.* | 396,267 | |||||||||
5,758 | Airtran Holdings, Inc.* | 48,885 | |||||||||
2,544 | Alaska Air Group, Inc.* | 64,440 | |||||||||
2,701 | Alexander & Baldwin, Inc. | 138,777 | |||||||||
2,111 | Alliant Techsystems, Inc.* | 246,628 | |||||||||
6,727 | Ametek, Inc. | 295,988 | |||||||||
6,521 | Avis Budget Group, Inc.* | 98,011 | |||||||||
3,048 | Brink's Co. (The) | 195,011 | |||||||||
3,920 | Carlisle Cos., Inc. | 156,055 | |||||||||
4,723 | ChoicePoint, Inc.* | 178,766 | |||||||||
2,878 | Con-way, Inc. | 121,682 | |||||||||
4,532 | Copart, Inc.* | 169,316 | |||||||||
2,273 | Corporate Executive Board Co. | 152,496 | |||||||||
3,185 | Crane Co. | 143,134 |
See accompanying notes to the financial statements.
71
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra MidCap400 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
3,280 | Deluxe Corp. | $ | 103,615 | ||||||||
4,485 | Donaldson Co., Inc. | 209,808 | |||||||||
2,584 | DRS Technologies, Inc. | 152,999 | |||||||||
3,698 | Dun & Bradstreet Corp. | 329,973 | |||||||||
7,948 | Fastenal Co. | 315,059 | |||||||||
3,014 | Federal Signal Corp. | 34,661 | |||||||||
3,583 | Flowserve Corp. | 337,125 | |||||||||
3,011 | GATX Corp. | 111,497 | |||||||||
4,124 | Graco, Inc. | 153,578 | |||||||||
2,214 | Granite Construction, Inc. | 90,818 | |||||||||
5,290 | Harsco Corp. | 317,770 | |||||||||
3,865 | Herman Miller, Inc. | 106,094 | |||||||||
3,012 | HNI Corp. | 110,028 | |||||||||
3,726 | Hubbell, Inc., Class B | 204,669 | |||||||||
5,114 | IDEX Corp. | 182,570 | |||||||||
5,501 | JB Hunt Transport Services, Inc. | 144,621 | |||||||||
11,313 | JetBlue Airways Corp.* | 79,191 | |||||||||
6,790 | Joy Global, Inc. | 393,820 | |||||||||
10,619 | KBR, Inc.* | 422,849 | |||||||||
1,477 | Kelly Services, Inc., Class A | 28,137 | |||||||||
2,448 | Kennametal, Inc. | 191,066 | |||||||||
3,039 | Korn/Ferry International* | 52,362 | |||||||||
2,695 | Lincoln Electric Holdings, Inc. | 188,030 | |||||||||
5,319 | Manpower, Inc. | 324,991 | |||||||||
1,844 | Mine Safety Appliances Co. | 90,374 | |||||||||
2,986 | MSC Industrial Direct Co. | 129,055 | |||||||||
2,803 | Navigant Consulting, Inc.* | 36,383 | |||||||||
2,121 | Nordson Corp. | 111,989 | |||||||||
4,654 | Oshkosh Truck Corp. | 223,811 | |||||||||
6,270 | Pentair, Inc. | 212,678 | |||||||||
10,669 | Quanta Services, Inc.* | 292,117 | |||||||||
10,318 | Republic Services, Inc. | 342,248 | |||||||||
1,793 | Rollins, Inc. | 52,786 | |||||||||
5,566 | Roper Industries, Inc. | 353,163 | |||||||||
460 | Sequa Corp., Class A* | 80,477 | |||||||||
3,423 | SPX Corp. | 348,325 | |||||||||
5,506 | Stericycle, Inc.* | 324,028 | |||||||||
2,475 | Teleflex, Inc. | 149,317 | |||||||||
3,187 | Thomas & Betts Corp.* | 173,245 | |||||||||
5,963 | Timken Co. | 190,160 | |||||||||
5,096 | Trinity Industries, Inc. | 128,980 | |||||||||
4,589 | United Rentals, Inc.* | 106,786 | |||||||||
5,200 | URS Corp.* | 298,948 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
3,065 | Wabtec Corp. | $ | 104,026 | ||||||||
2,888 | Werner Enterprises, Inc. | 50,684 | |||||||||
3,624 | YRC Worldwide, Inc.* | 64,181 | |||||||||
10,854,548 | |||||||||||
Information Technology — 13.2% | |||||||||||
25,105 | 3Com Corp.* | 108,203 | |||||||||
2,304 | ACI Worldwide, Inc.* | 52,600 | |||||||||
17,940 | Activision, Inc.* | 397,371 | |||||||||
4,346 | Acxiom Corp. | 53,543 | |||||||||
7,384 | ADC Telecommunications, Inc.* | 122,279 | |||||||||
3,830 | Adtran, Inc. | 83,073 | |||||||||
1,099 | Advent Software, Inc.* | 55,785 | |||||||||
4,947 | Alliance Data Systems Corp.* | 384,382 | |||||||||
11,186 | Amphenol Corp., Class A | 484,913 | |||||||||
9,804 | Andrew Corp.* | 143,727 | |||||||||
7,776 | Arrow Electronics, Inc.* | 287,790 | |||||||||
28,222 | Atmel Corp.* | 123,895 | |||||||||
9,418 | Avnet, Inc.* | 324,921 | |||||||||
3,175 | Avocent Corp.* | 79,057 | |||||||||
8,748 | Broadridge Financial Solutions, Inc. | 199,192 | |||||||||
17,440 | Cadence Design Systems, Inc.* | 289,504 | |||||||||
5,547 | Checkfree Corp.* | 264,037 | |||||||||
3,875 | CommScope, Inc.* | 156,937 | |||||||||
5,326 | Cree, Inc.* | 131,179 | |||||||||
2,232 | CSG Systems International, Inc.* | 36,984 | |||||||||
9,701 | Cypress Semiconductor Corp.* | 322,267 | |||||||||
4,135 | Diebold, Inc. | 140,425 | |||||||||
2,522 | Digital River, Inc.* | 97,526 | |||||||||
3,349 | DST Systems, Inc.* | 283,828 | |||||||||
2,577 | Dycom Industries, Inc.* | 72,517 | |||||||||
5,293 | F5 Networks, Inc.* | 139,841 | |||||||||
3,590 | Fair Isaac Corp. | 132,686 | |||||||||
7,807 | Fairchild Semiconductor International, Inc.* | 123,819 | |||||||||
4,376 | Gartner, Inc.* | 82,663 | |||||||||
5,087 | Global Payments, Inc. | 219,860 | |||||||||
8,635 | Harris Corp. | 542,019 | |||||||||
2,148 | Imation Corp. | 43,110 | |||||||||
9,184 | Ingram Micro, Inc.* | 182,762 | |||||||||
12,333 | Integrated Device Technology, Inc.* | 149,599 | |||||||||
4,557 | International Rectifier Corp.* | 148,194 | |||||||||
8,367 | Intersil Corp., Class A | 208,673 |
See accompanying notes to the financial statements.
72
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
4,937 | Jack Henry & Associates, Inc. | $ | 132,114 | ||||||||
5,263 | Kemet Corp.* | 32,631 | |||||||||
8,488 | Lam Research Corp.* | 389,175 | |||||||||
3,449 | Macrovision Corp.* | 85,949 | |||||||||
10,025 | McAfee, Inc.* | 390,474 | |||||||||
5,629 | Mentor Graphics Corp.* | 61,300 | |||||||||
5,583 | Metavante Technologies, Inc.* | 127,181 | |||||||||
5,208 | MoneyGram International, Inc. | 80,411 | |||||||||
6,395 | MPS Group, Inc.* | 70,984 | |||||||||
3,600 | National Instruments Corp. | 120,132 | |||||||||
11,343 | NCR Corp.* | 271,551 | |||||||||
4,802 | NeuStar, Inc., Class A* | 152,560 | |||||||||
6,539 | Palm, Inc. | 45,577 | |||||||||
7,217 | Parametric Technology Corp.* | 120,524 | |||||||||
3,020 | Plantronics, Inc. | 81,087 | |||||||||
5,747 | Polycom, Inc.* | 139,480 | |||||||||
8,216 | Powerwave Technologies, Inc.* | 34,014 | |||||||||
18,135 | RF Micro Devices, Inc.* | 104,820 | |||||||||
3,994 | Semtech Corp.* | 60,948 | |||||||||
3,469 | Silicon Laboratories, Inc.* | 128,839 | |||||||||
2,661 | SRA International, Inc., Class A* | 72,752 | |||||||||
5,742 | Sybase, Inc.* | 147,225 | |||||||||
9,107 | Synopsys, Inc.* | 224,123 | |||||||||
3,471 | Tech Data Corp.* | 130,544 | |||||||||
8,738 | TriQuint Semiconductor, Inc.* | 51,816 | |||||||||
6,305 | Valueclick, Inc.* | 149,050 | |||||||||
11,710 | Vishay Intertechnology, Inc.* | 146,258 | |||||||||
13,762 | Western Digital Corp.* | 380,244 | |||||||||
4,812 | Wind River Systems, Inc.* | 49,131 | |||||||||
4,339 | Zebra Technologies Corp.* | 167,355 | |||||||||
10,817,410 | |||||||||||
Materials — 6.7% | |||||||||||
4,979 | Airgas, Inc. | 246,361 | |||||||||
4,982 | Albemarle Corp. | 219,906 | |||||||||
4,254 | Cabot Corp. | 146,423 | |||||||||
3,246 | Carpenter Technology Corp. | 244,911 | |||||||||
3,009 | CF Industries Holdings, Inc. | 273,759 | |||||||||
15,182 | Chemtura Corp. | 113,865 | |||||||||
2,578 | Cleveland-Cliffs, Inc. | 232,536 | |||||||||
7,522 | Commercial Metals Co. | 232,505 | |||||||||
2,638 | Cytec Industries, Inc. | 161,815 | |||||||||
2,730 | Ferro Corp. | 57,849 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
4,781 | FMC Corp. | $ | 261,616 | ||||||||
6,561 | Louisiana-Pacific Corp. | 100,908 | |||||||||
4,340 | Lubrizol Corp. | 278,368 | |||||||||
15,927 | Lyondell Chemical Co. | 751,754 | |||||||||
2,626 | Martin Marietta Materials, Inc. | 353,328 | |||||||||
1,211 | Minerals Technologies, Inc. | 81,016 | |||||||||
4,644 | Olin Corp. | 97,245 | |||||||||
5,825 | Packaging Corp. of America | 164,789 | |||||||||
4,170 | Reliance Steel & Aluminum Co. | 215,130 | |||||||||
7,615 | RPM International, Inc. | 145,066 | |||||||||
2,758 | Scotts Miracle-Gro Co. (The), Class A | 101,798 | |||||||||
2,961 | Sensient Technologies Corp. | 81,931 | |||||||||
6,335 | Sonoco Products Co. | 192,457 | |||||||||
6,549 | Steel Dynamics, Inc. | 329,480 | |||||||||
5,772 | Terra Industries, Inc.* | 218,066 | |||||||||
6,319 | Valspar Corp. | 142,430 | |||||||||
1 | Vulcan Materials Co. | 63 | |||||||||
4,334 | Worthington Industries, Inc. | 91,837 | |||||||||
5,537,212 | |||||||||||
Telecommunication Services — 0.6% | |||||||||||
15,591 | Cincinnati Bell, Inc.* | 74,213 | |||||||||
6,695 | Telephone & Data Systems, Inc. | 416,764 | |||||||||
490,977 | |||||||||||
Utilities — 6.9% | |||||||||||
4,882 | AGL Resources, Inc. | 181,024 | |||||||||
7,034 | Alliant Energy Corp. | 292,052 | |||||||||
8,331 | Aqua America, Inc. | 184,448 | |||||||||
23,553 | Aquila, Inc.* | 93,270 | |||||||||
2,372 | Black Hills Corp. | 98,817 | |||||||||
7,136 | DPL, Inc. | 216,078 | |||||||||
4,509 | Energen Corp. | 287,404 | |||||||||
9,946 | Energy East Corp. | 274,907 | |||||||||
7,644 | Equitable Resources, Inc. | 404,062 | |||||||||
5,410 | Great Plains Energy, Inc. | 160,569 | |||||||||
5,186 | Hawaiian Electric Industries, Inc. | 120,056 | |||||||||
2,784 | Idacorp, Inc. | 97,885 | |||||||||
11,444 | MDU Resources Group, Inc. | 312,307 | |||||||||
5,250 | National Fuel Gas Co. | 250,162 | |||||||||
9,734 | Northeast Utilities | 307,400 | |||||||||
6,712 | NSTAR | 234,920 |
See accompanying notes to the financial statements.
73
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra MidCap400 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
5,766 | OGE Energy Corp. | $ | 205,270 | ||||||||
6,528 | Oneok, Inc. | 303,552 | |||||||||
4,822 | PNM Resources, Inc. | 106,952 | |||||||||
7,354 | Puget Energy, Inc. | 206,427 | |||||||||
7,331 | SCANA Corp. | 312,374 | |||||||||
13,927 | Sierra Pacific Resources | 239,544 | |||||||||
4,808 | Vectren Corp. | 141,163 | |||||||||
5,749 | Westar Energy, Inc. | 148,957 | |||||||||
3,099 | WGL Holdings, Inc. | 102,391 | |||||||||
7,349 | Wisconsin Energy Corp. | 351,576 | |||||||||
5,633,567 | |||||||||||
Total Common Stock (Cost $73,157,292) | 72,252,306 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements —15.2% | |||||||||||
$ | 2,471,862 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $2,472,818 ** | 2,471,862 | ||||||||
2,843,171 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $2,844,249 *** | 2,843,171 | |||||||||
494,372 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $494,559 **** | 494,372 | |||||||||
6,591,632 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $6,594,131 ***** | 6,591,632 | |||||||||
Total Repurchase Agreements (Cost $12,401,037) | 12,401,037 | ||||||||||
Total Investments (Cost $85,558,329) — 103.5% | 84,653,343 | ||||||||||
Liabilities in excess of other assets — (3.5%) | (2,870,928 | ) | |||||||||
Net Assets — 100.0% | $ | 81,782,415 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,521,310. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,900,044. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $504,262. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $6,723,465. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 5,252,825 | |||||
Aggregate gross unrealized depreciation | (7,407,799 | ) | |||||
Net unrealized depreciation | $ | (2,154,974 | ) | ||||
Federal income tax cost of investments | $ | 86,808,317 |
See accompanying notes to the financial statements.
74
Futures Contracts Purchased
Ultra MidCap400 had the following open long futures contracts as of November 30, 2007:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation | ||||||||||||||||
E-Mini S&P MidCap400 Futures Contracts | 104 | December - 07 | $ | 8,963,760 | $ | 136,909 |
Cash collateral in the amount of $444,647 was pledged for open futures contracts as of November 30, 2007:
Swap Agreements
Ultra MidCap400 had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07 | $ | 61,000,000 | $ | (2,161,871 | ) | ||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07 | 9,015,141 | (640,389 | ) | ||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07 | 7,291,656 | (258,871 | ) | ||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07 | 8,122,500 | (332,062 | ) | ||||||||
$ | (3,393,193 | ) |
See accompanying notes to the financial statements.
75
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra SmallCap600
Shares | Value | ||||||||||
Common Stocks (a) — 91.2% | |||||||||||
Consumer Discretionary — 12.4% | |||||||||||
220 | 4Kids Entertainment, Inc.* | $ | 2,750 | ||||||||
902 | Aaron Rents, Inc. | 18,139 | |||||||||
470 | Arbitron, Inc. | 18,729 | |||||||||
205 | Arctic Cat, Inc. | 2,187 | |||||||||
244 | Ashworth, Inc.* | 930 | |||||||||
306 | Audiovox Corp.* | 3,908 | |||||||||
196 | Bassett Furniture Industries, Inc. | 1,744 | |||||||||
375 | Big 5 Sporting Goods Corp. | 6,161 | |||||||||
264 | Blue Nile, Inc.* | 19,486 | |||||||||
436 | Bright Horizons Family Solutions, Inc.* | 16,476 | |||||||||
736 | Brown Shoe Co., Inc. | 12,490 | |||||||||
255 | Buffalo Wild Wings, Inc.* | 7,372 | |||||||||
489 | Building Materials Holding Corp. | 2,797 | |||||||||
657 | Cabela's, Inc.* | 10,867 | |||||||||
485 | California Pizza Kitchen, Inc.* | 7,716 | |||||||||
542 | Cato Corp. (The), Class A | 8,163 | |||||||||
490 | CEC Entertainment, Inc.* | 13,965 | |||||||||
1,279 | Champion Enterprises, Inc.* | 11,537 | |||||||||
422 | Charlotte Russe Holding, Inc.* | 6,946 | |||||||||
388 | Childrens Place Retail Stores, Inc. (The)* | 11,042 | |||||||||
603 | Christopher & Banks Corp. | 9,720 | |||||||||
952 | CKE Restaurants, Inc. | 13,918 | |||||||||
262 | Coachmen Industries, Inc. | 1,381 | |||||||||
464 | Coinstar, Inc.* | 12,124 | |||||||||
88 | CPI Corp. | 2,443 | |||||||||
1,357 | CROCS, Inc.* | 52,964 | |||||||||
213 | Deckers Outdoor Corp.* | 30,708 | |||||||||
781 | Dress Barn, Inc.* | 11,043 | |||||||||
301 | Drew Industries, Inc.* | 8,223 | |||||||||
499 | Ethan Allen Interiors, Inc. | 14,251 | |||||||||
707 | Finish Line, Class A | 2,651 | |||||||||
1,069 | Fleetwood Enterprises, Inc.* | 5,847 | |||||||||
760 | Fossil, Inc.* | 32,938 | |||||||||
669 | Fred's, Inc., Class A | 6,971 | |||||||||
379 | Genesco, Inc.* | 11,749 | |||||||||
379 | Group 1 Automotive, Inc. | 10,188 | |||||||||
505 | Gymboree Corp.* | 16,847 | |||||||||
378 | Haverty Furniture Cos., Inc. | 3,213 | |||||||||
518 | Hibbett Sports, Inc.* | 11,096 | |||||||||
739 | HOT Topic, Inc.* | 4,663 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
945 | Iconix Brand Group, Inc.* | $ | 21,537 | ||||||||
247 | Ihop Corp. | 12,533 | |||||||||
1,046 | Jack in the Box, Inc.* | 31,328 | |||||||||
468 | Jakks Pacific, Inc.* | 11,812 | |||||||||
415 | Jo-Ann Stores, Inc.* | 6,831 | |||||||||
302 | JOS. A. Bank Clothiers, Inc.* | 7,819 | |||||||||
445 | K-Swiss, Inc., Class A | 8,077 | |||||||||
431 | Kellwood Co. | 6,461 | |||||||||
862 | La-Z-Boy, Inc. | 4,707 | |||||||||
207 | Landry's Restaurants, Inc. | 4,889 | |||||||||
242 | Libbey, Inc. | 3,753 | |||||||||
266 | Lithia Motors, Inc., Class A | 4,150 | |||||||||
1,221 | Live Nation, Inc.* | 16,386 | |||||||||
900 | LKQ Corp.* | 35,739 | |||||||||
206 | M/I Homes, Inc. | 2,066 | |||||||||
322 | Maidenform Brands, Inc.* | 4,209 | |||||||||
360 | Marcus Corp. | 6,487 | |||||||||
313 | MarineMax, Inc.* | 5,118 | |||||||||
886 | Men's Wearhouse, Inc. | 30,585 | |||||||||
437 | Meritage Homes Corp.* | 5,974 | |||||||||
244 | Midas, Inc.* | 3,997 | |||||||||
499 | Monaco Coach Corp. | 4,506 | |||||||||
235 | Monarch Casino & Resort, Inc.* | 6,011 | |||||||||
321 | Movado Group, Inc. | 8,892 | |||||||||
384 | Multimedia Games, Inc.* | 3,049 | |||||||||
79 | National Presto Industries, Inc. | 4,279 | |||||||||
525 | Nautilus, Inc. | 3,019 | |||||||||
369 | O'Charleys, Inc. | 5,502 | |||||||||
259 | Oxford Industries, Inc. | 6,415 | |||||||||
534 | Panera Bread Co., Class A* | 21,397 | |||||||||
358 | Papa John's International, Inc.* | 8,431 | |||||||||
206 | Peet's Coffee & Tea, Inc.* | 5,504 | |||||||||
697 | PEP Boys-Manny Moe & Jack | 7,618 | |||||||||
404 | PetMed Express, Inc.* | 5,147 | |||||||||
430 | PF Chang's China Bistro, Inc.* | 11,004 | |||||||||
995 | Pinnacle Entertainment, Inc.* | 27,313 | |||||||||
594 | Polaris Industries, Inc. | 27,063 | |||||||||
821 | Pool Corp. | 17,504 | |||||||||
150 | Pre-Paid Legal Services, Inc.* | 7,501 | |||||||||
2,047 | Quiksilver, Inc.* | 21,698 | |||||||||
1,349 | Radio One, Inc., Class D* | 2,752 | |||||||||
316 | RC2 Corp.* | 9,189 | |||||||||
279 | Red Robin Gourmet Burgers, Inc.* | 11,037 |
See accompanying notes to the financial statements.
76
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
278 | Russ Berrie & Co., Inc.* | $ | 4,615 | ||||||||
317 | Ruth's Chris Steak House* | 3,836 | |||||||||
755 | Select Comfort Corp.* | 8,033 | |||||||||
587 | Shuffle Master, Inc.* | 7,848 | |||||||||
540 | Skechers U.S.A., Inc., Class A* | 12,231 | |||||||||
113 | Skyline Corp. | 3,831 | |||||||||
516 | Sonic Automotive, Inc., Class A | 11,925 | |||||||||
1,047 | Sonic Corp.* | 25,547 | |||||||||
543 | Spartan Motors, Inc. | 5,419 | |||||||||
689 | Stage Stores, Inc. | 11,658 | |||||||||
283 | Stamps.com, Inc.* | 3,594 | |||||||||
202 | Standard Motor Products, Inc. | 1,497 | |||||||||
1,079 | Standard-Pacific Corp. | 3,733 | |||||||||
474 | Steak N Shake Co. (The)* | 5,484 | |||||||||
439 | Stein Mart, Inc. | 2,379 | |||||||||
378 | Sturm Ruger & Co., Inc.* | 3,496 | |||||||||
385 | Superior Industries International, Inc. | 7,130 | |||||||||
896 | Texas Roadhouse, Inc., Class A* | 11,281 | |||||||||
578 | Tractor Supply Co.* | 23,710 | |||||||||
1,050 | Triarc Cos., Inc., Class B | 8,830 | |||||||||
497 | Tuesday Morning Corp. | 3,698 | |||||||||
513 | Tween Brands, Inc.* | 12,917 | |||||||||
237 | Unifirst Corp. | 8,857 | |||||||||
238 | Universal Electronics, Inc.* | 8,794 | |||||||||
390 | Universal Technical Institute, Inc.* | 6,876 | |||||||||
243 | Volcom, Inc.* | 6,554 | |||||||||
512 | Winnebago Industries | 11,018 | |||||||||
683 | WMS Industries, Inc.* | 22,812 | |||||||||
890 | Wolverine World Wide, Inc. | 22,045 | |||||||||
816 | Zale Corp.* | 14,598 | |||||||||
296 | Zumiez, Inc.* | 8,229 | |||||||||
1,198,107 | |||||||||||
Consumer Staples — 3.1% | |||||||||||
1,478 | Alliance One International, Inc.* | 6,104 | |||||||||
169 | Boston Beer Co., Inc., Class A* | 5,609 | |||||||||
843 | Casey's General Stores, Inc. | 24,447 | |||||||||
1,194 | Central Garden and Pet Co., Class A* | 6,269 | |||||||||
319 | Chattem, Inc.* | 22,620 | |||||||||
1,293 | Flowers Foods, Inc. | 30,036 | |||||||||
327 | Great Atlantic & Pacific Tea Co.* | 9,826 | |||||||||
661 | Hain Celestial Group, Inc.* | 21,866 | |||||||||
233 | J&J Snack Foods Corp. | 7,545 | |||||||||
518 | Lance, Inc. | 10,743 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
528 | Longs Drug Stores Corp. | $ | 27,942 | ||||||||
260 | Mannatech, Inc. | 1,641 | |||||||||
224 | Nash Finch Co. | 7,995 | |||||||||
590 | Performance Food Group Co.* | 16,337 | |||||||||
432 | Ralcorp Holdings, Inc.* | 26,520 | |||||||||
255 | Sanderson Farms, Inc. | 7,920 | |||||||||
363 | Spartan Stores, Inc. | 8,168 | |||||||||
679 | Spectrum Brands, Inc.* | 3,510 | |||||||||
519 | TreeHouse Foods, Inc.* | 12,233 | |||||||||
713 | United Natural Foods, Inc.* | 20,884 | |||||||||
141 | USANA Health Sciences, Inc.* | 5,877 | |||||||||
287 | WD-40 Co. | 11,385 | |||||||||
295,477 | |||||||||||
Energy — 7.1% | |||||||||||
459 | Atwood Oceanics, Inc.* | 40,048 | |||||||||
374 | Basic Energy Services, Inc.* | 7,293 | |||||||||
395 | Bristow Group, Inc.* | 21,725 | |||||||||
1,612 | Cabot Oil & Gas Corp. | 55,485 | |||||||||
338 | CARBO Ceramics, Inc. | 13,419 | |||||||||
451 | Dril-Quip, Inc.* | 25,445 | |||||||||
182 | Gulf Island Fabrication, Inc. | 5,789 | |||||||||
1,520 | Helix Energy Solutions Group, Inc.* | 61,697 | |||||||||
384 | Hornbeck Offshore Services, Inc.* | 15,809 | |||||||||
1,177 | ION Geophysical Corp.* | 18,161 | |||||||||
249 | Lufkin Industries, Inc. | 12,950 | |||||||||
1,351 | Massey Energy Co. | 45,866 | |||||||||
443 | Matrix Service Co.* | 11,558 | |||||||||
302 | NATCO Group, Inc.* | 14,357 | |||||||||
907 | Oceaneering International, Inc.* | 57,876 | |||||||||
442 | Patriot Coal Corp.* | 14,944 | |||||||||
631 | Penn Virginia Corp. | 26,262 | |||||||||
248 | Petroleum Development Corp.* | 12,566 | |||||||||
826 | Pioneer Drilling Co.* | 9,838 | |||||||||
403 | SEACOR Holdings, Inc.* | 36,500 | |||||||||
1,056 | St. Mary Land & Exploration Co. | 41,501 | |||||||||
466 | Stone Energy Corp.* | 21,063 | |||||||||
262 | Superior Well Services, Inc.* | 5,080 | |||||||||
500 | Swift Energy Co.* | 20,255 | |||||||||
1,207 | Tetra Technologies, Inc.* | 19,083 | |||||||||
773 | Unit Corp.* | 34,569 | |||||||||
509 | W-H Energy Services, Inc.* | 25,704 | |||||||||
476 | World Fuel Services Corp. | 15,061 | |||||||||
689,904 |
See accompanying notes to the financial statements.
77
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra SmallCap600 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Financials — 14.4% | |||||||||||
535 | Acadia Realty Trust (REIT) | $ | 14,119 | ||||||||
282 | Alabama National Bancorporation | 21,796 | |||||||||
295 | Anchor Bancorp Wisconsin, Inc. | 7,499 | |||||||||
919 | Bank Mutual Corp. | 9,300 | |||||||||
716 | BankAtlantic Bancorp, Inc., Class A | 2,757 | |||||||||
518 | BankUnited Financial Corp., Class A | 4,134 | |||||||||
621 | Boston Private Financial Holdings, Inc. | 17,102 | |||||||||
992 | Brookline Bancorp, Inc. | 10,168 | |||||||||
474 | Cascade Bancorp | 8,219 | |||||||||
492 | Cash America International, Inc. | 17,702 | |||||||||
507 | Central Pacific Financial Corp. | 10,246 | |||||||||
826 | Chittenden Corp. | 28,935 | |||||||||
782 | Colonial Properties Trust (REIT) | 19,151 | |||||||||
298 | Columbia Banking System, Inc. | 9,181 | |||||||||
496 | Community Bank System, Inc. | 10,004 | |||||||||
548 | Corus Bankshares, Inc. | 5,201 | |||||||||
732 | Delphi Financial Group, Inc. | 28,138 | |||||||||
1,577 | DiamondRock Hospitality Co. (REIT) | 27,314 | |||||||||
434 | Dime Community Bancshares | 5,889 | |||||||||
325 | Downey Financial Corp. | 13,523 | |||||||||
1,046 | East West Bancorp, Inc. | 28,190 | |||||||||
396 | EastGroup Properties, Inc. (REIT) | 18,267 | |||||||||
467 | Entertainment Properties Trust (REIT) | 24,886 | |||||||||
419 | Essex Property Trust, Inc. (REIT) | 43,467 | |||||||||
429 | Financial Federal Corp. | 9,477 | |||||||||
1,263 | First Bancorp | 8,260 | |||||||||
465 | First Cash Financial Services, Inc.* | 7,905 | |||||||||
1,069 | First Commonwealth Financial Corp. | 12,443 | |||||||||
531 | First Financial Bancorp | 6,096 | |||||||||
215 | First Indiana Corp. | 6,848 | |||||||||
824 | First Midwest Bancorp, Inc. | 26,945 | |||||||||
227 | FirstFed Financial Corp.* | 7,950 | |||||||||
612 | Flagstar Bancorp, Inc. | 3,856 | |||||||||
422 | Franklin Bank Corp.* | 1,793 | |||||||||
1,128 | Fremont General Corp. | 2,831 | |||||||||
645 | Frontier Financial Corp. | 12,358 | |||||||||
891 | Glacier Bancorp, Inc. | 17,740 | |||||||||
410 | Hancock Holding Co. | 16,076 | |||||||||
670 | Hanmi Financial Corp. | 6,425 | |||||||||
613 | Hilb Rogal & Hobbs Co. | 26,206 | |||||||||
332 | Independent Bank Corp. | 3,174 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
272 | Infinity Property & Casualty Corp. | $ | 10,632 | ||||||||
967 | Inland Real Estate Corp. (REIT) | 14,138 | |||||||||
739 | Investment Technology Group, Inc.* | 33,758 | |||||||||
311 | Irwin Financial Corp. | 2,528 | |||||||||
544 | Kilroy Realty Corp. (REIT) | 30,404 | |||||||||
481 | Kite Realty Group Trust (REIT) | 7,528 | |||||||||
900 | LaBranche & Co., Inc.* | 4,779 | |||||||||
259 | LandAmerica Financial Group, Inc. | 6,817 | |||||||||
1,066 | Lexington Realty Trust (REIT) | 18,858 | |||||||||
342 | LTC Properties, Inc. (REIT) | 8,051 | |||||||||
825 | Medical Properties Trust, Inc. (REIT) | 9,256 | |||||||||
425 | Mid-America Apartment Communities, Inc. (REIT) | 20,523 | |||||||||
362 | Nara Bancorp, Inc. | 4,829 | |||||||||
1,183 | National Retail Properties, Inc. (REIT) | 28,972 | |||||||||
734 | optionsXpress Holdings, Inc. | 22,321 | |||||||||
265 | Parkway Properties, Inc. (REIT) | 10,486 | |||||||||
963 | Philadelphia Consolidated Holding Co.* | 41,005 | |||||||||
291 | Piper Jaffray Cos.* | 13,479 | |||||||||
251 | Portfolio Recovery Associates, Inc. | 10,110 | |||||||||
359 | Presidential Life Corp. | 6,189 | |||||||||
309 | PrivateBancorp, Inc. | 9,458 | |||||||||
555 | ProAssurance Corp.* | 30,436 | |||||||||
634 | Prosperity Bancshares, Inc. | 20,377 | |||||||||
537 | Provident Bankshares Corp. | 12,593 | |||||||||
266 | PS Business Parks, Inc. (REIT) | 14,351 | |||||||||
447 | Rewards Network, Inc.* | 2,338 | |||||||||
328 | RLI Corp. | 19,559 | |||||||||
270 | Safety Insurance Group, Inc. | 9,858 | |||||||||
138 | SCPIE Holdings, Inc.* | 3,749 | |||||||||
890 | Selective Insurance Group | 20,995 | |||||||||
1,392 | Senior Housing Properties Trust (REIT) | 30,749 | |||||||||
494 | Signature Bank* | 18,303 | |||||||||
1,231 | South Financial Group, Inc. (The) | 22,060 | |||||||||
359 | Sovran Self Storage, Inc. (REIT) | 15,692 | |||||||||
300 | Sterling Bancorp | 4,008 | |||||||||
1,216 | Sterling Bancshares, Inc. | 15,005 | |||||||||
854 | Sterling Financial Corp. | 15,312 | |||||||||
304 | Stewart Information Services Corp. | 8,229 | |||||||||
1,419 | Susquehanna Bancshares, Inc. | 28,224 | |||||||||
374 | SWS Group, Inc. | 5,071 | |||||||||
521 | Tanger Factory Outlet Centers (REIT) | 21,939 | |||||||||
336 | Tower Group, Inc. | 10,893 |
See accompanying notes to the financial statements.
78
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
481 | TradeStation Group, Inc.* | $ | 5,738 | ||||||||
206 | Triad Guaranty, Inc.* | 1,774 | |||||||||
1,249 | Trustco Bank Corp. NY | 13,277 | |||||||||
1,727 | UCBH Holdings, Inc. | 27,770 | |||||||||
1,021 | Umpqua Holdings Corp. | 16,479 | |||||||||
639 | United Bankshares, Inc. | 19,860 | |||||||||
682 | United Community Banks, Inc. | 12,931 | |||||||||
368 | United Fire & Casualty Co. | 11,342 | |||||||||
1,123 | Whitney Holding Corp. | 30,770 | |||||||||
293 | Wilshire Bancorp, Inc. | 2,731 | |||||||||
402 | Wintrust Financial Corp. | 14,199 | |||||||||
291 | World Acceptance Corp.* | 9,187 | |||||||||
617 | Zenith National Insurance Corp. | 25,932 | |||||||||
1,397,423 | |||||||||||
Health Care — 11.9% | |||||||||||
934 | Allscripts Healthcare Solutions, Inc.* | 16,522 | |||||||||
726 | Alpharma, Inc., Class A* | 15,246 | |||||||||
432 | Amedisys, Inc.* | 18,429 | |||||||||
1,199 | American Medical Systems Holdings, Inc.* | 16,390 | |||||||||
873 | AMERIGROUP Corp.* | 30,005 | |||||||||
516 | AMN Healthcare Services, Inc.* | 8,710 | |||||||||
513 | Amsurg Corp.* | 13,266 | |||||||||
220 | Analogic Corp. | 11,840 | |||||||||
574 | Arqule, Inc.* | 3,725 | |||||||||
457 | Arthrocare Corp.* | 24,737 | |||||||||
398 | Biolase Technology, Inc.* | 1,166 | |||||||||
226 | Bradley Pharmaceuticals, Inc.* | 4,450 | |||||||||
474 | Cambrex Corp. | 3,669 | |||||||||
727 | Centene Corp.* | 18,175 | |||||||||
398 | Chemed Corp. | 21,552 | |||||||||
469 | Conmed Corp.* | 11,669 | |||||||||
745 | Cooper Cos., Inc. (The) | 32,057 | |||||||||
533 | Cross Country Healthcare, Inc.* | 7,760 | |||||||||
412 | CryoLife, Inc.* | 2,958 | |||||||||
367 | Cyberonics, Inc.* | 5,006 | |||||||||
215 | Datascope Corp. | 7,867 | |||||||||
311 | Dionex Corp.* | 26,270 | |||||||||
519 | Enzo Biochem, Inc.* | 5,688 | |||||||||
465 | Gentiva Health Services, Inc.* | 8,398 | |||||||||
374 | Greatbatch, Inc.* | 7,697 | |||||||||
441 | Haemonetics Corp.* | 25,582 | |||||||||
610 | HealthExtras, Inc.* | 16,208 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
588 | Healthways, Inc.* | $ | 34,322 | ||||||||
1,142 | Hooper Holmes, Inc.* | 1,861 | |||||||||
214 | ICU Medical, Inc.* | 7,944 | |||||||||
1,032 | Idexx Laboratories, Inc.* | 62,436 | |||||||||
1,151 | Immucor, Inc.* | 38,179 | |||||||||
306 | Integra LifeSciences Holdings Corp.* | 12,684 | |||||||||
532 | Invacare Corp. | 13,832 | |||||||||
537 | inVentiv Health, Inc.* | 15,670 | |||||||||
213 | Kendle International, Inc.* | 9,195 | |||||||||
199 | Kensey Nash Corp.* | 5,365 | |||||||||
317 | LCA-Vision, Inc. | 5,154 | |||||||||
240 | LHC Group, Inc.* | 6,144 | |||||||||
506 | Lifecell Corp.* | 20,518 | |||||||||
537 | Martek Biosciences Corp.* | 13,887 | |||||||||
355 | Matria Healthcare, Inc.* | 8,066 | |||||||||
227 | Medcath Corp.* | 5,770 | |||||||||
563 | Mentor Corp. | 21,163 | |||||||||
662 | Meridian Bioscience, Inc. | 20,423 | |||||||||
461 | Merit Medical Systems, Inc.* | 6,698 | |||||||||
1,332 | MGI Pharma, Inc.* | 46,101 | |||||||||
235 | Molina Healthcare, Inc.* | 8,810 | |||||||||
414 | Noven Pharmaceuticals, Inc.* | 6,554 | |||||||||
549 | Odyssey HealthCare, Inc.* | 5,490 | |||||||||
566 | Omnicell, Inc.* | 14,925 | |||||||||
290 | Osteotech, Inc.* | 2,384 | |||||||||
672 | Owens & Minor, Inc. | 26,389 | |||||||||
306 | Palomar Medical Technologies, Inc.* | 5,367 | |||||||||
460 | Parexel International Corp.* | 20,355 | |||||||||
816 | Pediatrix Medical Group, Inc.* | 52,763 | |||||||||
311 | PharmaNet Development Group, Inc.* | 12,285 | |||||||||
506 | PharMerica Corp.* | 7,453 | |||||||||
700 | Phase Forward, Inc.* | 17,080 | |||||||||
285 | Possis Medical, Inc.* | 4,435 | |||||||||
1,121 | PSS World Medical, Inc.* | 21,501 | |||||||||
1,100 | Regeneron Pharmaceuticals, Inc.* | 23,958 | |||||||||
285 | RehabCare Group, Inc.* | 6,584 | |||||||||
414 | Res-Care, Inc.* | 9,431 | |||||||||
1,228 | Respironics, Inc.* | 60,491 | |||||||||
728 | Savient Pharmaceuticals, Inc.* | 10,236 | |||||||||
587 | Sciele Pharma, Inc.* | 13,102 | |||||||||
934 | Sierra Health Services, Inc.* | 38,995 | |||||||||
746 | Sunrise Senior Living, Inc.* | 23,417 | |||||||||
251 | SurModics, Inc.* | 12,962 |
See accompanying notes to the financial statements.
79
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra SmallCap600 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
590 | Symmetry Medical, Inc.* | $ | 9,936 | ||||||||
553 | Theragenics Corp.* | 2,173 | |||||||||
1,162 | Viropharma, Inc.* | 10,388 | |||||||||
133 | Vital Signs, Inc. | 7,037 | |||||||||
1,154,955 | |||||||||||
Industrials — 15.9% | |||||||||||
629 | AAR Corp.* | 20,770 | |||||||||
731 | ABM Industries, Inc. | 14,912 | |||||||||
727 | Acuity Brands, Inc. | 28,709 | |||||||||
395 | Administaff, Inc. | 12,909 | |||||||||
436 | Albany International Corp. | 16,860 | |||||||||
160 | Angelica Corp. | 2,773 | |||||||||
369 | AO Smith Corp. | 13,059 | |||||||||
481 | Apogee Enterprises, Inc. | 10,688 | |||||||||
611 | Applied Industrial Technologies, Inc. | 18,458 | |||||||||
206 | Applied Signal Technology, Inc. | 2,631 | |||||||||
417 | Arkansas Best Corp. | 9,508 | |||||||||
313 | Astec Industries, Inc.* | 11,756 | |||||||||
337 | ASV, Inc.* | 3,929 | |||||||||
763 | Baldor Electric Co. | 25,751 | |||||||||
748 | Barnes Group, Inc. | 23,158 | |||||||||
751 | Belden, Inc. | 34,584 | |||||||||
444 | Bowne & Co., Inc. | 8,019 | |||||||||
899 | Brady Corp., Class A | 35,987 | |||||||||
827 | Briggs & Stratton Corp. | 18,856 | |||||||||
427 | C&D Technologies, Inc.* | 2,259 | |||||||||
159 | Cascade Corp. | 9,592 | |||||||||
225 | CDI Corp. | 6,001 | |||||||||
454 | Ceradyne, Inc.* | 22,446 | |||||||||
829 | Clarcor, Inc. | 29,521 | |||||||||
201 | Consolidated Graphics, Inc.* | 10,398 | |||||||||
258 | Cubic Corp. | 10,186 | |||||||||
740 | Curtiss-Wright Corp. | 39,916 | |||||||||
283 | EDO Corp. | 15,797 | |||||||||
1,072 | EMCOR Group, Inc.* | 28,558 | |||||||||
359 | EnPro Industries, Inc.* | 10,985 | |||||||||
487 | Esterline Technologies Corp.* | 25,431 | |||||||||
490 | Forward Air Corp. | 15,861 | |||||||||
610 | Frontier Airlines Holdings, Inc.* | 3,721 | |||||||||
354 | G&K Services, Inc., Class A | 14,397 | |||||||||
890 | Gardner Denver, Inc.* | 29,468 | |||||||||
937 | GenCorp, Inc.* | 11,338 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
497 | Gibraltar Industries, Inc. | $ | 6,948 | ||||||||
438 | Griffon Corp.* | 5,659 | |||||||||
692 | Healthcare Services Group | 15,155 | |||||||||
965 | Heartland Express, Inc. | 14,021 | |||||||||
302 | Heidrick & Struggles International, Inc. | 10,954 | |||||||||
657 | HUB Group, Inc., Class A* | 17,135 | |||||||||
454 | Insituform Technologies, Inc.* | 5,897 | |||||||||
912 | Interface, Inc., Class A | 15,905 | |||||||||
408 | Kaman Corp. | 13,015 | |||||||||
1,279 | Kansas City Southern* | 44,036 | |||||||||
470 | Kaydon Corp. | 23,787 | |||||||||
889 | Kirby Corp.* | 42,734 | |||||||||
964 | Knight Transportation, Inc. | 14,653 | |||||||||
732 | Labor Ready, Inc.* | 11,017 | |||||||||
913 | Landstar System, Inc. | 36,319 | |||||||||
70 | Lawson Products | 2,368 | |||||||||
1,065 | Lennox International, Inc. | 36,040 | |||||||||
194 | Lindsay Corp. | 10,266 | |||||||||
274 | Lydall, Inc.* | 2,655 | |||||||||
503 | Magnetek, Inc.* | 2,208 | |||||||||
478 | Mesa Air Group, Inc.* | 1,807 | |||||||||
574 | Mobile Mini, Inc.* | 11,032 | |||||||||
707 | Moog, Inc., Class A* | 31,872 | |||||||||
617 | Mueller Industries, Inc. | 18,652 | |||||||||
334 | NCI Building Systems, Inc.* | 11,466 | |||||||||
472 | Old Dominion Freight Line, Inc.* | 10,634 | |||||||||
587 | On Assignment, Inc.* | 3,751 | |||||||||
519 | Regal-Beloit Corp. | 24,434 | |||||||||
285 | Robbins & Myers, Inc. | 19,522 | |||||||||
299 | School Specialty, Inc.* | 10,671 | |||||||||
1,344 | Shaw Group, Inc. (The)* | 85,236 | |||||||||
621 | Simpson Manufacturing Co., Inc. | 16,525 | |||||||||
1,035 | Skywest, Inc. | 27,231 | |||||||||
935 | Spherion Corp.* | 7,274 | |||||||||
210 | Standard Register Co. (The) | 2,535 | |||||||||
207 | Standex International Corp. | 3,950 | |||||||||
583 | Teledyne Technologies, Inc.* | 31,610 | |||||||||
971 | Tetra Tech, Inc.* | 20,119 | |||||||||
661 | Toro Co. | 36,785 | |||||||||
387 | Tredegar Corp. | 5,596 | |||||||||
277 | Triumph Group, Inc. | 22,509 | |||||||||
416 | United Stationers, Inc.* | 21,075 | |||||||||
317 | Universal Forest Products, Inc. | 9,069 |
See accompanying notes to the financial statements.
80
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
288 | Valmont Industries, Inc. | $ | 22,605 | ||||||||
350 | Viad Corp. | 10,853 | |||||||||
318 | Vicor Corp. | 4,592 | |||||||||
228 | Volt Information Sciences, Inc.* | 2,900 | |||||||||
504 | Wabash National Corp. | 3,483 | |||||||||
1,133 | Waste Connections, Inc.* | 36,063 | |||||||||
410 | Watsco, Inc. | 14,862 | |||||||||
703 | Watson Wyatt Worldwide, Inc., Class A | 32,373 | |||||||||
522 | Watts Water Technologies, Inc., Class A | 15,274 | |||||||||
494 | Woodward Governor Co. | 33,859 | |||||||||
1,540,183 | |||||||||||
Information Technology — 17.9% | |||||||||||
434 | Actel Corp.* | 4,757 | |||||||||
1,979 | Adaptec, Inc.* | 6,630 | |||||||||
595 | Advanced Energy Industries, Inc.* | 8,633 | |||||||||
445 | Agilysys, Inc. | 6,181 | |||||||||
1,082 | AMIS Holdings, Inc.* | 8,299 | |||||||||
521 | Anixter International, Inc.* | 33,604 | |||||||||
265 | Ansoft Corp.* | 7,688 | |||||||||
1,294 | Ansys, Inc.* | 50,285 | |||||||||
1,832 | Arris Group, Inc.* | 19,108 | |||||||||
572 | ATMI, Inc.* | 17,211 | |||||||||
576 | Avid Technology, Inc.* | 15,281 | |||||||||
1,700 | Axcelis Technologies, Inc.* | 8,058 | |||||||||
214 | Bankrate, Inc.* | 8,376 | |||||||||
198 | Bel Fuse, Inc., Class B | 5,924 | |||||||||
506 | Bell Microproducts, Inc.* | 2,834 | |||||||||
1,201 | Benchmark Electronics, Inc.* | 21,558 | |||||||||
292 | Black Box Corp. | 10,746 | |||||||||
734 | Blackbaud, Inc. | 20,890 | |||||||||
539 | Blue Coat Systems, Inc.* | 19,517 | |||||||||
851 | Brightpoint, Inc.* | 14,135 | |||||||||
1,172 | Brooks Automation, Inc.* | 15,740 | |||||||||
837 | C-COR, Inc.* | 10,278 | |||||||||
397 | Cabot Microelectronics Corp.* | 14,848 | |||||||||
499 | CACI International, Inc., Class A* | 22,650 | |||||||||
454 | Captaris, Inc.* | 1,843 | |||||||||
157 | Catapult Communications Corp.* | 1,138 | |||||||||
655 | Checkpoint Systems, Inc.* | 15,563 | |||||||||
908 | Ciber, Inc.* | 6,193 | |||||||||
720 | Cognex Corp. | 14,594 | |||||||||
520 | Coherent, Inc.* | 14,960 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
381 | Cohu, Inc. | $ | 5,963 | ||||||||
386 | Comtech Telecommunications Corp.* | 19,169 | |||||||||
713 | Concur Technologies, Inc.* | 26,780 | |||||||||
597 | CTS Corp. | 6,310 | |||||||||
1,136 | Cybersource Corp.* | 16,597 | |||||||||
532 | Cymer, Inc.* | 21,849 | |||||||||
554 | Daktronics, Inc. | 12,925 | |||||||||
488 | DealerTrack Holdings, Inc.* | 20,759 | |||||||||
420 | Digi International, Inc.* | 6,460 | |||||||||
516 | Diodes, Inc.* | 15,181 | |||||||||
425 | Ditech Networks, Inc.* | 1,373 | |||||||||
540 | DSP Group, Inc.* | 7,306 | |||||||||
469 | Electro Scientific Industries, Inc.* | 9,497 | |||||||||
971 | Epicor Software Corp.* | 10,506 | |||||||||
442 | EPIQ Systems, Inc.* | 7,700 | |||||||||
816 | Exar Corp.* | 7,499 | |||||||||
716 | Factset Research Systems, Inc. | 44,879 | |||||||||
276 | FARO Technologies, Inc.* | 7,457 | |||||||||
602 | FEI Co.* | 14,996 | |||||||||
1,103 | Flir Systems, Inc.* | 75,809 | |||||||||
386 | Gerber Scientific, Inc.* | 3,667 | |||||||||
388 | Gevity HR, Inc. | 1,649 | |||||||||
1,528 | Harmonic, Inc.* | 15,845 | |||||||||
434 | Hutchinson Technology, Inc.* | 11,419 | |||||||||
1,448 | Informatica Corp.* | 24,833 | |||||||||
552 | Infospace, Inc. | 9,831 | |||||||||
817 | Insight Enterprises, Inc.* | 16,185 | |||||||||
359 | Intevac, Inc.* | 5,636 | |||||||||
505 | Itron, Inc.* | 39,163 | |||||||||
825 | j2 Global Communications, Inc.* | 20,064 | |||||||||
435 | JDA Software Group, Inc.* | 9,109 | |||||||||
235 | Keithley Instruments, Inc. | 2,232 | |||||||||
461 | Knot, Inc. (The)* | 6,085 | |||||||||
1,130 | Kopin Corp.* | 4,068 | |||||||||
897 | Kulicke & Soffa Industries, Inc.* | 6,351 | |||||||||
372 | Littelfuse, Inc.* | 12,406 | |||||||||
313 | LoJack Corp.* | 5,481 | |||||||||
433 | Manhattan Associates, Inc.* | 11,747 | |||||||||
323 | Mantech International Corp., Class A* | 12,497 | |||||||||
369 | MAXIMUS, Inc. | 14,391 | |||||||||
377 | Mercury Computer Systems, Inc.* | 5,527 | |||||||||
633 | Methode Electronics, Inc. | 7,628 | |||||||||
929 | Micrel, Inc. | 8,287 |
See accompanying notes to the financial statements.
81
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra SmallCap600 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
678 | Micros Systems, Inc.* | $ | 48,911 | ||||||||
1,269 | Microsemi Corp.* | 29,035 | |||||||||
536 | MIVA, Inc.* | 1,544 | |||||||||
843 | MKS Instruments, Inc.* | 15,317 | |||||||||
298 | MTS Systems Corp. | 12,215 | |||||||||
772 | Napster, Inc.* | 2,146 | |||||||||
583 | Netgear, Inc.* | 19,758 | |||||||||
445 | Network Equipment Technologies, Inc.* | 5,536 | |||||||||
617 | Newport Corp.* | 8,181 | |||||||||
537 | Novatel Wireless, Inc.* | 8,345 | |||||||||
338 | Park Electrochemical Corp. | 9,954 | |||||||||
374 | PC-Tel, Inc.* | 2,801 | |||||||||
496 | Perficient, Inc.* | 8,318 | |||||||||
433 | Pericom Semiconductor Corp.* | 7,175 | |||||||||
445 | Phoenix Technologies Ltd.* | 6,052 | |||||||||
277 | Photon Dynamics, Inc.* | 2,493 | |||||||||
697 | Photronics, Inc.* | 7,172 | |||||||||
292 | Planar Systems, Inc.* | 1,659 | |||||||||
772 | Plexus Corp.* | 22,975 | |||||||||
693 | Progress Software Corp.* | 21,920 | |||||||||
290 | Quality Systems, Inc. | 8,581 | |||||||||
437 | Radiant Systems, Inc.* | 6,979 | |||||||||
367 | Radisys Corp.* | 5,703 | |||||||||
295 | Rogers Corp.* | 12,998 | |||||||||
485 | Rudolph Technologies, Inc.* | 5,796 | |||||||||
431 | Scansource, Inc.* | 15,206 | |||||||||
957 | Secure Computing Corp.* | 8,680 | |||||||||
219 | SI International, Inc.* | 5,685 | |||||||||
2,670 | Skyworks Solutions, Inc.* | 24,244 | |||||||||
499 | Smith Micro Software, Inc.* | 3,997 | |||||||||
433 | Sonic Solutions, Inc.* | 4,300 | |||||||||
317 | SPSS, Inc.* | 11,456 | |||||||||
386 | Standard Microsystems Corp.* | 13,614 | |||||||||
189 | Startek, Inc.* | 1,847 | |||||||||
348 | Stratasys, Inc.* | 8,696 | |||||||||
230 | Supertex, Inc.* | 7,808 | |||||||||
543 | SYKES Enterprises, Inc.* | 10,024 | |||||||||
773 | Symmetricom, Inc.* | 3,332 | |||||||||
437 | Synaptics, Inc.* | 24,271 | |||||||||
276 | SYNNEX Corp.* | 5,702 | |||||||||
1,232 | Take-Two Interactive Software, Inc.* | 18,455 | |||||||||
681 | Technitrol, Inc. | 18,230 | |||||||||
1,110 | THQ, Inc.* | 27,139 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
221 | Tollgrade Communications, Inc.* | $ | 1,755 | ||||||||
1,977 | Trimble Navigation Ltd.* | 73,287 | |||||||||
703 | TTM Technologies, Inc.* | 8,499 | |||||||||
575 | Tyler Technologies, Inc.* | 8,659 | |||||||||
388 | Ultratech, Inc.* | 4,648 | |||||||||
1,123 | United Online, Inc. | 16,890 | |||||||||
1,273 | Varian Semiconductor Equipment Associates, Inc.* | 52,842 | |||||||||
528 | Veeco Instruments, Inc.* | 8,860 | |||||||||
431 | Viasat, Inc.* | 14,374 | |||||||||
748 | Websense, Inc.* | 12,222 | |||||||||
662 | Wright Express Corp.* | 25,123 | |||||||||
479 | X-Rite, Inc.* | 5,954 | |||||||||
1,728,001 | |||||||||||
Materials — 4.1% | |||||||||||
269 | AM Castle & Co. | 6,752 | |||||||||
371 | AMCOL International Corp. | 14,091 | |||||||||
1,144 | Aptargroup, Inc. | 48,288 | |||||||||
408 | Arch Chemicals, Inc. | 16,789 | |||||||||
339 | Brush Engineered Materials, Inc.* | 15,163 | |||||||||
650 | Buckeye Technologies, Inc.* | 9,282 | |||||||||
485 | Caraustar Industries, Inc.* | 2,003 | |||||||||
484 | Century Aluminum Co.* | 27,753 | |||||||||
331 | Chesapeake Corp. | 2,019 | |||||||||
177 | Deltic Timber Corp. | 8,523 | |||||||||
573 | Georgia Gulf Corp. | 4,263 | |||||||||
1,012 | HB Fuller Co. | 25,594 | |||||||||
703 | Headwaters, Inc.* | 8,436 | |||||||||
211 | Material Sciences Corp.* | 1,745 | |||||||||
468 | Myers Industries, Inc. | 9,341 | |||||||||
249 | Neenah Paper, Inc. | 7,515 | |||||||||
500 | OM Group, Inc.* | 28,145 | |||||||||
701 | Omnova Solutions, Inc.* | 3,610 | |||||||||
150 | Penford Corp. | 3,630 | |||||||||
1,549 | PolyOne Corp.* | 9,712 | |||||||||
168 | Quaker Chemical Corp. | 3,659 | |||||||||
619 | Quanex Corp. | 30,975 | |||||||||
587 | Rock-Tenn Co., Class A | 15,485 | |||||||||
384 | RTI International Metals, Inc.* | 28,201 | |||||||||
454 | Schulman (A.), Inc. | 9,788 | |||||||||
261 | Schweitzer-Mauduit International, Inc. | 6,969 | |||||||||
455 | Texas Industries, Inc. | 31,568 |
See accompanying notes to the financial statements.
82
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
690 | Tronox, Inc., Class B | $ | 5,589 | ||||||||
842 | Wausau Paper Corp. | 7,940 | |||||||||
363 | Zep, Inc.* | 4,766 | |||||||||
397,594 | |||||||||||
Telecommunication Services — 0.1% | |||||||||||
760 | General Communication, Inc., Class A* | 6,734 | |||||||||
Utilities — 4.3% | |||||||||||
429 | Allete, Inc. | 17,572 | |||||||||
284 | American States Water Co. | 11,829 | |||||||||
1,484 | Atmos Energy Corp. | 38,866 | |||||||||
879 | Avista Corp. | 18,793 | |||||||||
170 | Central Vermont Public Service Corp. | 4,702 | |||||||||
226 | CH Energy Group, Inc. | 10,016 | |||||||||
997 | Cleco Corp. | 27,856 | |||||||||
764 | El Paso Electric Co.* | 19,642 | |||||||||
360 | Laclede Group, Inc. (The) | 12,388 | |||||||||
467 | New Jersey Resources Corp. | 23,560 | |||||||||
442 | Northwest Natural Gas Co. | 21,203 | |||||||||
1,233 | Piedmont Natural Gas Co. | 32,107 | |||||||||
491 | South Jersey Industries, Inc. | 18,118 | |||||||||
1,998 | Southern Union Co. | 59,640 | |||||||||
706 | Southwest Gas Corp. | 20,417 | |||||||||
1,774 | UGI Corp. | 46,905 | |||||||||
419 | UIL Holdings Corp. | 15,009 | |||||||||
588 | Unisource Energy Corp. | 18,187 | |||||||||
416,810 | |||||||||||
Total Common Stock (Cost $9,208,147) | 8,825,188 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 15.2% | |||||||||||
$ | 293,643 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $293,757 ** | 293,643 | ||||||||
337,753 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $337,881 *** | 337,753 |
Principal Amount | Value | ||||||||||
Repurchase Agreements (continued) | |||||||||||
$ | 58,729 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $58,751 **** | $ | 58,729 | |||||||
783,048 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $783,345 ***** | 783,048 | |||||||||
Total Repurchase Agreements (Cost $1,473,173) | 1,473,173 | ||||||||||
Total Investments (Cost $10,681,320) — 106.4% | 10,298,361 | ||||||||||
Liabilities in excess of other assets — (6.4%) | (623,491 | ) | |||||||||
Net Assets — 100.0% | $ | 9,674,870 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $299,517. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $344,509. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $59,903. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
83
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra SmallCap600 (continued)
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $798,710. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 908,976 | |||||
Aggregate gross unrealized depreciation | (1,315,024 | ) | |||||
Net unrealized depreciation | $ | (406,048 | ) | ||||
Federal income tax cost of investments | $ | 10,704,409 |
Swap Agreements
Ultra SmallCap600 had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the S&P SmallCap 600 Index, expiring 12/27/07 | $ | 3,499,378 | $ | (211,680 | ) | ||||||
Equity Index Swap Agreement based on the S&P SmallCap 600 Index, expiring 12/27/07 | 7,500,000 | (316,430 | ) | ||||||||
$ | (528,110 | ) |
See accompanying notes to the financial statements.
84
Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 89.7% | |||||||||||||||
1,557 | Alexandria Real Estate Equities, Inc. (REIT) (Financials) | 0.2 | % | $ | 152,944 | ||||||||||
1,779 | Alexion Pharmaceuticals, Inc.* (Health Care) | 0.2 | % | 129,369 | |||||||||||
7,608 | Andrew Corp.* (Information Technology) | 0.2 | % | 111,533 | |||||||||||
3,787 | Ansys, Inc.* (Information Technology) | 0.2 | % | 147,163 | |||||||||||
3,381 | Aptargroup, Inc. (Materials) | 0.2 | % | 142,712 | |||||||||||
4,306 | Aspen Insurance Holdings Ltd. (Financials) | 0.2 | % | 124,013 | |||||||||||
1,339 | Atwood Oceanics, Inc.* (Energy) | 0.2 | % | 116,828 | |||||||||||
4,680 | BioMarin Pharmaceutical, Inc.* (Health Care) | 0.2 | % | 128,700 | |||||||||||
1,827 | Bucyrus International, Inc. (Industrials) | 0.2 | % | 160,246 | |||||||||||
2,705 | CF Industries Holdings, Inc. (Materials) | 0.3 | % | 246,101 | |||||||||||
1,602 | Chipotle Mexican Grill, Inc., Class B* (Consumer Discretionary) | 0.2 | % | 185,063 | |||||||||||
2,164 | Curtiss-Wright Corp. (Industrials) | 0.2 | % | 116,726 | |||||||||||
2,929 | DeVry, Inc. (Consumer Discretionary) | 0.2 | % | 161,036 | |||||||||||
1,757 | Equinix, Inc.* (Information Technology) | 0.2 | % | 182,921 | |||||||||||
2,947 | Exterran Holdings, Inc.* (Energy) | 0.3 | % | 235,878 | |||||||||||
3,239 | Flir Systems, Inc.* (Information Technology) | 0.3 | % | 222,616 | |||||||||||
7,117 | Foundry Networks, Inc.* (Information Technology) | 0.2 | % | 125,473 | |||||||||||
2,315 | FTI Consulting, Inc.* (Industrials) | 0.2 | % | 131,955 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
1,390 | Genlyte Group, Inc.* (Industrials) | 0.2 | % | $ | 131,007 | ||||||||||
5,696 | Hercules, Inc. (Materials) | 0.1 | % | 110,559 | |||||||||||
4,608 | Hexcel Corp. (Industrials) | 0.2 | % | 117,366 | |||||||||||
5,977 | Hologic, Inc.* (Health Care) | 0.6 | % | 396,813 | |||||||||||
2,619 | Illumina, Inc.* (Health Care) | 0.2 | % | 151,352 | |||||||||||
3,365 | Immucor, Inc.* (Health Care) | 0.2 | % | 111,617 | |||||||||||
1,900 | International Securities Exchange Holdings, Inc. (Financials) | 0.2 | % | 127,661 | |||||||||||
3,289 | Inverness Medical Innovations, Inc.* (Health Care) | 0.2 | % | 192,999 | |||||||||||
1,466 | Itron, Inc.* (Information Technology) | 0.2 | % | 113,688 | |||||||||||
3,746 | Lear Corp.* (Consumer Discretionary) | 0.1 | % | 110,282 | |||||||||||
2,749 | LKQ Corp.* (Consumer Discretionary) | 0.1 | % | 109,163 | |||||||||||
3,897 | MGI Pharma, Inc.* (Health Care) | 0.2 | % | 134,875 | |||||||||||
1,980 | Micros Systems, Inc.* (Information Technology) | 0.2 | % | 142,837 | |||||||||||
4,360 | Nationwide Health Properties, Inc. (REIT) (Financials) | 0.2 | % | 136,381 | |||||||||||
6,437 | Nuance Communications, Inc.* (Information Technology) | 0.2 | % | 129,899 | |||||||||||
2,673 | Onyx Pharmaceuticals, Inc.* (Health Care) | 0.2 | % | 145,785 | |||||||||||
2,817 | OSI Pharmaceuticals, Inc.* (Health Care) | 0.2 | % | 131,357 | |||||||||||
3,755 | Perrigo Co. (Health Care) | 0.2 | % | 116,030 | |||||||||||
8,285 | PetroHawk Energy Corp.* (Energy) | 0.2 | % | 135,046 | |||||||||||
1,851 | priceline.com, Inc.* (Consumer Discretionary) | 0.3 | % | 210,644 |
See accompanying notes to the financial statements.
85
Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 (continued)
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
4,935 | Realty Income Corp. (REIT) (Financials) | 0.2 | % | $ | 140,647 | ||||||||||
6,259 | SAIC, Inc.* (Information Technology) | 0.2 | % | 124,804 | |||||||||||
3,228 | Sotheby's (Consumer Discretionary) | 0.2 | % | 120,889 | |||||||||||
710 | Strayer Education, Inc. (Consumer Discretionary) | 0.2 | % | 128,411 | |||||||||||
4,462 | Sybase, Inc.* (Information Technology) | 0.2 | % | 114,406 | |||||||||||
4,536 | Terra Industries, Inc.* (Materials) | 0.2 | % | 171,370 | |||||||||||
7,069 | Time Warner Telecom, Inc., Class A* (Telecommunication Services) | 0.2 | % | 158,558 | |||||||||||
4,877 | Valueclick, Inc.* (Information Technology) | 0.2 | % | 115,292 | |||||||||||
1,311 | Ventana Medical Systems, Inc.* (Health Care) | 0.2 | % | 116,443 | |||||||||||
4,100 | Waddell & Reed Financial, Inc. (Financials) | 0.2 | % | 140,138 | |||||||||||
4,883 | Westar Energy, Inc. (Utilities) | 0.2 | % | 126,519 | |||||||||||
3,230,054 | Other Common Stocks | 79.4 | % | 55,637,963 | |||||||||||
Total Common Stock (Cost $65,481,424) | 62,872,078 | ||||||||||||||
Principal Amount | |||||||||||||||
Repurchase Agreements — 13.4% | |||||||||||||||
$ | 1,870,259 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $1,870,982 ** | 1,870,259 | ||||||||||||
2,151,200 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $2,152,016 *** | 2,151,200 | |||||||||||||
374,052 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $374,194 **** | 374,052 |
Principal Amount | Value | ||||||||||||||
Repurchase Agreements (continued) | |||||||||||||||
$ | 4,987,359 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $4,989,250 ***** | $ | 4,987,359 | |||||||||||
Total Repurchase Agreements (Cost $9,382,870) | 9,382,870 | ||||||||||||||
Total Investments (Cost $74,864,294) — 103.1% | 72,254,948 | ||||||||||||||
Liabilities in excess of other assets — (3.1)% | (2,204,881 | ) | |||||||||||||
Net Assets — 100.0% | $ | 70,050,067 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $1,907,673. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,194,231. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $381,535. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
86
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $5,087,107. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 3,091,127 | |||||
Aggregated gross unrealized depreciation | (6,328,784 | ) | |||||
Net unrealized depreciation | $ | (3,237,657 | ) | ||||
Federal income tax cost of investments | $ | 75,492,605 |
Futures Contracts Purchased
Ultra Russell2000 had the following open long futures contracts as of November 30, 2007:
Number of Contracts | Expiration Date | Notional Value | Unrealized Depreciation | ||||||||||||||||
E-Mini Russell 2000 Index® Futures Contracts | 91 | December - 07 | $ | 6,983,340 | $ | (18,675 | ) |
Cash collateral in the amount of $402,036 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.
Swap Agreements
Ultra Russell 2000 had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07 | $ | 30,492,065 | $ | (678,678 | ) | ||||||
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07 | 42,000,000 | (1,860,592 | ) | ||||||||
$ | (2,539,270 | ) |
Ultra Russell2000 invested, as a percentage of net assets, in the following industries, as of November 30, 2007:
Consumer Discretionary | 12.5 | % | |||||
Consumer Staples | 2.7 | % | |||||
Energy | 5.7 | % | |||||
Financials | 17.7 | % | |||||
Health Care | 12.5 | % | |||||
Industrials | 13.2 | % | |||||
Information Technology | 16.6 | % | |||||
Materials | 4.8 | % | |||||
Telecommunication Services | 1.3 | % | |||||
Utilities | 2.7 | % | |||||
Other1 | 10.3 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
87
Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell1000 Value
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 92.3% | |||||||||||||||
1,038 | Alcoa, Inc. (Materials) | 0.4 | % | $ | 37,752 | ||||||||||
681 | Allstate Corp. (The) (Financials) | 0.4 | % | 34,813 | |||||||||||
1,077 | Altria Group, Inc. (Consumer Staples) | 0.9 | % | 83,532 | |||||||||||
2,489 | American International Group, Inc. (Financials) | 1.6 | % | 144,686 | |||||||||||
395 | Apache Corp. (Energy) | 0.4 | % | 38,232 | |||||||||||
7,361 | AT&T, Inc. (Telecommunication Services) | 3.1 | % | 281,264 | |||||||||||
5,298 | Bank of America Corp (Financials) | 2.7 | % | 244,397 | |||||||||||
882 | Bank of New York Mellon Corp. (The) (Financials) | 0.5 | % | 42,301 | |||||||||||
2,566 | Chevron Corp. (Energy) | 2.4 | % | 225,218 | |||||||||||
5,906 | Citigroup, Inc. (Financials) | 2.1 | % | 196,670 | |||||||||||
938 | Coca-Cola Co. (The) (Consumer Staples) | 0.6 | % | 58,250 | |||||||||||
1,952 | ConocoPhillips (Energy) | 1.7 | % | 156,238 | |||||||||||
256 | Deere & Co. (Industrials) | 0.5 | % | 43,981 | |||||||||||
532 | Devon Energy Corp. (Energy) | 0.5 | % | 44,055 | |||||||||||
1,138 | Dow Chemical Co. (The) (Materials) | 0.5 | % | 47,728 | |||||||||||
927 | EI Du Pont de Nemours & Co. (Materials) | 0.5 | % | 42,781 | |||||||||||
440 | Exelon Corp. (Utilities) | 0.4 | % | 35,671 | |||||||||||
5,353 | Exxon Mobil Corp. (Energy) | 5.2 | % | 477,273 | |||||||||||
1,162 | Fannie Mae (Financials) | 0.5 | % | 44,644 | |||||||||||
416 | General Dynamics Corp. (Industrials) | 0.4 | % | 36,932 | |||||||||||
10,919 | General Electric Co. (Industrials) | 4.5 | % | 418,088 | |||||||||||
275 | Goldman Sachs Group, Inc. (The) (Financials) | 0.7 | % | 62,326 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
378 | Hartford Financial Services Group, Inc. (Financials) | 0.4 | % | $ | 36,031 | ||||||||||
333 | International Business Machines Corp. (Information Technology) | 0.4 | % | 35,025 | |||||||||||
2,161 | Johnson & Johnson (Health Care) | 1.6 | % | 146,386 | |||||||||||
4,078 | JPMorgan Chase & Co. (Financials) | 2.0 | % | 186,038 | |||||||||||
1,915 | Kraft Foods, Inc. (Consumer Staples) | 0.7 | % | 66,163 | |||||||||||
636 | Lehman Brothers Holdings, Inc. (Financials) | 0.4 | % | 39,833 | |||||||||||
859 | Marathon Oil Corp. (Energy) | 0.5 | % | 48,018 | |||||||||||
1,130 | McDonald's Corp. (Consumer Discretionary) | 0.7 | % | 66,071 | |||||||||||
787 | Merrill Lynch & Co., Inc. (Financials) | 0.5 | % | 47,173 | |||||||||||
563 | MetLife, Inc. (Financials) | 0.4 | % | 36,927 | |||||||||||
1,186 | Morgan Stanley (Financials) | 0.7 | % | 62,526 | |||||||||||
2,763 | Motorola, Inc. (Information Techology) | 0.5 | % | 44,125 | |||||||||||
995 | Occidental Petroleum Corp. (Energy) | 0.8 | % | 69,421 | |||||||||||
8,379 | Pfizer, Inc. (Health Care) | 2.2 | % | 199,085 | |||||||||||
2,270 | Procter & Gamble Co. (Consumer Staples) | 1.8 | % | 167,980 | |||||||||||
420 | Prudential Financial, Inc. (Financials) | 0.4 | % | 39,539 | |||||||||||
3,358 | Sprint Nextel Corp. (Telecommunication Services) | 0.6 | % | 52,116 | |||||||||||
3,850 | Time Warner, Inc. (Consumer Discretionary) | 0.7 | % | 66,451 | |||||||||||
793 | Travelers Cos., Inc. (The) (Financials) | 0.5 | % | 42,116 | |||||||||||
463 | United Technologies Corp. (Industrials) | 0.3 | % | 34,618 |
See accompanying notes to the financial statements.
88
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
2,076 | �� | U.S. Bancorp (Financials) | 0.7 | % | $ | 68,695 | |||||||||
3,466 | Verizon Communications, Inc. (Telecommunication Services) | 1.6 | % | 149,766 | |||||||||||
2,373 | Wachovia Corp. (Financials) | 1.1 | % | 102,039 | |||||||||||
766 | Wal-Mart Stores, Inc. (Consumer Staples) | 0.4 | % | 36,691 | |||||||||||
1,327 | Walt Disney Co. (The) (Consumer Discretionary) | 0.5 | % | 43,990 | |||||||||||
4,056 | Wells Fargo & Co. (Financials) | 1.4 | % | 131,536 | |||||||||||
761 | Wyeth (Health Care) | 0.4 | % | 37,365 | |||||||||||
108,050 | Other Common Stocks | 39.6 | % | 3,639,773 | |||||||||||
Total Common Stock (Cost $8,885,064) | 8,492,329 | ||||||||||||||
Principal Amount | | ||||||||||||||
Repurchase Agreements — 19.4% | |||||||||||||||
$ | 356,608 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $356,746 ** | 356,608 | ||||||||||||
410,175 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $410,331 *** | 410,175 | |||||||||||||
71,322 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $71,349 **** | 71,322 | |||||||||||||
950,954 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $951,315 ***** | 950,954 | |||||||||||||
Total Repurchase Agreements (Cost $1,789,059) | 1,789,059 | ||||||||||||||
Total Investments (Cost $10,674,123) — 111.7% | 10,281,388 | ||||||||||||||
Liabilities in excess of other assets — (11.7)% | (1,078,812 | ) | |||||||||||||
Net Assets — 100.0% | $ | 9,202,576 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $363,742. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $418,380. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $72,748. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $969,974. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 502,889 | |||||
Aggregate gross unrealized depreciation | (1,022,040 | ) | |||||
Net unrealized depreciation | $ | (519,151 | ) | ||||
Federal income tax cost of investments | $ | 10,800,539 |
See accompanying notes to the financial statements.
89
Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell1000 Value (continued)
Swap Agreements
Ultra Russell1000 Value had the following open swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on Russell 1000® Value Index, expiring 12/27/07 | $ | 10,126,379 | $ | (264,110 | ) |
Ultra Russell1000 Value invested, as a percentage of net assets, in the following industries as of November 30, 2007:
Consumer Discretionary | 6.9 | % | |||||
Consumer Staples | 8.0 | % | |||||
Energy | 13.9 | % | |||||
Financials | 28.0 | % | |||||
Health Care | 6.9 | % | |||||
Industrials | 9.8 | % | |||||
Information Technology | 3.1 | % | |||||
Materials | 3.9 | % | |||||
Telecommunication Services | 5.7 | % | |||||
Utilities | 6.1 | % | |||||
Other 1 | 7.7 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
90
Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell1000 Growth
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 90.4% | |||||||||||||||
1,768 | 3M Co. (Industrials) | 0.7 | % | $ | 147,204 | ||||||||||
4,040 | Abbott Laboratories (Health Care) | 1.0 | % | 232,340 | |||||||||||
3,150 | Altria Group, Inc. (Consumer Staples) | 1.1 | % | 244,314 | |||||||||||
2,716 | American Express Co. (Financials) | 0.7 | % | 160,190 | |||||||||||
2,038 | Amgen, Inc.* (Health Care) | 0.5 | % | 112,600 | |||||||||||
2,269 | Apple, Inc.* (Information Technology) | 1.8 | % | 413,457 | |||||||||||
1,709 | Baxter International, Inc. (Health Care) | 0.5 | % | 102,318 | |||||||||||
2,065 | Boeing Co. (Industrials) | 0.9 | % | 191,095 | |||||||||||
5,162 | Bristol-Myers Squibb Co. (Health Care) | 0.7 | % | 152,950 | |||||||||||
1,680 | Caterpillar, Inc. (Industrials) | 0.5 | % | 120,792 | |||||||||||
15,925 | Cisco Systems, Inc.* (Information Technology) | 2.0 | % | 446,219 | |||||||||||
3,999 | Coca-Cola Co. (The) (Consumer Staples) | 1.1 | % | 248,338 | |||||||||||
1,237 | Colgate-Palmolive Co. (Consumer Staples) | 0.4 | % | 99,059 | |||||||||||
4,749 | Comcast Corp., Class A* (Consumer Discretionary) | 0.4 | % | 97,544 | |||||||||||
4,125 | Corning, Inc. (Information Technology) | 0.4 | % | 100,196 | |||||||||||
5,958 | Dell, Inc.* (Information Technology) | 0.7 | % | 146,209 | |||||||||||
2,998 | eBay, Inc.* (Information Technology) | 0.4 | % | 100,523 | |||||||||||
5,504 | EMC Corp.* (Information Technology) | 0.5 | % | 106,062 | |||||||||||
1,733 | Emerson Electric Co. (Industrials) | 0.4 | % | 98,816 | |||||||||||
3,014 | Exxon Mobil Corp. (Energy) | 1.2 | % | 268,728 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
2,995 | General Electric Co. (Industrials) | 0.5 | % | $ | 114,679 | ||||||||||
2,449 | Gilead Sciences, Inc.* (Health Care) | 0.5 | % | 113,976 | |||||||||||
469 | Goldman Sachs Group, Inc. (The) (Financials) | 0.5 | % | 106,294 | |||||||||||
601 | Google, Inc., Class A* (Information Technology) | 1.8 | % | 416,493 | |||||||||||
7,020 | Hewlett-Packard Co. (Information Technology) | 1.6 | % | 359,143 | |||||||||||
1,751 | Honeywell International, Inc. (Industrials) | 0.4 | % | 99,142 | |||||||||||
15,239 | Intel Corp. (Information Technology) | 1.8 | % | 397,433 | |||||||||||
2,852 | International Business Machines Corp. (Information Technology) | 1.3 | % | 299,973 | |||||||||||
2,849 | Johnson & Johnson (Health Care) | 0.9 | % | 192,991 | |||||||||||
923 | Lockheed Martin Corp. (Industrials) | 0.5 | % | 102,148 | |||||||||||
3,949 | Lowe's Cos., Inc. (Consumer Discretionary) | 0.4 | % | 96,395 | |||||||||||
3,014 | Medtronic, Inc. (Health Care) | 0.7 | % | 153,262 | |||||||||||
4,696 | Merck & Co., Inc. (Health Care) | 1.2 | % | 278,755 | |||||||||||
21,530 | Microsoft Corp. (Information Technology) | 3.2 | % | 723,408 | |||||||||||
1,428 | Monsanto Co. (Materials) | 0.6 | % | 141,900 | |||||||||||
10,113 | Oracle Corp.* (Information Technology) | 0.9 | % | 204,080 | |||||||||||
4,273 | PepsiCo, Inc. (Consumer Staples) | 1.5 | % | 329,790 | |||||||||||
3,271 | Procter & Gamble Co. (Consumer Staples) | 1.1 | % | 242,054 |
See accompanying notes to the financial statements.
91
Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell1000 Growth (continued)
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
4,372 | Qualcomm, Inc. (Information Technology) | 0.8 | % | $ | 178,290 | ||||||||||
4,248 | Schering-Plough Corp. (Health Care) | 0.6 | % | 132,962 | |||||||||||
3,091 | Schlumberger Ltd. (Energy) | 1.3 | % | 288,854 | |||||||||||
2,243 | Target Corp. (Consumer Discretionary) | 0.6 | % | 134,715 | |||||||||||
3,761 | Texas Instruments, Inc. (Information Technology) | 0.5 | % | 118,735 | |||||||||||
814 | Transocean, Inc. (Energy) | 0.5 | % | 111,804 | |||||||||||
1,761 | United Parcel Service, Inc., Class B (Industrials) | 0.6 | % | 129,750 | |||||||||||
1,591 | United Technologies Corp. (Industrials) | 0.5 | % | 118,959 | |||||||||||
3,515 | UnitedHealth Group, Inc. (Health Care) | 0.9 | % | 193,325 | |||||||||||
2,616 | Walgreen Co. (Consumer Staples) | 0.4 | % | 95,719 | |||||||||||
4,642 | Wal-Mart Stores, Inc. (Consumer Staples) | 1.0 | % | 222,352 | |||||||||||
256,014 | Other Common Stocks | 47.4 | % | 10,693,906 | |||||||||||
Total Common Stock (Cost $19,747,996) | 20,380,241 | ||||||||||||||
Principal Amount | |||||||||||||||
Repurchase Agreements — 14.0% | |||||||||||||||
$ | 630,639 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $630,883 ** | 630,639 | ||||||||||||
725,370 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $725,645 *** | 725,370 | |||||||||||||
126,128 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $126,176 **** | 126,128 |
Principal Amount | Value | ||||||||||||||
Repurchase Agreements (continued) | |||||||||||||||
$ | 1,681,704 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,682,342 ***** | $ | 1,681,704 | |||||||||||
Total Repurchase Agreements (Cost $3,163,841) | 3,163,841 | ||||||||||||||
Total Investments (Cost $22,911,837) — 104.4% | 23,544,082 | ||||||||||||||
Liabilities in excess of other assets — (4.4)% | (982,840 | ) | |||||||||||||
Net Assets — 100.0% | $ | 22,561,242 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $643,254. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $739,880. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $128,651. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
92
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $1,715,338. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,542,322 | |||||
Aggregate gross unrealized depreciation | (935,296 | ) | |||||
Net unrealized appreciation | $ | 607,026 | |||||
Federal income tax cost of investments | $ | 22,937,056 |
Swap Agreements
Ultra Russell1000 Growth had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Russell 1000® Growth Index, expiring 12/27/07 | $ | 8,516,205 | $ | (379,776 | ) | ||||||
Equity Index Swap Agreement based on the Russell 1000® Growth Index, expiring 12/27/07 | 17,000,000 | (533,186 | ) | ||||||||
$ | (912,962 | ) |
Ultra Russell1000 Growth invested, as a percentage of net assets, in the following industries as of November 30, 2007:
Consumer Discretionary | 10.7 | % | |||||
Consumer Staples | 9.4 | % | |||||
Energy | 7.4 | % | |||||
Financials | 6.4 | % | |||||
Health Care | 14.7 | % | |||||
Industrials | 11.7 | % | |||||
Information Technology | 25.1 | % | |||||
Materials | 3.0 | % | |||||
Telecommunication Services | 0.7 | % | |||||
Utilities | 1.3 | % | |||||
Other 1 | 9.6 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
93
Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell MidCap Value
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 90.1% | |||||||||||||||
476 | Air Products & Chemicals, Inc. (Materials) | 0.6 | % | $ | 47,143 | ||||||||||
860 | Ameren Corp. (Utilities) | 0.6 | % | 46,311 | |||||||||||
1,656 | American Electric Power Co., Inc. (Utilities) | 0.9 | % | 78,941 | |||||||||||
977 | Ameriprise Financial, Inc. (Financials) | 0.7 | % | 57,340 | |||||||||||
1,219 | AON Corp. (Financials) | 0.7 | % | 60,913 | |||||||||||
426 | Boston Properties, Inc. (REIT) (Financials) | 0.5 | % | 41,927 | |||||||||||
501 | Bunge Ltd. (Consumer Staples) | 0.7 | % | 56,282 | |||||||||||
719 | Computer Sciences Corp.* (Information Technology) | 0.4 | % | 37,978 | |||||||||||
2,069 | ConAgra Foods, Inc. (Consumer Staples) | 0.6 | % | 51,766 | |||||||||||
1,124 | Consolidated Edison, Inc. (Utilities) | 0.6 | % | 54,458 | |||||||||||
1,505 | CSX Corp. (Industrials) | 0.8 | % | 63,210 | |||||||||||
537 | Eaton Corp. (Industrials) | 0.6 | % | 47,960 | |||||||||||
1,353 | Edison International (Utilities) | 0.9 | % | 75,741 | |||||||||||
2,908 | El Paso Corp. (Energy) | 0.6 | % | 46,761 | |||||||||||
1,126 | Equity Residential (REIT) (Financials) | 0.5 | % | 41,898 | |||||||||||
8,397 | Ford Motor Co.* (Consumer Discretionary) | 0.7 | % | 63,062 | |||||||||||
634 | Fortune Brands, Inc. (Consumer Discretionary) | 0.6 | % | 48,596 | |||||||||||
975 | Gannett Co., Inc. (Consumer Discretionary) | 0.4 | % | 35,831 | |||||||||||
2,490 | Gap, Inc. (The) (Consumer Discretionary) | 0.6 | % | 50,796 | |||||||||||
1,806 | Genworth Financial, Inc. (Financials) | 0.6 | % | 47,389 | |||||||||||
1,153 | Hess Corp. (Energy) | 1.0 | % | 82,117 | |||||||||||
2,168 | Host Hotels & Resorts, Inc. (REIT) (Financials) | 0.5 | % | 41,604 | |||||||||||
1,061 | Ingersoll-Rand Co., Ltd., Class A (Industrials) | 0.6 | % | 54,790 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
660 | ITT Corp. (Industrials) | 0.5 | % | $ | 42,530 | ||||||||||
1,629 | Keycorp (Financials) | 0.5 | % | 42,908 | |||||||||||
345 | L-3 Communications Holdings, Inc. (Industrials) | 0.5 | % | 38,174 | |||||||||||
536 | Liberty Media Corp. - Capital, Class A* (Consumer Discretionary) | 0.8 | % | 63,816 | |||||||||||
961 | Lyondell Chemical Co. (Materials) | 0.5 | % | 45,359 | |||||||||||
781 | Murphy Oil Corp. (Energy) | 0.7 | % | 55,857 | |||||||||||
609 | Noble Energy, Inc. (Energy) | 0.5 | % | 43,872 | |||||||||||
722 | Parker Hannifin Corp. (Industrials) | 0.7 | % | 57,349 | |||||||||||
1,460 | PG&E Corp. (Utilities) | 0.8 | % | 67,554 | |||||||||||
682 | PPG Industries, Inc. (Materials) | 0.6 | % | 46,812 | |||||||||||
1,050 | Principal Financial Group, Inc. (Financials) | 0.8 | % | 68,765 | |||||||||||
1,071 | Progress Energy, Inc. (Utilities) | 0.6 | % | 52,286 | |||||||||||
478 | Public Storage (REIT) (Financials) | 0.4 | % | 36,969 | |||||||||||
6,682 | Qwest Communications International, Inc.* (Telecommunication Services) | 0.5 | % | 44,302 | |||||||||||
1,419 | Reliant Energy, Inc.* (Utilities) | 0.4 | % | 36,951 | |||||||||||
1,834 | Safeway, Inc. (Consumer Staples) | 0.8 | % | 63,823 | |||||||||||
1,402 | Seagate Technology (Information Technology) | 0.4 | % | 36,158 | |||||||||||
1,096 | Sempra Energy (Utilities) | 0.8 | % | 68,632 | |||||||||||
2,624 | Spectra Energy Corp. (Energy) | 0.8 | % | 64,655 | |||||||||||
873 | SUPERVALU, Inc. (Consumer Staples) | 0.4 | % | 36,553 | |||||||||||
491 | United States Steel Corp. (Materials) | 0.6 | % | 47,971 | |||||||||||
1,498 | Unum Group (Financials) | 0.4 | % | 37,210 | |||||||||||
554 | Vornado Realty Trust (REIT) (Financials) | 0.6 | % | 49,860 |
See accompanying notes to the financial statements.
94
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
1,698 | Xcel Energy, Inc. (Utilities) | 0.5 | % | $ | 39,241 | ||||||||||
3,893 | Xerox Corp.* (Information Technology) | 0.8 | % | 65,714 | |||||||||||
682 | XL Capital Ltd., Class A (Financials) | 0.5 | % | 39,917 | |||||||||||
177,827 | Other Common Stocks | 60.0 | % | 5,037,829 | |||||||||||
Total Common Stock (Cost $8,196,307) | 7,563,881 | ||||||||||||||
Principal Amount | |||||||||||||||
Repurchase Agreements — 14.6% | |||||||||||||||
$ | 244,611 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $244,706 ** | 244,611 | ||||||||||||
281,355 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $281,462 *** | 281,355 | |||||||||||||
48,922 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $48,941 **** | 48,922 | |||||||||||||
652,296 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $652,543 ***** | 652,296 | |||||||||||||
Total Repurchase Agreements (Cost $1,227,184) | 1,227,184 | ||||||||||||||
Total Investments (Cost $9,423,491) — 104.7% | 8,791,065 | ||||||||||||||
Liabilities in excess of other assets — (4.7)% | (391,277 | ) | |||||||||||||
Net Assets — 100.0% | $ | 8,399,788 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $249,504. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $286,983. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $49,901. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $665,342. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 387,014 | |||||
Aggregate gross unrealized depreciation | (1,282,072 | ) | |||||
Net unrealized depreciation | $ | (895,058 | ) | ||||
Federal income tax cost of investments | $ | 9,686,123 |
See accompanying notes to the financial statements.
95
Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell MidCap Value (continued)
Swap Agreements
Ultra Russell MidCap Value had the following open swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Russell MidCap® Value Index, expiring 12/27/07 | $ | 9,492,599 | $ | (337,207 | ) |
Ultra Russell MidCap Value invested, as a percentage of net assets, in the following industries as of November 30, 2007:
Consumer Discretionary | 11.8 | % | |||||
Consumer Staples | 6.8 | % | |||||
Energy | 6.5 | % | |||||
Financials | 26.4 | % | |||||
Health Care | 2.1 | % | |||||
Industrials | 9.2 | % | |||||
Information Technology | 6.2 | % | |||||
Materials | 6.3 | % | |||||
Telecommunication Services | 1.8 | % | |||||
Utilities | 13.0 | % | |||||
Other 1 | 9.9 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
96
Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell MidCap Growth
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 88.5% | |||||||||||||||
3,831 | AES Corp. (The)* (Utilities) | 0.5 | % | $ | 83,707 | ||||||||||
2,316 | Agilent Technologies, Inc.* (Information Technology) | 0.6 | % | 87,614 | |||||||||||
1,751 | Allergan, Inc. (Health Care) | 0.7 | % | 117,387 | |||||||||||
2,398 | American Tower Corp., Class A* (Telecommunication Services) | 0.7 | % | 109,205 | |||||||||||
830 | Apollo Group, Inc., Class A* (Consumer Discretionary) | 0.4 | % | 63,512 | |||||||||||
1,324 | Autodesk, Inc.* (Information Technology) | 0.4 | % | 62,347 | |||||||||||
2,322 | Avon Products, Inc. (Consumer Staples) | 0.6 | % | 95,318 | |||||||||||
2,688 | Broadcom Corp., Class A* (Information Technology) | 0.5 | % | 71,877 | |||||||||||
1,651 | Cigna Corp. (Health Care) | 0.6 | % | 88,510 | |||||||||||
2,130 | Coach, Inc.* (Consumer Discretionary) | 0.5 | % | 79,108 | |||||||||||
1,045 | CONSOL Energy, Inc. (Energy) | 0.4 | % | 61,948 | |||||||||||
803 | Constellation Energy Group, Inc. (Utilities) | 0.5 | % | 80,469 | |||||||||||
598 | Cummins, Inc. (Industrials) | 0.5 | % | 69,906 | |||||||||||
1,787 | Electronic Arts, Inc.* (Information Technology) | 0.6 | % | 100,411 | |||||||||||
1,262 | Express Scripts, Inc.* (Health Care) | 0.5 | % | 85,500 | |||||||||||
506 | Fluor Corp. (Industrials) | 0.5 | % | 74,468 | |||||||||||
1,836 | Forest Laboratories, Inc.* (Health Care) | 0.5 | % | 70,778 | |||||||||||
404 | Foster Wheeler Ltd.* (Industrials) | 0.4 | % | 60,196 | |||||||||||
663 | Garmin Ltd. (Consumer Discretionary) | 0.5 | % | 71,173 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
1,386 | Harley-Davidson, Inc. (Consumer Discretionary) | 0.4 | % | $ | 66,556 | ||||||||||
964 | Humana, Inc.* (Health Care) | 0.5 | % | 74,257 | |||||||||||
404 | Intercontinental Exchange, Inc.* (Financials) | 0.4 | % | 67,452 | |||||||||||
1,908 | International Game Technology (Consumer Discretionary) | 0.5 | % | 83,303 | |||||||||||
215 | Intuitive Surgical, Inc.* (Health Care) | 0.4 | % | 70,451 | |||||||||||
2,115 | Juniper Networks, Inc. (Information Technology) | 0.4 | % | 62,858 | |||||||||||
457 | Mastercard, Inc., Class A (Information Technology) | 0.6 | % | 91,697 | |||||||||||
1,277 | McDermott International, Inc.* (Industrials) | 0.4 | % | 66,787 | |||||||||||
1,288 | MEMC Electronic Materials, Inc.* (Information Technology) | 0.6 | % | 99,923 | |||||||||||
2,038 | National Oilwell Varco, Inc.* (Energy) | 0.9 | % | 138,890 | |||||||||||
1,538 | Noble Corp. (Energy) | 0.5 | % | 80,176 | |||||||||||
1,068 | Northern Trust Corp. (Financials) | 0.6 | % | 86,497 | |||||||||||
3,124 | Nvidia Corp.* (Information Technology) | 0.6 | % | 98,531 | |||||||||||
528 | Nymex Holdings, Inc. (Financials) | 0.4 | % | 65,762 | |||||||||||
1,946 | Paychex, Inc. (Information Technology) | 0.5 | % | 75,894 | |||||||||||
1,520 | Peabody Energy Corp. (Energy) | 0.5 | % | 84,573 | |||||||||||
1,652 | PPL Corp. (Utilities) | 0.5 | % | 84,186 | |||||||||||
790 | Precision Castparts Corp. (Industrials) | 0.7 | % | 116,399 | |||||||||||
1,288 | Prologis (REIT) (Financials) | 0.5 | % | 84,261 | |||||||||||
960 | Rockwell Collins, Inc. (Industrials) | 0.4 | % | 69,235 |
See accompanying notes to the financial statements.
97
Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell MidCap Growth (continued)
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
1,150 | Smith International, Inc. (Energy) | 0.5 | % | $ | 72,128 | ||||||||||
1,941 | St. Jude Medical, Inc.* (Health Care) | 0.5 | % | 77,155 | |||||||||||
1,155 | Starwood Hotels & Resorts Worldwide, Inc. (Consumer Discretionary) | 0.4 | % | 62,000 | |||||||||||
1,524 | T. Rowe Price Group, Inc. (Financials) | 0.6 | % | 93,696 | |||||||||||
1,430 | Textron, Inc. (Industrials) | 0.6 | % | 98,741 | |||||||||||
2,609 | TJX Cos., Inc. (Consumer Discretionary) | 0.5 | % | 76,548 | |||||||||||
1,936 | Weatherford International Ltd.* (Energy) | 0.8 | % | 121,232 | |||||||||||
2,876 | Williams Cos., Inc. (Energy) | 0.6 | % | 99,826 | |||||||||||
1,210 | WM. Wrigley Jr. Co. (Consumer Staples) | 0.5 | % | 77,440 | |||||||||||
3,006 | Yum! Brands, Inc. (Consumer Discretionary) | 0.7 | % | 111,673 | |||||||||||
289,919 | Other Common Stocks | 62.6 | % | 9,852,857 | |||||||||||
Total Common Stock (Cost $13,637,418) | 13,944,418 | ||||||||||||||
Principal Amount | |||||||||||||||
Repurchase Agreements — 16.0% | |||||||||||||||
$ | 503,136 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $503,331 ** | 503,136 | ||||||||||||
578,715 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $578,934 *** | 578,715 | |||||||||||||
100,627 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $100,665 **** | 100,627 |
Principal Amount | Value | ||||||||||||||
Repurchase Agreements (continued) | |||||||||||||||
$ | 1,341,696 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,342,205 ***** | $ | 1,341,696 | |||||||||||
Total Repurchase Agreements (Cost $2,524,174) | 2,524,174 | ||||||||||||||
Total Investments (Cost $16,161,592) — 104.5% | 16,468,592 | ||||||||||||||
Liabilities in excess of other assets — (4.5)% | (716,127 | ) | |||||||||||||
Net Assets — 100.0% | $ | 15,752,465 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $513,201. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $590,291. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $102,640. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
98
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $1,368,531. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust.
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,331,367 | |||||
Aggregate gross unrealized depreciation | (1,056,658 | ) | |||||
Net unrealized appreciation | $ | 274,709 | |||||
Federal income tax cost of investments | $ | 16,193,883 |
Swap Agreements
Ultra Russell MidCap Growth had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Russell MidCap® Growth Index, expiring 12/27/07 | $ | 6,214,532 | $ | (301,389 | ) | ||||||
Equity Index Swap Agreement based on the Russell MidCap® Growth Index, expiring 12/27/07 | 12,000,000 | (431,559 | ) | ||||||||
$ | (732,948 | ) |
Ultra Russell MidCap Growth invested, as a percentage of net assets, in the following industries as of November 30, 2007:
Consumer Discretionary | 15.4 | % | |||||
Consumer Staples | 4.0 | % | |||||
Energy | 9.8 | % | |||||
Financials | 7.1 | % | |||||
Health Care | 11.1 | % | |||||
Industrials | 14.6 | % | |||||
Information Technology | 17.2 | % | |||||
Materials | 4.2 | % | |||||
Telecommunication Services | 2.0 | % | |||||
Utilities | 3.1 | % | |||||
Other 1 | 11.5 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
99
Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 Value
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 92.6% | |||||||||||||||
4,340 | 3Com Corp.* (Information Technology) | 0.3 | % | $ | 18,705 | ||||||||||
177 | Alexandria Real Estate Equities, Inc. (REIT) (Financials) | 0.2 | % | 17,387 | |||||||||||
588 | AMERIGROUP Corp.* (Health Care) | 0.3 | % | 20,210 | |||||||||||
1,737 | Andrew Corp.* (Information Technology) | 0.3 | % | 25,464 | |||||||||||
1,331 | Apollo Investment Corp. (Financials) | 0.3 | % | 23,572 | |||||||||||
711 | Aptargroup, Inc. (Materials) | 0.4 | % | 30,011 | |||||||||||
983 | Aspen Insurance Holdings Ltd. (Financials) | 0.4 | % | 28,310 | |||||||||||
208 | Bio-Rad Laboratories, Inc., Class A* (Health Care) | 0.3 | % | 20,989 | |||||||||||
420 | Black Hills Corp. (Utilities) | 0.2 | % | 17,497 | |||||||||||
562 | Brady Corp., Class A (Industrials) | 0.3 | % | 22,497 | |||||||||||
557 | CF Industries Holdings, Inc. (Materials) | 0.7 | % | 50,676 | |||||||||||
514 | Chittenden Corp. (Financials) | 0.2 | % | 18,005 | |||||||||||
666 | Cleco Corp. (Utilities) | 0.3 | % | 18,608 | |||||||||||
545 | Commerce Group, Inc. (Financials) | 0.3 | % | 19,593 | |||||||||||
1,878 | DCT Industrial Trust, Inc. (REIT) (Financials) | 0.3 | % | 18,949 | |||||||||||
484 | Delphi Financial Group, Inc. (Financials) | 0.3 | % | 18,605 | |||||||||||
579 | Deluxe Corp. (Industrials) | 0.2 | % | 18,291 | |||||||||||
1,054 | DiamondRock Hospitality Co. (REIT) (Financials) | 0.2 | % | 18,255 | |||||||||||
711 | EMCOR Group, Inc.* (Industrials) | 0.3 | % | 18,941 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
593 | Encore Acquisition Co.* (Energy) | 0.3 | % | $ | 19,302 | ||||||||||
673 | Exterran Holdings, Inc.* (Energy) | 0.7 | % | 53,867 | |||||||||||
555 | First Midwest Bancorp, Inc./IL (Financials) | 0.2 | % | 18,148 | |||||||||||
897 | FirstMerit Corp. (Financials) | 0.3 | % | 18,487 | |||||||||||
1,163 | GrafTech International Ltd.* (Industrials) | 0.3 | % | 18,689 | |||||||||||
878 | Healthsouth Corp.* (Health Care) | 0.2 | % | 17,411 | |||||||||||
453 | Inverness Medical Innovations, Inc.* (Health Care) | 0.4 | % | 26,582 | |||||||||||
674 | IPC Holdings Ltd. (Financials) | 0.3 | % | 19,923 | |||||||||||
673 | Max Capital Group Ltd. (Financials) | 0.3 | % | 19,053 | |||||||||||
1,147 | Montpelier Re Holdings Ltd. (Financials) | 0.3 | % | 19,866 | |||||||||||
798 | National Retail Properties, Inc. (REIT) (Financials) | 0.3 | % | 19,543 | |||||||||||
502 | Nicor, Inc. (Utilities) | 0.3 | % | 21,154 | |||||||||||
549 | Oil States International, Inc.* (Energy) | 0.2 | % | 17,409 | |||||||||||
332 | OM Group, Inc.* (Materials) | 0.3 | % | 18,688 | |||||||||||
832 | Piedmont Natural Gas Co. (Utilities) | 0.3 | % | 21,665 | |||||||||||
668 | Platinum Underwriters Holdings Ltd. (Financials) | 0.3 | % | 24,262 | |||||||||||
855 | PNM Resources, Inc. (Utilities) | 0.3 | % | 18,964 | |||||||||||
435 | Potlatch Corp. (REIT) (Financials) | 0.3 | % | 19,971 | |||||||||||
372 | ProAssurance Corp.* (Financials) | 0.3 | % | 20,400 | |||||||||||
414 | Quanex Corp. (Materials) | 0.3 | % | 20,717 |
See accompanying notes to the financial statements.
100
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
1,127 | Realty Income Corp. (REIT) (Financials) | 0.4 | % | $ | 32,119 | ||||||||||
1,429 | SAIC, Inc.* (Information Technology) | 0.4 | % | 28,494 | |||||||||||
933 | Senior Housing Properties Trust (REIT) (Financials) | 0.3 | % | 20,610 | |||||||||||
679 | Skywest, Inc. (Industrials) | 0.2 | % | 17,865 | |||||||||||
949 | Susquehanna Bancshares, Inc. (Financials) | 0.3 | % | 18,876 | |||||||||||
912 | Sybase, Inc.* (Information Technology) | 0.3 | % | 23,384 | |||||||||||
1,114 | UCBH Holdings, Inc. (Financials) | 0.2 | % | 17,913 | |||||||||||
1,115 | Westar Energy, Inc. (Utilities) | 0.4 | % | 28,890 | |||||||||||
549 | WGL Holdings, Inc. (Utilities) | 0.2 | % | 18,139 | |||||||||||
469 | Whiting Petroleum Corp.* (Energy) | 0.3 | % | 24,726 | |||||||||||
363,725 | Other Common Stocks | 77.6 | % | 5,649,147 | |||||||||||
Total Common Stock (Cost $7,739,050) | 6,738,829 | ||||||||||||||
Principal Amount | |||||||||||||||
Repurchase Agreements — 13.8% | |||||||||||||||
$ | 199,769 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $199,846 ** | 199,769 | ||||||||||||
229,778 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $229,865 *** | 229,778 | |||||||||||||
39,954 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/3/07, total to be received $39,969 **** | 39,954 |
Principal Amount | Value | ||||||||||||||
Repurchase Agreements (continued) | |||||||||||||||
$ | 532,718 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/3/07, total to be received $532,920 ***** | $ | 532,718 | |||||||||||
Total Repurchase Agreements (Cost $1,002,219) | 1,002,219 | ||||||||||||||
Total Investments (Cost $8,741,269) — 106.4% | 7,741,048 | ||||||||||||||
Liabilities in excess of other assets — (6.4)% | (466,662 | ) | |||||||||||||
Net Assets — 100.0% | $ | 7,274,386 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22 which had a total value of $203,766. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17 which had a total value of $234,374. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30 which had a total value of $40,753. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
101
Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 Value (continued)
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38 which had a total value of $543,373. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 306,604 | |||||
Aggregate gross unrealized depreciation | (1,641,389 | ) | |||||
Net unrealized depreciation | $ | (1,334,785 | ) | ||||
Federal income tax cost of investments | $ | 9,075,833 |
Swap Agreements
Ultra Russell2000 Value had the following open swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Russell 2000® Value Index, expiring 12/27/07 | $ | 8,108,477 | $ | (365,866 | ) |
Ultra Russell2000 Value invested, as a percentage of net assets, in the following industries as of November 30, 2007:
Consumer Discretionary | 10.7 | % | |||||
Consumer Staples | 3.5 | % | |||||
Energy | 5.4 | % | |||||
Financials | 30.4 | % | |||||
Health Care | 5.4 | % | |||||
Industrials | 11.9 | % | |||||
Information Technology | 12.1 | % | |||||
Materials | 6.5 | % | |||||
Telecommunication Services | 1.4 | % | |||||
Utilities | 5.3 | % | |||||
Other 1 | 7.4 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
102
Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 Growth
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 90.7% | |||||||||||||||
1,013 | Aeropostale, Inc.* (Consumer Discretionary) | 0.3 | % | $ | 25,882 | ||||||||||
476 | Alexion Pharmaceuticals, Inc.* (Health Care) | 0.3 | % | 34,615 | |||||||||||
1,013 | Ansys, Inc.* (Information Technology) | 0.4 | % | 39,365 | |||||||||||
358 | Atwood Oceanics, Inc.* (Energy) | 0.3 | % | 31,235 | |||||||||||
696 | Bally Technologies, Inc.* (Consumer Discretionary) | 0.3 | % | 29,023 | |||||||||||
589 | Belden, Inc. (Industrials) | 0.3 | % | 27,123 | |||||||||||
1,252 | BioMarin Pharmaceutical, Inc.* (Health Care) | 0.3 | % | 34,430 | |||||||||||
488 | Bucyrus International,Inc. (Industrials) | 0.4 | % | 42,802 | |||||||||||
428 | Chipotle Mexican Grill, Inc., Class B* (Consumer Discretionary) | 0.5 | % | 49,443 | |||||||||||
783 | DeVry, Inc. (Consumer Discretionary) | 0.4 | % | 43,049 | |||||||||||
737 | Digital Realty Trust, Inc. (REIT) (Financials) | 0.3 | % | 28,124 | |||||||||||
470 | Equinix, Inc.* (Information Technology) | 0.5 | % | 48,932 | |||||||||||
866 | Flir Systems, Inc.* (Information Technology) | 0.6 | % | 59,520 | |||||||||||
1,656 | Foundry Networks, Inc.* (Information Technology) | 0.3 | % | 29,195 | |||||||||||
619 | FTI Consulting, Inc.* (Industrials) | 0.4 | % | 35,283 | |||||||||||
372 | Genlyte Group, Inc.* (Industrials) | 0.4 | % | 35,061 | |||||||||||
458 | Healthways, Inc.* (Health Care) | 0.3 | % | 26,733 | |||||||||||
1,085 | Hercules Offshore, Inc.* (Energy) | 0.3 | % | 27,136 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
1,232 | Hexcel Corp.* (Industrials) | 0.3 | % | $ | 31,379 | ||||||||||
1,598 | Hologic, Inc.* (Health Care) | 1.1 | % | 106,091 | |||||||||||
411 | IHS, Inc., Class A* (Industrials) | 0.3 | % | 28,828 | |||||||||||
700 | Illumina, Inc.* (Health Care) | 0.4 | % | 40,453 | |||||||||||
900 | Immucor, Inc.* (Health Care) | 0.3 | % | 29,853 | |||||||||||
508 | International Securities Exchange Holdings, Inc. (Financials) | 0.3 | % | 34,133 | |||||||||||
555 | ITC Holdings Corp. (Utilities) | 0.3 | % | 28,327 | |||||||||||
392 | Itron, Inc.* (Information Technology) | 0.3 | % | 30,400 | |||||||||||
1,029 | Jack Henry & Associates, Inc. (Information Technology) | 0.3 | % | 27,536 | |||||||||||
735 | LKQ Corp.* (Consumer Discretionary) | 0.3 | % | 29,187 | |||||||||||
1,042 | MGI Pharma, Inc.* (Health Care) | 0.4 | % | 36,064 | |||||||||||
529 | Micros Systems, Inc.* (Information Technology) | 0.4 | % | 38,162 | |||||||||||
562 | Myriad Genetics, Inc.* (Health Care) | 0.3 | % | 27,088 | |||||||||||
1,035 | Nationwide Health Properties, Inc. (REIT) (Financials) | 0.3 | % | 32,375 | |||||||||||
1,721 | Nuance Communications, Inc.* (Information Technology) | 0.3 | % | 34,730 | |||||||||||
3,171 | ON Semiconductor Corp.* (Information Technology) | 0.3 | % | 29,141 | |||||||||||
715 | Onyx Pharmaceuticals, Inc.* (Health Care) | 0.4 | % | 38,996 | |||||||||||
753 | OSI Pharmaceuticals, Inc.* (Health Care) | 0.4 | % | 35,112 |
See accompanying notes to the financial statements.
103
Summary Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 Growth (continued)
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
1,198 | Polycom, Inc.* (Information Technology) | 0.3 | % | $ | 29,075 | ||||||||||
495 | priceline.com, Inc.* (Consumer Discretionary) | 0.6 | % | 56,331 | |||||||||||
709 | Psychiatric Solutions, Inc.* (Health Care) | 0.3 | % | 25,900 | |||||||||||
863 | Sotheby's (Consumer Discretionary) | 0.3 | % | 32,319 | |||||||||||
190 | Strayer Education, Inc. (Consumer Discretionary) | 0.3 | % | 34,363 | |||||||||||
982 | Tempur-Pedic International, Inc. (Consumer Discretionary) | 0.3 | % | 29,156 | |||||||||||
1,213 | Terra Industries, Inc.* (Materials) | 0.5 | % | 45,827 | |||||||||||
1,749 | Time Warner Telecom, Inc., Class A* Telecommunication Services) | 0.4 | % | 39,230 | |||||||||||
272 | United Therapeutics Corp.* (Health Care) | 0.3 | % | 27,222 | |||||||||||
1,304 | Valueclick, Inc.* (Information Technology) | 0.3 | % | 30,827 | |||||||||||
351 | Ventana Medical Systems, Inc.* (Health Care) | 0.3 | % | 31,176 | |||||||||||
917 | Waddell & Reed Financial, Inc. (Financials) | 0.3 | % | 31,343 | |||||||||||
392 | Woodward Governor Co. (Industrials) | 0.3 | % | 26,868 | |||||||||||
395,488 | Other Common Stocks | 72.9 | % | 7,174,872 | |||||||||||
Total Common Stock Cost ($8,990,781) | 8,919,315 |
Principal Amount | Value | ||||||||||||||
Repurchase Agreements — 16.8 | |||||||||||||||
$ | 329,842 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $329,970 ** | $ | 329,842 | |||||||||||
379,389 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $379,533 *** | 379,389 | |||||||||||||
65,969 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $65,994 **** | 65,969 | |||||||||||||
879,580 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $879,914 *****. | 879,580 | |||||||||||||
Total Repurchase Agreements (Cost $1,654,780) | 1,654,780 | ||||||||||||||
Total Investments (Cost $10,645,561) — 107.5% | 10,574,095 | ||||||||||||||
Liabilities in excess of other assets — (7.5)% | (734,892 | ) | |||||||||||||
Net Assets — 100.0% | $ | 9,839,203 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $336,441. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of
See accompanying notes to the financial statements.
104
$386,978. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $67,288. The investment in the repurchase agreement was through participation in a pooled account.
*****Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Summary Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $897,171. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost
of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,091,592 | |||||
Aggregate gross unrealized depreciation | (1,208,702 | ) | |||||
Net unrealized depreciation | $ | (117,110 | ) | ||||
Federal income tax cost of investments | $ | 10,691,205 |
Swap Agreements
Ultra Russell2000 Growth had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on Russell 2000® Growth Index, expiring 12/27/07 | $ | 3,306,402 | $ | (239,238 | ) | ||||||
Equity Index Swap Agreement based on Russell 2000® Growth Index, expiring 12/27/07 | 8,000,000 | (401,183 | ) | ||||||||
$ | (640,421 | ) |
Ultra Russell2000 Growth invested, as a percentage of net assets, in the following industries as of November 30, 2007:
Consumer Discretionary | 14.5 | % | |||||
Consumer Staples | 2.1 | % | |||||
Energy | 6.1 | % | |||||
Financials | 7.5 | % | |||||
Health Care | 19.3 | % | |||||
Industrials | 14.9 | % | |||||
Information Technology | 21.1 | % | |||||
Materials | 3.5 | % | |||||
Telecommunication Services | 1.2 | % | |||||
Utilities | 0.5 | % | |||||
Other1 | 9.3 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
105
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Basic Materials
Shares | Value | ||||||||||
Common Stocks (a) — 83.4% | |||||||||||
Chemicals — 46.0% | |||||||||||
4,389 | Air Products & Chemicals, Inc. | $ | 434,687 | ||||||||
1,524 | Airgas, Inc. | 75,407 | |||||||||
1,666 | Albemarle Corp. | 73,537 | |||||||||
1,210 | Ashland, Inc. | 59,580 | |||||||||
1,315 | Cabot Corp. | 45,262 | |||||||||
3,222 | Celanese Corp., Class A | 127,849 | |||||||||
1,071 | CF Industries Holdings, Inc. | 97,440 | |||||||||
5,188 | Chemtura Corp. | 38,910 | |||||||||
902 | Cytec Industries, Inc. | 55,329 | |||||||||
20,837 | Dow Chemical Co. (The) | 873,904 | |||||||||
1,816 | Eastman Chemical Co. | 116,605 | |||||||||
3,803 | Ecolab, Inc. | 182,164 | |||||||||
19,862 | EI Du Pont de Nemours & Co. | 916,631 | |||||||||
935 | Ferro Corp. | 19,813 | |||||||||
1,562 | FMC Corp. | 85,473 | |||||||||
737 | Georgia Gulf Corp. | 5,483 | |||||||||
1,310 | HB Fuller Co. | 33,130 | |||||||||
2,511 | Hercules, Inc. | 48,738 | |||||||||
1,950 | Huntsman Corp. | 49,452 | |||||||||
1,782 | International Flavors & Fragrances, Inc. | 89,349 | |||||||||
1,497 | Lubrizol Corp. | 96,018 | |||||||||
4,954 | Lyondell Chemical Co. | 233,829 | |||||||||
414 | Minerals Technologies, Inc. | 27,697 | |||||||||
11,683 | Monsanto Co. | 1,160,940 | |||||||||
3,163 | Mosaic Co. (The)* | 218,721 | |||||||||
1,412 | Olin Corp. | 29,567 | |||||||||
657 | OM Group, Inc.* | 36,983 | |||||||||
3,571 | PPG Industries, Inc. | 245,113 | |||||||||
6,923 | Praxair, Inc. | 591,086 | |||||||||
3,600 | Rohm & Haas Co. | 195,732 | |||||||||
2,618 | RPM International, Inc. | 49,873 | |||||||||
517 | Schulman (A.), Inc. | 11,146 | |||||||||
1,001 | Sensient Technologies Corp. | 27,698 | |||||||||
2,440 | Sigma-Aldrich Corp. | 128,466 | |||||||||
2,013 | Terra Industries, Inc.* | 76,051 | |||||||||
2,039 | Valspar Corp. | 45,959 | |||||||||
1,266 | W.R. Grace & Co.* | 34,195 | |||||||||
6,637,817 | |||||||||||
Commercial Services & Supplies — 0.7% | |||||||||||
2,034 | Avery Dennison Corp. | 105,992 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Industrial Conglomerates — 0.1% | |||||||||||
610 | Tredegar Corp. | $ | 8,820 | ||||||||
Life Sciences Tools & Services — 0.0% | |||||||||||
624 | Cambrex Corp. | 4,830 | |||||||||
Metals & Mining — 25.2% | |||||||||||
2,376 | AK Steel Holding Corp.* | 105,898 | |||||||||
19,086 | Alcoa, Inc. | 694,158 | |||||||||
2,078 | Allegheny Technologies, Inc. | 203,124 | |||||||||
1,130 | Carpenter Technology Corp. | 85,258 | |||||||||
889 | Cleveland-Cliffs, Inc. | 80,188 | |||||||||
6,001 | Coeur d'Alene Mines Corp.* | 25,024 | |||||||||
2,555 | Commercial Metals Co. | 78,975 | |||||||||
8,229 | Freeport-McMoRan Copper & Gold, Inc. | 814,095 | |||||||||
307 | Kaiser Aluminum Corp. | 21,840 | |||||||||
9,162 | Newmont Mining Corp. | 455,260 | |||||||||
5,927 | Nucor Corp. | 350,938 | |||||||||
1,336 | Reliance Steel & Aluminum Co. | 68,924 | |||||||||
497 | RTI International Metals, Inc.* | 36,500 | |||||||||
1,584 | Southern Copper Corp. | 175,270 | |||||||||
1,958 | Steel Dynamics, Inc. | 98,507 | |||||||||
954 | Stillwater Mining Co.* | 9,254 | |||||||||
1,892 | Titanium Metals Corp.* | 56,136 | |||||||||
2,558 | United States Steel Corp. | 249,916 | |||||||||
1,492 | Worthington Industries, Inc. | 31,615 | |||||||||
3,640,880 | |||||||||||
Oil, Gas & Consumable Fuels — 6.0% | |||||||||||
1,415 | Alpha Natural Resources, Inc.* | 39,762 | |||||||||
3,091 | Arch Coal, Inc. | 117,025 | |||||||||
3,963 | CONSOL Energy, Inc. | 234,927 | |||||||||
980 | Foundation Coal Holdings, Inc. | 44,531 | |||||||||
2,603 | International Coal Group, Inc.* | 13,041 | |||||||||
1,632 | Massey Energy Co. | 55,406 | |||||||||
571 | Patriot Coal Corp.* | 19,306 | |||||||||
5,713 | Peabody Energy Corp. | 317,871 | |||||||||
2,309 | USEC, Inc.* | 18,957 | |||||||||
860,826 |
See accompanying notes to the financial statements.
106
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Paper & Forest Products — 5.4% | |||||||||||
1,227 | AbitibiBowater, Inc. | $ | 27,554 | ||||||||
10,016 | Domtar Corp.* | 76,122 | |||||||||
9,276 | International Paper Co. | 313,065 | |||||||||
319 | Neenah Paper, Inc. | 9,627 | |||||||||
1,102 | Wausau Paper Corp. | 10,392 | |||||||||
4,661 | Weyerhaeuser Co. | 341,092 | |||||||||
777,852 | |||||||||||
Total Common Stock (Cost $10,527,497) | 12,037,017 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 27.4% | |||||||||||
$ | 788,681 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $788,986 ** | 788,681 | ||||||||
907,153 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $907,497 *** | 907,153 | |||||||||
157,736 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $157,796 **** | 157,736 | |||||||||
2,103,151 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $2,103,948 ***** | 2,103,151 | |||||||||
Total Repurchase Agreements (Cost $3,956,721) | 3,956,721 | ||||||||||
Total Investments (Cost $14,484,218) — 110.8% | 15,993,738 | ||||||||||
Liabilities in excess of other assets — (10.8%) | (1,560,593 | ) | |||||||||
Net Assets — 100.0% | $ | 14,433,145 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $804,458. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $925,299. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $160,892. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $2,145,214. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,751,583 | |||||
Aggregate gross unrealized depreciation | (295,650 | ) | |||||
Net unrealized appreciation | $ | 1,455,933 | |||||
Federal income tax cost of investments | $ | 14,537,805 |
See accompanying notes to the financial statements.
107
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Basic Materials (continued)
Swap Agreements
Ultra Basic Materials had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Basic MaterialsSM Index, expiring 12/27/07 | $ | 2,258,185 | $ | (884,746 | ) | ||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Basic MaterialsSM Index, expiring 12/27/07 | 16,000,000 | (650,413 | ) | ||||||||
$ | (1,535,159 | ) |
See accompanying notes to the financial statements.
108
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Consumer Goods
Shares | Value | ||||||||||
Common Stocks (a) — 89.8% | |||||||||||
Auto Components — 3.0% | |||||||||||
168 | American Axle & Manufacturing Holdings, Inc. | $ | 3,884 | ||||||||
268 | ArvinMeritor, Inc. | 2,709 | |||||||||
215 | BorgWarner, Inc. | 20,771 | |||||||||
227 | Cooper Tire & Rubber Co. | 3,491 | |||||||||
530 | Gentex Corp. | 10,505 | |||||||||
780 | Goodyear Tire & Rubber Co. (The)* | 22,425 | |||||||||
2,181 | Johnson Controls, Inc. | 84,230 | |||||||||
239 | Lear Corp.* | 7,036 | |||||||||
109 | Modine Manufacturing Co. | 2,217 | |||||||||
80 | Superior Industries International, Inc. | 1,482 | |||||||||
197 | TRW Automotive Holdings Corp.* | 4,423 | |||||||||
474 | Visteon Corp.* | 2,086 | |||||||||
209 | WABCO Holdings, Inc. | 9,815 | |||||||||
175,074 | |||||||||||
Automobiles — 2.8% | |||||||||||
238 | Fleetwood Enterprises, Inc.* | 1,302 | |||||||||
7,452 | Ford Motor Co.* | 55,964 | |||||||||
1,818 | General Motors Corp. | 54,231 | |||||||||
930 | Harley-Davidson, Inc. | 44,659 | |||||||||
102 | Monaco Coach Corp. | 921 | |||||||||
140 | Thor Industries, Inc. | 4,935 | |||||||||
108 | Winnebago Industries | 2,324 | |||||||||
164,336 | |||||||||||
Beverages — 21.0% | |||||||||||
2,775 | Anheuser-Busch Cos., Inc. | 146,298 | |||||||||
170 | Brown-Forman Corp., Class B | 12,009 | |||||||||
7,883 | Coca-Cola Co. (The) | 489,534 | |||||||||
1,039 | Coca-Cola Enterprises, Inc. | 26,983 | |||||||||
709 | Constellation Brands, Inc., Class A* | 16,697 | |||||||||
267 | Hansen Natural Corp.* | 11,591 | |||||||||
566 | Molson Coors Brewing Co., Class B | 30,473 | |||||||||
520 | Pepsi Bottling Group, Inc. | 22,188 | |||||||||
239 | PepsiAmericas, Inc. | 8,090 | |||||||||
5,982 | PepsiCo, Inc. | 461,691 | |||||||||
1,225,554 | |||||||||||
Biotechnology — 0.1% | |||||||||||
119 | Martek Biosciences Corp.* | 3,077 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Chemicals — 0.1% | |||||||||||
158 | Scotts Miracle-Gro Co. (The), Class A | $ | 5,832 | ||||||||
80 | Zep, Inc.* | 1,050 | |||||||||
6,882 | |||||||||||
Commercial Services & Supplies — 0.4% | |||||||||||
200 | ACCO Brands Corp.* | 3,342 | |||||||||
226 | Herman Miller, Inc. | 6,204 | |||||||||
139 | HNI Corp. | 5,077 | |||||||||
204 | Interface, Inc., Class A | 3,558 | |||||||||
233 | Steelcase, Inc. | 3,525 | |||||||||
21,706 | |||||||||||
Distributors — 0.5% | |||||||||||
631 | Genuine Parts Co. | 30,320 | |||||||||
Diversified Consumer Services — 0.1% | |||||||||||
134 | Weight Watchers International, Inc. | 6,399 | |||||||||
Food Products — 14.3% | |||||||||||
2,174 | Archer-Daniels-Midland Co. | 79,025 | |||||||||
447 | Bunge Ltd. | 50,216 | |||||||||
893 | Campbell Soup Co. | 32,791 | |||||||||
156 | Chiquita Brands International, Inc.* | 2,994 | |||||||||
1,817 | ConAgra Foods, Inc. | 45,461 | |||||||||
274 | Corn Products International, Inc. | 10,776 | |||||||||
479 | Dean Foods Co. | 11,946 | |||||||||
738 | Del Monte Foods Co. | 6,494 | |||||||||
312 | Flowers Foods, Inc. | 7,248 | |||||||||
1,206 | General Mills, Inc. | 72,541 | |||||||||
146 | Hain Celestial Group, Inc.* | 4,830 | |||||||||
575 | Hershey Co. (The) | 22,948 | |||||||||
1,138 | HJ Heinz Co. | 53,827 | |||||||||
275 | Hormel Foods Corp. | 10,931 | |||||||||
211 | JM Smucker Co. (The) | 10,367 | |||||||||
925 | Kellogg Co. | 49,987 | |||||||||
5,838 | Kraft Foods, Inc. | 201,703 | |||||||||
93 | Lancaster Colony Corp. | 3,582 | |||||||||
404 | McCormick & Co., Inc. (Non-Voting) | 15,437 | |||||||||
153 | Pilgrim's Pride Corp. | 3,990 | |||||||||
96 | Ralcorp Holdings, Inc.* | 5,894 | |||||||||
2,682 | Sara Lee Corp. | 45,138 |
See accompanying notes to the financial statements.
109
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Consumer Goods (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
463 | Smithfield Foods, Inc.* | $ | 13,913 | ||||||||
86 | Tootsie Roll Industries, Inc. | 2,119 | |||||||||
115 | TreeHouse Foods, Inc.* | 2,711 | |||||||||
1,059 | Tyson Foods, Inc., Class A | 15,790 | |||||||||
807 | WM. Wrigley Jr. Co. | 51,648 | |||||||||
834,307 | |||||||||||
Household Durables — 5.2% | |||||||||||
146 | Beazer Homes USA, Inc. | 1,239 | |||||||||
248 | Black & Decker Corp. | 20,497 | |||||||||
106 | Blyth, Inc. | 2,085 | |||||||||
445 | Centex Corp. | 9,283 | |||||||||
282 | Champion Enterprises, Inc.* | 2,544 | |||||||||
1,012 | DR Horton, Inc. | 12,114 | |||||||||
111 | Ethan Allen Interiors, Inc. | 3,170 | |||||||||
179 | Furniture Brands International, Inc. | 1,813 | |||||||||
473 | Garmin Ltd. | 50,776 | |||||||||
241 | Harman International Industries, Inc. | 17,738 | |||||||||
166 | Hovnanian Enterprises, Inc., Class A* | 1,255 | |||||||||
258 | Jarden Corp.* | 6,801 | |||||||||
287 | KB Home | 5,995 | |||||||||
191 | La-Z-Boy, Inc. | 1,043 | |||||||||
639 | Leggett & Platt, Inc. | 13,151 | |||||||||
477 | Lennar Corp., Class A | 7,556 | |||||||||
39 | Lennar Corp., Class B | 571 | |||||||||
132 | MDC Holdings, Inc. | 4,671 | |||||||||
90 | Meritage Homes Corp.* | 1,230 | |||||||||
202 | Mohawk Industries, Inc.* | 16,249 | |||||||||
1,033 | Newell Rubbermaid, Inc. | 27,664 | |||||||||
18 | NVR, Inc.* | 8,856 | |||||||||
780 | Pulte Homes, Inc. | 7,972 | |||||||||
157 | Ryland Group, Inc. | 3,611 | |||||||||
215 | Snap-On, Inc. | 10,509 | |||||||||
239 | Standard-Pacific Corp. | 827 | |||||||||
307 | Stanley Works (The) | 16,010 | |||||||||
276 | Tempur-Pedic International, Inc. | 8,194 | |||||||||
497 | Toll Brothers, Inc.* | 10,273 | |||||||||
224 | Tupperware Brands Corp. | 7,813 | |||||||||
121 | WCI Communities, Inc.* | 407 | |||||||||
292 | Whirlpool Corp. | 23,640 | |||||||||
305,557 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Household Products — 20.4% | |||||||||||
243 | Church & Dwight Co., Inc. | $ | 13,637 | ||||||||
512 | Clorox Co. | 33,219 | |||||||||
1,918 | Colgate-Palmolive Co. | 153,593 | |||||||||
210 | Energizer Holdings, Inc.* | 23,862 | |||||||||
1,576 | Kimberly-Clark Corp. | 110,021 | |||||||||
11,556 | Procter & Gamble Co. | 855,144 | |||||||||
62 | WD-40 Co. | 2,460 | |||||||||
1,191,936 | |||||||||||
Internet & Catalog Retail — 0.0% | |||||||||||
120 | NutriSystem, Inc.* | 3,018 | |||||||||
Leisure Equipment & Products — 1.6% | |||||||||||
327 | Brunswick Corp. | 6,667 | |||||||||
242 | Callaway Golf Co. | 4,128 | |||||||||
1,062 | Eastman Kodak Co. | 24,936 | |||||||||
528 | Hasbro, Inc. | 14,663 | |||||||||
104 | Jakks Pacific, Inc.* | 2,625 | |||||||||
1,460 | Mattel, Inc. | 29,171 | |||||||||
111 | Nautilus, Inc. | 638 | |||||||||
132 | Polaris Industries, Inc. | 6,014 | |||||||||
184 | Pool Corp. | 3,923 | |||||||||
92,765 | |||||||||||
Machinery — 0.1% | |||||||||||
183 | Briggs & Stratton Corp. | 4,172 | |||||||||
Media — 0.1% | |||||||||||
200 | Marvel Entertainment, Inc.* | 5,540 | |||||||||
Personal Products — 1.9% | |||||||||||
316 | Alberto-Culver Co. | 8,077 | |||||||||
1,602 | Avon Products, Inc. | 65,762 | |||||||||
385 | Estee Lauder Cos., Inc. (The) | 17,279 | |||||||||
188 | Herbalife Ltd. | 7,871 | |||||||||
224 | NBTY, Inc.* | 6,691 | |||||||||
193 | Nu Skin Enterprises, Inc., Class A | 3,414 | |||||||||
109,094 |
See accompanying notes to the financial statements.
110
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Software — 1.7% | |||||||||||
1,059 | Activision, Inc.* | $ | 23,457 | ||||||||
1,148 | Electronic Arts, Inc.* | 64,506 | |||||||||
269 | Take-Two Interactive Software, Inc.* | 4,030 | |||||||||
248 | THQ, Inc.* | 6,063 | |||||||||
98,056 | |||||||||||
Specialty Retail — 0.0% | |||||||||||
168 | Select Comfort Corp.* | 1,788 | |||||||||
Textiles, Apparel & Luxury Goods — 4.1% | |||||||||||
190 | Carter's, Inc.* | 4,262 | |||||||||
1,371 | Coach, Inc.* | 50,919 | |||||||||
281 | CROCS, Inc.* | 10,967 | |||||||||
177 | Fossil, Inc.* | 7,671 | |||||||||
356 | Hanesbrands, Inc.* | 10,050 | |||||||||
403 | Jones Apparel Group, Inc. | 7,512 | |||||||||
90 | Kellwood Co. | 1,349 | |||||||||
378 | Liz Claiborne, Inc. | 9,484 | |||||||||
1,326 | Nike, Inc., Class B | 87,052 | |||||||||
204 | Phillips-Van Heusen | 8,654 | |||||||||
460 | Quiksilver, Inc.* | 4,876 | |||||||||
188 | Timberland Co., Class A* | 3,061 | |||||||||
118 | Under Armour, Inc., Class A* | 5,862 | |||||||||
323 | V.F. Corp. | 24,157 | |||||||||
198 | Wolverine World Wide, Inc. | 4,904 | |||||||||
240,780 | |||||||||||
Tobacco — 12.4% | |||||||||||
7,770 | Altria Group, Inc. | 602,641 | |||||||||
400 | Loews Corp. - Carolina Group | 35,580 | |||||||||
633 | Reynolds American, Inc. | 44,323 | |||||||||
101 | Universal Corp. | 5,422 | |||||||||
599 | UST, Inc. | 34,682 | |||||||||
722,648 | |||||||||||
Total Common Stock (Cost $4,942,314) | 5,243,009 |
Principal Amount | Value | ||||||||||
Repurchase Agreements — 9.5% | |||||||||||
$ | 110,131 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $110,174 ** | $ | 110,131 | |||||||
126,675 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $126,723 *** | 126,675 | |||||||||
22,026 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $22,034 **** | 22,026 | |||||||||
293,683 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $293,794 ***** | 293,683 | |||||||||
Total Repurchase Agreements (Cost $552,515) | 552,515 | ||||||||||
Total Investments (Cost $5,494,829) — 99.3% | 5,795,524 | ||||||||||
Other assets less liabilities — 0.7% | 42,152 | ||||||||||
Net Assets — 100.0% | $ | 5,837,676 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $112,334. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $129,208. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
111
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Consumer Goods (continued)
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $22,467. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $299,557. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 575,145 | |||||
Aggregate gross unrealized depreciation | (274,502 | ) | |||||
Net unrealized appreciation | $ | 300,643 | |||||
Federal income tax cost of investments | $ | 5,494,881 |
Swap Agreements
Ultra Consumer Goods had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer GoodsSM Index, expiring 12/27/07 | $ | 1,776,307 | $ | 16,751 | |||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer GoodsSM Index, expiring 12/27/07 | 4,500,000 | 68,872 | |||||||||
$ | 85,623 |
See accompanying notes to the financial statements.
112
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Consumer Services
Shares | Value | ||||||||||
Common Stocks (a) — 85.4% | |||||||||||
Airlines — 1.7% | |||||||||||
196 | Airtran Holdings, Inc.* | $ | 1,664 | ||||||||
87 | Alaska Air Group, Inc.* | 2,204 | |||||||||
498 | AMR Corp.* | 10,547 | |||||||||
208 | Continental Airlines, Inc., Class B* | 5,855 | |||||||||
518 | Delta Air Lines, Inc.* | 10,236 | |||||||||
358 | JetBlue Airways Corp.* | 2,506 | |||||||||
135 | Skywest, Inc. | 3,552 | |||||||||
1,613 | Southwest Airlines Co. | 22,824 | |||||||||
250 | UAL Corp.* | 10,235 | |||||||||
182 | US Airways Group, Inc.* | 3,780 | |||||||||
73,403 | |||||||||||
Commercial Services & Supplies — 0.4% | |||||||||||
144 | Copart, Inc.* | 5,380 | |||||||||
127 | Dun & Bradstreet Corp. | 11,332 | |||||||||
16,712 | |||||||||||
Computers & Peripherals — 0.1% | |||||||||||
88 | Avid Technology, Inc.* | 2,335 | |||||||||
Diversified Consumer Services — 2.1% | |||||||||||
306 | Apollo Group, Inc., Class A* | 23,415 | |||||||||
197 | Career Education Corp.* | 5,660 | |||||||||
186 | Corinthian Colleges, Inc.* | 3,248 | |||||||||
132 | DeVry, Inc. | 7,257 | |||||||||
645 | H&R Block, Inc. | 12,694 | |||||||||
88 | ITT Educational Services, Inc.* | 9,956 | |||||||||
69 | Matthews International Corp., Class A | 3,046 | |||||||||
19 | Pre-Paid Legal Services, Inc.* | 950 | |||||||||
98 | Regis Corp. | 2,880 | |||||||||
620 | Service Corp. International | 8,234 | |||||||||
144 | Sotheby's | 5,393 | |||||||||
205 | Stewart Enterprises, Inc., Class A | 1,681 | |||||||||
32 | Strayer Education, Inc. | 5,787 | |||||||||
90,201 | |||||||||||
Food & Staples Retailing — 16.4% | |||||||||||
140 | BJ's Wholesale Club, Inc.* | 5,243 | |||||||||
110 | Casey's General Stores, Inc. | 3,190 | |||||||||
946 | Costco Wholesale Corp. | 63,760 | |||||||||
3,197 | CVS Caremark Corp. | 128,168 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,422 | Kroger Co. (The) | $ | 40,882 | ||||||||
71 | Longs Drug Stores Corp. | 3,757 | |||||||||
49 | Pantry, Inc. (The)* | 1,411 | |||||||||
71 | Performance Food Group Co.* | 1,966 | |||||||||
1,165 | Rite Aid Corp.* | 4,334 | |||||||||
952 | Safeway, Inc. | 33,130 | |||||||||
460 | SUPERVALU, Inc. | 19,260 | |||||||||
1,317 | SYSCO Corp. | 42,816 | |||||||||
85 | United Natural Foods, Inc.* | 2,490 | |||||||||
5,495 | Wal-Mart Stores, Inc. | 263,210 | |||||||||
2,185 | Walgreen Co. | 79,949 | |||||||||
300 | Whole Foods Market, Inc. | 12,903 | |||||||||
706,469 | |||||||||||
Health Care Providers & Services — 2.9% | |||||||||||
389 | AmerisourceBergen Corp. | 17,649 | |||||||||
787 | Cardinal Health, Inc. | 47,653 | |||||||||
52 | Chemed Corp. | 2,816 | |||||||||
639 | McKesson Corp. | 42,640 | |||||||||
262 | Omnicare, Inc. | 6,676 | |||||||||
179 | VCA Antech, Inc.* | 7,344 | |||||||||
124,778 | |||||||||||
Hotels, Restaurants & Leisure — 13.4% | |||||||||||
104 | Bally Technologies, Inc.* | 4,337 | |||||||||
74 | Bob Evans Farms, Inc. | 2,282 | |||||||||
124 | Boyd Gaming Corp. | 4,801 | |||||||||
227 | Brinker International, Inc. | 5,228 | |||||||||
911 | Carnival Corp. | 41,104 | |||||||||
53 | CBRL Group, Inc. | 1,773 | |||||||||
70 | CEC Entertainment, Inc.* | 1,995 | |||||||||
148 | Cheesecake Factory (The)* | 3,447 | |||||||||
78 | Choice Hotels International, Inc. | 2,703 | |||||||||
280 | Darden Restaurants, Inc. | 11,141 | |||||||||
88 | Gaylord Entertainment Co.* | 3,701 | |||||||||
401 | Harrah's Entertainment, Inc. | 35,316 | |||||||||
36 | Ihop Corp. | 1,827 | |||||||||
702 | International Game Technology | 30,649 | |||||||||
67 | International Speedway Corp., Class A | 2,855 | |||||||||
134 | Jack in the Box, Inc.* | 4,013 | |||||||||
130 | Krispy Kreme Doughnuts, Inc.* | 347 | |||||||||
226 | Las Vegas Sands Corp.* | 25,628 | |||||||||
74 | Life Time Fitness, Inc.* | 4,020 |
See accompanying notes to the financial statements.
113
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Consumer Services (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
709 | Marriott International, Inc., Class A | $ | 26,588 | ||||||||
2,598 | McDonald's Corp. | 151,905 | |||||||||
259 | MGM Mirage* | 22,404 | |||||||||
91 | Orient-Express Hotels Ltd. | 5,634 | |||||||||
66 | Panera Bread Co., Class A* | 2,645 | |||||||||
46 | Papa John's International, Inc.* | 1,083 | |||||||||
161 | Penn National Gaming, Inc.* | 9,588 | |||||||||
56 | PF Chang's China Bistro, Inc.* | 1,433 | |||||||||
129 | Pinnacle Entertainment, Inc.* | 3,541 | |||||||||
304 | Royal Caribbean Cruises Ltd. | 12,330 | |||||||||
111 | Ruby Tuesday, Inc. | 1,455 | |||||||||
150 | Scientific Games Corp.* | 4,859 | |||||||||
163 | Six Flags, Inc.* | 381 | |||||||||
138 | Sonic Corp.* | 3,367 | |||||||||
1,600 | Starbucks Corp.* | 37,424 | |||||||||
453 | Starwood Hotels & Resorts Worldwide, Inc. | 24,317 | |||||||||
99 | Triarc Cos., Inc., Class B | 833 | |||||||||
66 | Vail Resorts, Inc.* | 3,664 | |||||||||
189 | Wendy's International, Inc. | 5,298 | |||||||||
94 | WMS Industries, Inc.* | 3,140 | |||||||||
385 | Wyndham Worldwide Corp. | 11,230 | |||||||||
131 | Wynn Resorts Ltd. | 16,629 | |||||||||
1,130 | Yum! Brands, Inc. | 41,979 | |||||||||
578,894 | |||||||||||
Household Durables — 0.1% | |||||||||||
104 | American Greetings Corp., Class A | 2,419 | |||||||||
Internet & Catalog Retail — 2.9% | |||||||||||
644 | Amazon.Com, Inc.* | 58,321 | |||||||||
486 | Expedia, Inc.* | 15,844 | |||||||||
431 | IAC/InterActiveCorp* | 11,995 | |||||||||
1,355 | Liberty Media Corp. - Interactive, Class A* | 27,303 | |||||||||
114 | NetFlix, Inc.* | 2,633 | |||||||||
74 | priceline.com, Inc.* | 8,421 | |||||||||
68 | ValueVision Media, Inc., Class A* | 447 | |||||||||
124,964 | |||||||||||
Internet Software & Services — 2.1% | |||||||||||
297 | CNET Networks, Inc.* | 2,251 | |||||||||
2,530 | eBay, Inc.* | 84,831 | |||||||||
216 | Valueclick, Inc.* | 5,106 | |||||||||
92,188 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Media — 23.5% | |||||||||||
65 | Arbitron, Inc. | $ | 2,590 | ||||||||
190 | Belo Corp., Class A | 3,146 | |||||||||
496 | Cablevision Systems Corp.* | 13,407 | |||||||||
31 | CBS Corp., Class A | 851 | |||||||||
1,261 | CBS Corp., Class B | 34,589 | |||||||||
809 | Charter Communications, Inc., Class A* | 1,068 | |||||||||
971 | Clear Channel Communications, Inc. | 34,859 | |||||||||
4,134 | Comcast Corp., Class A* | 84,912 | |||||||||
2,240 | Comcast Corp., Special Class A* | 45,270 | |||||||||
78 | CTC Media, Inc.* | 1,877 | |||||||||
1,550 | DIRECTV Group, Inc. (The)* | 38,548 | |||||||||
579 | Discovery Holding Co., Class A* | 14,162 | |||||||||
134 | Dow Jones & Co., Inc. | 8,007 | |||||||||
151 | DreamWorks Animation SKG, Inc., Class A* | 3,971 | |||||||||
445 | EchoStar Communications Corp., Class A* | 19,179 | |||||||||
62 | Entercom Communications Corp., Class A | 1,010 | |||||||||
176 | EW Scripps Co., Class A | 7,647 | |||||||||
506 | Gannett Co., Inc. | 18,595 | |||||||||
538 | Gemstar-TV Guide International, Inc.* | 3,174 | |||||||||
111 | Getty Images, Inc.* | 3,236 | |||||||||
104 | Harte-Hanks, Inc. | 1,747 | |||||||||
313 | Idearc, Inc. | 5,922 | |||||||||
1,012 | Interpublic Group of Cos., Inc.* | 9,604 | |||||||||
101 | John Wiley & Sons, Inc., Class A | 4,257 | |||||||||
152 | Lamar Advertising Co., Class A | 7,906 | |||||||||
85 | Lee Enterprises, Inc. | 1,190 | |||||||||
398 | Liberty Global, Inc., Class A* | 16,167 | |||||||||
414 | Liberty Global, Inc., Class C* | 15,836 | |||||||||
266 | Liberty Media Corp. - Capital, Class A* | 31,670 | |||||||||
129 | Live Nation, Inc.* | 1,731 | |||||||||
123 | McClatchy Co., Class A | 1,662 | |||||||||
732 | McGraw-Hill Cos., Inc. (The) | 35,927 | |||||||||
43 | Media General, Inc., Class A | 1,065 | |||||||||
83 | Meredith Corp. | 4,569 | |||||||||
308 | New York Times Co. (The), Class A | 5,082 | |||||||||
4,014 | News Corp., Class A | 84,575 | |||||||||
939 | News Corp., Class B | 20,358 | |||||||||
718 | Omnicom Group, Inc. | 35,002 | |||||||||
151 | R.H. Donnelley Corp.* | 6,707 |
See accompanying notes to the financial statements.
114
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
161 | Radio One, Inc., Class D* | $ | 328 | ||||||||
169 | Regal Entertainment Group, Class A | 3,345 | |||||||||
71 | Scholastic Corp.* | 2,502 | |||||||||
114 | Sinclair Broadcast Group, Inc., Class A | 1,180 | |||||||||
2,860 | Sirius Satellite Radio, Inc.* | 10,954 | |||||||||
336 | Time Warner Cable, Inc., Class A* | 8,746 | |||||||||
8,051 | Time Warner, Inc. | 138,960 | |||||||||
169 | Tribune Co. | 5,246 | |||||||||
103 | Valassis Communications, Inc.* | 1,270 | |||||||||
27 | Viacom, Inc., Class A* | 1,134 | |||||||||
1,277 | Viacom, Inc., Class B* | 53,660 | |||||||||
3,926 | Walt Disney Co. (The) | 130,147 | |||||||||
98 | Warner Music Group Corp. | 740 | |||||||||
13 | Washington Post Co. (The), Class B | 10,485 | |||||||||
150 | Westwood One, Inc. | 287 | |||||||||
659 | XM Satellite Radio Holdings, Inc., Class A* | 10,280 | |||||||||
1,010,339 | |||||||||||
Multiline Retail — 5.6% | |||||||||||
116 | 99 Cents Only Stores* | 935 | |||||||||
230 | Big Lots, Inc.* | 4,294 | |||||||||
142 | Dillard's, Inc., Class A | 2,895 | |||||||||
211 | Dollar Tree Stores, Inc.* | 6,047 | |||||||||
296 | Family Dollar Stores, Inc. | 6,971 | |||||||||
81 | Fred's, Inc., Class A | 844 | |||||||||
421 | JC Penney Co., Inc. | 18,575 | |||||||||
619 | Kohl's Corp.* | 30,504 | |||||||||
940 | Macy's, Inc. | 27,871 | |||||||||
463 | Nordstrom, Inc. | 15,529 | |||||||||
271 | Saks, Inc.* | 5,583 | |||||||||
167 | Sears Holdings Corp.* | 17,620 | |||||||||
1,678 | Target Corp. | 100,781 | |||||||||
65 | Tuesday Morning Corp. | 484 | |||||||||
238,933 | |||||||||||
Road & Rail — 0.2% | |||||||||||
220 | Avis Budget Group, Inc.* | 3,306 | |||||||||
288 | Hertz Global Holdings, Inc.* | 5,501 | |||||||||
8,807 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Software — 0.5% | |||||||||||
97 | Factset Research Systems, Inc. | $ | 6,080 | ||||||||
211 | NAVTEQ Corp.* | 15,802 | |||||||||
21,882 | |||||||||||
Specialty Retail — 13.3% | |||||||||||
189 | Abercrombie & Fitch Co. | 15,506 | |||||||||
221 | Advance Auto Parts, Inc. | 7,947 | |||||||||
167 | Aeropostale, Inc.* | 4,267 | |||||||||
407 | American Eagle Outfitters, Inc. | 9,316 | |||||||||
139 | AnnTaylor Stores Corp.* | 4,233 | |||||||||
321 | AutoNation, Inc.* | 5,297 | |||||||||
98 | Autozone, Inc.* | 10,940 | |||||||||
115 | Barnes & Noble, Inc. | 4,422 | |||||||||
592 | Bed Bath & Beyond, Inc.* | 18,618 | |||||||||
833 | Best Buy Co., Inc. | 42,525 | |||||||||
238 | Blockbuster, Inc., Class A* | 850 | |||||||||
126 | Borders Group, Inc. | 1,576 | |||||||||
95 | Brown Shoe Co., Inc. | 1,612 | |||||||||
466 | Carmax, Inc.* | 10,657 | |||||||||
66 | Cato Corp. (The), Class A | 994 | |||||||||
278 | Charming Shoppes, Inc.* | 1,537 | |||||||||
379 | Chico's FAS, Inc.* | 4,286 | |||||||||
51 | Childrens Place Retail Stores, Inc. (The)* | 1,451 | |||||||||
78 | Christopher & Banks Corp. | 1,257 | |||||||||
364 | Circuit City Stores, Inc. | 2,355 | |||||||||
130 | Coldwater Creek, Inc.* | 1,073 | |||||||||
142 | Collective Brands, Inc.* | 2,177 | |||||||||
182 | Dick's Sporting Goods, Inc.* | 5,689 | |||||||||
98 | Dress Barn, Inc.* | 1,386 | |||||||||
338 | Foot Locker, Inc. | 4,411 | |||||||||
318 | GameStop Corp., Class A* | 18,269 | |||||||||
1,275 | Gap, Inc. (The) | 26,010 | |||||||||
49 | Genesco, Inc.* | 1,519 | |||||||||
53 | Group 1 Automotive, Inc. | 1,425 | |||||||||
118 | Guess ?, Inc. | 5,538 | |||||||||
67 | Gymboree Corp.* | 2,235 | |||||||||
3,626 | Home Depot, Inc. | 103,559 | |||||||||
96 | HOT Topic, Inc.* | 606 | |||||||||
91 | J. Crew Group, Inc.* | 4,373 | |||||||||
3,206 | Lowe's Cos., Inc. | 78,258 | |||||||||
668 | Ltd Brands, Inc. | 13,413 |
See accompanying notes to the financial statements.
115
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Consumer Services (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
106 | Men's Wearhouse, Inc. | $ | 3,659 | ||||||||
245 | O'Reilly Automotive, Inc.* | 8,051 | |||||||||
589 | Office Depot, Inc.* | 10,095 | |||||||||
161 | OfficeMax, Inc. | 4,014 | |||||||||
151 | Pacific Sunwear of California* | 2,473 | |||||||||
84 | PEP Boys-Manny Moe & Jack | 918 | |||||||||
293 | PetSmart, Inc. | 8,345 | |||||||||
172 | Pier 1 Imports, Inc.* | 709 | |||||||||
297 | RadioShack Corp. | 5,495 | |||||||||
151 | Rent-A-Center, Inc.* | 2,138 | |||||||||
300 | Ross Stores, Inc. | 7,914 | |||||||||
182 | Sally Beauty Holdings, Inc.* | 1,658 | |||||||||
1,544 | Staples, Inc. | 36,593 | |||||||||
58 | Stein Mart, Inc. | 314 | �� | ||||||||
48 | Talbots, Inc. | 744 | |||||||||
293 | Tiffany & Co. | 13,604 | |||||||||
960 | TJX Cos., Inc. | 28,166 | |||||||||
73 | Tractor Supply Co.* | 2,994 | |||||||||
66 | Tween Brands, Inc.* | 1,662 | |||||||||
254 | Urban Outfitters, Inc.* | 6,655 | |||||||||
192 | Williams-Sonoma, Inc. | 5,589 | |||||||||
103 | Zale Corp.* | 1,843 | |||||||||
573,220 | |||||||||||
Textiles, Apparel & Luxury Goods — 0.2% | |||||||||||
129 | Polo Ralph Lauren Corp. | 8,899 | |||||||||
Total Common Stock (Cost $3,934,270) | 3,674,443 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 17.9% | |||||||||||
$ | 153,645 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $153,704 ** | 153,645 | ||||||||
176,725 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $176,792 *** | 176,725 | |||||||||
30,729 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $30,741 **** | 30,729 |
Principal Amount | Value | ||||||||||
Repurchase Agreements (continued) | |||||||||||
$ | 409,721 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $409,876 ***** | $ | 409,721 | |||||||
Total Repurchase Agreements (Cost $770,820) | 770,820 | ||||||||||
Total Investments (Cost $4,705,090) — 103.3% | 4,445,263 | ||||||||||
Liabilities in excess of other assets — (3.3%) | (140,289 | ) | |||||||||
Net Assets — 100.0% | $ | 4,304,974 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $156,719. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $180,260. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $31,344. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
116
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $417,915. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost
of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 249,376 | |||||
Aggregate gross unrealized depreciation | (526,898 | ) | |||||
Net unrealized depreciation | $ | (277,522 | ) | ||||
Federal income tax cost of investments | $ | 4,722,785 |
Swap Agreements
Ultra Consumer Services had the following open swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer ServicesSM Index, expiring 12/27/07 | $ | 5,010,568 | $ | (93,698 | ) |
See accompanying notes to the financial statements.
117
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Financials
Shares | Value | ||||||||||
Common Stocks (a) — 85.4% | |||||||||||
Capital Markets — 14.3% | |||||||||||
1,400 | Affiliated Managers Group, Inc.* | $ | 173,950 | ||||||||
10,903 | Ameriprise Financial, Inc. | 639,897 | |||||||||
52,996 | Bank of New York Mellon Corp. (The) | 2,541,688 | |||||||||
4,830 | Bear Stearns Cos., Inc. (The) | 481,551 | |||||||||
929 | BlackRock, Inc. | 184,286 | |||||||||
47,322 | Charles Schwab Corp. (The) | 1,150,398 | |||||||||
19,506 | E*Trade Financial Corp.* | 89,728 | |||||||||
5,732 | Eaton Vance Corp. | 250,832 | |||||||||
4,345 | Federated Investors, Inc., Class B | 177,233 | |||||||||
7,607 | Franklin Resources, Inc. | 937,030 | |||||||||
17,029 | Goldman Sachs Group, Inc. (The) | 3,859,453 | |||||||||
1,955 | Investment Technology Group, Inc.* | 89,304 | |||||||||
8,057 | Janus Capital Group, Inc. | 270,473 | |||||||||
4,829 | Jefferies Group, Inc. | 123,429 | |||||||||
4,676 | Knight Capital Group, Inc., Class A* | 62,425 | |||||||||
2,769 | LaBranche & Co., Inc.* | 14,703 | |||||||||
2,369 | Lazard Ltd., Class A | 115,275 | |||||||||
6,106 | Legg Mason, Inc. | 465,949 | |||||||||
24,570 | Lehman Brothers Holdings, Inc. | 1,538,819 | |||||||||
37,056 | Merrill Lynch & Co., Inc. | 2,221,137 | |||||||||
44,464 | Morgan Stanley | 2,344,142 | |||||||||
8,977 | Northern Trust Corp. | 727,047 | |||||||||
908 | Piper Jaffray Cos.* | 42,059 | |||||||||
4,321 | Raymond James Financial, Inc. | 140,346 | |||||||||
6,585 | SEI Investments Co. | 204,267 | |||||||||
18,387 | State Street Corp. | 1,468,937 | |||||||||
1,355 | SWS Group, Inc. | 18,374 | |||||||||
12,244 | T. Rowe Price Group, Inc. | 752,761 | |||||||||
10,978 | TD Ameritrade Holding Corp.* | 205,179 | |||||||||
3,816 | Waddell & Reed Financial, Inc. | 130,431 | |||||||||
21,421,103 | |||||||||||
Commercial Banks — 15.2% | |||||||||||
916 | Alabama National Bancorporation | 70,798 | |||||||||
954 | Amcore Financial, Inc. | 22,419 | |||||||||
5,600 | Associated Banc-Corp. | 152,376 | |||||||||
3,410 | Bancorpsouth, Inc. | 83,409 | |||||||||
2,335 | Bank of Hawaii Corp. | 121,583 | |||||||||
25,201 | BB&T Corp. | 909,252 | |||||||||
982 | BOK Financial Corp. | 53,755 | |||||||||
1,920 | Cathay General Bancorp | 55,642 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
2,275 | Chittenden Corp. | $ | 79,693 | ||||||||
3,387 | Citizens Republic Bancorp, Inc. | 48,163 | |||||||||
1,875 | City National Corp. | 120,788 | |||||||||
7,096 | Colonial BancGroup, Inc. (The) | 112,968 | |||||||||
7,076 | Comerica, Inc. | 323,939 | |||||||||
8,946 | Commerce Bancorp, Inc. | 356,230 | |||||||||
3,041 | Commerce Bancshares, Inc. | 137,867 | |||||||||
2,805 | Cullen/Frost Bankers, Inc. | 147,571 | |||||||||
2,757 | East West Bancorp, Inc. | 74,301 | |||||||||
22,360 | Fifth Third Bancorp | 668,788 | |||||||||
3,410 | First Bancorp/Puerto Rico | 22,301 | |||||||||
1,351 | First Community Bancorp, Inc. | 60,781 | |||||||||
5,721 | First Horizon National Corp. | 126,320 | |||||||||
2,338 | First Midwest Bancorp, Inc. | 76,453 | |||||||||
3,365 | FirstMerit Corp. | 69,353 | |||||||||
2,811 | FNB Corp. | 43,599 | |||||||||
1,947 | Frontier Financial Corp. | 37,305 | |||||||||
8,017 | Fulton Financial Corp. | 100,293 | |||||||||
1,341 | Hancock Holding Co. | 52,581 | |||||||||
16,968 | Huntington Bancshares, Inc. | 266,228 | |||||||||
2,417 | International Bancshares Corp. | 53,271 | |||||||||
16,992 | Keycorp | 447,569 | |||||||||
3,414 | M&T Bank Corp. | 310,537 | |||||||||
10,935 | Marshall & Ilsley Corp. | 344,124 | |||||||||
26,083 | National City Corp. | 515,400 | |||||||||
2,928 | Old National Bancorp | 46,789 | |||||||||
2,282 | Pacific Capital Bancorp | 46,895 | |||||||||
497 | Park National Corp. | 37,558 | |||||||||
15,625 | PNC Financial Services Group, Inc. | 1,143,906 | |||||||||
11,792 | Popular, Inc. | 113,321 | |||||||||
1,937 | Prosperity Bancshares, Inc. | 62,255 | |||||||||
1,446 | Provident Bankshares Corp. | 33,909 | |||||||||
32,284 | Regions Financial Corp. | 853,266 | |||||||||
3,331 | South Financial Group, Inc. (The) | 59,692 | |||||||||
3,339 | Sterling Bancshares, Inc. | 41,203 | |||||||||
2,357 | Sterling Financial Corp. | 42,261 | |||||||||
16,085 | SunTrust Banks, Inc. | 1,127,719 | |||||||||
3,859 | Susquehanna Bancshares, Inc. | 76,756 | |||||||||
1,488 | SVB Financial Group* | 76,602 | |||||||||
12,785 | Synovus Financial Corp. | 318,219 | |||||||||
5,614 | TCF Financial Corp. | 108,968 | |||||||||
2,350 | Trustmark Corp. | 59,831 | |||||||||
79,204 | U.S. Bancorp | 2,620,860 |
See accompanying notes to the financial statements.
118
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
4,751 | UCBH Holdings, Inc. | $ | 76,396 | ||||||||
2,835 | Umpqua Holdings Corp. | 45,757 | |||||||||
2,402 | UnionBanCal Corp. | 129,684 | |||||||||
1,930 | United Bankshares, Inc. | 59,984 | |||||||||
2,317 | United Community Banks, Inc. | 43,930 | |||||||||
5,635 | Valley National Bancorp | 110,446 | |||||||||
6,070 | W Holding Co., Inc. | 7,102 | |||||||||
91,850 | Wachovia Corp. | 3,949,550 | |||||||||
2,421 | Webster Financial Corp. | 81,563 | |||||||||
146,849 | Wells Fargo & Co. | 4,762,313 | |||||||||
1,398 | Westamerica Bancorporation | 65,720 | |||||||||
3,232 | Whitney Holding Corp. | 88,557 | |||||||||
3,242 | Wilmington Trust Corp. | 115,804 | |||||||||
1,007 | Wintrust Financial Corp. | 35,567 | |||||||||
4,831 | Zions Bancorporation | 263,628 | |||||||||
22,771,668 | |||||||||||
Commercial Services & Supplies — 0.2% | |||||||||||
6,566 | Equifax, Inc. | 244,452 | |||||||||
Consumer Finance — 3.4% | |||||||||||
48,771 | American Express Co. | 2,876,514 | |||||||||
5,287 | AmeriCredit Corp.* | 60,642 | |||||||||
19,008 | Capital One Financial Corp. | 1,013,316 | |||||||||
1,446 | CompuCredit Corp.* | 18,740 | |||||||||
19,952 | Discover Financial Services | 346,566 | |||||||||
2,816 | First Marblehead Corp. (The) | 84,508 | |||||||||
18,958 | SLM Corp. | 721,921 | |||||||||
5,122,207 | |||||||||||
Diversified Financial Services — 18.9% | |||||||||||
205,445 | Bank of America Corp. | 9,477,178 | |||||||||
8,938 | CIT Group, Inc. | 237,751 | |||||||||
228,385 | Citigroup, Inc. | 7,605,220 | |||||||||
2,429 | CME Group, Inc. | 1,599,739 | |||||||||
3,257 | IntercontinentalExchange, Inc.* | 543,789 | |||||||||
1,818 | International Securities Exchange Holdings, Inc. | 122,151 | |||||||||
155,435 | JPMorgan Chase & Co. | 7,090,945 | |||||||||
10,425 | Moody's Corp. | 392,606 | |||||||||
4,347 | Nasdaq Stock Market, Inc. (The)* | 188,486 | |||||||||
2,887 | Nymex Holdings, Inc. | 359,576 | |||||||||
8,625 | NYSE Euronext | 746,925 | |||||||||
28,364,366 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Insurance — 20.0% | |||||||||||
15,073 | ACE Ltd. | $ | 901,818 | ||||||||
22,666 | Aflac, Inc. | 1,419,798 | |||||||||
378 | Alleghany Corp.* | 154,602 | |||||||||
1,491 | Allied World Assurance Holdings Ltd. | 69,003 | |||||||||
26,954 | Allstate Corp. (The) | 1,377,889 | |||||||||
4,713 | AMBAC Financial Group, Inc. | 128,335 | |||||||||
3,288 | American Financial Group, Inc. | 96,075 | |||||||||
103,372 | American International Group, Inc. | 6,009,014 | |||||||||
857 | American National Insurance | 102,454 | |||||||||
11,870 | AON Corp. | 593,144 | |||||||||
2,290 | Arch Capital Group Ltd.* | 159,796 | |||||||||
4,309 | Arthur J. Gallagher & Co. | 113,241 | |||||||||
3,387 | Aspen Insurance Holdings Ltd. | 97,546 | |||||||||
4,672 | Assurant, Inc. | 305,689 | |||||||||
2,313 | Assured Guaranty Ltd. | 52,204 | |||||||||
6,550 | Axis Capital Holdings Ltd. | 249,817 | |||||||||
5,210 | Brown & Brown, Inc. | 128,166 | |||||||||
18,033 | Chubb Corp. | 983,700 | |||||||||
7,520 | Cincinnati Financial Corp. | 300,650 | |||||||||
2,759 | Commerce Group, Inc. | 99,186 | |||||||||
8,586 | Conseco, Inc.* | 110,244 | |||||||||
1,942 | Delphi Financial Group, Inc. | 74,650 | |||||||||
2,769 | Endurance Specialty Holdings Ltd. | 111,840 | |||||||||
2,289 | Erie Indemnity Co., Class A | 118,433 | |||||||||
2,867 | Everest Re Group Ltd. | 300,834 | |||||||||
10,007 | Fidelity National Financial, Inc., Class A | 156,309 | |||||||||
3,817 | First American Corp. | 130,465 | |||||||||
20,279 | Genworth Financial, Inc. | 532,121 | |||||||||
2,356 | Hanover Insurance Group, Inc. (The) | 106,256 | |||||||||
14,624 | Hartford Financial Services Group, Inc. | 1,393,960 | |||||||||
5,187 | HCC Insurance Holdings, Inc. | 159,448 | |||||||||
1,808 | Hilb Rogal & Hobbs Co. | 77,292 | |||||||||
1,922 | Horace Mann Educators Corp. | 37,594 | |||||||||
2,818 | IPC Holdings Ltd. | 83,300 | |||||||||
12,379 | Lincoln National Corp. | 762,175 | |||||||||
20,878 | Loews Corp. | 997,760 | |||||||||
467 | Markel Corp.* | 225,164 | |||||||||
24,727 | Marsh & McLennan Cos., Inc. | 621,142 | |||||||||
5,721 | MBIA, Inc. | 208,874 | |||||||||
1,336 | Mercury General Corp. | 69,325 |
See accompanying notes to the financial statements.
119
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Financials (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
20,829 | MetLife, Inc. | $ | 1,366,174 | ||||||||
4,318 | Montpelier Re Holdings Ltd. | 74,788 | |||||||||
1,822 | National Financial Partners Corp. | 82,719 | |||||||||
2,368 | Nationwide Financial Services | 105,992 | |||||||||
10,505 | Old Republic International Corp. | 157,680 | |||||||||
2,746 | PartnerRe Ltd. | 226,737 | |||||||||
2,806 | Philadelphia Consolidated Holding Co.* | 119,479 | |||||||||
4,828 | Phoenix Cos., Inc. (The) | 58,033 | |||||||||
2,805 | Platinum Underwriters Holdings Ltd. | 101,878 | |||||||||
12,342 | Principal Financial Group, Inc. | 808,278 | |||||||||
1,417 | ProAssurance Corp.* | 77,708 | |||||||||
31,202 | Progressive Corp. (The) | 574,117 | |||||||||
3,269 | Protective Life Corp. | 135,271 | |||||||||
21,225 | Prudential Financial, Inc. | 1,998,122 | |||||||||
1,384 | Reinsurance Group of America, Inc. | 74,888 | |||||||||
2,937 | RenaissanceRe Holdings Ltd. | 173,606 | |||||||||
966 | RLI Corp. | 57,603 | |||||||||
4,726 | Safeco Corp. | 272,737 | |||||||||
2,403 | Selective Insurance Group | 56,687 | |||||||||
2,382 | Stancorp Financial Group, Inc. | 124,078 | |||||||||
4,261 | Torchmark Corp. | 262,819 | |||||||||
1,337 | Transatlantic Holdings, Inc. | 99,406 | |||||||||
30,258 | Travelers Cos., Inc. (The) | 1,607,002 | |||||||||
2,296 | Unitrin, Inc. | 106,213 | |||||||||
16,579 | Unum Group | 411,822 | |||||||||
430 | White Mountains Insurance Group Ltd. | 221,450 | |||||||||
5,140 | Willis Group Holdings Ltd. | 205,292 | |||||||||
7,557 | WR Berkley Corp. | 231,093 | |||||||||
8,455 | XL Capital Ltd., Class A | 494,871 | |||||||||
1,821 | Zenith National Insurance Corp. | 76,537 | |||||||||
29,982,393 | |||||||||||
IT Services — 0.4% | |||||||||||
2,906 | Mastercard, Inc., Class A | 583,089 | |||||||||
1 | Metavante Technologies, Inc.* | 23 | |||||||||
3,810 | MoneyGram International, Inc. | 58,826 | |||||||||
641,938 | |||||||||||
Real Estate Investment Trusts — 8.8% | |||||||||||
1,393 | Alexandria Real Estate Equities, Inc. | 136,834 | |||||||||
4659 | AMB Property Corp. | 284,944 | |||||||||
5771 | American Financial Realty Trust | 46,572 | |||||||||
14,976 | Annaly Capital Management, Inc. | 257,737 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
4,345 | Apartment Investment & Management Co. | $ | 172,801 | ||||||||
3,730 | AvalonBay Communities, Inc. | 370,911 | |||||||||
2,912 | BioMed Realty Trust, Inc. | 65,753 | |||||||||
5,596 | Boston Properties, Inc. | 550,758 | |||||||||
3,881 | Brandywine Realty Trust | 79,561 | |||||||||
2,360 | BRE Properties, Inc. | 105,138 | |||||||||
2,460 | Camden Property Trust | 129,421 | |||||||||
6,559 | CapitalSource, Inc. | 109,929 | |||||||||
2,910 | CBL & Associates Properties, Inc. | 84,041 | |||||||||
1,983 | Colonial Properties Trust | 48,564 | |||||||||
2,279 | Corporate Office Properties Trust SBI MD | 82,317 | |||||||||
1,897 | Cousins Properties, Inc. | 45,092 | |||||||||
7,643 | DCT Industrial Trust, Inc. | 77,118 | |||||||||
5,708 | Developers Diversified Realty Corp. | 253,492 | |||||||||
4,318 | DiamondRock Hospitality Co. | 74,788 | |||||||||
2,451 | Digital Realty Trust, Inc. | 93,530 | |||||||||
4,651 | Douglas Emmett, Inc. | 111,671 | |||||||||
6,211 | Duke Realty Corp. | 163,287 | |||||||||
1,338 | Entertainment Properties Trust | 71,302 | |||||||||
981 | Equity Lifestyle Properties, Inc. | 45,509 | |||||||||
12,769 | Equity Residential | 475,134 | |||||||||
1032 | Essex Property Trust, Inc. | 107,060 | |||||||||
2,460 | Federal Realty Investment Trust | 204,647 | |||||||||
2,847 | FelCor Lodging Trust, Inc. | 49,851 | |||||||||
1,974 | First Industrial Realty Trust, Inc. | 72,090 | |||||||||
2,882 | Franklin Street Properties Corp. | 47,697 | |||||||||
7,511 | Friedman Billings Ramsey Group, Inc., Class A | 22,458 | |||||||||
10,490 | General Growth Properties, Inc. | 487,156 | |||||||||
9,462 | HCP, Inc. | 316,504 | |||||||||
3,754 | Health Care REIT, Inc. | 168,217 | |||||||||
2,297 | Healthcare Realty Trust, Inc. | 58,413 | |||||||||
2,465 | Highwoods Properties, Inc. | 78,214 | |||||||||
1,465 | Home Properties, Inc. | 66,203 | |||||||||
4,285 | Hospitality Properties Trust | 156,574 | |||||||||
24,070 | Host Hotels & Resorts, Inc. | 461,903 | |||||||||
9,542 | HRPT Properties Trust | 79,008 | |||||||||
5,768 | iStar Financial, Inc. | 168,829 | |||||||||
1,448 | Kilroy Realty Corp. | 80,929 | |||||||||
10,003 | Kimco Realty Corp. | 395,018 | |||||||||
1,872 | LaSalle Hotel Properties | 69,638 | |||||||||
2,859 | Lexington Realty Trust | 50,576 |
See accompanying notes to the financial statements.
120
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
4,241 | Liberty Property Trust | $ | 132,786 | ||||||||
3,303 | Macerich Co. (The) | 256,478 | |||||||||
3,230 | Mack-Cali Realty Corp. | 115,279 | |||||||||
1,802 | Maguire Properties, Inc. | 45,555 | |||||||||
1,035 | Mid-America Apartment Communities, Inc. | 49,980 | |||||||||
3,223 | National Retail Properties, Inc. | 78,931 | |||||||||
4,228 | Nationwide Health Properties, Inc. | 132,252 | |||||||||
2,390 | Newcastle Investment Corp. | 31,094 | |||||||||
1,849 | Pennsylvania Real Estate Investment Trust | 63,846 | |||||||||
8,042 | Plum Creek Timber Co., Inc. | 372,908 | |||||||||
1,933 | Post Properties, Inc. | 70,187 | |||||||||
1,854 | Potlatch Corp. | 85,117 | |||||||||
11,817 | Prologis | 773,068 | |||||||||
5,774 | Public Storage | 446,561 | |||||||||
2,825 | RAIT Financial Trust | 24,436 | |||||||||
3,695 | Rayonier, Inc. | 171,374 | |||||||||
4,698 | Realty Income Corp. | 133,893 | |||||||||
1,338 | Redwood Trust, Inc. | 40,849 | |||||||||
3,260 | Regency Centers Corp. | 216,594 | |||||||||
3,810 | Senior Housing Properties Trust | 84,163 | |||||||||
10,358 | Simon Property Group, Inc. | 1,019,745 | |||||||||
2,792 | SL Green Realty Corp. | 290,089 | |||||||||
3,356 | Strategic Hotels & Resorts, Inc. | 61,448 | |||||||||
2,806 | Sunstone Hotel Investors, Inc. | 65,099 | |||||||||
2,405 | Taubman Centers, Inc. | 128,740 | |||||||||
5,670 | Thornburg Mortgage, Inc. | 60,442 | |||||||||
6,192 | UDR, Inc. | 136,410 | |||||||||
6,146 | Ventas, Inc. | 267,966 | |||||||||
6,591 | Vornado Realty Trust | 593,190 | |||||||||
2,277 | Washington Real Estate Investment Trust | 72,955 | |||||||||
3,746 | Weingarten Realty Investors | 133,545 | |||||||||
13,232,169 | |||||||||||
Real Estate Management & Development — 0.6% | |||||||||||
9,462 | Brookfield Properties Corp. | 203,433 | |||||||||
9,420 | CB Richard Ellis Group, Inc., Class A* | 223,725 | |||||||||
2,879 | Forest City Enterprises, Inc., Class A | 144,353 | |||||||||
1,824 | Jones Lang LaSalle, Inc. | 153,344 | |||||||||
3,362 | St. Joe Co. (The) | 95,649 | |||||||||
820,504 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Thrifts & Mortgage Finance — 3.6% | |||||||||||
920 | Anchor Bancorp Wisconsin, Inc. | $ | 23,386 | ||||||||
4,189 | Astoria Financial Corp. | 104,893 | |||||||||
26,505 | Countrywide Financial Corp. | 286,784 | |||||||||
1,430 | Dime Community Bancshares | 19,405 | |||||||||
951 | Downey Financial Corp. | 39,571 | |||||||||
44,511 | Fannie Mae | 1,710,113 | |||||||||
4,782 | First Niagara Financial Group, Inc. | 59,440 | |||||||||
555 | FirstFed Financial Corp.* | 19,436 | |||||||||
30,346 | Freddie Mac | 1,064,234 | |||||||||
3,269 | Fremont General Corp. | 8,205 | |||||||||
22,362 | Hudson City Bancorp, Inc. | 340,350 | |||||||||
3,333 | IndyMac Bancorp, Inc. | 31,830 | |||||||||
3,776 | MGIC Investment Corp. | 88,812 | |||||||||
13,186 | New York Community Bancorp, Inc. | 245,391 | |||||||||
4,785 | NewAlliance Bancshares, Inc. | 61,727 | |||||||||
5,705 | People's United Financial, Inc. | 96,814 | |||||||||
948 | PFF Bancorp, Inc. | 8,911 | |||||||||
3,852 | PMI Group, Inc. (The) | 50,962 | |||||||||
2,812 | Provident Financial Services, Inc. | 41,786 | |||||||||
3,752 | Radian Group, Inc. | 42,548 | |||||||||
15,175 | Sovereign Bancorp, Inc. | 178,610 | |||||||||
3,356 | Trustco Bank Corp. NY | 35,674 | |||||||||
3,867 | Washington Federal, Inc. | 90,758 | |||||||||
39,770 | Washington Mutual, Inc. | 775,515 | |||||||||
5,425,155 | |||||||||||
Total Common Stock (Cost $129,603,218) | 128,025,955 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 18.8% | |||||||||||
$ | 5,620,768 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $5,622,941 ** | 5,620,768 | ||||||||
6,465,089 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $6,467,540 *** | 6,465,089 | |||||||||
1,124,154 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,124,580 **** | 1,124,154 |
See accompanying notes to the financial statements.
121
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Financials (continued)
Principal Amount | Value | ||||||||||
Repurchase Agreements (continued) | |||||||||||
$ | 14,988,715 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $14,994,398 ***** | $ | 14,988,715 | |||||||
Total Repurchase Agreements (Cost $28,198,726) | 28,198,726 | ||||||||||
Total Investments (Cost $157,801,944) — 104.2% | 156,224,681 | ||||||||||
Liabilities in excess of other assets — (4.2%) | (6,366,932 | ) | |||||||||
Net Assets — 100.0% | $ | 149,857,749 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $5,733,208. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $6,594,412. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $1,146,641. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $15,288,493. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 2,556,444 | |||||
Aggregate gross unrealized depreciation | (5,394,751 | ) | |||||
Net unrealized depreciation | $ | (2,838,307 | ) | ||||
Federal income tax cost of investments | $ | 159,062,988 |
Swap Agreements
Ultra Financials had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. FinancialsSM Index, expiring 12/27/07 | $ | 2,063,997 | $ | (44,346 | ) | ||||||
Equity Index Swap Agreement based on the Dow Jones U.S. FinancialsSM Index, expiring 12/27/07 | 167,741,338 | 280,281 | |||||||||
$ | 235,935 |
See accompanying notes to the financial statements.
122
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Health Care
Shares | Value | ||||||||||
Common Stocks (a) — 84.5% | |||||||||||
Biotechnology — 11.8% | |||||||||||
30 | Abraxis Bioscience, Inc.* | $ | 1,769 | ||||||||
198 | Alexion Pharmaceuticals, Inc.* | 14,399 | |||||||||
538 | Alkermes, Inc.* | 7,672 | |||||||||
5,793 | Amgen, Inc.* | 320,063 | |||||||||
694 | Amylin Pharmaceuticals, Inc.* | 26,504 | |||||||||
422 | Applera Corp.- Celera Group* | 6,381 | |||||||||
1,523 | Biogen Idec, Inc.* | 112,885 | |||||||||
510 | BioMarin Pharmaceutical, Inc.* | 14,025 | |||||||||
2,024 | Celgene Corp.* | 124,577 | |||||||||
356 | Cephalon, Inc.* | 26,671 | |||||||||
295 | Cubist Pharmaceuticals, Inc.* | 6,266 | |||||||||
296 | CV Therapeutics, Inc.* | 2,581 | |||||||||
234 | Enzon Pharmaceuticals, Inc.* | 2,214 | |||||||||
2,472 | Genentech, Inc.* | 188,490 | |||||||||
1,393 | Genzyme Corp.* | 104,377 | |||||||||
4,960 | Gilead Sciences, Inc.* | 230,838 | |||||||||
716 | Human Genome Sciences, Inc.* | 7,454 | |||||||||
319 | ImClone Systems, Inc.* | 14,384 | |||||||||
407 | Incyte Corp.* | 3,492 | |||||||||
141 | InterMune, Inc.* | 2,290 | |||||||||
670 | Medarex, Inc.* | 8,509 | |||||||||
1,706 | Millennium Pharmaceuticals, Inc.* | 25,146 | |||||||||
229 | Myriad Genetics, Inc.* | 11,038 | |||||||||
202 | Neurocrine Biosciences, Inc.* | 2,630 | |||||||||
291 | Onyx Pharmaceuticals, Inc.* | 15,871 | |||||||||
304 | OSI Pharmaceuticals, Inc.* | 14,176 | |||||||||
621 | PDL BioPharma, Inc.* | 10,998 | |||||||||
340 | Regeneron Pharmaceuticals, Inc.* | 7,405 | |||||||||
282 | Savient Pharmaceuticals, Inc.* | 3,965 | |||||||||
270 | Theravance, Inc.* | 6,504 | |||||||||
103 | United Therapeutics Corp.* | 10,308 | |||||||||
698 | Vertex Pharmaceuticals, Inc.* | 17,722 | |||||||||
1,351,604 | |||||||||||
Health Care Equipment & Supplies — 14.4% | |||||||||||
316 | Advanced Medical Optics, Inc.* | 7,970 | |||||||||
407 | Alcon, Inc. | 56,630 | |||||||||
384 | American Medical Systems Holdings, Inc.* | 5,249 | |||||||||
146 | Arthrocare Corp.* | 7,903 | |||||||||
3,465 | Baxter International, Inc. | 207,450 | |||||||||
334 | Beckman Coulter, Inc. | 23,624 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,226 | Becton Dickinson & Co. | $ | 101,427 | ||||||||
7,333 | Boston Scientific Corp.* | 92,616 | |||||||||
237 | Cooper Cos., Inc. (The) | 10,198 | |||||||||
2,635 | Covidien Ltd. | 105,690 | |||||||||
558 | CR Bard, Inc. | 47,168 | |||||||||
68 | Datascope Corp. | 2,488 | |||||||||
758 | Dentsply International, Inc. | 32,427 | |||||||||
311 | Edwards Lifesciences Corp.* | 15,379 | |||||||||
278 | Gen-Probe, Inc.* | 18,595 | |||||||||
142 | Haemonetics Corp.* | 8,237 | |||||||||
311 | Hillenbrand Industries, Inc. | 16,744 | |||||||||
610 | Hologic, Inc.* | 40,498 | |||||||||
833 | Hospira, Inc.* | 36,069 | |||||||||
332 | Idexx Laboratories, Inc.* | 20,086 | |||||||||
367 | Immucor, Inc.* | 12,173 | |||||||||
199 | Intuitive Surgical, Inc.* | 65,208 | |||||||||
165 | Invacare Corp. | 4,290 | |||||||||
353 | Inverness Medical Innovations, Inc.* | 20,714 | |||||||||
282 | Kinetic Concepts, Inc.* | 16,537 | |||||||||
6,077 | Medtronic, Inc. | 309,016 | |||||||||
180 | Mentor Corp. | 6,766 | |||||||||
407 | Resmed, Inc.* | 18,641 | |||||||||
389 | Respironics, Inc.* | 19,162 | |||||||||
1,816 | St. Jude Medical, Inc.* | 72,186 | |||||||||
345 | STERIS Corp. | 9,646 | |||||||||
1,672 | Stryker Corp. | 121,437 | |||||||||
672 | Varian Medical Systems, Inc.* | 33,573 | |||||||||
1,272 | Zimmer Holdings, Inc.* | 82,337 | |||||||||
1,648,134 | |||||||||||
Health Care Providers & Services — 14.4% | |||||||||||
2,751 | Aetna, Inc. | 153,726 | |||||||||
279 | AMERIGROUP Corp.* | 9,589 | |||||||||
232 | Apria Healthcare Group, Inc.* | 5,027 | |||||||||
273 | Brookdale Senior Living, Inc. | 9,036 | |||||||||
232 | Centene Corp.* | 5,800 | |||||||||
1,508 | Cigna Corp. | 80,844 | |||||||||
510 | Community Health Systems, Inc.* | 17,044 | |||||||||
832 | Coventry Health Care, Inc.* | 48,156 | |||||||||
561 | DaVita, Inc.* | 34,760 | |||||||||
1,162 | Express Scripts, Inc.* | 78,725 | |||||||||
1,283 | Health Management Associates, Inc., Class A | 8,737 | |||||||||
598 | Health Net, Inc.* | 29,051 |
See accompanying notes to the financial statements.
123
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Health Care (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
420 | Healthsouth Corp.* | $ | 8,329 | ||||||||
184 | Healthways, Inc.* | 10,740 | |||||||||
471 | Henry Schein, Inc.* | 27,860 | |||||||||
886 | Humana, Inc.* | 68,249 | |||||||||
627 | Laboratory Corp. of America Holdings* | 45,564 | |||||||||
306 | LifePoint Hospitals, Inc.* | 9,682 | |||||||||
453 | Lincare Holdings, Inc.* | 15,488 | |||||||||
208 | Magellan Health Services, Inc.* | 9,454 | |||||||||
1,444 | Medco Health Solutions, Inc.* | 144,386 | |||||||||
175 | Odyssey HealthCare, Inc.* | 1,750 | |||||||||
214 | Owens & Minor, Inc. | 8,404 | |||||||||
689 | Patterson Cos., Inc.* | 22,172 | |||||||||
258 | Pediatrix Medical Group, Inc.* | 16,682 | |||||||||
150 | PharMerica Corp.* | 2,209 | |||||||||
361 | PSS World Medical, Inc.* | 6,924 | |||||||||
289 | Psychiatric Solutions, Inc.* | 10,557 | |||||||||
802 | Quest Diagnostics, Inc. | 44,158 | |||||||||
272 | Sierra Health Services, Inc.* | 11,356 | |||||||||
234 | Sunrise Senior Living, Inc.* | 7,345 | |||||||||
2,522 | Tenet Healthcare Corp.* | 13,896 | |||||||||
7,063 | UnitedHealth Group, Inc. | 388,465 | |||||||||
269 | Universal Health Services, Inc., Class B | 13,706 | |||||||||
190 | WellCare Health Plans, Inc.* | 7,393 | |||||||||
3,200 | WellPoint, Inc.* | 269,472 | |||||||||
1,644,736 | |||||||||||
Life Sciences Tools & Services — 3.6% | |||||||||||
365 | Affymetrix, Inc.* | 7,610 | |||||||||
977 | Applera Corp.- Applied Biosystems Group | 33,374 | |||||||||
98 | Bio-Rad Laboratories, Inc., Class A* | 9,889 | |||||||||
362 | Charles River Laboratories International, Inc.* | 22,998 | |||||||||
340 | Covance, Inc.* | 29,692 | |||||||||
195 | Enzo Biochem, Inc.* | 2,137 | |||||||||
286 | Illumina, Inc.* | 16,528 | |||||||||
247 | Invitrogen Corp.* | 23,962 | |||||||||
288 | Millipore Corp.* | 23,581 | |||||||||
489 | Nektar Therapeutics* | 3,262 | |||||||||
147 | Parexel International Corp.* | 6,505 | |||||||||
556 | Pharmaceutical Product Development, Inc. | 23,541 | |||||||||
199 | Techne Corp.* | 12,965 | |||||||||
2,274 | Thermo Fisher Scientific, Inc.* | 131,073 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
163 | Varian, Inc.* | $ | 11,418 | ||||||||
186 | Ventana Medical Systems, Inc.* | 16,521 | |||||||||
532 | Waters Corp.* | 41,517 | |||||||||
416,573 | |||||||||||
Pharmaceuticals — 40.3% | |||||||||||
8,202 | Abbott Laboratories | 471,697 | |||||||||
167 | Adams Respiratory Therapeutics, Inc.* | 7,204 | |||||||||
1,612 | Allergan, Inc. | 108,069 | |||||||||
233 | Alpharma, Inc., Class A* | 4,893 | |||||||||
125 | APP Pharmaceuticals, Inc.* | 1,469 | |||||||||
572 | Barr Pharmaceuticals, Inc.* | 30,716 | |||||||||
10,491 | Bristol-Myers Squibb Co. | 310,848 | |||||||||
5,155 | Eli Lilly & Co. | 272,957 | |||||||||
710 | Endo Pharmaceuticals Holdings, Inc.* | 19,461 | |||||||||
1,688 | Forest Laboratories, Inc.* | 65,073 | |||||||||
15,457 | Johnson & Johnson | 1,047,057 | |||||||||
1,289 | King Pharmaceuticals, Inc.* | 13,651 | |||||||||
276 | Medicines Co. (The)* | 4,880 | |||||||||
298 | Medicis Pharmaceutical Corp., Class A | 8,016 | |||||||||
11,601 | Merck & Co., Inc. | 688,635 | |||||||||
425 | MGI Pharma, Inc.* | 14,709 | |||||||||
1,326 | Mylan, Inc. | 19,068 | |||||||||
132 | Noven Pharmaceuticals, Inc.* | 2,090 | |||||||||
192 | Par Pharmaceutical Cos., Inc.* | 3,694 | |||||||||
412 | Perrigo Co. | 12,731 | |||||||||
36,929 | Pfizer, Inc. | 877,433 | |||||||||
7,977 | Schering-Plough Corp. | 249,680 | |||||||||
567 | Sepracor, Inc.* | 15,043 | |||||||||
420 | Valeant Pharmaceuticals International* | 4,851 | |||||||||
545 | Watson Pharmaceuticals, Inc.* | 15,974 | |||||||||
7,113 | Wyeth | 349,248 | |||||||||
4,619,147 | |||||||||||
Total Common Stock (Cost $9,131,438) | 9,680,194 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 13.6% | |||||||||||
$ | 309,887 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $310,007 ** | 309,887 | ||||||||
356,436 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $356,571 *** | 356,436 |
See accompanying notes to the financial statements.
124
Principal Amount | Value | ||||||||||
Repurchase Agreements (continued) | |||||||||||
$ | 61,977 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $62,000 **** | $ | 61,977 | |||||||
826,365 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $826,678 ***** | 826,365 | |||||||||
Total Repurchase Agreements (Cost $1,554,665) | 1,554,665 | ||||||||||
Total Investments (Cost $10,686,103) — 98.1% | 11,234,859 | ||||||||||
Other assets less liabilities — 1.9% | 221,337 | ||||||||||
Net Assets — 100.0% | $ | 11,456,196 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $316,086. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $363,566. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $63,217. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $842,892. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 990,642 | |||||
Aggregate gross unrealized depreciation | (447,062 | ) | |||||
Net unrealized appreciation | $ | 543,580 | |||||
Federal income tax cost of investments | $ | 10,691,279 |
Swap Agreements
Ultra Health Care had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Health CareSM Index, expiring 12/27/07 | $ | 4,871,055 | $ | 85,395 | |||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Health CareSM Index, expiring 12/27/07 | 8,000,000 | 173,022 | |||||||||
$ | 258,417 |
See accompanying notes to the financial statements.
125
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Industrials
Shares | Value | ||||||||||
Common Stocks (a) — 88.6% | |||||||||||
Aerospace & Defense — 16.0% | |||||||||||
199 | AAR Corp.* | $ | 6,571 | ||||||||
176 | Alliant Techsystems, Inc.* | 20,562 | |||||||||
484 | BE Aerospace, Inc.* | 22,748 | |||||||||
3,729 | Boeing Co. | 345,082 | |||||||||
133 | Ceradyne, Inc.* | 6,576 | |||||||||
232 | Curtiss-Wright Corp. | 12,514 | |||||||||
216 | DRS Technologies, Inc. | 12,789 | |||||||||
151 | Esterline Technologies Corp.* | 7,885 | |||||||||
1,765 | General Dynamics Corp. | 156,697 | |||||||||
655 | Goodrich Corp. | 46,695 | |||||||||
495 | Hexcel Corp.* | 12,608 | |||||||||
3,596 | Honeywell International, Inc. | 203,606 | |||||||||
656 | L-3 Communications Holdings, Inc. | 72,586 | |||||||||
1,729 | Lockheed Martin Corp. | 191,348 | |||||||||
200 | Moog, Inc., Class A* | 9,016 | |||||||||
1,679 | Northrop Grumman Corp. | 132,288 | |||||||||
314 | Orbital Sciences Corp.* | 7,555 | |||||||||
720 | Precision Castparts Corp. | 106,085 | |||||||||
2,298 | Raytheon Co. | 142,131 | |||||||||
878 | Rockwell Collins, Inc. | 63,321 | |||||||||
538 | Spirit Aerosystems Holdings, Inc., Class A* | 18,803 | |||||||||
326 | Taser International, Inc.* | 4,567 | |||||||||
171 | Teledyne Technologies, Inc.* | 9,272 | |||||||||
4,825 | United Technologies Corp. | 360,765 | |||||||||
1,972,070 | |||||||||||
Air Freight & Logistics — 4.3% | |||||||||||
913 | CH Robinson Worldwide, Inc. | 47,065 | |||||||||
1,120 | Expeditors International Washington, Inc. | 52,550 | |||||||||
1,498 | FedEx Corp. | 147,508 | |||||||||
155 | Forward Air Corp. | 5,017 | |||||||||
182 | Pacer International, Inc. | 2,504 | |||||||||
3,583 | United Parcel Service, Inc., Class B | 263,996 | |||||||||
435 | UTi Worldwide, Inc. | 10,323 | |||||||||
528,963 | |||||||||||
Building Products — 1.0% | |||||||||||
337 | Lennox International, Inc. | 11,404 | |||||||||
1,984 | Masco Corp. | 44,442 | |||||||||
106 | NCI Building Systems, Inc.* | 3,639 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
465 | Owens Corning, Inc.* | $ | 10,235 | ||||||||
197 | Simpson Manufacturing Co., Inc. | 5,242 | |||||||||
936 | Trane, Inc. | 34,360 | |||||||||
380 | USG Corp.* | 13,942 | |||||||||
123,264 | |||||||||||
Chemicals — 0.1% | |||||||||||
758 | Nalco Holding Co. | 18,162 | |||||||||
Commercial Services & Supplies — 4.0% | |||||||||||
127 | Administaff, Inc. | 4,150 | |||||||||
1,502 | Allied Waste Industries, Inc.* | 17,138 | |||||||||
146 | Bowne & Co., Inc. | 2,637 | |||||||||
264 | Brady Corp., Class A | 10,568 | |||||||||
215 | Brink's Co. (The) | 13,756 | |||||||||
395 | ChoicePoint, Inc.* | 14,951 | |||||||||
719 | Cintas Corp. | 23,001 | |||||||||
190 | Corporate Executive Board Co. | 12,747 | |||||||||
641 | Corrections Corp. of America* | 19,557 | |||||||||
563 | Covanta Holding Corp.* | 15,195 | |||||||||
270 | Deluxe Corp. | 8,529 | |||||||||
224 | FTI Consulting, Inc.* | 12,768 | |||||||||
112 | G&K Services, Inc., Class A | 4,555 | |||||||||
243 | Labor Ready, Inc.* | 3,657 | |||||||||
446 | Manpower, Inc. | 27,251 | |||||||||
117 | Mine Safety Appliances Co. | 5,734 | |||||||||
623 | Monster Worldwide, Inc.* | 21,039 | |||||||||
250 | Navigant Consulting, Inc.* | 3,245 | |||||||||
280 | PHH Corp.* | 6,205 | |||||||||
1,151 | R.R. Donnelley & Sons Co. | 42,196 | |||||||||
876 | Republic Services, Inc. | 29,057 | |||||||||
244 | Resources Connection, Inc. | 5,031 | |||||||||
861 | Robert Half International, Inc. | 23,212 | |||||||||
297 | Spherion Corp.* | 2,311 | |||||||||
464 | Stericycle, Inc.* | 27,306 | |||||||||
210 | TeleTech Holdings, Inc.* | 4,349 | |||||||||
304 | Tetra Tech, Inc.* | 6,299 | |||||||||
146 | United Stationers, Inc.* | 7,396 | |||||||||
105 | Viad Corp. | 3,256 | |||||||||
359 | Waste Connections, Inc.* | 11,427 |
See accompanying notes to the financial statements.
126
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
2,718 | Waste Management, Inc. | $ | 93,282 | ||||||||
223 | Watson Wyatt Worldwide, Inc., Class A | 10,269 | |||||||||
492,074 | |||||||||||
Communications Equipment — 0.2% | |||||||||||
91 | Black Box Corp. | 3,349 | |||||||||
319 | CommScope, Inc.* | 12,919 | |||||||||
591 | Powerwave Technologies, Inc.* | 2,447 | |||||||||
18,715 | |||||||||||
Construction & Engineering — 2.5% | |||||||||||
335 | EMCOR Group, Inc.* | 8,924 | |||||||||
462 | Fluor Corp. | 67,992 | |||||||||
368 | Foster Wheeler Ltd.* | 54,832 | |||||||||
181 | Granite Construction, Inc. | 7,425 | |||||||||
142 | Insituform Technologies, Inc.* | 1,845 | |||||||||
630 | Jacobs Engineering Group, Inc.* | 52,775 | |||||||||
881 | KBR, Inc.* | 35,081 | |||||||||
890 | Quanta Services, Inc.* | 24,368 | |||||||||
397 | Shaw Group, Inc. (The)* | 25,178 | |||||||||
395 | URS Corp.* | 22,709 | |||||||||
301,129 | |||||||||||
Construction Materials — 0.8% | |||||||||||
254 | Eagle Materials, Inc. | 9,904 | |||||||||
221 | Headwaters, Inc.* | 2,652 | |||||||||
220 | Martin Marietta Materials, Inc. | 29,601 | |||||||||
143 | Texas Industries, Inc. | 9,921 | |||||||||
502 | Vulcan Materials Co. | 44,620 | |||||||||
96,698 | |||||||||||
Containers & Packaging — 1.7% | |||||||||||
336 | Aptargroup, Inc. | 14,183 | |||||||||
536 | Ball Corp. | 24,790 | |||||||||
528 | Bemis Co., Inc. | 14,325 | |||||||||
857 | Crown Holdings, Inc.* | 21,991 | |||||||||
757 | Owens-Illinois, Inc.* | 33,982 | |||||||||
489 | Packaging Corp. of America | 13,834 | |||||||||
685 | Pactiv Corp.* | 17,399 | |||||||||
847 | Sealed Air Corp. | 19,794 | |||||||||
1,333 | Smurfit-Stone Container Corp.* | 14,676 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
530 | Sonoco Products Co. | $ | 16,101 | ||||||||
515 | Temple-Inland, Inc. | 23,674 | |||||||||
214,749 | |||||||||||
Electrical Equipment — 4.4% | |||||||||||
229 | Acuity Brands, Inc. | 9,043 | |||||||||
557 | Ametek, Inc. | 24,508 | |||||||||
221 | Baldor Electric Co. | 7,459 | |||||||||
236 | Belden, Inc. | 10,868 | |||||||||
1,100 | Cooper Industries Ltd., Class A | 55,242 | |||||||||
4,161 | Emerson Electric Co. | 237,260 | |||||||||
208 | Energy Conversion Devices, Inc.* | 5,381 | |||||||||
275 | General Cable Corp.* | 20,455 | |||||||||
133 | Genlyte Group, Inc.* | 12,535 | |||||||||
548 | GrafTech International Ltd.* | 8,806 | |||||||||
268 | Hubbell, Inc., Class B | 14,721 | |||||||||
394 | Power-One, Inc.* | 1,840 | |||||||||
168 | Regal-Beloit Corp. | 7,910 | |||||||||
716 | Rockwell Automation, Inc. | 48,609 | |||||||||
464 | Roper Industries, Inc. | 29,441 | |||||||||
191 | Sunpower Corp., Class A* | 23,768 | |||||||||
308 | Thomas & Betts Corp.* | 16,743 | |||||||||
534,589 | |||||||||||
Electronic Equipment & Instruments — 4.4% | |||||||||||
2,080 | Agilent Technologies, Inc.* | 78,686 | |||||||||
936 | Amphenol Corp., Class A | 40,576 | |||||||||
169 | Anixter International, Inc.* | 10,900 | |||||||||
651 | Arrow Electronics, Inc.* | 24,093 | |||||||||
785 | Avnet, Inc.* | 27,082 | |||||||||
270 | AVX Corp. | 3,869 | |||||||||
379 | Benchmark Electronics, Inc.* | 6,803 | |||||||||
206 | Checkpoint Systems, Inc.* | 4,895 | |||||||||
214 | Cognex Corp. | 4,338 | |||||||||
164 | Coherent, Inc.* | 4,718 | |||||||||
189 | CTS Corp. | 1,998 | |||||||||
136 | Electro Scientific Industries, Inc.* | 2,754 | |||||||||
4,349 | Flextronics International Ltd.* | 52,014 | |||||||||
348 | Flir Systems, Inc.* | 23,918 | |||||||||
157 | Itron, Inc.* | 12,175 | |||||||||
946 | Jabil Circuit, Inc. | 16,035 | |||||||||
440 | Kemet Corp.* | 2,728 | |||||||||
117 | Littelfuse, Inc.* | 3,902 |
See accompanying notes to the financial statements.
127
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Industrials (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
196 | Methode Electronics, Inc. | $ | 2,362 | ||||||||
195 | Mettler Toledo International, Inc.* | 22,690 | |||||||||
353 | Molex, Inc. | 9,729 | |||||||||
403 | Molex, Inc., Class A | 10,792 | |||||||||
307 | National Instruments Corp. | 10,245 | |||||||||
186 | Newport Corp.* | 2,466 | |||||||||
173 | Orbotech Ltd.* | 2,659 | |||||||||
97 | Park Electrochemical Corp. | 2,857 | |||||||||
243 | Plexus Corp.* | 7,232 | |||||||||
2,796 | Sanmina-SCI Corp.* | 4,949 | |||||||||
212 | Technitrol, Inc. | 5,675 | |||||||||
631 | Trimble Navigation, Ltd.* | 23,391 | |||||||||
2,597 | Tyco Electronics Ltd.* | 97,102 | |||||||||
904 | Vishay Intertechnology, Inc.* | 11,291 | |||||||||
534,924 | |||||||||||
Health Care Equipment & Supplies — 0.1% | |||||||||||
173 | West Pharmaceutical Services, Inc. | 6,500 | |||||||||
Health Care Technology — 0.3% | |||||||||||
953 | HLTH Corp.* | 13,332 | |||||||||
1,028 | IMS Health, Inc. | 24,004 | |||||||||
37,336 | |||||||||||
Household Durables — 0.5% | |||||||||||
801 | Fortune Brands, Inc. | 61,397 | |||||||||
Industrial Conglomerates — 21.5% | |||||||||||
3,470 | 3M Co. | 288,912 | |||||||||
328 | Carlisle Cos., Inc. | 13,058 | |||||||||
54,022 | General Electric Co. | 2,068,502 | |||||||||
1,179 | McDermott International, Inc.* | 61,662 | |||||||||
205 | Teleflex, Inc. | 12,368 | |||||||||
1,312 | Textron, Inc. | 90,593 | |||||||||
2,597 | Tyco International Ltd. | 104,218 | |||||||||
273 | Walter Industries, Inc. | 9,470 | |||||||||
2,648,783 | |||||||||||
Internet Software & Services — 0.1% | |||||||||||
211 | VistaPrint Ltd.* | 9,368 | |||||||||
IT Services — 5.6% | |||||||||||
3,070 | Accenture Ltd., Class A | 106,099 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
365 | Acxiom Corp. | $ | 4,497 | ||||||||
485 | Affiliated Computer Services, Inc., Class A* | 20,351 | |||||||||
413 | Alliance Data Systems Corp.* | 32,090 | |||||||||
2,790 | Automatic Data Processing, Inc. | 125,717 | |||||||||
1,059 | BearingPoint, Inc.* | 3,865 | |||||||||
725 | Broadridge Financial Solutions, Inc. | 16,508 | |||||||||
383 | Checkfree Corp.* | 18,231 | |||||||||
724 | Convergys Corp.* | 11,808 | |||||||||
1,012 | Fidelity National Information Services, Inc. | 43,739 | |||||||||
867 | Fiserv, Inc.* | 44,503 | |||||||||
76 | Forrester Research, Inc.* | 1,990 | |||||||||
426 | Global Payments, Inc. | 18,412 | |||||||||
517 | Hewitt Associates, Inc., Class A* | 19,388 | |||||||||
957 | Iron Mountain, Inc.* | 34,911 | |||||||||
419 | Metavante Technologies, Inc.* | 9,545 | |||||||||
540 | MPS Group, Inc.* | 5,994 | |||||||||
401 | NeuStar, Inc., Class A* | 12,740 | |||||||||
1,770 | Paychex, Inc. | 69,030 | |||||||||
4,014 | Western Union Co. (The) | 90,716 | |||||||||
690,134 | |||||||||||
Life Sciences Tools & Services — 0.2% | |||||||||||
101 | Dionex Corp.* | 8,532 | |||||||||
622 | PerkinElmer, Inc. | 16,968 | |||||||||
25,500 | |||||||||||
Machinery — 13.6% | |||||||||||
288 | Actuant Corp., Class A | 9,121 | |||||||||
480 | AGCO Corp.* | 33,091 | |||||||||
136 | Albany International Corp. | 5,259 | |||||||||
87 | Astec Industries, Inc.* | 3,268 | |||||||||
193 | Bucyrus International, Inc. | 16,928 | |||||||||
3,393 | Caterpillar, Inc. | 243,957 | |||||||||
262 | Clarcor, Inc. | 9,330 | |||||||||
274 | Crane Co. | 12,314 | |||||||||
494 | Cummins, Inc. | 57,749 | |||||||||
1,266 | Danaher Corp. | 109,914 | |||||||||
1,191 | Deere & Co. | 204,614 | |||||||||
367 | Donaldson Co., Inc. | 17,168 | |||||||||
1,068 | Dover Corp. | 49,427 | |||||||||
769 | Eaton Corp. | 68,679 | |||||||||
136 | ESCO Technologies, Inc.* | 5,029 |
See accompanying notes to the financial statements.
128
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
300 | Flowserve Corp. | $ | 28,227 | ||||||||
275 | Gardner Denver, Inc.* | 9,105 | |||||||||
343 | Graco, Inc. | 12,773 | |||||||||
442 | Harsco Corp. | 26,551 | |||||||||
423 | IDEX Corp. | 15,101 | |||||||||
2,491 | Illinois Tool Works, Inc. | 138,251 | |||||||||
1,506 | Ingersoll-Rand Co., Ltd., Class A | 77,770 | |||||||||
953 | ITT Corp. | 61,411 | |||||||||
575 | Joy Global, Inc. | 33,350 | |||||||||
148 | Kaydon Corp. | 7,490 | |||||||||
203 | Kennametal, Inc. | 15,844 | |||||||||
213 | Lincoln Electric Holdings, Inc. | 14,861 | |||||||||
659 | Manitowoc Co., Inc. (The) | 28,897 | |||||||||
195 | Mueller Industries, Inc. | 5,895 | |||||||||
451 | Mueller Water Products, Inc., Class B | 4,515 | |||||||||
161 | Nordson Corp. | 8,501 | |||||||||
385 | Oshkosh Truck Corp. | 18,515 | |||||||||
1,971 | Paccar, Inc. | 99,752 | |||||||||
642 | Pall Corp. | 24,557 | |||||||||
912 | Parker Hannifin Corp. | 72,440 | |||||||||
524 | Pentair, Inc. | 17,774 | |||||||||
286 | SPX Corp. | 29,103 | |||||||||
540 | Terex Corp.* | 34,803 | |||||||||
398 | Timken Co. | 12,692 | |||||||||
208 | Toro Co. | 11,575 | |||||||||
419 | Trinity Industries, Inc. | 10,605 | |||||||||
152 | Wabash National Corp. | 1,050 | |||||||||
255 | Wabtec Corp. | 8,655 | |||||||||
1,675,911 | |||||||||||
Marine — 0.2% | |||||||||||
226 | Alexander & Baldwin, Inc. | 11,612 | |||||||||
222 | American Commercial Lines, Inc.* | 3,861 | |||||||||
277 | Kirby Corp.* | 13,315 | |||||||||
28,788 | |||||||||||
Metals & Mining — 0.1% | |||||||||||
194 | Quanex Corp. | 9,708 | |||||||||
Multi-Utilities — 0.2% | |||||||||||
884 | MDU Resources Group, Inc. | 24,124 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Office Electronics — 0.1% | |||||||||||
363 | Zebra Technologies Corp.* | $ | 14,001 | ||||||||
Oil, Gas & Consumable Fuels — 0.3% | |||||||||||
142 | General Maritime Corp. | 3,792 | |||||||||
158 | Overseas Shipholding Group, Inc. | 11,313 | |||||||||
224 | Teekay Corp. | 12,600 | |||||||||
149 | World Fuel Services Corp. | 4,714 | |||||||||
32,419 | |||||||||||
Paper & Forest Products — 0.3% | |||||||||||
548 | Louisiana-Pacific Corp. | 8,428 | |||||||||
963 | MeadWestvaco Corp. | 31,654 | |||||||||
40,082 | |||||||||||
Road & Rail — 4.9% | |||||||||||
118 | Arkansas Best Corp. | 2,690 | |||||||||
1,679 | Burlington Northern Santa Fe Corp. | 140,230 | |||||||||
237 | Con-way, Inc. | 10,020 | |||||||||
2,286 | CSX Corp. | 96,012 | |||||||||
202 | Genesee & Wyoming, Inc.* | 5,293 | |||||||||
523 | JB Hunt Transport Services, Inc. | 13,750 | |||||||||
403 | Kansas City Southern* | 13,875 | |||||||||
292 | Landstar System, Inc. | 11,616 | |||||||||
2,068 | Norfolk Southern Corp. | 105,902 | |||||||||
172 | Old Dominion Freight Line, Inc.* | 3,875 | |||||||||
314 | Ryder System, Inc. | 13,615 | |||||||||
77 | Saia, Inc.* | 1,004 | |||||||||
1,406 | Union Pacific Corp. | 177,353 | |||||||||
277 | Werner Enterprises, Inc. | 4,861 | |||||||||
304 | YRC Worldwide, Inc.* | 5,384 | |||||||||
605,480 | |||||||||||
Semiconductors & Semiconductor Equipment — 0.0% | |||||||||||
155 | Veeco Instruments, Inc.* | 2,601 | |||||||||
Specialty Retail — 0.3% | |||||||||||
583 | Sherwin-Williams Co. (The) | 36,630 | |||||||||
Trading Companies & Distributors — 0.9% | |||||||||||
739 | Fastenal Co. | 29,294 |
See accompanying notes to the financial statements.
129
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Industrials (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
231 | GATX Corp. | $ | 8,554 | ||||||||
129 | Kaman Corp. | 4,115 | |||||||||
248 | MSC Industrial Direct Co. | 10,718 | |||||||||
388 | United Rentals, Inc.* | 9,029 | |||||||||
128 | Watsco, Inc. | 4,640 | |||||||||
233 | WESCO International, Inc.* | 9,432 | |||||||||
396 | WW Grainger, Inc. | 34,967 | |||||||||
110,749 | |||||||||||
Total Common Stock (Cost $10,674,129) | 10,894,848 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreement — 16.2% | |||||||||||
$ | 397,018 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $397,172 ** | 397,018 | ||||||||
456,655 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $456,828 *** | 456,655 | |||||||||
79,404 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $79,434 **** | 79,404 | |||||||||
1,058,714 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,059,115 ***** | 1,058,714 | |||||||||
Total Repurchase Agreements (Cost $1,991,791) | 1,991,791 | ||||||||||
Total Investments (Cost $12,665,920) — 104.8% | 12,886,639 | ||||||||||
Liabilities in excess of other assets — (4.8%) | (593,899 | ) | |||||||||
Net Assets — 100.0% | $ | 12,292,740 |
(a) All or a portion of these securities are held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $404,960. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $465,790. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $80,992. The investment in the repurchase agreement was through participation in a pooled account.
*****Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $1,079,888. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 523,357 | |||||
Aggregate gross unrealized depreciation | (351,723 | ) | |||||
Net unrealized appreciation | $ | 171,634 | |||||
Federal income tax cost of investments | $ | 12,715,005 |
See accompanying notes to the financial statements.
130
Swap Agreements
Ultra Industrials had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. IndustrialsSM Index, expiring 12/27/07 | $ | 5,000,627 | $ | (213,092 | ) | ||||||
Equity Index Swap Agreement based on the Dow Jones U.S. IndustrialsSM Index, expiring 12/27/07 | 9,200,000 | (335,965 | ) | ||||||||
$ | (549,057 | ) |
See accompanying notes to the financial statements.
131
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Oil & Gas
Shares | Value | ||||||||||
Common Stocks (a) — 89.7% | |||||||||||
Energy Equipment & Services — 21.4% | |||||||||||
896 | Atwood Oceanics, Inc.* | $ | 78,176 | ||||||||
10,765 | Baker Hughes, Inc. | 864,107 | |||||||||
9,840 | BJ Services Co. | 241,867 | |||||||||
750 | Bristow Group, Inc.* | 41,250 | |||||||||
3,650 | Cameron International Corp.* | 340,289 | |||||||||
803 | Core Laboratories NV* | 94,152 | |||||||||
2,199 | Diamond Offshore Drilling, Inc. | 256,030 | |||||||||
2,868 | Dresser-Rand Group, Inc.* | 102,101 | |||||||||
4,947 | ENSCO International, Inc. | 266,396 | |||||||||
2,213 | Exterran Holdings, Inc.* | 177,129 | |||||||||
4,358 | FMC Technologies, Inc.* | 242,218 | |||||||||
2,936 | Global Industries Ltd.* | 65,091 | |||||||||
4,299 | Grant Prideco, Inc.* | 206,782 | |||||||||
6,205 | Grey Wolf, Inc.* | 31,521 | |||||||||
29,878 | Halliburton Co. | 1,093,834 | |||||||||
2,799 | Helix Energy Solutions Group, Inc.* | 113,611 | |||||||||
3,208 | Helmerich & Payne, Inc. | 110,836 | |||||||||
2,362 | ION Geophysical Corp.* | 36,446 | |||||||||
9,445 | Nabors Industries Ltd.* | 254,070 | |||||||||
11,912 | National Oilwell Varco, Inc.* | 811,803 | |||||||||
2,999 | Newpark Resources* | 16,135 | |||||||||
9,013 | Noble Corp. | 469,848 | |||||||||
1,830 | Oceaneering International, Inc.* | 116,772 | |||||||||
1,657 | Oil States International, Inc.* | 52,543 | |||||||||
3,751 | Parker Drilling Co.* | 26,820 | |||||||||
5,260 | Patterson-UTI Energy, Inc. | 99,151 | |||||||||
5,562 | Pride International, Inc.* | 183,379 | |||||||||
3,710 | Rowan Cos., Inc. | 131,334 | |||||||||
40,012 | Schlumberger Ltd. | 3,739,121 | |||||||||
791 | SEACOR Holdings, Inc.* | 71,641 | |||||||||
6,712 | Smith International, Inc. | 420,977 | |||||||||
2,707 | Superior Energy Services* | 94,474 | |||||||||
2,490 | Tetra Technologies, Inc.* | 39,367 | |||||||||
1,871 | Tidewater, Inc. | 91,473 | |||||||||
10,504 | Transocean, Inc. | 1,442,066 | |||||||||
1,552 | Unit Corp.* | 69,405 | |||||||||
1,019 | W-H Energy Services, Inc.* | 51,459 | |||||||||
11,402 | Weatherford International Ltd.* | 713,993 | |||||||||
13,257,667 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Independent Power Producers & Energy Traders — 0.2% | |||||||||||
13,466 | Dynegy, Inc., Class A* | $ | 102,476 | ||||||||
Multi-Utilities — 0.2% | |||||||||||
3,073 | OGE Energy Corp. | 109,399 | |||||||||
Oil, Gas & Consumable Fuels — 67.9% | |||||||||||
15,713 | Anadarko Petroleum Corp. | 889,356 | |||||||||
11,013 | Apache Corp. | 1,065,948 | |||||||||
1,186 | Berry Petroleum Co., Class A | 49,053 | |||||||||
3,264 | Cabot Oil & Gas Corp. | 112,347 | |||||||||
1,497 | Cheniere Energy, Inc.* | 52,096 | |||||||||
15,015 | Chesapeake Energy Corp. | 568,318 | |||||||||
71,550 | Chevron Corp. | 6,279,943 | |||||||||
2,775 | Cimarex Energy Co. | 107,198 | |||||||||
1,489 | Comstock Resources, Inc.* | 49,882 | |||||||||
51,078 | ConocoPhillips | 4,088,283 | |||||||||
1,542 | Crosstex Energy, Inc. | 55,358 | |||||||||
2,205 | Delta Petroleum Corp.* | 33,891 | |||||||||
4,055 | Denbury Resources, Inc.* | 216,213 | |||||||||
14,070 | Devon Energy Corp. | 1,165,137 | |||||||||
23,676 | El Paso Corp. | 380,710 | |||||||||
1,707 | Encore Acquisition Co.* | 55,563 | |||||||||
8,196 | EOG Resources, Inc. | 678,465 | |||||||||
2,828 | EXCO Resources, Inc.* | 39,535 | |||||||||
186,160 | Exxon Mobil Corp. | 16,598,026 | |||||||||
2,615 | Forest Oil Corp.* | 123,114 | |||||||||
3,596 | Frontier Oil Corp. | 158,943 | |||||||||
9,573 | Hess Corp. | 681,789 | |||||||||
1,542 | Holly Corp. | 74,710 | |||||||||
24,264 | Marathon Oil Corp. | 1,356,358 | |||||||||
2,694 | Mariner Energy, Inc.* | 58,406 | |||||||||
5,938 | Murphy Oil Corp. | 424,686 | |||||||||
4,330 | Newfield Exploration Co.* | 215,850 | |||||||||
5,728 | Noble Energy, Inc. | 412,645 | |||||||||
27,986 | Occidental Petroleum Corp. | 1,952,583 | |||||||||
1,261 | Penn Virginia Corp. | 52,483 | |||||||||
5,693 | PetroHawk Energy Corp.* | 92,796 | |||||||||
4,116 | Pioneer Natural Resources Co. | 183,450 | |||||||||
4,129 | Plains Exploration & Production Co.* | 208,123 | |||||||||
1,839 | Quicksilver Resources, Inc.* | 93,053 |
See accompanying notes to the financial statements.
132
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
4,984 | Range Resources Corp. | $ | 202,750 | ||||||||
5,677 | Southwestern Energy Co.* | 282,544 | |||||||||
2,106 | St. Mary Land & Exploration Co. | 82,766 | |||||||||
878 | Stone Energy Corp.* | 39,686 | |||||||||
4,073 | Sunoco, Inc. | 273,298 | |||||||||
1,004 | Swift Energy Co.* | 40,672 | |||||||||
4,585 | Tesoro Corp. | 225,490 | |||||||||
5,101 | Ultra Petroleum Corp.* | 331,055 | |||||||||
18,428 | Valero Energy Corp. | 1,199,110 | |||||||||
1,409 | Whiting Petroleum Corp.* | 74,282 | |||||||||
12,871 | XTO Energy, Inc. | 795,685 | |||||||||
42,121,649 | |||||||||||
Total Common Stock (Cost $53,097,894) | 55,591,191 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 17.2% | |||||||||||
$ | 2,126,435 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $2,127,257 ** | 2,126,435 | ||||||||
2,445,856 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $2,446,783 *** | 2,445,856 | |||||||||
425,287 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $425,448 **** | 425,287 | |||||||||
5,670,492 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $5,672,642 ***** | 5,670,492 | |||||||||
Total Repurchase Agreements (Cost $10,668,070) | 10,668,070 | ||||||||||
Total Investments (Cost $63,765,964) — 106.9% | 66,259,261 | ||||||||||
Liabilities in excess of other assets — (6.9%) | (4,280,520 | ) | |||||||||
Net Assets — 100.0% | $ | 61,978,741 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,168,973. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,494,781. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $433,794. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $5,783,904. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 3,139,861 | |||||
Aggregated gross unrealized depreciation | (1,410,924 | ) | |||||
Net unrealized appreciation | $ | 1,728,937 | |||||
Federal income tax cost of investments | $ | 64,530,324 |
See accompanying notes to the financial statements.
133
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Oil & Gas (continued)
Swap Agreements
Ultra Oil & Gas had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & GasSM Index, expiring 12/27/07 | $ | 16,050,012 | $ | (1,435,341 | ) | ||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & GasSM Index, expiring 12/27/07 | 56,163,025 | (2,875,149 | ) | ||||||||
$ | (4,310,490 | ) |
See accompanying notes to the financial statements.
134
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Real Estate
Shares | Value | ||||||||||
Common Stocks (a) — 85.4% | |||||||||||
Diversified REIT's — 5.4% | |||||||||||
2,254 | Colonial Properties Trust | $ | 55,200 | ||||||||
2,028 | Cousins Properties, Inc. | 48,206 | |||||||||
4,489 | Liberty Property Trust | 140,551 | |||||||||
6,964 | Vornado Realty Trust | 626,760 | |||||||||
2,287 | Washington Real Estate Investment Trust | 73,275 | |||||||||
943,992 | |||||||||||
Industrial REIT's — 7.3% | |||||||||||
4,851 | AMB Property Corp. | 296,687 | |||||||||
8,257 | DCT Industrial Trust, Inc. | 83,313 | |||||||||
2,225 | First Industrial Realty Trust, Inc. | 81,257 | |||||||||
12,568 | Prologis | 822,199 | |||||||||
1,283,456 | |||||||||||
Mortgage REIT's — 4.6% | |||||||||||
18,885 | Annaly Capital Management, Inc. | 325,011 | |||||||||
6,883 | CapitalSource, Inc. | 115,359 | |||||||||
7,905 | Friedman Billings Ramsey Group, Inc., Class A | 23,636 | |||||||||
6,284 | iStar Financial, Inc. | 183,932 | |||||||||
2,589 | Newcastle Investment Corp. | 33,683 | |||||||||
2,992 | RAIT Financial Trust | 25,881 | |||||||||
1,297 | Redwood Trust, Inc. | 39,597 | |||||||||
6,027 | Thornburg Mortgage, Inc. | 64,248 | |||||||||
811,347 | |||||||||||
Office REIT's — 12.7% | |||||||||||
1,447 | Alexandria Real Estate Equities, Inc. | 142,139 | |||||||||
6,294 | American Financial Realty Trust | 50,793 | |||||||||
3,213 | BioMed Realty Trust, Inc. | 72,550 | |||||||||
5,834 | Boston Properties, Inc. | 574,182 | |||||||||
4,283 | Brandywine Realty Trust | 87,802 | |||||||||
2,294 | Corporate Office Properties Trust SBI MD | 82,859 | |||||||||
2,749 | Digital Realty Trust, Inc. | 104,902 | |||||||||
4,835 | Douglas Emmett, Inc. | 116,088 | |||||||||
6,714 | Duke Realty Corp. | 176,511 | |||||||||
3,135 | Franklin Street Properties Corp. | 51,884 | |||||||||
2,782 | Highwoods Properties, Inc. | 88,273 | |||||||||
10,291 | HRPT Properties Trust | 85,209 | |||||||||
1,588 | Kilroy Realty Corp. | 88,753 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
3,078 | Lexington Realty Trust | $ | 54,450 | ||||||||
3,318 | Mack-Cali Realty Corp. | 118,419 | |||||||||
1,775 | Maguire Properties, Inc. | 44,872 | |||||||||
2,901 | SL Green Realty Corp. | 301,414 | |||||||||
2,241,100 | |||||||||||
Real Estate Management & Development — 5.5% | |||||||||||
10,076 | Brookfield Properties Corp. | 216,634 | |||||||||
9,971 | CB Richard Ellis Group, Inc., Class A* | 236,811 | |||||||||
3,206 | CBL & Associates Properties, Inc. | 92,589 | |||||||||
3,125 | Forest City Enterprises, Inc., Class A | 156,688 | |||||||||
1,834 | Jones Lang LaSalle, Inc. | 154,185 | |||||||||
3,658 | St. Joe Co. (The) | 104,070 | |||||||||
960,977 | |||||||||||
Residential REIT's — 10.7% | |||||||||||
4,762 | Apartment Investment & Management Co. | 189,385 | |||||||||
3,889 | AvalonBay Communities, Inc. | 386,723 | |||||||||
2,507 | BRE Properties, Inc. | 111,687 | |||||||||
2,764 | Camden Property Trust | 145,414 | |||||||||
1,097 | Equity Lifestyle Properties, Inc. | 50,890 | |||||||||
13,591 | Equity Residential | 505,721 | |||||||||
1,235 | Essex Property Trust, Inc. | 128,119 | |||||||||
1,633 | Home Properties, Inc. | 73,795 | |||||||||
1,243 | Mid-America Apartment Communities, Inc. | 60,024 | |||||||||
2,121 | Post Properties, Inc. | 77,014 | |||||||||
6,662 | UDR, Inc. | 146,764 | |||||||||
1,875,536 | |||||||||||
Retail REIT's — 20.4% | |||||||||||
6,126 | Developers Diversified Realty Corp. | 272,056 | |||||||||
2,763 | Federal Realty Investment Trust | 229,854 | |||||||||
11,301 | General Growth Properties, Inc. | 524,818 | |||||||||
10,758 | Kimco Realty Corp. | 424,833 | |||||||||
3,505 | Macerich Co. (The) | 272,163 | |||||||||
3,290 | National Retail Properties, Inc. | 80,572 | |||||||||
1,901 | Pennsylvania Real Estate Investment Trust | 65,642 | |||||||||
4,955 | Realty Income Corp. | 141,218 | |||||||||
3,394 | Regency Centers Corp. | 225,497 | |||||||||
10,956 | Simon Property Group, Inc. | 1,078,618 |
See accompanying notes to the financial statements.
135
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Real Estate (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
2,630 | Taubman Centers, Inc. | $ | 140,784 | ||||||||
3,935 | Weingarten Realty Investors | 140,283 | |||||||||
3,596,338 | |||||||||||
Specialized REIT's — 18.8% | |||||||||||
4,689 | DiamondRock Hospitality Co. | 81,213 | |||||||||
1,298 | Entertainment Properties Trust | 69,170 | |||||||||
3,042 | FelCor Lodging Trust, Inc. | 53,265 | |||||||||
10,076 | HCP, Inc. | 337,042 | |||||||||
3,950 | Health Care REIT, Inc. | 177,000 | |||||||||
2,341 | Healthcare Realty Trust, Inc. | 59,532 | |||||||||
4,601 | Hospitality Properties Trust | 168,121 | |||||||||
25,548 | Host Hotels & Resorts, Inc. | 490,266 | |||||||||
1,961 | LaSalle Hotel Properties | 72,949 | |||||||||
4,462 | Nationwide Health Properties, Inc. | 139,571 | |||||||||
8,561 | Plum Creek Timber Co., Inc. | 396,974 | |||||||||
1,914 | Potlatch Corp. | 87,872 | |||||||||
6,306 | Public Storage | 487,706 | |||||||||
3,796 | Rayonier, Inc. | 176,058 | |||||||||
4,102 | Senior Housing Properties Trust | 90,613 | |||||||||
3,648 | Strategic Hotels & Resorts, Inc. | 66,795 | |||||||||
2,934 | Sunstone Hotel Investors, Inc. | 68,069 | |||||||||
6,543 | Ventas, Inc. | 285,275 | |||||||||
3,307,491 | |||||||||||
Total Common Stocks (Cost $15,723,303) | 15,020,237 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 19.6% | |||||||||||
$ | 686,708 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $686,974 ** | 686,708 | ||||||||
789,862 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $790,161 *** | 789,862 | |||||||||
137,341 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $137,393 **** | 137,341 |
Principal Amount | Value | ||||||||||
Repurchase Agreements (continued) | |||||||||||
$ | 1,831,222 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,831,916 ***** | $ | 1,831,222 | |||||||
Total Repurchase Agreements (Cost $3,445,133) | 3,445,133 | ||||||||||
Total Investments (Cost $19,168,446) — 105.0% | 18,465,370 | ||||||||||
Liabilities in excess of other assets — (5.0%) | (880,898 | ) | |||||||||
Net Assets — 100.0% | $ | 17,584,472 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $700,445. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $805,661. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $140,089. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
136
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $1,867,847. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 314,646 | |||||
Aggregated gross unrealized depreciation | (1,576,830 | ) | |||||
Net unrealized depreciation | $ | (1,262,184 | ) | ||||
Federal income tax cost of investments | $ | 19,727,554 |
Swap Agreements
Ultra Real Estate had the following open swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Real EstateSM Index, expiring 12/27/07 | $ | 20,824,019 | $ | (841,495 | ) |
See accompanying notes to the financial statements.
137
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Semiconductors
Shares | Value | ||||||||||
Common Stocks (a) — 87.0% | |||||||||||
Communications Equipment — 0.2% | |||||||||||
3,129 | InterDigital, Inc.* | $ | 56,322 | ||||||||
Computers & Peripherals — 1.7% | |||||||||||
15,255 | SanDisk Corp.* | 571,147 | |||||||||
Electrical Equipment — 1.6% | |||||||||||
2,302 | First Solar, Inc.* | 545,919 | |||||||||
Semiconductors & Semiconductor Equipment — 83.5% | |||||||||||
1,734 | Actel Corp.* | 19,006 | |||||||||
36,647 | Advanced Micro Devices, Inc.* | 357,675 | |||||||||
22,994 | Altera Corp. | 431,827 | |||||||||
7,022 | Amkor Technology, Inc.* | 57,861 | |||||||||
20,793 | Analog Devices, Inc. | 640,009 | |||||||||
92,311 | Applied Materials, Inc. | 1,738,216 | |||||||||
18,829 | Applied Micro Circuits Corp.* | 47,261 | |||||||||
3,313 | Asyst Technologies, Inc.* | 11,397 | |||||||||
3,752 | Atheros Communications, Inc.* | 110,646 | |||||||||
30,307 | Atmel Corp.* | 133,048 | |||||||||
2,291 | ATMI, Inc.* | 68,936 | |||||||||
6,748 | Axcelis Technologies, Inc.* | 31,986 | |||||||||
31,268 | Broadcom Corp., Class A* | 836,106 | |||||||||
4,428 | Brooks Automation, Inc.* | 59,468 | |||||||||
1,600 | Cabot Microelectronics Corp.* | 59,840 | |||||||||
5,360 | Cirrus Logic, Inc.* | 30,552 | |||||||||
1,415 | Cohu, Inc. | 22,145 | |||||||||
32,576 | Conexant Systems, Inc.* | 36,159 | |||||||||
5,634 | Cree, Inc.* | 138,765 | |||||||||
2,138 | Cymer, Inc.* | 87,808 | |||||||||
10,197 | Cypress Semiconductor Corp.* | 338,744 | |||||||||
1,902 | DSP Group, Inc.* | 25,734 | |||||||||
7,742 | Entegris, Inc.* | 67,046 | |||||||||
2,956 | Exar Corp.* | 27,166 | |||||||||
8,283 | Fairchild Semiconductor International, Inc.* | 131,368 | |||||||||
2,959 | Formfactor, Inc.* | 112,264 | |||||||||
12,794 | Integrated Device Technology, Inc.* | 155,191 | |||||||||
388,524 | Intel Corp. | 10,132,706 | |||||||||
4,784 | International Rectifier Corp.* | 155,576 | |||||||||
8,956 | Intersil Corp., Class A | 223,363 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
12,794 | Kla-Tencor Corp. | $ | 615,135 | ||||||||
3,604 | Kulicke & Soffa Industries, Inc.* | 25,516 | |||||||||
8,258 | Lam Research Corp.* | 378,629 | |||||||||
7,663 | Lattice Semiconductor Corp.* | 25,748 | |||||||||
14,827 | Linear Technology Corp. | 451,630 | |||||||||
47,837 | LSI Corp.* | 265,495 | |||||||||
4,147 | LTX Corp.* | 9,953 | |||||||||
30,772 | Marvell Technology Group Ltd.* | 459,734 | |||||||||
14,995 | MEMC Electronic Materials, Inc.* | 1,163,312 | |||||||||
3,800 | Micrel, Inc. | 33,896 | |||||||||
14,599 | Microchip Technology, Inc. | 420,305 | |||||||||
50,386 | Micron Technology, Inc.* | 419,212 | |||||||||
4,628 | Microsemi Corp.* | 105,889 | |||||||||
17,636 | National Semiconductor Corp. | 403,159 | |||||||||
8,264 | Novellus Systems, Inc.* | 214,947 | |||||||||
36,369 | Nvidia Corp.* | 1,147,078 | |||||||||
3,638 | Omnivision Technologies, Inc.* | 67,740 | |||||||||
19,608 | ON Semiconductor Corp.* | 180,198 | |||||||||
2,602 | Photronics, Inc.* | 26,775 | |||||||||
14,200 | PMC - Sierra, Inc.* | 99,684 | |||||||||
6,437 | Rambus, Inc.* | 124,813 | |||||||||
17,639 | RF Micro Devices, Inc.* | 101,953 | |||||||||
4,198 | Semtech Corp.* | 64,061 | |||||||||
5,695 | Silicon Image, Inc.* | 26,766 | |||||||||
3,642 | Silicon Laboratories, Inc.* | 135,264 | |||||||||
6,058 | Silicon Storage Technology, Inc.* | 17,205 | |||||||||
3,693 | SiRF Technology Holdings, Inc.* | 88,964 | |||||||||
10,669 | Skyworks Solutions, Inc.* | 96,875 | |||||||||
12,268 | Teradyne, Inc.* | 133,599 | |||||||||
3,132 | Tessera Technologies, Inc.* | 120,958 | |||||||||
96,259 | Texas Instruments, Inc. | 3,038,897 | |||||||||
3,818 | Trident Microsystems, Inc.* | 23,977 | |||||||||
9,297 | TriQuint Semiconductor, Inc.* | 55,131 | |||||||||
5,102 | Varian Semiconductor Equipment Associates, Inc.* | 211,784 | |||||||||
19,899 | Xilinx, Inc. | 435,788 | |||||||||
3,315 | Zoran Corp.* | 72,333 | |||||||||
27,550,272 | |||||||||||
Total Common Stock (Cost $27,942,918) | 28,723,660 |
See accompanying notes to the financial statements.
138
Principal Amount | Value | ||||||||||
Repurchase Agreements — 20.8% | |||||||||||
$ | 1,366,312 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $1,366,840 ** | $ | 1,366,312 | |||||||
1,571,551 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,572,147 *** | 1,571,551 | |||||||||
273,262 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $273,366 **** | 273,262 | |||||||||
3,643,498 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $3,644,879 ***** | 3,643,498 | |||||||||
Total Repurchase Agreements (Cost $6,854,623) | 6,854,623 | ||||||||||
Total Investments (Cost $34,797,541) — 107.8% | 35,578,283 | ||||||||||
Liabilities in excess of other assets — (7.8%) | (2,577,317 | ) | |||||||||
Net Assets — 100.0% | $ | 33,000,966 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $1,393,644. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $1,602,988. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $278,729. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $3,716,369. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,772,224 | |||||
Aggregate gross unrealized depreciation | (1,533,479 | ) | |||||
Net unrealized appreciation | $ | 238,745 | |||||
Federal income tax cost of investments | $ | 35,339,538 |
Swap Agreements
Ultra Semiconductors had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. SemiconductorsSM Index, expiring 12/27/07 | $ | 16,590,465 | $ | (959,997 | ) | ||||||
Equity Index Swap Agreement based on the Dow Jones U.S. SemiconductorsSM Index, expiring 12/27/07 | 23,000,000 | (1,599,535 | ) | ||||||||
$ | (2,559,532 | ) |
See accompanying notes to the financial statements.
139
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Technology
Shares | Value | ||||||||||
Common Stocks (a) — 90.2% | |||||||||||
Commercial Services & Supplies — 0.4% | |||||||||||
2,577 | IKON Office Solutions, Inc. | $ | 32,548 | ||||||||
5,413 | Pitney Bowes, Inc. | 208,400 | |||||||||
240,948 | |||||||||||
Communications Equipment — 14.9% | |||||||||||
9,641 | 3Com Corp.* | 41,553 | |||||||||
2,899 | ADC Telecommunications, Inc.* | 48,007 | |||||||||
1,504 | Adtran, Inc. | 32,622 | |||||||||
3,856 | Andrew Corp.* | 56,529 | |||||||||
2,624 | Arris Group, Inc.* | 27,368 | |||||||||
1,099 | Avocent Corp.* | 27,365 | |||||||||
1,092 | C-COR, Inc.* | 13,410 | |||||||||
2,068 | Ciena Corp.* | 90,951 | |||||||||
149,067 | Cisco Systems, Inc.* | 4,176,857 | |||||||||
38,302 | Corning, Inc. | 930,356 | |||||||||
973 | Dycom Industries, Inc.* | 27,380 | |||||||||
2,787 | Extreme Networks* | 10,145 | |||||||||
2,054 | F5 Networks, Inc.* | 54,267 | |||||||||
6,093 | Finisar Corp.* | 10,358 | |||||||||
3,159 | Foundry Networks, Inc.* | 55,693 | |||||||||
2,309 | Harmonic, Inc.* | 23,944 | |||||||||
3,354 | Harris Corp. | 210,531 | |||||||||
1,136 | InterDigital, Inc.* | 20,448 | |||||||||
5,174 | JDS Uniphase Corp.* | 69,642 | |||||||||
12,586 | Juniper Networks, Inc.* | 374,056 | |||||||||
56,715 | Motorola, Inc. | 905,738 | |||||||||
3,005 | MRV Communications, Inc.* | 6,731 | |||||||||
1,158 | Plantronics, Inc. | 31,092 | |||||||||
2,237 | Polycom, Inc.* | 54,292 | |||||||||
41,020 | Qualcomm, Inc. | 1,672,796 | |||||||||
6,343 | Sonus Networks, Inc.* | 41,737 | |||||||||
4,609 | Sycamore Networks, Inc.* | 17,745 | |||||||||
1,508 | Tekelec* | 18,548 | |||||||||
9,808 | Tellabs, Inc.* | 68,264 | |||||||||
2,588 | Utstarcom, Inc.* | 7,505 | |||||||||
9,125,930 | |||||||||||
Computers & Peripherals — 24.2% | |||||||||||
2,917 | Adaptec, Inc.* | 9,772 | |||||||||
21,100 | Apple, Inc.* | 3,844,842 | |||||||||
9,810 | Brocade Communications Systems, Inc.* | 71,515 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
49,184 | Dell, Inc.* | $ | 1,206,975 | ||||||||
1,625 | Diebold, Inc. | 55,185 | |||||||||
1,424 | Electronics for Imaging* | 32,666 | |||||||||
51,410 | EMC Corp.* | 990,671 | |||||||||
2,159 | Emulex Corp.* | 36,163 | |||||||||
64,150 | Hewlett-Packard Co. | 3,281,914 | |||||||||
606 | Hutchinson Technology, Inc.* | 15,944 | |||||||||
868 | Imation Corp. | 17,421 | |||||||||
1,143 | Intermec, Inc.* | 24,540 | |||||||||
33,461 | International Business Machines Corp. | 3,519,428 | |||||||||
2,344 | Lexmark International, Inc., Class A* | 81,759 | |||||||||
4,388 | NCR Corp.* | 105,049 | |||||||||
8,890 | Network Appliance, Inc.* | 219,672 | |||||||||
2,348 | Palm, Inc. | 16,365 | |||||||||
3,679 | QLogic Corp.* | 49,740 | |||||||||
4,856 | Quantum Corp.* | 15,393 | |||||||||
5,579 | SanDisk Corp.* | 208,878 | |||||||||
13,097 | Seagate Technology | 337,772 | |||||||||
21,663 | Sun Microsystems, Inc.* | 450,147 | |||||||||
4,330 | Teradata Corp.* | 112,407 | |||||||||
5,392 | Western Digital Corp.* | 148,981 | |||||||||
14,853,199 | |||||||||||
Electrical Equipment — 0.3% | |||||||||||
870 | First Solar, Inc.* | 206,320 | |||||||||
Electronic Equipment & Instruments — 0.3% | |||||||||||
760 | Agilysys, Inc. | 10,557 | |||||||||
1,251 | Brightpoint, Inc.* | 20,779 | |||||||||
3,659 | Ingram Micro, Inc.* | 72,814 | |||||||||
1,231 | Insight Enterprises, Inc.* | 24,386 | |||||||||
1,330 | Tech Data Corp.* | 50,021 | |||||||||
178,557 | |||||||||||
Health Care Technology — 0.2% | |||||||||||
1,524 | Cerner Corp.* | 91,059 | |||||||||
Internet Software & Services — 8.9% | |||||||||||
4,036 | Akamai Technologies, Inc.* | 153,610 | |||||||||
1,906 | Ariba, Inc.* | 22,624 | |||||||||
965 | Digital River, Inc.* | 37,317 | |||||||||
2,989 | Earthlink, Inc.* | 20,295 | |||||||||
683 | Equinix, Inc.* | 71,107 |
See accompanying notes to the financial statements.
140
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
5,608 | Google, Inc., Class A* | $ | 3,886,344 | ||||||||
787 | Infospace, Inc. | 14,016 | |||||||||
952 | Interwoven, Inc.* | 11,691 | |||||||||
1,171 | j2 Global Communications, Inc.* | 28,479 | |||||||||
1,726 | Openwave Systems, Inc. | 4,747 | |||||||||
2,427 | RealNetworks, Inc.* | 14,975 | |||||||||
1,305 | S1 Corp.* | 9,683 | |||||||||
711 | SAVVIS, Inc.* | 22,780 | |||||||||
1,610 | SonicWALL, Inc.* | 16,293 | |||||||||
1,639 | United Online, Inc. | 24,651 | |||||||||
6,103 | VeriSign, Inc.* | 249,613 | |||||||||
696 | Vignette Corp.* | 10,704 | |||||||||
1,101 | Websense, Inc.* | 17,990 | |||||||||
31,245 | Yahoo!, Inc.* | 837,678 | |||||||||
5,454,597 | |||||||||||
IT Services — 1.8% | |||||||||||
746 | CACI International, Inc., Class A* | 33,861 | |||||||||
1,304 | Ciber, Inc.* | 8,893 | |||||||||
7,036 | Cognizant Technology Solutions Corp., Class A* | 218,820 | |||||||||
4,259 | Computer Sciences Corp.* | 224,960 | |||||||||
1,048 | CSG Systems International, Inc.* | 17,365 | |||||||||
1,257 | DST Systems, Inc.* | 106,531 | |||||||||
12,440 | Electronic Data Systems Corp. | 252,034 | |||||||||
1,702 | Gartner, Inc.* | 32,151 | |||||||||
2,173 | Perot Systems Corp., Class A* | 28,575 | |||||||||
2,776 | SAIC, Inc.* | 55,354 | |||||||||
1,071 | SRA International, Inc., Class A* | 29,281 | |||||||||
8,499 | Unisys Corp.* | 42,155 | |||||||||
1,633 | VeriFone Holdings, Inc.* | 78,433 | |||||||||
1,128,413 | |||||||||||
Office Electronics — 0.6% | |||||||||||
22,948 | Xerox Corp.* | 387,362 | |||||||||
Semiconductors & Semiconductor Equipment — 16.5% | |||||||||||
612 | Actel Corp.* | 6,708 | |||||||||
13,456 | Advanced Micro Devices, Inc.* | 131,331 | |||||||||
8,456 | Altera Corp. | 158,804 | |||||||||
2,580 | Amkor Technology, Inc.* | 21,259 | |||||||||
7,609 | Analog Devices, Inc. | 234,205 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
33,845 | Applied Materials, Inc. | $ | 637,301 | ||||||||
6,885 | Applied Micro Circuits Corp.* | 17,281 | |||||||||
1,238 | Asyst Technologies, Inc.* | 4,259 | |||||||||
1,351 | Atheros Communications, Inc.* | 39,841 | |||||||||
11,108 | Atmel Corp.* | 48,764 | |||||||||
867 | ATMI, Inc.* | 26,088 | |||||||||
2,452 | Axcelis Technologies, Inc.* | 11,623 | |||||||||
11,465 | Broadcom Corp., Class A* | 306,574 | |||||||||
1,636 | Brooks Automation, Inc.* | 21,972 | |||||||||
576 | Cabot Microelectronics Corp.* | 21,542 | |||||||||
1,987 | Cirrus Logic, Inc.* | 11,326 | |||||||||
529 | Cohu, Inc. | 8,279 | |||||||||
11,967 | Conexant Systems, Inc.* | 13,283 | |||||||||
2,054 | Cree, Inc.* | 50,590 | |||||||||
769 | Cymer, Inc.* | 31,583 | |||||||||
3,727 | Cypress Semiconductor Corp.* | 123,811 | |||||||||
710 | DSP Group, Inc.* | 9,606 | |||||||||
2,817 | Entegris, Inc.* | 24,395 | |||||||||
1,092 | Exar Corp.* | 10,035 | |||||||||
3,013 | Fairchild Semiconductor International, Inc.* | 47,786 | |||||||||
1,092 | Formfactor, Inc.* | 41,431 | |||||||||
4,668 | Integrated Device Technology, Inc.* | 56,623 | |||||||||
142,494 | Intel Corp. | 3,716,244 | |||||||||
1,725 | International Rectifier Corp.* | 56,097 | |||||||||
3,298 | Intersil Corp., Class A | 82,252 | |||||||||
4,671 | Kla-Tencor Corp. | 224,582 | |||||||||
1,312 | Kulicke & Soffa Industries, Inc.* | 9,289 | |||||||||
3,005 | Lam Research Corp.* | 137,779 | |||||||||
2,799 | Lattice Semiconductor Corp.* | 9,405 | |||||||||
5,414 | Linear Technology Corp. | 164,910 | |||||||||
17,547 | LSI Corp.* | 97,386 | |||||||||
1,507 | LTX Corp.* | 3,617 | |||||||||
11,281 | Marvell Technology Group Ltd.* | 168,538 | |||||||||
5,512 | MEMC Electronic Materials, Inc.* | 427,621 | |||||||||
1,420 | Micrel, Inc. | 12,666 | |||||||||
5,357 | Microchip Technology, Inc. | 154,228 | |||||||||
18,481 | Micron Technology, Inc.* | 153,762 | |||||||||
1,687 | Microsemi Corp.* | 38,599 | |||||||||
6,467 | National Semiconductor Corp. | 147,836 | |||||||||
3,009 | Novellus Systems, Inc.* | 78,264 | |||||||||
13,327 | Nvidia Corp.* | 420,334 | |||||||||
1,323 | Omnivision Technologies, Inc.* | 24,634 |
See accompanying notes to the financial statements.
141
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Technology (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
7,196 | ON Semiconductor Corp.* | $ | 66,131 | ||||||||
946 | Photronics, Inc.* | 9,734 | |||||||||
5,198 | PMC - Sierra, Inc.* | 36,490 | |||||||||
2,373 | Rambus, Inc.* | 46,012 | |||||||||
6,465 | RF Micro Devices, Inc.* | 37,368 | |||||||||
1,521 | Semtech Corp.* | 23,210 | |||||||||
2,071 | Silicon Image, Inc.* | 9,734 | |||||||||
1,324 | Silicon Laboratories, Inc.* | 49,173 | |||||||||
2,219 | Silicon Storage Technology, Inc.* | 6,302 | |||||||||
1,335 | SiRF Technology Holdings, Inc.* | 32,160 | |||||||||
3,902 | Skyworks Solutions, Inc.* | 35,430 | |||||||||
4,481 | Teradyne, Inc.* | 48,798 | |||||||||
1,137 | Tessera Technologies, Inc.* | 43,911 | |||||||||
35,304 | Texas Instruments, Inc. | 1,114,547 | |||||||||
1,424 | Trident Microsystems, Inc.* | 8,943 | |||||||||
3,383 | TriQuint Semiconductor, Inc.* | 20,061 | |||||||||
1,866 | Varian Semiconductor Equipment Associates, Inc.* | 77,458 | |||||||||
7,270 | Xilinx, Inc. | 159,213 | |||||||||
1,242 | Zoran Corp.* | 27,100 | |||||||||
10,096,118 | |||||||||||
Software — 20.7% | |||||||||||
915 | ACI Worldwide, Inc.* | 20,889 | |||||||||
14,416 | Adobe Systems, Inc.* | 607,490 | |||||||||
412 | Advent Software, Inc.* | 20,913 | |||||||||
4,782 | Amdocs Ltd.* | 158,236 | |||||||||
1,883 | Ansys, Inc.* | 73,173 | |||||||||
5,685 | Autodesk, Inc.* | 267,707 | |||||||||
9,564 | BEA Systems, Inc.* | 151,398 | |||||||||
4,950 | BMC Software, Inc.* | 163,746 | |||||||||
1,802 | Borland Software Corp.* | 5,820 | |||||||||
10,108 | CA, Inc. | 247,545 | |||||||||
6,810 | Cadence Design Systems, Inc.* | 113,046 | |||||||||
4,404 | Check Point Software Technologies* | 100,499 | |||||||||
4,454 | Citrix Systems, Inc.* | 164,709 | |||||||||
7,397 | Compuware Corp.* | 61,099 | |||||||||
1,338 | Fair Isaac Corp. | 49,453 | |||||||||
2,092 | Informatica Corp.* | 35,878 | |||||||||
7,570 | Intuit, Inc.* | 221,952 | |||||||||
2,056 | Jack Henry & Associates, Inc. | 55,019 | |||||||||
728 | JDA Software Group, Inc.* | 15,244 | |||||||||
1,329 | Macrovision Corp.* | 33,119 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
3,895 | McAfee, Inc.* | $ | 151,710 | ||||||||
2,070 | Mentor Graphics Corp.* | 22,542 | |||||||||
973 | Micros Systems, Inc.* | 70,192 | |||||||||
204,263 | Microsoft Corp. | 6,863,237 | |||||||||
8,540 | Novell, Inc.* | 59,951 | |||||||||
3,733 | Nuance Communications, Inc.* | 75,332 | |||||||||
96,154 | Oracle Corp.* | 1,940,388 | |||||||||
2,785 | Parametric Technology Corp.* | 46,510 | |||||||||
1,048 | Progress Software Corp.* | 33,148 | |||||||||
1,333 | Quest Software, Inc.* | 21,555 | |||||||||
4,755 | Red Hat, Inc.* | 95,195 | |||||||||
2,395 | Salesforce.com, Inc.* | 135,868 | |||||||||
2,228 | Sybase, Inc.* | 57,126 | |||||||||
21,611 | Symantec Corp.* | 384,676 | |||||||||
3,524 | Synopsys, Inc.* | 86,726 | |||||||||
4,862 | TIBCO Software, Inc.* | 38,070 | |||||||||
1,993 | Wind River Systems, Inc.* | 20,349 | |||||||||
12,669,510 | |||||||||||
Wireless Telecommunication Services — 1.4% | |||||||||||
10,038 | American Tower Corp., Class A* | 457,131 | |||||||||
6,900 | Crown Castle International Corp.* | 289,455 | |||||||||
2,375 | SBA Communications Corp., Class A* | 88,920 | |||||||||
835,506 | |||||||||||
Total Common Stock (Cost $54,861,440) | 55,267,519 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreement — 19.8% | |||||||||||
$ | 2,412,868 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $2,413,801 ** | 2,412,868 | ||||||||
2,775,316 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $2,776,368 *** | 2,775,316 | |||||||||
482,574 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $482,757 **** | 482,574 |
See accompanying notes to the financial statements.
142
Principal Amount | Value | ||||||||||
Repurchase Agreement (continued) | |||||||||||
$ | 6,434,315 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $6,436,755 ***** | $ | 6,434,315 | |||||||
Total Repurchase Agreements (Cost $12,105,073) | 12,105,073 | ||||||||||
Total Investments (Cost $66,966,513) — 110.0% | 67,372,592 | ||||||||||
Liabilities in excess of other assets — (10.0%) | (6,114,894 | ) | |||||||||
Net Assets — 100.0% | $ | 61,257,698 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,461,136. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,830,831. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $492,227. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $6,563,003. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 2,653,294 | |||||
Aggregate gross unrealized depreciation | (2,881,967 | ) | |||||
Net unrealized depreciation | $ | (228,673 | ) | ||||
Federal income tax cost of investments | $ | 67,601,265 |
Swap Agreements
Ultra Technology had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. TechnologySM Index, expiring 12/27/07 | $ | 20,737,871 | $ | (1,819,056 | ) | ||||||
Equity Index Swap Agreement based on the Dow Jones U.S. TechnologySM Index, expiring 12/27/07 | 52,000,000 | (4,259,105 | ) | ||||||||
$ | (6,078,161 | ) |
See accompanying notes to the financial statements.
143
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Utilities
Shares | Value | ||||||||||
Common Stocks (a) — 84.7% | |||||||||||
Electric Utilities — 40.9% | |||||||||||
2,982 | Allegheny Energy, Inc. | $ | 181,156 | ||||||||
455 | Allete, Inc. | 18,637 | |||||||||
7,103 | American Electric Power Co., Inc. | 338,600 | |||||||||
1,077 | Cleco Corp. | 30,091 | |||||||||
2,038 | DPL, Inc. | 61,711 | |||||||||
22,626 | Duke Energy Corp. | 447,769 | |||||||||
5,399 | Edison International | 302,236 | |||||||||
830 | El Paso Electric Co.* | 21,339 | |||||||||
3,530 | Entergy Corp. | 421,976 | |||||||||
12,098 | Exelon Corp. | 980,785 | |||||||||
5,500 | FirstEnergy Corp. | 377,080 | |||||||||
6,707 | FPL Group, Inc. | 467,880 | |||||||||
1,550 | Great Plains Energy, Inc. | 46,004 | |||||||||
1,470 | Hawaiian Electric Industries, Inc. | 34,031 | |||||||||
793 | Idacorp, Inc. | 27,882 | |||||||||
2,771 | Northeast Utilities | 87,508 | |||||||||
3,479 | Pepco Holdings, Inc. | 97,760 | |||||||||
1,789 | Pinnacle West Capital Corp. | 76,677 | |||||||||
6,948 | PPL Corp. | 354,070 | |||||||||
4,643 | Progress Energy, Inc. | 226,671 | |||||||||
6,120 | Reliant Energy, Inc.* | 159,365 | |||||||||
3,985 | Sierra Pacific Resources | 68,542 | |||||||||
13,560 | Southern Co. | 510,127 | |||||||||
633 | Unisource Energy Corp. | 19,579 | |||||||||
1,650 | Westar Energy, Inc. | 42,751 | |||||||||
5,400,227 | |||||||||||
Gas Utilities — 6.5% | |||||||||||
1,407 | AGL Resources, Inc. | 52,172 | |||||||||
1,598 | Atmos Energy Corp. | 41,852 | |||||||||
1,175 | Energen Corp. | 74,894 | |||||||||
2,081 | Equitable Resources, Inc. | 110,002 | |||||||||
1,268 | National Fuel Gas Co. | 60,420 | |||||||||
498 | New Jersey Resources Corp. | 25,124 | |||||||||
811 | Nicor, Inc. | 34,176 | |||||||||
480 | Northwest Natural Gas Co. | 23,026 | |||||||||
1,751 | Oneok, Inc. | 81,421 | |||||||||
1,275 | Piedmont Natural Gas Co. | 33,201 | |||||||||
3,106 | Questar Corp. | 166,016 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,816 | Southern Union Co. | $ | 54,208 | ||||||||
758 | Southwest Gas Corp. | 21,921 | |||||||||
1,894 | UGI Corp. | 50,077 | |||||||||
887 | WGL Holdings, Inc. | 29,306 | |||||||||
857,816 | |||||||||||
Independent Power Producers & Energy Traders — 7.2% | |||||||||||
12,043 | AES Corp. (The)* | 263,140 | |||||||||
3,283 | Constellation Energy Group, Inc. | 328,989 | |||||||||
4,637 | Mirant Corp.* | 178,942 | |||||||||
4,326 | NRG Energy, Inc.* | 183,379 | |||||||||
954,450 | |||||||||||
Multi-Utilities — 24.7% | |||||||||||
2,019 | Alliant Energy Corp. | 83,829 | |||||||||
3,729 | Ameren Corp. | 200,807 | |||||||||
6,737 | Aquila, Inc.* | 26,678 | |||||||||
950 | Avista Corp. | 20,311 | |||||||||
679 | Black Hills Corp. | 28,287 | |||||||||
5,102 | Centerpoint Energy, Inc. | 91,071 | |||||||||
4,044 | CMS Energy Corp. | 70,487 | |||||||||
4,880 | Consolidated Edison, Inc. | 236,436 | |||||||||
10,506 | Dominion Resources, Inc. | 496,198 | |||||||||
3,079 | DTE Energy Co. | 151,025 | |||||||||
2,851 | Energy East Corp. | 78,802 | |||||||||
1,364 | Integrys Energy Group, Inc. | 69,578 | |||||||||
4,942 | NiSource, Inc. | 91,476 | |||||||||
651 | NorthWestern Corp. | 18,130 | |||||||||
1,791 | NSTAR | 62,685 | |||||||||
6,329 | PG&E Corp. | 292,843 | |||||||||
1,243 | PNM Resources, Inc. | 27,570 | |||||||||
4,531 | Public Service Enterprise Group, Inc. | 433,798 | |||||||||
2,106 | Puget Energy, Inc. | 59,115 | |||||||||
1,900 | SCANA Corp. | 80,959 | |||||||||
4,203 | Sempra Energy | 263,192 | |||||||||
3,758 | TECO Energy, Inc. | 65,089 | |||||||||
1,371 | Vectren Corp. | 40,253 | |||||||||
2,110 | Wisconsin Energy Corp. | 100,942 | |||||||||
7,575 | Xcel Energy, Inc. | 175,058 | |||||||||
3,264,619 |
See accompanying notes to the financial statements.
144
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Oil, Gas & Consumable Fuels — 5.0% | |||||||||||
11,313 | Spectra Energy Corp. | $ | 278,752 | ||||||||
10,738 | Williams Cos., Inc. | 372,716 | |||||||||
651,468 | |||||||||||
Water Utilities — 0.4% | |||||||||||
2,380 | Aqua America, Inc. | 52,693 | |||||||||
Total Common Stock (Cost $9,939,708) | 11,181,273 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreement — 16.0% | |||||||||||
$ | 422,351 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $422,514 ** | 422,351 | ||||||||
485,795 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $485,979 *** | 485,795 | |||||||||
84,470 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $84,534 **** | 84,470 | |||||||||
1,126,271 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,126,698 ***** | 1,126,271 | |||||||||
Total Repurchase Agreements (Cost $2,118,887) | 2,118,887 | ||||||||||
Total Investments (Cost $12,058,595) — 100.7% | 13,300,160 | ||||||||||
Liabilities in excess of other assets — (0.7%) | (90,550 | ) | |||||||||
Net Assets — 100.0% | $ | 13,209,610 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $430,800. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $495,512. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $86,160. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $1,148,796. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,310,691 | |||||
Aggregate gross unrealized depreciation | (114,158 | ) | |||||
Net unrealized appreciation | $ | 1,186,533 | |||||
Federal income tax cost of investments | $ | 12,103,627 |
See accompanying notes to the financial statements.
145
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Utilities (continued)
Swap Agreements
Ultra Utilities had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. UtilitiesSM Index, expiring 12/27/07 | $ | 5,307,261 | $ | (42,664 | ) | ||||||
Equity Index Swap Agreement based on the Dow Jones U.S. UtilitiesSM Index, expiring 12/27/07 | 10,000,000 | (43,027 | ) | ||||||||
$ | (85,691 | ) |
See accompanying notes to the financial statements.
146
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Short QQQ®
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 94.9% | |||||||||||
$ | 12,911,596 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $12,916,588 ** | $ | 12,911,596 | |||||||
14,851,105 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $14,856,736 *** | 14,851,105 | |||||||||
2,582,319 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $2,583,298 **** | 2,582,319 | |||||||||
34,430,923 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $34,443,978 ***** | 34,430,923 | |||||||||
Total Investments (Cost $64,775,943) † | 64,775,943 | ||||||||||
Other assets less liabilities — 5.1% | 3,448,027 | ||||||||||
Net Assets — 100.0% | $ | 68,223,970 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $13,169,885. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $15,148,175. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $2,633,977. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $35,119,549. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Futures Contracts Sold
Short QQQ® had the following open short futures contracts as of November 30, 2007:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation | ||||||||||||||||
E-Mini NASDAQ-100® Futures Contracts | 157 | December - 07 | $ | 6,567,310 | $ | 297,055 |
Cash collateral in the amount of $372,754 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.
See accompanying notes to the financial statements.
147
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Short QQQ® (continued)
Swap Agreements
Short QQQ® had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation | ||||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07 | $ | (19,127,361 | ) | $ | 329,472 | ||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07 | (10,173,705 | ) | 574,987 | ||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07 | (24,717,131 | ) | 1,553,016 | ||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07 | (10,633,563 | ) | 666,970 | ||||||||
$ | 3,124,445 |
See accompanying notes to the financial statements.
148
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Short Dow30SM
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 98.1% | |||||||||||
$ | 25,201,487 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $25,211,232 ** | $ | 25,201,487 | |||||||
28,987,116 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $28,998,107 *** | 28,987,116 | |||||||||
5,040,298 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $5,042,209 **** | 5,040,298 | |||||||||
67,203,965 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $67,229,447 ***** | 67,203,965 | |||||||||
Total Investments (Cost $126,432,866) † | 126,432,866 | ||||||||||
Other assets less liabilities — 1.9% | 2,392,168 | ||||||||||
Net Assets — 100.0% | $ | 128,825,034 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $25,705,627. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $29,566,952. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $5,141,125. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $68,548,059. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Futures Contracts Sold
Short Dow30SM had the following open short futures contracts as of November 30, 2007:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation | ||||||||||||||||
E-Mini Dow Jones Futures Contracts | 180 | December - 07 | $ | 12,069,900 | $ | 456,922 |
Cash collateral in the amount of $485,455 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.
See accompanying notes to the financial statements.
149
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Short Dow30SM (continued)
Swap Agreements
Short Dow30SM had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation | ||||||||||
Equity Index Swap Agreement based on the Dow Jones Industrial AverageTM Index, expiring 12/27/07 | $ | (37,088,370 | ) | $ | 304,352 | ||||||
Equity Index Swap Agreement based on the Dow Jones Industrial AverageTM Index, expiring 12/27/07 | (81,743,011 | ) | 1,712,484 | ||||||||
$ | 2,016,836 |
See accompanying notes to the financial statements.
150
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Short S&P500®
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 98.3% | |||||||||||
$ | 45,424,800 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $45,442,364 ** | $ | 45,424,800 | |||||||
52,248,265 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $52,268,076 *** | 52,248,265 | |||||||||
9,084,960 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $9,088,405 **** | 9,084,960 | |||||||||
121,132,800 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $121,178,730 ***** | 121,132,800 | |||||||||
Total Investments (Cost $227,890,825) † | 227,890,825 | ||||||||||
Other assets less liabilities — 1.7% | 3,879,010 | ||||||||||
Net Assets — 100.0% | $ | 231,769,835 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $46,333,495. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $53,293,399. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $9,266,698. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $123,555,482. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Futures Contracts Sold
Short S&P500® had the following open short futures contracts as of November 30, 2007:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation | ||||||||||||||||
E-Mini S&P 500 Futures Contracts | 277 | December - 07 | $ | 20,563,788 | $ | 553,494 |
Cash collateral in the amount of $1,029,952 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.
See accompanying notes to the financial statements.
151
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Short S&P500® (continued)
Swap Agreements
Short S&P500® had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation | ||||||||||
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07 | $ | (83,193,186 | ) | $ | 5,019 | ||||||
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07 | (101,984,674 | ) | 2,227,911 | ||||||||
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07 | (28,830,148 | ) | 776,246 | ||||||||
$ | 3,009,176 |
See accompanying notes to the financial statements.
152
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Short MidCap400
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 96.9% | |||||||||||
$ | 9,571,967 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $9,575,668 ** | $ | 9,571,967 | |||||||
11,009,816 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $11,013,991 *** | 11,009,816 | |||||||||
1,914,394 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,915,120 **** | 1,914,394 | |||||||||
25,525,246 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $25,534,924 ***** | 25,525,246 | |||||||||
Total Investments (Cost $48,021,423) † | 48,021,423 | ||||||||||
Other assets less liabilities — 3.1% | 1,557,430 | ||||||||||
Net Assets — 100.0% | $ | 49,578,853 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $9,763,449. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $11,230,048. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $1,952,689. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $26,035,757. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Futures Contracts Sold
Short MidCap400 had the following open short futures contracts as of November 30, 2007:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation | ||||||||||||||||
E-Mini S&P MidCap400 Futures Contracts | 49 | December - 07 | $ | 4,223,310 | $ | 213,009 |
Cash collateral in the amount of $180,384 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.
See accompanying notes to the financial statements.
153
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Short MidCap400 (continued)
Swap Agreements
Short MidCap400 had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation | ||||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07 | $ | (11,017,266 | ) | $ | 187,028 | ||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07 | (10,029,648 | ) | 351,989 | ||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07 | (25,707,341 | ) | 872,229 | ||||||||
$ | 1,411,246 |
See accompanying notes to the financial statements.
154
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Short SmallCap600
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 102.9% | |||||||||||
$ | 2,181,979 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $2,182,823 ** | $ | 2,181,979 | |||||||
2,509,743 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $2,510,695 *** | 2,509,743 | |||||||||
436,396 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $436,561 **** | 436,396 | |||||||||
5,818,609 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $5,820,815 ***** | 5,818,609 | |||||||||
Total Investments (Cost $10,946,727) † | 10,946,727 | ||||||||||
Liabilities in excess of other assets — (2.9%) | (303,350 | ) | |||||||||
Net Assets — 100.0% | $ | 10,643,377 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,225,628. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,559,946. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $445,125. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $5,934,983. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
Short SmallCap600 had the following open swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the S&P SmallCap 600 Index, expiring 12/27/07 | $ | (10,422,114 | ) | $ | (262,799 | ) |
See accompanying notes to the financial statements.
155
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Short Russell2000
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 101.8% | |||||||||||
$ | 8,801,482 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $8,804,885 ** | $ | 8,801,482 | |||||||
10,123,592 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $10,127,431 *** | 10,123,592 | |||||||||
1,760,296 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,760,963 **** | 1,760,296 | |||||||||
23,470,619 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $23,479,518 ***** | 23,470,619 | |||||||||
Total Investments (Cost $44,155,989) † | 44,155,989 | ||||||||||
Liabilities in excess of other assets — (1.8%) | (790,902 | ) | |||||||||
Net Assets — 100.0% | $ | 43,365,087 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $8,977,550. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $10,326,097. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $1,795,510. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $23,940,036. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Futures Contracts Sold
Short Russell2000 had the following open short futures contracts as of November 30, 2007:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation | ||||||||||||||||
E-Mini Russell 2000 Futures Contracts | 58 | December - 07 | $ | 4,450,920 | $ | 218,261 |
Cash collateral in the amount of $237,513 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.
Swap Agreements
Short Russell2000 had the following open swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07 | $ | (38,042,513 | ) | $ | (981,983 | ) |
See accompanying notes to the financial statements.
156
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort QQQ®
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 81.0% | |||||||||||
$ | 223,983,874 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $224,070,481 ** | $ | 223,983,874 | |||||||
257,629,506 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $257,727,191 *** | 257,629,506 | |||||||||
44,796,775 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $44,813,760 **** | 44,796,775 | |||||||||
597,290,332 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $597,516,805 ***** | 597,290,332 | |||||||||
Total Investments (Cost $1,123,700,487) † | 1,123,700,487 | ||||||||||
Other assets less liabilities — 19.0% | 263,906,453 | ||||||||||
Net Assets — 100.0% | $ | 1,387,606,940 |
(a) All or a portion of these securities are held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $228,464,533. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $262,782,927. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $45,692,901. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $609,236,265. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Futures Contracts Sold
UltraShort QQQ® had the following open short futures as of November 30, 2007:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation | ||||||||||||||||
E-Mini NASDAQ-100® Index Futures Contracts | 2,679 | December - 07 | $ | 112,062,570 | $ | 4,920,589 |
Cash collateral in the amount of $6,802,477 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.
See accompanying notes to the financial statements.
157
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort QQQ® (continued)
Swap Agreements
UltraShort QQQ® had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07 | $ | (629,353,993 | ) | $ | 39,931,213 | ||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07 | (548,017,318 | ) | 29,063,157 | ||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07 | (977,797,939 | ) | 17,256,387 | ||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07 | (320,245,338 | ) | 12,721,287 | ||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index, expiring 12/27/07 | (250,281,220 | ) | (31,642,211 | ) | |||||||
$ | 67,329,833 |
See accompanying notes to the financial statements.
158
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Dow30SM
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 98.4% | |||||||||||
$ | 82,878,550 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $82,910,596 ** | $ | 82,878,550 | |||||||
95,328,112 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $95,364,257 *** | 95,328,112 | |||||||||
16,575,710 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $16,581,995 **** | 16,575,710 | |||||||||
221,009,467 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $221,093,266 ***** | 221,009,467 | |||||||||
Total Investments (Cost $415,791,839) † | 415,791,839 | ||||||||||
Other assets less liabilities — 1.6% | 6,639,334 | ||||||||||
Net Assets — 100.0% | $ | 422,431,173 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $84,536,484. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $97,234,982. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $16,907,295. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $225,429,703. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Futures Contracts Sold
UltraShort Dow30SM had the following open short futures contracts as of November 30, 2007:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation | ||||||||||||||||
E-Mini Dow Jones Futures Contracts | 525 | December - 07 | $ | 35,203,875 | $ | 1,243,510 |
Cash collateral in the amount of $1,661,508 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.
See accompanying notes to the financial statements.
159
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Dow30SM (continued)
Swap Agreements
UltraShort Dow30SM had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones Industrial AverageTM Index, expiring 12/27/07 | $ | (191,109,406 | ) | $ | 2,075,208 | ||||||
Equity Index Swap Agreement based on the Dow Jones Industrial AverageTM Index, expiring 12/27/07 | (304,225,838 | ) | (13,458,386 | ) | |||||||
Equity Index Swap Agreement based on the Dow Jones Industrial AverageTM Index, expiring 12/27/07 | (290,326,703 | ) | (12,688,319 | ) | |||||||
$ | (24,071,497 | ) |
See accompanying notes to the financial statements.
160
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort S&P500®
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 90.8% | |||||||||||
$ | 307,704,800 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $307,823,779 ** | $ | 307,704,800 | |||||||
353,926,530 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $354,060,727 *** | 353,926,530 | |||||||||
61,540,960 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $61,564,294 **** | 61,540,960 | |||||||||
820,546,132 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $820,857,256 ***** | 820,546,132 | |||||||||
Total Investments (Cost $1,543,718,422) † | 1,543,718,422 | ||||||||||
Other assets less liabilities — 9.2% | 156,313,182 | ||||||||||
Net Assets — 100.0% | $ | 1,700,031,604 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $313,860,243. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $361,006,202. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $62,772,041. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $836,957,229. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Futures Contracts Sold
UltraShort S&P500® had the following open short futures contracts as of November 30, 2007:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation | ||||||||||||||||
E-Mini S&P 500 Futures Contracts | 1,862 | December - 07 | $ | 138,230,225 | $ | 5,286,545 |
Cash collateral in the amount of $7,491,723 was pledged to cover margin requirements for open futures contracts as of May 31, 2007.
See accompanying notes to the financial statements.
161
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort S&P500® (continued)
Swap Agreements
UltraShort S&P500® had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07 | $ | (977,799,268 | ) | $ | 26,307,515 | ||||||
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07 | (277,429,779 | ) | 33,637,858 | ||||||||
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07 | (465,284,334 | ) | 1,363,987 | ||||||||
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07 | (687,934,230 | ) | 14,034,040 | ||||||||
Equity Index Swap Agreement based on the S&P 500® Index, expiring 12/27/07 | (922,110,195 | ) | (2,672,454 | ) | |||||||
$ | 72,670,946 |
See accompanying notes to the financial statements.
162
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort MidCap400
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 98.5% | |||||||||||
$ | 34,809,987 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $34,823,447 ** | $ | 34,809,987 | |||||||
40,038,953 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $40,054,134 *** | 40,038,953 | |||||||||
6,961,997 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $6,964,637 **** | 6,961,997 | |||||||||
92,826,631 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $92,861,828 ***** | 92,826,631 | |||||||||
Total Investments (Cost $174,637,568) † | 174,637,568 | ||||||||||
Other assets less liabilities — 1.5% | 2,593,450 | ||||||||||
Net Assets — 100.0% | $ | 177,231,018 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $35,506,339. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $40,839,861. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $7,101,267. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $94,683,184. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Futures Contracts Sold
UltraShort MidCap400 had the following open short futures contracts as of November 30, 2007:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation | ||||||||||||||||
E-Mini S&P MidCap400 Futures Contracts | 158 | December - 07 | $ | 13,618,020 | $ | 631,439 |
Cash collateral in the amount of $671,315 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.
See accompanying notes to the financial statements.
163
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort MidCap400 (continued)
Swap Agreements
UltraShort MidCap400 had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07 | $ | (75,195,744 | ) | $ | 2,445,696 | ||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07 | (79,623,820 | ) | 2,181,095 | ||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index, expiring 12/27/07 | (188,119,474 | ) | (2,573,213 | ) | |||||||
$ | 2,053,578 |
See accompanying notes to the financial statements.
164
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort SmallCap600
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 104.4% | |||||||||||
$ | 10,881,374 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $10,885,581 ** | $ | 10,881,374 | |||||||
12,515,915 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $12,520,661 *** | 12,515,915 | |||||||||
2,176,275 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $2,177,100 **** | 2,176,275 | |||||||||
29,016,997 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $29,027,999 ***** | 29,016,997 | |||||||||
Total Investments (Cost $54,590,561) † | 54,590,561 | ||||||||||
Liabilities in excess of other assets — (4.4%) | (2,320,100 | ) | |||||||||
Net Assets — 100.0% | $ | 52,270,461 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $11,099,049. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $12,766,273. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $2,219,810. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $29,597,344. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort SmallCap600 had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the S&P SmallCap 600 Index, expiring 12/27/07 | $ | (95,344,488 | ) | $ | (2,565,543 | ) | |||||
Equity Index Swap Agreement based on the S&P SmallCap 600 Index, expiring 12/27/07 | (7,500,000 | ) | 312,930 | ||||||||
$ | (2,252,613 | ) |
See accompanying notes to the financial statements.
165
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Russell2000
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 91.0% | |||||||||||
$ | 121,617,443 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $121,664,468 ** | $ | 121,617,443 | |||||||
139,886,150 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $139,939,190 *** | 139,886,150 | |||||||||
24,323,489 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $24,332,712 **** | 24,323,489 | |||||||||
324,313,182 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $324,436,151 ***** | 324,313,182 | |||||||||
Total Investments (Cost $610,140,264) † | 610,140,264 | ||||||||||
Other assets less liabilities — 9.0% | 60,449,428 | ||||||||||
Net Assets — 100.0% | $ | 670,589,692 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $124,050,325. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $142,684,324. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $24,810,062. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $330,799,515. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Futures Contracts Sold
UltraShort Russell2000 had the following open short futures contracts as of November 30, 2007:
Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation | ||||||||||||||||
E-Mini Russell 2000 Futures Contracts | 832 | December - 07 | $ | 63,847,680 | $ | 4,057,650 |
Cash collateral in the amount of $2,918,641 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.
See accompanying notes to the financial statements.
166
Swap Agreements
UltraShort Russell2000 had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation | ||||||||||
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07 | $ | (445,126,153 | ) | $ | 13,080,442 | ||||||
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07 | (350,149,764 | ) | 13,862,874 | ||||||||
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07 | (125,222,848 | ) | 3,145,587 | ||||||||
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07 | (403,940,759 | ) | 17,137,369 | ||||||||
$ | 47,226,272 |
See accompanying notes to the financial statements.
167
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Russell1000 Value
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 110.9% | |||||||||||
$ | 2,465,352 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $2,466,305 ** | $ | 2,465,352 | |||||||
2,835,683 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $2,836,758 *** | 2,835,683 | |||||||||
493,070 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $493,257 **** | 493,070 | |||||||||
6,574,271 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $6,576,764 ***** | 6,574,271 | |||||||||
Total Investments (Cost $12,368,376) † | 12,368,376 | ||||||||||
Liabilities in excess of other assets — (10.9%) | (1,212,796 | ) | |||||||||
Net Assets — 100.0% | $ | 11,155,580 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,514,669. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,892,406. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $502,934. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $6,705,758. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Russell1000 Value had the following swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Russell 1000® Value Index, expiring 12/27/07 | $ | (21,304,381 | ) | $ | (1,172,857 | ) |
See accompanying notes to the financial statements.
168
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Russell1000 Growth
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 109.3% | |||||||||||
$ | 4,054,608 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $4,056,176 ** | $ | 4,054,608 | |||||||
4,663,669 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $4,665,437 *** | 4,663,669 | |||||||||
810,921 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $811,228 **** | 810,921 | |||||||||
10,812,288 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $10,816,388 ***** | 10,812,288 | |||||||||
Total Investments (Cost $20,341,486) † | 20,341,486 | ||||||||||
Liabilities in excess of other assets — (9.3%) | (1,738,496 | ) | |||||||||
Net Assets — 100.0% | $ | 18,602,990 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $4,135,718. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $4,756,957. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $827,143. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $11,028,536. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Russell1000 Growth had the following open swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Russell 1000® Growth Index, expiring 12/27/07 | $ | (35,810,072 | ) | $ | (1,593,109 | ) |
See accompanying notes to the financial statements.
169
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Russell MidCap Value
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 95.8% | |||||||||||
$ | 1,169,057 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $1,169,509 ** | $ | 1,169,057 | |||||||
1,344,666 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,345,176 *** | 1,344,666 | |||||||||
233,811 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $233,900 **** | 233,811 | |||||||||
3,117,484 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $3,118,666 ***** | 3,117,484 | |||||||||
Total Investments (Cost $5,865,018) † | 5,865,018 | ||||||||||
Other assets less liabilities — 4.2% | 254,306 | ||||||||||
Net Assets — 100.0% | $ | 6,119,324 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $1,192,443. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $1,371,563. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $238,489. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $3,179,834. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Russell MidCap Value had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation | ||||||||||
Equity Index Swap Agreement based on the Russell MidCap® Value Index, expiring 12/27/07 | $ | (3,618,481 | ) | $ | 24,183 | ||||||
Equity Index Swap Agreement based on the Russell MidCap® Value Index, expiring 12/27/07 | (9,000,000 | ) | 268,384 | ||||||||
$ | 292,567 |
See accompanying notes to the financial statements.
170
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Russell MidCap Growth
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 111.5% | |||||||||||
$ | 1,081,119 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $1,081,537 ** | $ | 1,081,119 | |||||||
1,243,519 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,243,991 *** | 1,243,519 | |||||||||
216,224 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $216,306 **** | 216,224 | |||||||||
2,882,985 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $2,884,078 ***** | 2,882,985 | |||||||||
Total Investments (Cost $5,423,847) † | 5,423,847 | ||||||||||
Liabilities in excess of other assets — (11.5)% | (559,153 | ) | |||||||||
Net Assets — 100.0% | $ | 4,864,694 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $1,102,746. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $1,268,394. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $220,549. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $2,940,645. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Russell MidCap Growth had the following open swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Russell MidCap® Growth Index, expiring 12/27/07 | $ | (9,258,324 | ) | $ | (523,018 | ) |
See accompanying notes to the financial statements.
171
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Russell2000 Value
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 101.3% | |||||||||||
$ | 9,452,828 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $9,456,483 ** | $ | 9,452,828 | |||||||
10,872,781 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $10,876,904 *** | 10,872,781 | |||||||||
1,890,566 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,891,283 **** | 1,890,566 | |||||||||
25,207,543 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $25,217,101 ***** | 25,207,543 | |||||||||
Total Investments (Cost $47,423,718) † | 47,423,718 | ||||||||||
Liabilities in excess of other assets — (1.3%) | (599,329 | ) | |||||||||
Net Assets — 100.0% | $ | 46,824,389 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $9,641,297. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $11,090,272. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $1,928,385. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $25,711,699. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Russell2000 Value had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the Russell 2000® Value Index, expiring 12/27/07 | $ | (42,000,000 | ) | $ | 1,575,777 | ||||||
Equity Index Swap Agreement based on the Russell 2000® Value Index, expiring 12/27/07 | (51,755,346 | ) | (2,116,996 | ) | |||||||
$ | (541,219 | ) |
See accompanying notes to the financial statements.
172
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Russell2000 Growth
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 106.8% | |||||||||||
$ | 5,414,455 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $5,416,549 ** | $ | 5,414,455 | |||||||
6,227,785 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $6,230,146 *** | 6,227,785 | |||||||||
1,082,891 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,083,302 **** | 1,082,891 | |||||||||
14,438,548 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $14,444,023 ***** | 14,438,548 | |||||||||
Total Investments (Cost $27,163,679) † | 27,163,679 | ||||||||||
Liabilities in excess of other assets — (6.8%) | (1,721,650 | ) | |||||||||
Net Assets — 100.0% | $ | 25,442,029 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $5,552,768. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $6,352,361. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $1,104,553. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $14,727,322. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Russell2000 Growth had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the Russell 2000® Growth Index, expiring 12/27/07 | $ | (41,492,015 | ) | $ | (2,067,338 | ) | |||||
Equity Index Swap Agreement based on the Russell 2000® Growth Index, expiring 12/27/07 | (8,000,000 | ) | 395,316 | ||||||||
$ | (1,672,022 | ) |
See accompanying notes to the financial statements.
173
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Basic Materials
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 111.5% | |||||||||||
$ | 16,865,384 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $16,871,905 ** | $ | 16,865,384 | |||||||
19,398,810 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $19,406,165 *** | 19,398,810 | |||||||||
3,373,077 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $3,374,356 **** | 3,373,077 | |||||||||
44,974,358 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $44,991,411 ***** | 44,974,358 | |||||||||
Total Investments (Cost $84,611,629) † | 84,611,629 | ||||||||||
Liabilities in excess of other assets — (11.5%) | (8,716,075 | ) | |||||||||
Net Assets — 100.0% | $ | 75,895,554 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $17,202,766. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $19,786,849. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $3,440,553. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $45,873,855. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Basic Materials had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Basic MaterialsSM Index, expiring 12/27/07 | $ | (65,346,861 | ) | $ | (2,971,903 | ) | |||||
Equity Index Swap Agreement based on the Dow Jones U.S. Basic MaterialsSM Index, expiring 12/27/07 | (78,668,037 | ) | (5,676,139 | ) | |||||||
$ | (8,648,042 | ) |
See accompanying notes to the financial statements.
174
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Consumer Goods
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 62.5% | |||||||||||
$ | 2,861,968 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $2,863,075 ** | $ | 2,861,968 | |||||||
3,291,877 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $3,293,125 *** | 3,291,877 | |||||||||
572,394 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $572,611 **** | 572,394 | |||||||||
7,631,915 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $7,634,809 ***** | 7,631,915 | |||||||||
Total Investments (Cost $14,358,154) † | 14,358,154 | ||||||||||
Other assets less liabilities — 37.5% | 8,629,098 | ||||||||||
Net Assets — 100.0% | $ | 22,987,252 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,919,220. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $3,357,725. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $583,844. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $7,784,555. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Consumer Goods had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer GoodsSM Index, expiring 12/27/07 | $ | (41,177,959 | ) | $ | (589,171 | ) | |||||
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer GoodsSM Index, expiring 12/27/07 | (4,500,000 | ) | (71,123 | ) | |||||||
$ | (660,294 | ) |
See accompanying notes to the financial statements.
175
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Consumer Services
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 99.7% | |||||||||||
$ | 6,036,321 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $6,038,655 ** | $ | 6,036,321 | |||||||
6,943,065 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $6,945,698 *** | 6,943,065 | |||||||||
1,207,264 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,207,722 **** | 1,207,264 | |||||||||
16,096,857 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $16,102,960 ***** | 16,096,857 | |||||||||
Total Investments (Cost $30,283,507) † | 30,283,507 | ||||||||||
Other assets less liabilities — 0.3% | 100,193 | ||||||||||
Net Assets — 100.0% | $ | 30,383,700 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $6,157,074. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $7,081,948. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $1,231,415. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $16,418,798. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Consumer Services had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer ServicesSM Index, expiring 12/27/07 | $ | (31,354,279 | ) | $ | (364,078 | ) | |||||
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer ServicesSM Index, expiring 12/27/07 | (30,000,000 | ) | 516,588 | ||||||||
$ | 152,510 |
See accompanying notes to the financial statements.
176
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Financials
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 101.9% | |||||||||||
$ | 197,063,461 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $197,139,659 ** | $ | 197,063,461 | |||||||
226,665,256 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $226,751,200 *** | 226,665,256 | |||||||||
39,412,692 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $39,427,636 **** | 39,412,692 | |||||||||
525,502,564 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $525,701,817 ***** | 525,502,564 | |||||||||
Total Investments (Cost $988,643,973) † | 988,643,973 | ||||||||||
Liabilities in excess of other assets — (1.9%) | (18,473,610 | ) | |||||||||
Net Assets — 100.0% | $ | 970,170,363 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $201,005,594. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $231,199,292. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $40,201,114. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $536,012,727. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Financials had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. FinancialsSM Index, expiring 12/27/07 | $ | (404,194,195 | ) | $ | (9,505,402 | ) | |||||
Equity Index Swap Agreement based on the Dow Jones U.S. FinancialsSM Index, expiring 12/27/07 | (408,590,537 | ) | 455,796 | ||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. FinancialsSM Index, expiring 12/27/07 | (123,799,721 | ) | 1,588,647 | ||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. FinancialsSM Index, expiring 12/27/07 | (424,370,458 | ) | (5,260,947 | ) | |||||||
Equity Index Swap Agreement based on the Dow Jones U.S. FinancialsSM Index, expiring 12/27/07 | (595,421,462 | ) | 790,822 | ||||||||
$ | (11,931,084 | ) |
See accompanying notes to the financial statements.
177
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Health Care
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 105.4% | |||||||||||
$ | 1,981,892 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $1,982,658 ** | $ | 1,981,892 | |||||||
2,279,602 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $2,280,466 *** | 2,279,602 | |||||||||
396,379 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $396,529 **** | 396,379 | |||||||||
5,285,046 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $5,287,050 ***** | 5,285,046 | |||||||||
Total Investments (Cost $9,942,919) † | 9,942,919 | ||||||||||
Liabilities in excess of other assets — (5.4%) | (513,394 | ) | |||||||||
Net Assets — 100.0% | $ | 9,429,525 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,021,539. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,325,201. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $404,308. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $5,390,749. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Health Care had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Health CareSM Index, expiring 12/27/07 | $ | (10,433,327 | ) | $ | (295,460 | ) | |||||
Equity Index Swap Agreement based on the Dow Jones U.S. Health CareSM Index, expiring 12/27/07 | (8,000,000 | ) | (176,755 | ) | |||||||
$ | (472,215 | ) |
See accompanying notes to the financial statements.
178
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Industrials
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 103.6% | |||||||||||
$ | 4,353,031 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $4,354,714 ** | $ | 4,353,031 | |||||||
5,006,920 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $5,008,818 *** | 5,006,920 | |||||||||
870,606 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $870,936 **** | 870,606 | |||||||||
11,608,083 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $11,612,484 ***** | 11,608,083 | |||||||||
Total Investments (Cost $21,838,640) † | 21,838,640 | ||||||||||
Liabilities in excess of other assets — (3.6%) | (754,892 | ) | |||||||||
Net Assets — 100.0% | $ | 21,083,748 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $4,440,111. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $5,107,074. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $888,022. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $11,840,247. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Industrials had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. IndustrialsSM Index, expiring 12/27/07 | $ | (32,471,841 | ) | $ | (1,042,215 | ) | |||||
Equity Index Swap Agreement based on the Dow Jones U.S. IndustrialsSM Index, expiring 12/27/07 | (9,200,000 | ) | 331,672 | ||||||||
$ | (710,543 | ) |
See accompanying notes to the financial statements.
179
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Oil & Gas
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 98.7% | |||||||||||
$ | 60,659,224 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $60,682,679 ** | $ | 60,659,224 | |||||||
69,771,121 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $69,797,576 *** | 69,771,121 | |||||||||
12,131,845 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $12,136,445 **** | 12,131,845 | |||||||||
161,757,932 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $161,819,265 ***** | 161,757,932 | |||||||||
Total Investments (Cost $304,320,122) † | 304,320,122 | ||||||||||
Other assets less liabilities — 1.3% | 4,007,216 | ||||||||||
Net Assets — 100.0% | $ | 308,327,338 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $61,872,675. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $71,166,768. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $12,374,533. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $164,993,125. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Oil & Gas had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & GasSM Index, expiring 12/27/07 | $ | (370,563,238 | ) | $ | (12,127,838 | ) | |||||
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & GasSM Index, expiring 12/27/07 | (233,365,642 | ) | (6,084,844 | ) | |||||||
$ | (18,212,682 | ) |
See accompanying notes to the financial statements.
180
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Real Estate
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 100.1% | |||||||||||
$ | 113,872,578 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $113,916,609 ** | $ | 113,872,578 | |||||||
130,977,893 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $131,027,555 *** | 130,977,893 | |||||||||
22,774,516 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $22,783,151 **** | 22,774,516 | |||||||||
303,660,208 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $303,775,346 ***** | 303,660,208 | |||||||||
Total Investments (Cost $571,285,195) † | 571,285,195 | ||||||||||
Liabilities in excess of other assets — (0.1%) | (313,503 | ) | |||||||||
Net Assets — 100.0% | $ | 570,971,692 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $116,150,528. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $133,597,873. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $23,230,103. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $309,733,477. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Real Estate had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Real EstateSM Index, expiring 12/27/07 | $ | (341,839,078 | ) | $ | (25,601,429 | ) | |||||
Equity Index Swap Agreement based on the Dow Jones U.S. Real EstateSM Index, expiring 12/27/07 | (104,500,986 | ) | 3,635,225 | ||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Real EstateSM Index, expiring 12/27/07 | (226,787,770 | ) | 6,527,873 | ||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Real EstateSM Index, expiring 12/27/07 | (440,970,226 | ) | (24,631,541 | ) | |||||||
$ | (40,069,872 | ) |
See accompanying notes to the financial statements.
181
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Semiconductors
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 110.1% | |||||||||||
$ | 1,944,764 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $1,945,516 ** | $ | 1,944,764 | |||||||
2,236,896 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $2,237,744 *** | 2,236,896 | |||||||||
388,953 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $389,100 **** | 388,953 | |||||||||
5,186,038 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $5,188,004 ***** | 5,186,038 | |||||||||
Total Investments (Cost $9,756,651) † | 9,756,651 | ||||||||||
Liabilities in excess of other assets — (10.1%) | (891,340 | ) | |||||||||
Net Assets — 100.0% | $ | 8,865,311 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $1,983,668. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,281,641. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $396,734. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $5,289,760. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Semiconductors had the following open swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. SemiconductorSM Index, expiring 12/27/07 | $ | (16,917,783 | ) | $ | (842,536 | ) |
See accompanying notes to the financial statements.
182
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Technology
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 103.4% | |||||||||||
$ | 3,388,419 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $3,389,729 ** | $ | 3,388,419 | |||||||
3,897,409 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $3,898,887 *** | 3,897,409 | |||||||||
677,684 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $677,941 **** | 677,684 | |||||||||
9,035,785 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $9,039,211 ***** | 9,035,785 | |||||||||
Total Investments (Cost $16,999,297) † | 16,999,297 | ||||||||||
Liabilities in excess of other assets — (3.4%) | (560,943 | ) | |||||||||
Net Assets — 100.0% | $ | 16,438,354 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $3,456,203. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $3,975,370. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $691,240. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $9,216,503. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Technology had the following open swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. TechnologySM Index, expiring 12/27/07 | $ | (32,576,266 | ) | $ | (520,399 | ) |
See accompanying notes to the financial statements.
183
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort Utilities
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 100.1% | |||||||||||
$ | 2,290,173 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $2,291,059 ** | $ | 2,290,173 | |||||||
2,634,190 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $2,635,189 *** | 2,634,190 | |||||||||
458,035 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $458,209 **** | 458,035 | |||||||||
6,107,129 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $6,109,445 *****. | 6,107,129 | |||||||||
Total Investments (Cost $11,489,527) † | 11,489,527 | ||||||||||
Liabilities in excess of other assets — (0.1%) | (15,040 | ) | |||||||||
Net Assets — 100.0% | $ | 11,474,487 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,335,987. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,686,883. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $467,197. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $6,229,273. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Utilities had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. UtilitiesSM Index, expiring 12/27/07 | $ | (13,089,001 | ) | $ | (11,153 | ) | |||||
Equity Index Swap Agreement based on the Dow Jones U.S. UtilitiesSM Index, expiring 12/27/07 | $ | (10,000,000 | ) | 38,360 | |||||||
$ | 27,207 |
See accompanying notes to the financial statements.
184
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Short MSCI EAFE
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 99.5% | |||||||||||
$ | 3,142,943 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $3,144,158 ** | $ | 3,142,943 | |||||||
3,615,059 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $3,616,430 *** | 3,615,059 | |||||||||
628,589 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $628,827 **** | 628,589 | |||||||||
8,381,183 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $8,384,361 ***** | 8,381,183 | |||||||||
Total Investments (Cost $15,767,774) † | 15,767,774 | ||||||||||
Other assets less liabilities — 0.5% | 77,494 | ||||||||||
Net Assets — 100.0% | $ | 15,845,268 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $3,205,816. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $3,687,372. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $641,163. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $8,548,808. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
Short MSCI EAFE had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Equity Index Swap Agreement based on the MSCI EAFE Index, expiring 12/27/07 | $ | (9,653,693 | ) | $ | 215,081 | ||||||
Equity Index Swap Agreement based on the MSCI EAFE Index, expiring 12/27/07 | (6,326,891 | ) | (125,281 | ) | |||||||
$ | 89,800 |
See accompanying notes to the financial statements.
185
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Short MSCI Emerging Markets
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 108.3% | |||||||||||
$ | 3,521,297 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $3,522,659 ** | $ | 3,521,297 | |||||||
4,050,247 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $4,051,783 *** | 4,050,247 | |||||||||
704,260 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $704,527 **** | 704,260 | |||||||||
9,390,126 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $9,393,686 ***** | 9,390,126 | |||||||||
Total Investments (Cost $17,665,930) † | 17,665,930 | ||||||||||
Liabilities in excess of other assets — (8.3%) | (1,358,310 | ) | |||||||||
Net Assets — 100.0% | $ | 16,307,620 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $3,591,739. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $4,131,265. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $718,348. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $9,577,930. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
Short MSCI Emerging Markets had the following open swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the MSCI Emerging Markets Index, expiring 12/27/07 | $ | (15,038,780 | ) | $ | (1,350,874 | ) |
See accompanying notes to the financial statements.
186
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort MSCI EAFE
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 106.4% | |||||||||||
$ | 6,687,299 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $6,689,885 ** | $ | 6,687,299 | |||||||
7,691,828 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $7,694,744 *** | 7,691,828 | |||||||||
1,337,460 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,337,967 **** | 1,337,460 | |||||||||
17,832,796 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $17,839,558 ***** | 17,832,796 | |||||||||
Total Investments (Cost $33,549,383) † | 33,549,383 | ||||||||||
Liabilities in excess of other assets — (6.4%) | (2,020,028 | ) | |||||||||
Net Assets — 100.0% | $ | 31,529,355 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $6,821,074. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $7,845,690. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $1,364,215. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $18,189,456. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort MSCI EAFE had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the MSCI EAFE Index, expiring 12/27/07 | $ | (17,736,401 | ) | $ | (210,452 | ) | |||||
Equity Index Swap Agreement based on the MSCI EAFE Index, expiring 12/27/07 | (43,200,051 | ) | (1,796,029 | ) | |||||||
$ | (2,006,481 | ) |
See accompanying notes to the financial statements.
187
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort MSCI Emerging Markets
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 117.9% | |||||||||||
$ | 18,050,771 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $18,057,751 ** | $ | 18,050,771 | |||||||
20,762,258 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $20,770,130 *** | 20,762,258 | |||||||||
3,610,154 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $3,611,523 **** | 3,610,154 | |||||||||
48,135,388 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $48,153,639 ***** | 48,135,388 | |||||||||
Total Investments (Cost $90,558,571) † | 90,558,571 | ||||||||||
Liabilities in excess of other assets — (17.9%) | (13,745,378 | ) | |||||||||
Net Assets — 100.0% | $ | 76,813,193 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $18,411,865. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $21,177,570. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $3,682,373. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $49,098,106. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort MSCI Emerging Markets had the following open swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the MSCI Emerging MarketsSM Index, expiring 12/27/07 | $ | (141,131,120 | ) | $ | (13,721,987 | ) |
See accompanying notes to the financial statements.
188
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort FTSE/Xinhua China 25
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 97.2% | |||||||||||
$ | 70,728,042 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $70,755,390 ** | $ | 70,728,042 | |||||||
81,352,422 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $81,383,268 *** | 81,352,422 | |||||||||
14,145,608 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $14,150,972 **** | 14,145,608 | |||||||||
188,608,113 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $188,679,627 ***** | 188,608,113 | |||||||||
Total Investments (Cost $354,834,185) † | 354,834,185 | ||||||||||
Other assets less liabilities — 2.8% | 10,319,577 | ||||||||||
Net Assets — 100.0% | $ | 365,153,762 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $72,142,913. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $82,979,732. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $14,428,581. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $192,380,315. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort FTSE/Xinhua China 25 had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the FTSE/Xinhua China 25 Index, expiring 12/27/07 | $ | (558,839,054 | ) | $ | (79,457,345 | ) | |||||
Equity Index Swap Agreement based on the FTSE/Xinhua China 25 Index, expiring 12/27/07 | (102,170,000 | ) | (5,441,891 | ) | |||||||
$ | (84,899,236 | ) |
See accompanying notes to the financial statements.
189
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
UltraShort MSCI Japan
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 113.5% | |||||||||||
$ | 2,356,511 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $2,357,422 ** | $ | 2,356,511 | |||||||
2,710,493 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $2,711,521 *** | 2,710,493 | |||||||||
471,302 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $471,481 **** | 471,302 | |||||||||
6,284,029 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $6,286,412 ***** | 6,284,029 | |||||||||
Total Investments (Cost $11,822,335) † | 11,822,335 | ||||||||||
Liabilities in excess of other assets — (13.5%) | (1,404,637 | ) | |||||||||
Net Assets — 100.0% | $ | 10,417,698 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $2,403,651. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,764,712. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $480,730. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $6,409,711. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort MSCI Japan had the following open swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the MSCI Japan Index, expiring 12/27/07 | $ | (19,353,209 | ) | $ | (1,399,152 | ) |
See accompanying notes to the financial statements.
190
ProShares Trust Statements of Assets and Liabilities
November 30, 2007 (Unaudited)
Ultra QQQ® | Ultra Dow30SM | Ultra S&P500® | Ultra MidCap400 | Ultra SmallCap600 | Ultra Russell2000 | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 763,204,533 | $ | 260,255,394 | $ | 603,378,464 | $ | 85,558,329 | $ | 10,681,320 | $ | 74,864,294 | |||||||||||||||
Securities, at value | 672,826,991 | 223,326,350 | 526,311,026 | 72,252,306 | 8,825,188 | 62,872,078 | |||||||||||||||||||||
Repurchase agreements, at value | 132,663,844 | 40,004,970 | 94,700,781 | 12,401,037 | 1,473,173 | 9,382,870 | |||||||||||||||||||||
Total Investment Securities | 805,490,835 | 263,331,320 | 621,011,807 | 84,653,343 | 10,298,361 | 72,254,948 | |||||||||||||||||||||
Cash | 463,643 | — | — | 102,247 | — | 66,124 | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | 4,510,025 | 1,392,571 | 3,911,262 | 444,647 | — | 402,036 | |||||||||||||||||||||
Dividends and interest receivable | 600,508 | 668,270 | 974,889 | 79,333 | 4,060 | 44,722 | |||||||||||||||||||||
Receivable for investments sold | 195,614 | — | 65,873 | 207,661 | 18,452 | 287,487 | |||||||||||||||||||||
Receivable for capital shares issued | — | — | — | — | — | — | |||||||||||||||||||||
Receivable from Advisor | — | — | — | — | 8,213 | — | |||||||||||||||||||||
Other receivable | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | 141,533 | 536,290 | 46,258 | — | 350 | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | — | — | |||||||||||||||||||||
Prepaid licensing fees | — | — | 347 | 1,776 | — | — | |||||||||||||||||||||
Total Assets | 811,260,625 | 265,533,694 | 626,500,468 | 85,535,265 | 10,329,086 | 73,055,667 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | 167,428 | 1,044,292 | — | — | — | |||||||||||||||||||||
Payable for investments purchased | 199,437 | 2,381,327 | 64,998 | 209,876 | 18,170 | 283,736 | |||||||||||||||||||||
Payable for capital shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Advisory fees payable | 409,456 | 116,483 | 301,927 | 19,940 | — | — | |||||||||||||||||||||
Management Services fees payable | 55,820 | 17,587 | 41,961 | 6,589 | — | 4,785 | |||||||||||||||||||||
Custodian fees payable | 49,860 | 12,243 | 49,323 | 93,325 | 71,176 | 131,965 | |||||||||||||||||||||
Administration fees payable | 21,500 | 13,650 | 19,492 | 9,976 | 1,650 | 8,687 | |||||||||||||||||||||
Trustee fees payable | 1,090 | 358 | 856 | 235 | 28 | 110 | |||||||||||||||||||||
Licensing fees payable | 93,090 | 33,676 | — | — | 17,652 | 17,361 | |||||||||||||||||||||
Professional fees payable | 18,708 | 12,809 | 17,684 | 13,279 | 16,651 | 18,460 | |||||||||||||||||||||
Payable for variation margin on futures contracts | 583,050 | — | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 42,140,274 | 4,164,052 | 12,488,553 | 3,393,193 | 528,110 | 2,539,270 | |||||||||||||||||||||
Other liabilities | 11,852 | 6,869 | 9,793 | 6,437 | 779 | 1,226 | |||||||||||||||||||||
Total Liabilities | 43,584,137 | 6,926,482 | 14,038,879 | 3,752,850 | 654,216 | 3,005,600 | |||||||||||||||||||||
NET ASSETS | $ | 767,676,488 | $ | 258,607,212 | $ | 612,461,589 | $ | 81,782,415 | $ | 9,674,870 | $ | 70,050,067 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 634,617,226 | $ | 245,830,528 | $ | 589,299,170 | $ | 73,564,952 | $ | 9,880,915 | $ | 72,108,359 | |||||||||||||||
Accumulated undistributed net investment income (loss) | 245,084 | 817,190 | 1,908,279 | 197,796 | 9,394 | 116,246 | |||||||||||||||||||||
Accumulated net realized gains (losses) on investments | 130,395,847 | 12,300,350 | 14,238,719 | 12,180,937 | 695,630 | 2,992,753 | |||||||||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | 42,286,302 | 3,075,926 | 17,633,343 | (904,986 | ) | (382,959 | ) | (2,609,346 | ) | ||||||||||||||||||
Futures contracts | 2,272,303 | 747,270 | 1,870,631 | 136,909 | — | (18,675 | ) | ||||||||||||||||||||
Swap agreements | (42,140,274 | ) | (4,164,052 | ) | (12,488,553 | ) | (3,393,193 | ) | (528,110 | ) | (2,539,270 | ) | |||||||||||||||
NET ASSETS | $ | 767,676,488 | $ | 258,607,212 | $ | 612,461,589 | $ | 81,782,415 | $ | 9,674,870 | $ | 70,050,067 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 7,275,001 | 2,850,001 | 6,900,001 | 975,001 | 150,001 | 1,125,001 | |||||||||||||||||||||
Net Asset Value | $ | 105.52 | $ | 90.74 | $ | 88.76 | $ | 83.88 | $ | 64.50 | $ | 62.27 |
See accompanying notes to the financial statements.
191
ProShares Trust Statements of Assets and Liabilities (continued)
November 30, 2007 (Unaudited)
Ultra Russell1000 Value | Ultra Russell1000 Growth | Ultra Russell MidCap Value | Ultra Russell MidCap Growth | Ultra Russell 2000 Value | Ultra Russell 2000 Growth | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 10,674,123 | $ | 22,911,837 | $ | 9,423,491 | $ | 16,161,592 | $ | 8,741,269 | $ | 10,645,561 | |||||||||||||||
Securities, at value | 8,492,329 | 20,380,241 | 7,563,881 | 13,944,418 | 6,738,829 | 8,919,315 | |||||||||||||||||||||
Repurchase agreements, at value | 1,789,059 | 3,163,841 | 1,227,184 | 2,524,174 | 1,002,219 | 1,654,780 | |||||||||||||||||||||
Total Investment Securities | 10,281,388 | 23,544,082 | 8,791,065 | 16,468,592 | 7,741,048 | 10,574,095 | |||||||||||||||||||||
Cash | 1,295 | — | — | 83,988 | 2,548 | 21,884 | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Dividends and interest receivable | 22,542 | 25,952 | 13,775 | 12,386 | 7,774 | 3,833 | |||||||||||||||||||||
Receivable for investments sold | 15,544 | 26,861 | 34,042 | 42,103 | 35,755 | 36,620 | |||||||||||||||||||||
Receivable for capital shares issued | — | — | — | — | — | — | |||||||||||||||||||||
Receivable from Advisor | 5,929 | — | 4,528 | 1,041 | 18,107 | 16,794 | |||||||||||||||||||||
Other receivable | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | — | — | |||||||||||||||||||||
Prepaid licensing fees | — | — | — | — | — | — | |||||||||||||||||||||
Total Assets | 10,326,698 | 23,596,895 | 8,843,410 | 16,608,110 | 7,805,232 | 10,653,226 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | — | — | — | — | — | |||||||||||||||||||||
Payable for investments purchased | 776,107 | 27,169 | 34,186 | 41,841 | 35,949 | 35,285 | |||||||||||||||||||||
Payable for capital shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Advisory fees payable | — | — | — | — | — | — | |||||||||||||||||||||
Management Services fees payable | — | 236 | — | — | — | — | |||||||||||||||||||||
Custodian fees payable | 47,533 | 56,329 | 36,262 | 43,463 | 91,319 | 100,039 | |||||||||||||||||||||
Administration fees payable | 1,515 | 3,679 | 1,404 | 2,586 | 1,248 | 1,668 | |||||||||||||||||||||
Trustee fees payable | 27 | 40 | 24 | 34 | 21 | 25 | |||||||||||||||||||||
Licensing fees payable | 17,255 | 17,531 | 16,988 | 17,126 | 18,940 | 19,036 | |||||||||||||||||||||
Professional fees payable | 16,601 | 16,660 | 16,593 | 16,633 | 16,573 | 16,593 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 264,110 | 912,962 | 337,207 | 732,948 | 365,866 | 640,421 | |||||||||||||||||||||
Other liabilities | 974 | 1,047 | 958 | 1,014 | 930 | 956 | |||||||||||||||||||||
Total Liabilities | 1,124,122 | 1,035,653 | 443,622 | 855,645 | 530,846 | 814,023 | |||||||||||||||||||||
NET ASSETS | $ | 9,202,576 | $ | 22,561,242 | $ | 8,399,788 | $ | 15,752,465 | $ | 7,274,386 | $ | 9,839,203 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 10,502,380 | $ | 21,761,919 | $ | 10,502,380 | $ | 15,505,196 | $ | 10,502,380 | $ | 10,502,380 | |||||||||||||||
Accumulated undistributed net investment income (loss) | 40,489 | 49,357 | 25,404 | 13,654 | 32,194 | 3,137 | |||||||||||||||||||||
Accumulated net realized gains (losses) on investments | (683,448 | ) | 1,030,683 | (1,158,363 | ) | 659,563 | (1,894,101 | ) | 45,573 | ||||||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | (392,735 | ) | 632,245 | (632,426 | ) | 307,000 | (1,000,221 | ) | (71,466 | ) | |||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (264,110 | ) | (912,962 | ) | (337,207 | ) | (732,948 | ) | (365,866 | ) | (640,421 | ) | |||||||||||||||
NET ASSETS | $ | 9,202,576 | $ | 22,561,242 | $ | 8,399,788 | $ | 15,752,465 | $ | 7,274,386 | $ | 9,839,203 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 150,001 | 300,001 | 150,001 | 225,001 | 150,001 | 150,001 | |||||||||||||||||||||
Net Asset Value | $ | 61.35 | $ | 75.20 | $ | 56.00 | $ | 70.01 | $ | 48.50 | $ | 65.59 |
See accompanying notes to the financial statements.
192
Ultra Basic Materials | Ultra Consumer Goods | Ultra Consumer Services | Ultra Financials | Ultra Health Care | Ultra Industrials | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 14,484,218 | $ | 5,494,829 | $ | 4,705,090 | $ | 157,801,944 | $ | 10,686,103 | $ | 12,665,920 | |||||||||||||||
Securities, at value | 12,037,017 | 5,243,009 | 3,674,443 | 128,025,955 | 9,680,194 | 10,894,848 | |||||||||||||||||||||
Repurchase agreements, at value | 3,956,721 | 552,515 | 770,820 | 28,198,726 | 1,554,665 | 1,991,791 | |||||||||||||||||||||
Total Investment Securities | 15,993,738 | 5,795,524 | 4,445,263 | 156,224,681 | 11,234,859 | 12,886,639 | |||||||||||||||||||||
Cash | — | — | 4,105 | — | — | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Dividends and interest receivable | — | 8,538 | 8,921 | 188,093 | 21,606 | 17,009 | |||||||||||||||||||||
Receivable for investments sold | 32,448 | — | — | 3,419,773 | — | — | |||||||||||||||||||||
Receivable for capital shares issued | — | — | — | 3,486,156 | — | — | |||||||||||||||||||||
Receivable from Advisor | — | 1,605 | 3,230 | — | — | — | |||||||||||||||||||||
Other receivable | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | 85,623 | — | 235,935 | 258,417 | — | |||||||||||||||||||||
Prepaid licensing fees | — | — | — | — | ��� | — | |||||||||||||||||||||
Total Assets | 16,026,186 | 5,891,290 | 4,461,519 | 163,554,638 | 11,514,882 | 12,903,648 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | — | — | 4,673 | — | — | |||||||||||||||||||||
Payable for investments purchased | — | — | — | 10,082,357 | — | — | |||||||||||||||||||||
Payable for capital shares redeemed | — | — | — | 3,485,065 | — | — | |||||||||||||||||||||
Advisory fees payable | 5,843 | — | — | 45,106 | 1,005 | 556 | |||||||||||||||||||||
Management Services fees payable | 1,637 | — | — | 7,773 | — | — | |||||||||||||||||||||
Custodian fees payable | 9,674 | 17,561 | 27,600 | 19,126 | 19,941 | 23,610 | |||||||||||||||||||||
Administration fees payable | 3,314 | 943 | 717 | 9,963 | 1,810 | 2,028 | |||||||||||||||||||||
Trustee fees payable | 43 | 19 | 9 | 90 | 27 | 11 | |||||||||||||||||||||
Licensing fees payable | 19,781 | 17,773 | 17,513 | 24,773 | 18,523 | 18,133 | |||||||||||||||||||||
Professional fees payable | 16,666 | 16,565 | 16,317 | 16,874 | 16,580 | 16,763 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 1,535,159 | — | 93,698 | — | — | 549,057 | |||||||||||||||||||||
Other liabilities | 924 | 753 | 691 | 1,089 | 800 | 750 | |||||||||||||||||||||
Total Liabilities | 1,593,041 | 53,614 | 156,545 | 13,696,889 | 58,686 | 610,908 | |||||||||||||||||||||
NET ASSETS | $ | 14,433,145 | $ | 5,837,676 | $ | 4,304,974 | $ | 149,857,749 | $ | 11,456,196 | $ | 12,292,740 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 9,214,002 | $ | 5,038,830 | $ | 5,187,547 | $ | 158,693,263 | $ | 10,502,380 | $ | 11,081,742 | |||||||||||||||
Accumulated undistributed net investment income (loss) | 65,253 | 11,649 | 8,456 | 363,354 | 22,684 | 25,239 | |||||||||||||||||||||
Accumulated net realized gains (losses) on investments | 5,179,529 | 400,879 | (537,504 | ) | (7,857,540 | ) | 123,959 | 1,514,097 | |||||||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | 1,509,520 | 300,695 | (259,827 | ) | (1,577,263 | ) | 548,756 | 220,719 | |||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (1,535,159 | ) | 85,623 | (93,698 | ) | 235,935 | 258,417 | (549,057 | ) | ||||||||||||||||||
NET ASSETS | $ | 14,433,145 | $ | 5,837,676 | $ | 4,304,974 | $ | 149,857,749 | $ | 11,456,196 | $ | 12,292,740 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 150,001 | 75,001 | 75,001 | 3,225,001 | 150,001 | 150,001 | |||||||||||||||||||||
Net Asset Value | $ | 96.22 | $ | 77.83 | $ | 57.40 | $ | 46.47 | $ | 76.37 | $ | 81.95 |
See accompanying notes to the financial statements.
193
ProShares Trust Statements of Assets and Liabilities (continued)
November 30, 2007 (Unaudited)
Ultra Oil & Gas | Ultra Real Estate | Ultra Semiconductors | Ultra Technology | Ultra Utilities | Short QQQ® | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 63,765,964 | $ | 19,168,446 | $ | 34,797,541 | $ | 66,966,513 | $ | 12,058,595 | $ | 64,775,943 | |||||||||||||||
Securities, at value | 55,591,191 | 15,020,237 | 28,723,660 | 55,267,519 | 11,181,273 | — | |||||||||||||||||||||
Repurchase agreements, at value | 10,668,070 | 3,445,133 | 6,854,623 | 12,105,073 | 2,118,887 | 64,775,943 | |||||||||||||||||||||
Total Investment Securities | 66,259,261 | 18,465,370 | 35,578,283 | 67,372,592 | 13,300,160 | 64,775,943 | |||||||||||||||||||||
Cash | — | — | — | — | — | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | — | — | — | — | — | 372,754 | |||||||||||||||||||||
Dividends and interest receivable | 146,465 | 14,781 | 49,295 | 57,634 | 46,280 | 9,652 | |||||||||||||||||||||
Receivable for investments sold | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | — | — | — | �� | — | — | |||||||||||||||||||||
Receivable from Advisor | — | — | — | — | — | — | |||||||||||||||||||||
Other receivable | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | — | — | — | — | 50,710 | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | — | 3,124,445 | |||||||||||||||||||||
Prepaid licensing fees | — | — | — | — | — | 393 | |||||||||||||||||||||
Total Assets | 66,405,726 | 18,480,151 | 35,627,578 | 67,430,226 | 13,346,440 | 68,333,897 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | 24,330 | — | — | — | — | 40,525 | |||||||||||||||||||||
Payable for investments purchased | — | — | — | — | — | — | |||||||||||||||||||||
Payable for capital shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Advisory fees payable | 26,502 | 4,877 | 11,327 | 24,069 | 2,571 | 31,980 | |||||||||||||||||||||
Management Services fees payable | 5,148 | 1,460 | 2,556 | 4,840 | 1,057 | 5,440 | |||||||||||||||||||||
Custodian fees payable | 6,109 | 8,697 | 9,524 | 15,899 | 8,967 | 6,349 | |||||||||||||||||||||
Administration fees payable | 8,826 | 2,956 | 5,154 | 8,629 | 2,152 | 7,691 | |||||||||||||||||||||
Trustee fees payable | 91 | 24 | 52 | 62 | 33 | 189 | |||||||||||||||||||||
Licensing fees payable | 27,381 | 19,036 | 20,859 | 23,185 | 18,811 | — | |||||||||||||||||||||
Professional fees payable | 16,999 | 16,429 | 16,684 | 16,721 | 16,674 | 12,716 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 4,310,490 | 841,495 | 2,559,532 | 6,078,161 | 85,691 | — | |||||||||||||||||||||
Other liabilities | 1,109 | 705 | 924 | 962 | 874 | 5,037 | |||||||||||||||||||||
Total Liabilities | 4,426,985 | 895,679 | 2,626,612 | 6,172,528 | 136,830 | 109,927 | |||||||||||||||||||||
NET ASSETS | $ | 61,978,741 | $ | 17,584,472 | $ | 33,000,966 | $ | 61,257,698 | $ | 13,209,610 | $ | 68,223,970 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 50,785,260 | $ | 23,853,253 | $ | 35,377,114 | $ | 62,352,054 | $ | 10,502,380 | $ | 97,204,236 | |||||||||||||||
Accumulated undistributed net investment income (loss) | 604,261 | 96,938 | 44,860 | 46,109 | 54,762 | 436,601 | |||||||||||||||||||||
Accumulated net realized gains (losses) on investments | 12,406,413 | (4,821,148 | ) | (642,218 | ) | 4,531,617 | 1,496,594 | (32,838,367 | ) | ||||||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | 2,493,297 | (703,076 | ) | 780,742 | 406,079 | 1,241,565 | — | ||||||||||||||||||||
Futures contracts | — | — | — | — | — | 297,055 | |||||||||||||||||||||
Swap agreements | (4,310,490 | ) | (841,495 | ) | (2,559,532 | ) | (6,078,161 | ) | (85,691 | ) | 3,124,445 | ||||||||||||||||
NET ASSETS | $ | 61,978,741 | $ | 17,584,472 | $ | 33,000,966 | $ | 61,257,698 | $ | 13,209,610 | $ | 68,223,970 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 600,001 | 450,001 | 450,001 | 750,001 | 150,001 | 1,275,001 | |||||||||||||||||||||
Net Asset Value | $ | 103.30 | $ | 39.08 | $ | 73.34 | $ | 81.68 | $ | 88.06 | $ | 53.51 |
See accompanying notes to the financial statements.
194
Short Dow30SM | Short S&P500® | Short MidCap400 | Short SmallCap600 | Short Russell2000 | UltraShort QQQ® | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 126,432,866 | $ | 227,890,825 | $ | 48,021,423 | $ | 10,946,727 | $ | 44,155,989 | $ | 1,123,700,487 | |||||||||||||||
Securities, at value | — | — | — | — | — | — | |||||||||||||||||||||
Repurchase agreements, at value | 126,432,866 | 227,890,825 | 48,021,423 | 10,946,727 | 44,155,989 | 1,123,700,487 | |||||||||||||||||||||
Total Investment Securities | 126,432,866 | 227,890,825 | 48,021,423 | 10,946,727 | 44,155,989 | 1,123,700,487 | |||||||||||||||||||||
Cash | 73,291 | 155,569 | 29,878 | — | 11,029 | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | 485,455 | 1,029,952 | 180,384 | — | 237,513 | 6,802,477 | |||||||||||||||||||||
Dividends and interest receivable | 18,117 | 32,656 | 6,875 | 1,374 | 6,359 | 176,502 | |||||||||||||||||||||
Receivable for investments sold | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | — | — | — | — | — | 196,982,437 | |||||||||||||||||||||
Receivable from Advisor | — | — | — | — | — | — | |||||||||||||||||||||
Other receivable | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | — | — | — | — | 856,470 | |||||||||||||||||||||
Unrealized appreciation on swap agreements | 2,016,836 | 3,009,176 | 1,411,246 | — | — | 67,329,833 | |||||||||||||||||||||
Prepaid licensing fees | — | 5,891 | 5,986 | — | — | — | |||||||||||||||||||||
Total Assets | 129,026,565 | 232,124,069 | 49,655,792 | 10,948,101 | 44,410,890 | 1,395,848,206 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | — | — | — | — | 6,809,031 | |||||||||||||||||||||
Payable for investments purchased | — | — | — | — | — | — | |||||||||||||||||||||
Payable for capital shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Advisory fees payable | 64,196 | 118,051 | 17,562 | 3,299 | 12,273 | 926,504 | |||||||||||||||||||||
Management Services fees payable | 10,760 | 17,537 | 4,091 | 872 | 3,289 | 116,363 | |||||||||||||||||||||
Custodian fees payable | 8,329 | 13,147 | 6,302 | 1,330 | 2,224 | 114,615 | |||||||||||||||||||||
Administration fees payable | 9,042 | 11,095 | 7,182 | 1,425 | 5,314 | 28,090 | |||||||||||||||||||||
Trustee fees payable | 267 | 406 | 180 | 25 | 68 | 4,209 | |||||||||||||||||||||
Licensing fees payable | 24,927 | — | — | 17,652 | 22,527 | 149,184 | |||||||||||||||||||||
Professional fees payable | 12,719 | 15,208 | 11,947 | 16,664 | 16,920 | 75,570 | |||||||||||||||||||||
Payable for variation margin on futures contracts | 65,700 | 173,125 | 24,500 | — | 458 | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | — | — | — | 262,799 | 981,983 | — | |||||||||||||||||||||
Other liabilities | 5,591 | 5,665 | 5,175 | 658 | 747 | 17,700 | |||||||||||||||||||||
Total Liabilities | 201,531 | 354,234 | 76,939 | 304,724 | 1,045,803 | 8,241,266 | |||||||||||||||||||||
NET ASSETS | $ | 128,825,034 | $ | 231,769,835 | $ | 49,578,853 | $ | 10,643,377 | $ | 43,365,087 | $ | 1,387,606,940 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 139,572,827 | $ | 250,193,097 | $ | 65,001,475 | $ | 10,501,225 | $ | 41,369,274 | $ | 1,949,403,737 | |||||||||||||||
Accumulated undistributed net investment income (loss) | 884,422 | 1,339,243 | 357,341 | 75,147 | 260,522 | 10,813,624 | |||||||||||||||||||||
Accumulated net realized gains (losses) on investments | (14,105,973 | ) | (23,325,175 | ) | (17,404,218 | ) | 329,804 | 2,499,013 | (644,860,843 | ) | |||||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | 456,922 | 553,494 | 213,009 | — | 218,261 | 4,920,589 | |||||||||||||||||||||
Swap agreements | 2,016,836 | 3,009,176 | 1,411,246 | (262,799 | ) | (981,983 | ) | 67,329,833 | |||||||||||||||||||
NET ASSETS | $ | 128,825,034 | $ | 231,769,835 | $ | 49,578,853 | $ | 10,643,377 | $ | 43,365,087 | $ | 1,387,606,940 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 2,175,001 | 3,826,429 | 825,001 | 150,001 | 600,001 | 36,225,001 | |||||||||||||||||||||
Net Asset Value | $ | 59.23 | $ | 60.57 | $ | 60.10 | $ | 70.96 | $ | 72.28 | $ | 38.31 |
See accompanying notes to the financial statements.
195
ProShares Trust Statements of Assets and Liabilities (continued)
November 30, 2007 (Unaudited)
UltraShort Dow30SM | UltraShort S&P500® | UltraShort MidCap400 | UltraShort SmallCap600 | UltraShort Russell2000 | UltraShort Russell1000 Value | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 415,791,839 | $ | 1,543,718,422 | $ | 174,637,568 | $ | 54,590,561 | $ | 610,140,264 | $ | 12,368,376 | |||||||||||||||
Securities, at value | — | — | — | — | — | — | |||||||||||||||||||||
Repurchase agreements, at value | 415,791,839 | 1,543,718,422 | 174,637,568 | 54,590,561 | 610,140,264 | 12,368,376 | |||||||||||||||||||||
Total Investment Securities | 415,791,839 | 1,543,718,422 | 174,637,568 | 54,590,561 | 610,140,264 | 12,368,376 | |||||||||||||||||||||
Cash | — | 992,216 | 89,616 | — | 167,949 | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | 1,661,508 | 7,491,723 | 671,315 | — | 2,918,641 | — | |||||||||||||||||||||
Dividends and interest receivable | 60,010 | 227,194 | 25,230 | 6,850 | 90,015 | 1,552 | |||||||||||||||||||||
Receivable for investments sold | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | 45,403,178 | 77,435,794 | — | — | 10,646,869 | — | |||||||||||||||||||||
Receivable from Advisor | — | — | — | — | — | — | |||||||||||||||||||||
Other receivable | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | 72,670,946 | 2,053,578 | — | 47,226,272 | — | |||||||||||||||||||||
Prepaid licensing fees | — | 6,056 | 6,029 | — | — | — | |||||||||||||||||||||
Total Assets | 462,916,535 | 1,702,542,351 | 177,483,336 | 54,597,411 | 671,190,010 | 12,369,928 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | 15,755,178 | — | — | — | — | — | |||||||||||||||||||||
Payable for investments purchased | — | — | — | — | — | — | |||||||||||||||||||||
Payable for capital shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Advisory fees payable | 252,157 | 1,070,961 | 110,220 | 25,431 | 175,919 | 4,684 | |||||||||||||||||||||
Management Services fees payable | 38,097 | 142,794 | 16,095 | 4,197 | 55,982 | 778 | |||||||||||||||||||||
Custodian fees payable | 36,871 | 92,836 | 13,914 | 2,877 | 28,438 | 1,151 | |||||||||||||||||||||
Administration fees payable | 16,088 | 24,670 | 10,717 | 6,502 | 17,080 | 1,260 | |||||||||||||||||||||
Trustee fees payable | 1,334 | 3,094 | 460 | 66 | 980 | 15 | |||||||||||||||||||||
Licensing fees payable | 110,844 | — | — | 17,652 | 277,189 | 16,437 | |||||||||||||||||||||
Professional fees payable | 22,224 | 42,692 | 16,584 | 16,828 | 22,675 | 16,314 | |||||||||||||||||||||
Payable for variation margin on futures contracts | 171,913 | 1,120,140 | 79,000 | — | 16,967 | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 24,071,497 | — | — | 2,252,613 | — | 1,172,857 | |||||||||||||||||||||
Other liabilities | 9,159 | 13,560 | 5,328 | 784 | 5,088 | 852 | |||||||||||||||||||||
Total Liabilities | 40,485,362 | 2,510,747 | 252,318 | 2,326,950 | 600,318 | 1,214,348 | |||||||||||||||||||||
NET ASSETS | $ | 422,431,173 | $ | 1,700,031,604 | $ | 177,231,018 | $ | 52,270,461 | $ | 670,589,692 | $ | 11,155,580 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 470,934,004 | $ | 1,819,831,964 | $ | 205,753,870 | $ | 50,296,137 | $ | 632,858,105 | $ | 10,841,371 | |||||||||||||||
Accumulated undistributed net investment income (loss) | 3,709,993 | 12,181,208 | 1,348,428 | 318,962 | 4,373,812 | 49,375 | |||||||||||||||||||||
Accumulated net realized gains (losses) on investments | (29,384,837 | ) | (209,939,059 | ) | (32,556,297 | ) | 3,907,975 | (17,926,147 | ) | 1,437,691 | |||||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | 1,243,510 | 5,286,545 | 631,439 | — | 4,057,650 | — | |||||||||||||||||||||
Swap agreements | (24,071,497 | ) | 72,670,946 | 2,053,578 | (2,252,613 | ) | 47,226,272 | (1,172,857 | ) | ||||||||||||||||||
NET ASSETS | $ | 422,431,173 | $ | 1,700,031,604 | $ | 177,231,018 | $ | 52,270,461 | $ | 670,589,692 | $ | 11,155,580 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 8,475,001 | 31,800,001 | 3,225,001 | 750,001 | 9,450,001 | 150,001 | |||||||||||||||||||||
Net Asset Value | $ | 49.84 | $ | 53.46 | $ | 54.96 | $ | 69.69 | $ | 70.96 | $ | 74.37 |
See accompanying notes to the financial statements.
196
UltraShort Russell1000 Growth | UltraShort Russell MidCap Value | UltraShort Russell MidCap Growth | UltraShort Russell2000 Value | UltraShort Russell2000 Growth | UltraShort Basic Materials | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 20,341,486 | $ | 5,865,018 | $ | 5,423,847 | $ | 47,423,718 | $ | 27,163,679 | $ | 84,611,629 | |||||||||||||||
Securities, at value | — | — | — | — | — | — | |||||||||||||||||||||
Repurchase agreements, at value | 20,341,486 | 5,865,018 | 5,423,847 | 47,423,718 | 27,163,679 | 84,611,629 | |||||||||||||||||||||
Total Investment Securities | 20,341,486 | 5,865,018 | 5,423,847 | 47,423,718 | 27,163,679 | 84,611,629 | |||||||||||||||||||||
Cash | — | — | — | — | — | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Dividends and interest receivable | 2,552 | 736 | 681 | 5,951 | 3,409 | 10,618 | |||||||||||||||||||||
Receivable for investments sold | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | — | — | — | — | — | — | |||||||||||||||||||||
Receivable from Advisor | — | — | — | — | — | — | |||||||||||||||||||||
Other receivable | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | 292,567 | — | — | — | — | |||||||||||||||||||||
Prepaid licensing fees | — | — | — | — | — | — | |||||||||||||||||||||
Total Assets | 20,344,038 | 6,158,321 | 5,424,528 | 47,429,669 | 27,167,088 | 84,622,247 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | — | — | — | — | — | |||||||||||||||||||||
Payable for investments purchased | — | — | — | — | — | — | |||||||||||||||||||||
Payable for capital shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Advisory fees payable | 6,589 | 2,876 | 731 | 11,987 | 4,822 | 27,023 | |||||||||||||||||||||
Management Services fees payable | 1,231 | 510 | 409 | 3,481 | 2,093 | 4,442 | |||||||||||||||||||||
Custodian fees payable | 1,327 | 1,136 | 1,120 | 2,172 | 1,914 | 2,451 | |||||||||||||||||||||
Administration fees payable | 1,987 | 832 | 677 | 5,596 | 3,390 | 6,029 | |||||||||||||||||||||
Trustee fees payable | 21 | 16 | 9 | 44 | 50 | 49 | |||||||||||||||||||||
Licensing fees payable | 17,468 | 16,449 | 16,503 | 23,113 | 23,072 | 21,235 | |||||||||||||||||||||
Professional fees payable | 16,341 | 16,319 | 16,512 | 16,655 | 16,688 | 16,606 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 1,593,109 | — | 523,018 | 541,219 | 1,672,022 | 8,648,042 | |||||||||||||||||||||
Other liabilities | 102,975 | 859 | 855 | 1,013 | 1,008 | 816 | |||||||||||||||||||||
Total Liabilities | 1,741,048 | 38,997 | 559,834 | 605,280 | 1,725,059 | 8,726,693 | |||||||||||||||||||||
NET ASSETS | $ | 18,602,990 | $ | 6,119,324 | $ | 4,864,694 | $ | 46,824,389 | $ | 25,442,029 | $ | 75,895,554 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 19,770,027 | $ | 5,083,321 | $ | 4,972,049 | $ | 43,449,472 | $ | 24,864,868 | $ | 90,037,548 | |||||||||||||||
Accumulated undistributed net investment income (loss) | 93,512 | 42,270 | 36,075 | 250,235 | 176,776 | 315,993 | |||||||||||||||||||||
Accumulated net realized gains (losses) on investments | 332,560 | 701,166 | 379,588 | 3,665,901 | 2,072,407 | (5,809,945 | ) | ||||||||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (1,593,109 | ) | 292,567 | (523,018 | ) | (541,219 | ) | (1,672,022 | ) | (8,648,042 | ) | ||||||||||||||||
NET ASSETS | $ | 18,602,990 | $ | 6,119,324 | $ | 4,864,694 | $ | 46,824,389 | $ | 25,442,029 | $ | 75,895,554 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 300,001 | 75,001 | 75,001 | 525,001 | 375,001 | 1,725,001 | |||||||||||||||||||||
Net Asset Value | $ | 62.01 | $ | 81.59 | $ | 64.86 | $ | 89.19 | $ | 67.85 | $ | 44.00 |
See accompanying notes to the financial statements.
197
ProShares Trust Statements of Assets and Liabilities (continued)
November 30, 2007 (Unaudited)
UltraShort Consumer Goods | UltraShort Consumer Services | UltraShort Financials | UltraShort Health Care | UltraShort Industrials | UltraShort Oil & Gas | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 14,358,154 | $ | 30,283,507 | $ | 988,643,973 | $ | 9,942,919 | $ | 21,838,640 | $ | 304,320,122 | |||||||||||||||
Securities, at value | — | — | — | — | — | — | |||||||||||||||||||||
Repurchase agreements, at value | 14,358,154 | 30,283,507 | 988,643,973 | 9,942,919 | 21,838,640 | 304,320,122 | |||||||||||||||||||||
Total Investment Securities | 14,358,154 | 30,283,507 | 988,643,973 | 9,942,919 | 21,838,640 | 304,320,122 | |||||||||||||||||||||
Cash | — | — | — | — | — | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Dividends and interest receivable | 1,802 | 3,800 | 124,059 | 1,248 | 2,740 | 38,188 | |||||||||||||||||||||
Receivable for investments sold | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | 9,334,386 | — | 14,348,012 | — | — | 22,435,199 | |||||||||||||||||||||
Receivable from Advisor | — | — | — | — | — | — | |||||||||||||||||||||
Other receivable | — | — | 540,070 | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | 152,510 | — | — | — | — | |||||||||||||||||||||
Prepaid licensing fees | — | — | — | — | — | — | |||||||||||||||||||||
Total Assets | 23,694,342 | 30,439,817 | 1,003,656,114 | 9,944,167 | 21,841,380 | 326,793,509 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | — | — | — | — | — | |||||||||||||||||||||
Payable for investments purchased | — | — | — | — | — | — | |||||||||||||||||||||
Payable for capital shares redeemed | — | — | 20,642,344 | — | — | — | |||||||||||||||||||||
Advisory fees payable | 5,955 | 12,572 | 628,959 | 3,353 | 6,974 | 160,269 | |||||||||||||||||||||
Management Services fees payable | 1,245 | 2,278 | 82,502 | 822 | 1,387 | 22,041 | |||||||||||||||||||||
Custodian fees payable | 1,508 | 1,527 | 32,982 | 1,341 | 1,286 | 6,857 | |||||||||||||||||||||
Administration fees payable | 2,023 | 3,673 | 19,371 | 1,344 | 2,242 | 11,243 | |||||||||||||||||||||
Trustee fees payable | 30 | 22 | 930 | 24 | 13 | 118 | |||||||||||||||||||||
Licensing fees payable | 18,709 | 18,754 | 120,254 | 18,300 | 18,045 | 34,798 | |||||||||||||||||||||
Professional fees payable | 16,567 | 16,538 | 22,475 | 16,529 | 16,483 | 17,091 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 660,294 | 11,931,084 | 472,215 | 710,543 | 18,212,682 | ||||||||||||||||||||||
Other liabilities | 759 | 753 | 4,850 | 714 | 659 | 1,072 | |||||||||||||||||||||
Total Liabilities | 707,090 | 56,117 | 33,485,751 | 514,642 | 757,632 | 18,466,171 | |||||||||||||||||||||
NET ASSETS | $ | 22,987,252 | $ | 30,383,700 | $ | 970,170,363 | $ | 9,429,525 | $ | 21,083,748 | $ | 308,327,338 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 24,926,813 | $ | 28,807,277 | $ | 907,053,134 | $ | 10,502,380 | $ | 23,200,157 | $ | 313,960,110 | |||||||||||||||
Accumulated undistributed net investment income (loss) | 106,644 | 135,811 | 5,625,438 | 73,481 | 122,505 | 1,207,498 | |||||||||||||||||||||
Accumulated net realized gains (losses) on investments | (1,385,911 | ) | 1,288,102 | 69,422,875 | (674,121 | ) | (1,528,371 | ) | 11,372,412 | ||||||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (660,294 | ) | 152,510 | (11,931,084 | ) | (472,215 | ) | (710,543 | ) | (18,212,682 | ) | ||||||||||||||||
NET ASSETS | $ | 22,987,252 | $ | 30,383,700 | $ | 970,170,363 | $ | 9,429,525 | $ | 21,083,748 | $ | 308,327,338 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 375,001 | 375,001 | 10,575,001 | 150,001 | 375,001 | 7,350,001 | |||||||||||||||||||||
Net Asset Value | $ | 61.30 | $ | 81.02 | $ | 91.74 | $ | 62.86 | $ | 56.22 | $ | 41.95 |
See accompanying notes to the financial statements.
198
UltraShort Real Estate | UltraShort Semiconductors | UltraShort Technology | UltraShort Utilities | Short MSCI EAFE | Short MSCI Emerging Markets | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 571,285,195 | $ | 9,756,651 | $ | 16,999,297 | $ | 11,489,527 | $ | 15,767,774 | $ | 17,665,930 | |||||||||||||||
Securities, at value | — | — | — | — | — | — | |||||||||||||||||||||
Repurchase agreements, at value | 571,285,195 | 9,756,651 | 16,999,297 | 11,489,527 | 15,767,774 | 17,665,930 | |||||||||||||||||||||
Total Investment Securities | 571,285,195 | 9,756,651 | 16,999,297 | 11,489,527 | 15,767,774 | 17,665,930 | |||||||||||||||||||||
Cash | — | — | — | — | — | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Dividends and interest receivable | 71,687 | 1,225 | 2,133 | 1,442 | 1,979 | 2,217 | |||||||||||||||||||||
Receivable for investments sold | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | 47,950,068 | — | — | — | — | — | |||||||||||||||||||||
Receivable from Advisor | — | — | — | — | 3,244 | 5,087 | |||||||||||||||||||||
Other receivable | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | 27,207 | 89,800 | — | |||||||||||||||||||||
Prepaid licensing fees | — | — | — | — | — | — | |||||||||||||||||||||
Total Assets | 619,306,950 | 9,757,876 | 17,001,430 | 11,518,176 | 15,862,797 | 17,673,234 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | — | — | — | — | — | |||||||||||||||||||||
Payable for investments purchased | — | — | — | — | — | — | |||||||||||||||||||||
Payable for capital shares redeemed | 7,715,955 | — | — | — | — | — | |||||||||||||||||||||
Advisory fees payable | 351,447 | 11,638 | 4,288 | 3,414 | — | — | |||||||||||||||||||||
Management Services fees payable | 46,078 | 723 | 957 | 969 | — | — | |||||||||||||||||||||
Custodian fees payable | 22,450 | 1,260 | 1,124 | 1,434 | 366 | 285 | |||||||||||||||||||||
Administration fees payable | 15,866 | 1,185 | 1,552 | 1,577 | 1,860 | 1,562 | |||||||||||||||||||||
Trustee fees payable | 619 | 21 | 8 | 11 | 8 | 7 | |||||||||||||||||||||
Licensing fees payable | 88,423 | 17,976 | 17,619 | 19,273 | 11,177 | 9,416 | |||||||||||||||||||||
Professional fees payable | 21,061 | 16,529 | 16,478 | 16,485 | 3,391 | 2,857 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 40,069,872 | 842,536 | 520,399 | — | — | 1,350,874 | |||||||||||||||||||||
Other liabilities | 3,487 | 697 | 651 | 526 | 727 | 613 | |||||||||||||||||||||
Total Liabilities | 48,335,258 | 892,565 | 563,076 | 43,689 | 17,529 | 1,365,614 | |||||||||||||||||||||
NET ASSETS | $ | 570,971,692 | $ | 8,865,311 | $ | 16,438,354 | $ | 11,474,487 | $ | 15,845,268 | $ | 16,307,620 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 504,665,067 | $ | 10,502,380 | $ | 17,754,253 | $ | 13,353,504 | $ | 15,860,807 | $ | 16,455,154 | |||||||||||||||
Accumulated undistributed net investment income (loss) | 3,569,656 | 61,478 | 86,876 | 92,177 | 47,472 | 35,275 | |||||||||||||||||||||
Accumulated net realized gains (losses) on investments | 102,806,841 | (856,011 | ) | (882,376 | ) | (1,998,401 | ) | (152,811 | ) | 1,168,065 | |||||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (40,069,872 | ) | (842,536 | ) | (520,399 | ) | 27,207 | 89,800 | (1,350,874 | ) | |||||||||||||||||
NET ASSETS | $ | 570,971,692 | $ | 8,865,311 | $ | 16,438,354 | $ | 11,474,487 | $ | 15,845,268 | $ | 16,307,620 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 5,550,001 | 150,001 | 300,001 | 225,001 | 225,001 | 225,001 | |||||||||||||||||||||
Net Asset Value | $ | 102.88 | $ | 59.10 | $ | 54.79 | $ | 51.00 | $ | 70.42 | $ | 72.48 |
See accompanying notes to the financial statements.
199
ProShares Trust Statements of Assets and Liabilities (continued)
November 30, 2007 (Unaudited)
UltraShort MSCI EAFE | UltraShort MSCI Emerging Markets | UltraShort FTSE/Xinhua China 25 | UltraShort MSCI Japan | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 33,549,383 | $ | 90,558,571 | $ | 354,834,185 | $ | 11,822,335 | |||||||||||
Securities, at value | — | — | — | — | |||||||||||||||
Repurchase agreements, at value | 33,549,383 | 90,558,571 | 354,834,185 | 11,822,335 | |||||||||||||||
Total Investment Securities | 33,549,383 | 90,558,571 | 354,834,185 | 11,822,335 | |||||||||||||||
Cash | — | — | — | — | |||||||||||||||
Segregated cash balances with brokers for futures contracts | — | — | — | — | |||||||||||||||
Dividends and interest receivable | 4,210 | 11,364 | 44,526 | 1,484 | |||||||||||||||
Receivable for investments sold | — | — | — | — | |||||||||||||||
Receivable for capital shares issued | — | — | 95,266,346 | — | |||||||||||||||
Receivable from Advisor | 498 | — | — | 10,604 | |||||||||||||||
Other receivable | — | — | — | — | |||||||||||||||
Receivable for variation margin on futures contracts | — | — | — | — | |||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | |||||||||||||||
Prepaid licensing fees | — | — | — | — | |||||||||||||||
Total Assets | 33,554,091 | 90,569,935 | 450,145,057 | 11,834,423 | |||||||||||||||
LIABILITIES: | |||||||||||||||||||
Cash overdraft | — | — | — | — | |||||||||||||||
Payable for investments purchased | — | — | — | — | |||||||||||||||
Payable for capital shares redeemed | — | — | — | — | |||||||||||||||
Advisory fees payable | — | 12,416 | 59,839 | — | |||||||||||||||
Management Services fees payable | — | 3,658 | 9,844 | — | |||||||||||||||
Custodian fees payable | 504 | 730 | 1,552 | 277 | |||||||||||||||
Administration fees payable | 2,448 | 5,058 | 6,459 | 1,180 | |||||||||||||||
Trustee fees payable | 8 | 7 | 6 | 6 | |||||||||||||||
Licensing fees payable | 11,177 | 9,416 | 11,583 | 13,333 | |||||||||||||||
Professional fees payable | 3,391 | 2,857 | 2,286 | 2,286 | |||||||||||||||
Payable for variation margin on futures contracts | — | — | — | — | |||||||||||||||
Unrealized depreciation on swap agreements | 2,006,481 | 13,721,987 | 84,899,236 | 1,399,152 | |||||||||||||||
Other liabilities | 727 | 613 | 490 | 491 | |||||||||||||||
Total Liabilities | 2,024,736 | 13,756,742 | 84,991,295 | 1,416,725 | |||||||||||||||
NET ASSETS | $ | 31,529,355 | $ | 76,813,193 | $ | 365,153,762 | $ | 10,417,698 | |||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||
Paid in Capital | $ | 33,188,068 | $ | 80,331,614 | $ | 420,510,778 | $ | 10,502,380 | |||||||||||
Accumulated undistributed net investment income (loss) | 52,788 | 118,020 | 289,543 | 26,908 | |||||||||||||||
Accumulated net realized gains (losses) on investments | 294,980 | 10,085,546 | 29,252,677 | 1,287,562 | |||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investments | — | — | — | — | |||||||||||||||
Futures contracts | — | — | — | — | |||||||||||||||
Swap agreements | (2,006,481 | ) | (13,721,987 | ) | (84,899,236 | ) | (1,399,152 | ) | |||||||||||
NET ASSETS | $ | 31,529,355 | $ | 76,813,193 | $ | 365,153,762 | $ | 10,417,698 | |||||||||||
Shares (unlimited number of shares authorized, no par value) | 450,001 | 1,050,001 | 5,250,001 | 150,001 | |||||||||||||||
Net Asset Value | $ | 70.07 | $ | 73.16 | $ | 69.55 | $ | 69.45 |
See accompanying notes to the financial statements.
200
ProShares Trust Statements of Operations
For the Periods Indicated (Unaudited)
Ultra QQQ® | Ultra Dow30SM | Ultra S&P500® | Ultra MidCap400 | Ultra SmallCap600 | Ultra Russell2000 | ||||||||||||||||||||||
Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | 1,046,385 | $ | 1,787,602 | $ | 3,958,020 | $ | 602,064 | $ | 54,610 | $ | 320,770 | |||||||||||||||
Interest | 1,437,015 | 559,207 | 1,261,190 | 306,233 | 34,290 | 147,947 | |||||||||||||||||||||
Foreign withholding tax on dividends | — | — | — | — | (20 | ) | (61 | ) | |||||||||||||||||||
Total Investment Income | 2,483,400 | 2,346,809 | 5,219,210 | 908,297 | 88,880 | 468,656 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 1,739,128 | 620,652 | 1,498,145 | 377,914 | 41,866 | 175,677 | |||||||||||||||||||||
Management Services fees (Note 4) | 231,882 | 82,753 | 199,751 | 50,389 | 5,582 | 23,423 | |||||||||||||||||||||
Professional fees | 15,046 | 11,203 | 14,053 | 10,643 | 7,356 | 7,793 | |||||||||||||||||||||
Administration fees (Note 5) | 103,830 | 72,625 | 100,378 | 62,429 | 11,179 | 43,029 | |||||||||||||||||||||
Custodian fees (Note 6) | 68,365 | 18,844 | 101,774 | 114,207 | 73,623 | 172,872 | |||||||||||||||||||||
Printing and Shareholder reports | 17,320 | 7,620 | 16,678 | 6,853 | 641 | 1,765 | |||||||||||||||||||||
Licensing fees | 238,241 | 39,502 | 7,652 | 7,652 | 7,652 | 7,361 | |||||||||||||||||||||
Trustee fees | 1,916 | 702 | 1,624 | 568 | 71 | 208 | |||||||||||||||||||||
Recoupment of prior expenses reimbursed by Advisor (Note 4) | — | — | — | — | — | — | |||||||||||||||||||||
Other fees | 9,339 | 4,470 | 8,719 | 3,719 | 2,150 | 2,797 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 2,425,067 | 858,371 | 1,948,774 | 634,374 | 150,120 | 434,925 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Advisory fees waived and reimbursed, if any (Note 4) | (226,018 | ) | (74,645 | ) | (56,989 | ) | (157,393 | ) | (97,308 | ) | (213,188 | ) | |||||||||||||||
Total Net Expenses | 2,199,049 | 783,726 | 1,891,785 | 476,981 | 52,812 | 221,737 | |||||||||||||||||||||
Net Investment Income (Loss) | 284,351 | 1,563,083 | 3,327,425 | 431,316 | 36,068 | 246,919 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | (10,113,045 | ) | (1,271,309 | ) | (4,206,898 | ) | (798,027 | ) | 120,306 | (469,990 | ) | ||||||||||||||||
Futures contracts | 1,182,390 | (840,553 | ) | (2,371,318 | ) | (319,428 | ) | — | (457,915 | ) | |||||||||||||||||
Swap agreements | 77,072,816 | (844,662 | ) | 1,221,250 | (3,645,505 | ) | (978,544 | ) | (876,807 | ) | |||||||||||||||||
In-kind redemptions | 25,153,521 | 4,129,134 | 5,300,399 | 6,138,902 | — | 2,182,576 | |||||||||||||||||||||
Net realized gain (loss) | 93,295,682 | 1,172,610 | (56,567 | ) | 1,375,942 | (858,238 | ) | 377,864 | |||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | 24,960,306 | (5,035,241 | ) | (4,580,970 | ) | (10,418,982 | ) | (1,140,050 | ) | (3,942,445 | ) | ||||||||||||||||
Futures contracts | 865,613 | 197,292 | 823,871 | (350,493 | ) | — | (177,035 | ) | |||||||||||||||||||
Swap agreements | (45,993,005 | ) | (5,151,544 | ) | (14,595,440 | ) | (5,188,971 | ) | (686,181 | ) | (2,887,403 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (20,167,086 | ) | (9,989,493 | ) | (18,352,539 | ) | (15,958,446 | ) | (1,826,231 | ) | (7,006,883 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 73,128,596 | (8,816,883 | ) | (18,409,106 | ) | (14,582,504 | ) | (2,684,469 | ) | (6,629,019 | ) | ||||||||||||||||
Change in Net Assets Resulting from Operations | $ | 73,412,947 | $ | (7,253,800 | ) | $ | (15,081,681 | ) | $ | (14,151,188 | ) | $ | (2,648,401 | ) | $ | (6,382,100 | ) |
See accompanying notes to the financial statements.
201
ProShares Trust Statements of Operations (continued)
For the Periods Indicated (Unaudited)
Ultra Russell1000 Value | Ultra Russell1000 Growth | Ultra Russell MidCap Value | Ultra Russell MidCap Growth | Ultra Russell2000 Value | Ultra Russell2000 Growth | ||||||||||||||||||||||
Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | 111,197 | $ | 111,135 | $ | 88,828 | $ | 48,078 | $ | 95,648 | $ | 41,752 | |||||||||||||||
Interest | 31,699 | 45,502 | 29,548 | 38,961 | 26,178 | 29,842 | |||||||||||||||||||||
Foreign withholding tax on dividends | (11 | ) | — | (42 | ) | — | (26 | ) | — | ||||||||||||||||||
Total Investment Income | 142,885 | 156,637 | 118,334 | 87,039 | 121,800 | 71,594 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 38,223 | 61,626 | 35,963 | 49,761 | 33,246 | 39,678 | |||||||||||||||||||||
Management Services fees (Note 4) | 5,096 | 8,217 | 4,795 | 6,635 | 4,433 | 5,290 | |||||||||||||||||||||
Professional fees | 7,360 | 7,422 | 7,351 | 7,394 | 7,338 | 7,354 | |||||||||||||||||||||
Administration fees (Note 5) | 10,206 | 16,454 | 9,603 | 13,287 | 8,878 | 10,595 | |||||||||||||||||||||
Custodian fees (Note 6) | 51,904 | 59,983 | 42,598 | 47,102 | 110,667 | 110,815 | |||||||||||||||||||||
Printing and Shareholder reports | 3,514 | 3,730 | 3,506 | 3,529 | 3,468 | 3,591 | |||||||||||||||||||||
Licensing fees | 7,255 | 7,531 | 6,988 | 7,126 | 8,940 | 9,036 | |||||||||||||||||||||
Trustee fees | 63 | 76 | 60 | 70 | 56 | 61 | |||||||||||||||||||||
Recoupment of prior expenses reimbursed by Advisor (Note 4) | — | — | — | — | — | — | |||||||||||||||||||||
Other fees | 2,126 | 2,151 | 2,118 | 2,138 | 2,101 | 2,116 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 125,747 | 167,190 | 112,982 | 137,042 | 179,127 | 188,536 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Advisory fees waived and reimbursed, if any (Note 4) | (77,527 | ) | (89,348 | ) | (67,633 | ) | (74,206 | ) | (137,218 | ) | (138,448 | ) | |||||||||||||||
Total Net Expenses | 48,220 | 77,842 | 45,349 | 62,836 | 41,909 | 50,088 | |||||||||||||||||||||
Net Investment Income (Loss) | 94,665 | 78,795 | 72,985 | 24,203 | 79,891 | 21,506 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | (41,772 | ) | 3,623 | (202,736 | ) | 99,300 | (315,246 | ) | (8,712 | ) | |||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (975,815 | ) | 770,254 | (1,153,592 | ) | 325,941 | (1,430,265 | ) | (42,855 | ) | |||||||||||||||||
In-kind redemptions | — | — | — | — | — | — | |||||||||||||||||||||
Net realized gain (loss) | (1,017,587 | ) | 773,877 | (1,356,328 | ) | 425,241 | (1,745,511 | ) | (51,567 | ) | |||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | (810,659 | ) | 201,627 | (983,784 | ) | (173,051 | ) | (1,091,704 | ) | (408,402 | ) | ||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (343,505 | ) | (1,063,073 | ) | (475,368 | ) | (937,260 | ) | (485,553 | ) | (803,240 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,154,164 | ) | (861,446 | ) | (1,459,152 | ) | (1,110,311 | ) | (1,577,257 | ) | (1,211,642 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (2,171,751 | ) | (87,569 | ) | (2,815,480 | ) | (685,070 | ) | (3,322,768 | ) | (1,263,209 | ) | |||||||||||||||
Change in Net Assets Resulting from Operations | $ | (2,077,086 | ) | $ | (8,774 | ) | $ | (2,742,495 | ) | $ | (660,867 | ) | $ | (3,242,877 | ) | $ | (1,241,703 | ) |
See accompanying notes to the financial statements.
202
Ultra Basic Materials | Ultra Consumer Goods | Ultra Consumer Services | Ultra Financials | Ultra Health Care | Ultra Industrials | ||||||||||||||||||||||
Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | 142,386 | $ | 79,671 | $ | 22,855 | $ | 599,561 | $ | 68,665 | $ | 53,438 | |||||||||||||||
Interest | 56,895 | 22,113 | 16,050 | 131,263 | 35,455 | 25,639 | |||||||||||||||||||||
Foreign withholding tax on dividends | — | — | — | (354 | ) | — | — | ||||||||||||||||||||
Total Investment Income | 199,281 | 101,784 | 38,905 | 730,470 | 104,120 | 79,077 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 65,630 | 27,002 | 18,179 | 157,355 | 40,592 | 29,943 | |||||||||||||||||||||
Management Services fees (Note 4) | 8,751 | 3,600 | 2,424 | 20,981 | 5,412 | 3,992 | |||||||||||||||||||||
Professional fees | 7,429 | 7,337 | 7,259 | 7,617 | 7,351 | 7,276 | |||||||||||||||||||||
Administration fees (Note 5) | 17,523 | 7,214 | 4,855 | 34,680 | 10,840 | 7,993 | |||||||||||||||||||||
Custodian fees (Note 6) | 11,671 | 19,198 | 24,979 | 27,992 | 20,713 | 28,834 | |||||||||||||||||||||
Printing and Shareholder reports | 771 | 384 | 205 | 807 | 573 | 364 | |||||||||||||||||||||
Licensing fees | 9,900 | 7,840 | 7,370 | 14,792 | 8,565 | 7,997 | |||||||||||||||||||||
Trustee fees | 86 | 56 | 35 | 125 | 65 | 41 | |||||||||||||||||||||
Recoupment of prior expenses reimbursed by Advisor (Note 4) | — | — | — | — | — | — | |||||||||||||||||||||
Other fees | 2,196 | 2,106 | 1,941 | 2,235 | 2,131 | 1,960 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 123,957 | 74,737 | 67,247 | 266,584 | 96,242 | 88,400 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Advisory fees waived and reimbursed, if any (Note 4) | (41,005 | ) | (40,635 | ) | (44,317 | ) | (68,234 | ) | (44,974 | ) | (50,605 | ) | |||||||||||||||
Total Net Expenses | 82,952 | 34,102 | 22,930 | 198,350 | 51,268 | 37,795 | |||||||||||||||||||||
Net Investment Income (Loss) | 116,329 | 67,682 | 15,975 | 532,120 | 52,852 | 41,282 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | (120,729 | ) | 2,935 | (38,938 | ) | (1,402,422 | ) | 38,904 | (76,542 | ) | |||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | 2,780,948 | (178,337 | ) | (580,197 | ) | (5,343,374 | ) | (474,442 | ) | 21,531 | |||||||||||||||||
In-kind redemptions | 1,074,508 | 181,572 | — | (564,233 | ) | — | — | ||||||||||||||||||||
Net realized gain (loss) | 3,734,727 | 6,170 | (619,135 | ) | (7,310,029 | ) | (435,538 | ) | (55,011 | ) | |||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | 106,880 | (174,906 | ) | (417,227 | ) | (1,745,873 | ) | (711 | ) | (256,002 | ) | ||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (1,802,683 | ) | 16,432 | (146,430 | ) | 167,606 | 250,016 | (656,680 | ) | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,695,803 | ) | (158,474 | ) | (563,657 | ) | (1,578,267 | ) | 249,305 | (912,682 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 2,038,924 | (152,304 | ) | (1,182,792 | ) | (8,888,296 | ) | (186,233 | ) | (967,693 | ) | ||||||||||||||||
Change in Net Assets Resulting from Operations | $ | 2,155,253 | $ | (84,622 | ) | $ | (1,166,817 | ) | $ | (8,356,176 | ) | $ | (133,381 | ) | $ | (926,411 | ) |
See accompanying notes to the financial statements.
203
ProShares Trust Statements of Operations (continued)
For the Periods Indicated (Unaudited)
Ultra Oil & Gas | Ultra Real Estate | Ultra Semiconductors | Ultra Technology | Ultra Utilities | Short QQQ® | ||||||||||||||||||||||
Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | 845,723 | $ | 155,907 | $ | 111,794 | $ | 120,720 | $ | 155,181 | $ | — | |||||||||||||||
Interest | 188,637 | 41,802 | 69,157 | 104,960 | 38,999 | 2,032,646 | |||||||||||||||||||||
Foreign withholding tax on dividends | — | (255 | ) | — | — | — | — | ||||||||||||||||||||
Total Investment Income | 1,034,360 | 197,454 | 180,951 | 225,680 | 194,180 | 2,032,646 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 227,016 | 43,233 | 85,394 | 125,546 | 45,724 | 303,306 | |||||||||||||||||||||
Management Services fees (Note 4) | 30,268 | 5,764 | 11,385 | 16,739 | 6,097 | 40,440 | |||||||||||||||||||||
Professional fees | 7,767 | 7,326 | 7,465 | 7,499 | 7,381 | 10,344 | |||||||||||||||||||||
Administration fees (Note 5) | 51,089 | 11,541 | 22,797 | 32,360 | 12,211 | 44,782 | |||||||||||||||||||||
Custodian fees (Note 6) | 16,762 | 12,291 | 12,108 | 23,777 | 10,020 | 8,318 | |||||||||||||||||||||
Printing and Shareholder reports | 2,048 | 372 | 699 | 621 | 907 | 9,101 | |||||||||||||||||||||
Licensing fees | 18,508 | 8,706 | 10,955 | 13,096 | 8,839 | 46,841 | |||||||||||||||||||||
Trustee fees | 179 | 54 | 92 | 90 | 77 | 520 | |||||||||||||||||||||
Recoupment of prior expenses reimbursed by Advisor (Note 4) | — | — | — | — | — | — | |||||||||||||||||||||
Other fees | 2,602 | 1,985 | 2,183 | 2,051 | 2,175 | 3,894 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 356,239 | 91,272 | 153,078 | 221,779 | 93,431 | 467,546 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Advisory fees waived and reimbursed, if any (Note 4) | (69,356 | ) | (36,765 | ) | (45,283 | ) | (63,212 | ) | (35,683 | ) | (84,620 | ) | |||||||||||||||
Total Net Expenses | 286,883 | 54,507 | 107,795 | 158,567 | 57,748 | 382,926 | |||||||||||||||||||||
Net Investment Income (Loss) | 747,477 | 142,947 | 73,156 | 67,113 | 136,432 | 1,649,720 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | (837,472 | ) | (837,161 | ) | (632,909 | ) | (602,078 | ) | 62,407 | — | |||||||||||||||||
Futures contracts | — | — | — | — | — | (1,167,930 | ) | ||||||||||||||||||||
Swap agreements | 6,848,317 | (1,019,509 | ) | 210,427 | 4,506,119 | 26,323 | (10,477,344 | ) | |||||||||||||||||||
In-kind redemptions | 2,276,518 | — | (762,200 | ) | — | — | — | ||||||||||||||||||||
Net realized gain (loss) | 8,287,363 | (1,856,670 | ) | (1,184,682 | ) | 3,904,041 | 88,730 | (11,645,274 | ) | ||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | 1,011,742 | (561,721 | ) | 170,051 | 84,265 | (76,263 | ) | — | |||||||||||||||||||
Futures contracts | — | — | — | — | — | 386,560 | |||||||||||||||||||||
Swap agreements | (4,714,515 | ) | (946,649 | ) | (2,636,880 | ) | (6,162,375 | ) | (288,391 | ) | 4,421,894 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (3,702,773 | ) | (1,508,370 | ) | (2,466,829 | ) | (6,078,110 | ) | (364,654 | ) | 4,808,454 | ||||||||||||||||
Net realized and unrealized gain (loss) | 4,584,590 | (3,365,040 | ) | (3,651,511 | ) | (2,174,069 | ) | (275,924 | ) | (6,836,820 | ) | ||||||||||||||||
Change in Net Assets Resulting from Operations | $ | 5,332,067 | $ | (3,222,093 | ) | $ | (3,578,355 | ) | $ | (2,106,956 | ) | $ | (139,492 | ) | $ | (5,187,100 | ) |
See accompanying notes to the financial statements.
204
Short Dow30SM | Short S&P500® | Short MidCap400 | Short SmallCap600 | Short Russell2000 | UltraShort QQQ® | ||||||||||||||||||||||
Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Interest | 3,097,284 | 5,104,825 | 2,004,782 | 253,905 | 832,339 | 44,774,115 | |||||||||||||||||||||
Foreign withholding tax on dividends | — | — | — | — | — | — | |||||||||||||||||||||
Total Investment Income | 3,097,284 | 5,104,825 | 2,004,782 | 253,905 | 832,339 | 44,774,115 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 469,544 | 783,704 | 295,384 | 38,007 | 127,515 | 6,556,998 | |||||||||||||||||||||
Management Services fees (Note 4) | 62,606 | 104,494 | 39,384 | 5,067 | 17,002 | 874,261 | |||||||||||||||||||||
Professional fees | 10,835 | 11,756 | 10,367 | 7,331 | 7,568 | 38,526 | |||||||||||||||||||||
Administration fees (Note 5) | 50,892 | 61,374 | 44,071 | 8,121 | 27,237 | 128,399 | |||||||||||||||||||||
Custodian fees (Note 6) | 12,133 | 19,990 | 8,296 | 1,674 | 3,833 | 164,468 | |||||||||||||||||||||
Printing and Shareholder reports | 11,416 | 16,971 | 8,654 | 882 | 2,347 | 128,459 | |||||||||||||||||||||
Licensing fees | 31,443 | 7,652 | 7,652 | 7,652 | 12,527 | 880,660 | |||||||||||||||||||||
Trustee fees | 640 | 1,016 | 536 | 58 | 130 | 11,098 | |||||||||||||||||||||
Recoupment of prior expenses reimbursed by Advisor (Note 4) | — | — | — | — | — | — | |||||||||||||||||||||
Other fees | 4,687 | 7,005 | 4,177 | 2,093 | 2,496 | 76,650 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 654,196 | 1,013,962 | 418,521 | 70,885 | 200,655 | 8,859,519 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Advisory fees waived and reimbursed, if any (Note 4) | (60,985 | ) | (23,858 | ) | (45,239 | ) | (22,851 | ) | (39,503 | ) | (582,802 | ) | |||||||||||||||
Total Net Expenses | 593,211 | 990,104 | 373,282 | 48,034 | 161,152 | 8,276,717 | |||||||||||||||||||||
Net Investment Income (Loss) | 2,504,073 | 4,114,721 | 1,631,500 | 205,871 | 671,187 | 36,497,398 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | (581,816 | ) | (1,118,719 | ) | (53,118 | ) | — | (113,267 | ) | (17,826,399 | ) | ||||||||||||||||
Swap agreements | (540,683 | ) | (1,120,742 | ) | 2,595,428 | 1,114,422 | 3,301,726 | (335,892,461 | ) | ||||||||||||||||||
In-kind redemptions | — | — | — | — | — | — | |||||||||||||||||||||
Net realized gain (loss) | (1,122,499 | ) | (2,239,461 | ) | 2,542,310 | 1,114,422 | 3,188,459 | (353,718,860 | ) | ||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | 584,227 | 721,472 | 383,497 | — | 256,015 | 6,507,377 | |||||||||||||||||||||
Swap agreements | 2,896,318 | 4,461,602 | 3,099,540 | (151,026 | ) | (753,965 | ) | 132,846,745 | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 3,480,545 | 5,183,074 | 3,483,037 | (151,026 | ) | (497,950 | ) | 139,354,122 | |||||||||||||||||||
Net realized and unrealized gain (loss) | 2,358,046 | 2,943,613 | 6,025,347 | 963,396 | 2,690,509 | (214,364,738 | ) | ||||||||||||||||||||
Change in Net Assets Resulting from Operations | $ | 4,862,119 | $ | 7,058,334 | $ | 7,656,847 | $ | 1,169,267 | $ | 3,361,696 | $ | (177,867,340 | ) |
See accompanying notes to the financial statements.
205
ProShares Trust Statements of Operations (continued)
For the Periods Indicated (Unaudited)
UltraShort Dow30SM | UltraShort S&P500® | UltraShort MidCap400 | UltraShort SmallCap600 | UltraShort Russell2000 | UltraShort Russell1000 Value | ||||||||||||||||||||||
Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Interest | 13,026,048 | 35,798,805 | 4,835,369 | 941,292 | 11,135,818 | 146,472 | |||||||||||||||||||||
Foreign withholding tax on dividends | — | — | — | — | — | — | |||||||||||||||||||||
Total Investment Income | 13,026,048 | 35,798,805 | 4,835,369 | 941,292 | 11,135,818 | 146,472 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 1,956,715 | 5,532,199 | 725,786 | 141,273 | 1,749,362 | 22,119 | |||||||||||||||||||||
Management Services fees (Note 4) | 260,893 | 737,621 | 96,771 | 18,836 | 233,246 | 2,950 | |||||||||||||||||||||
Professional fees | 17,174 | 27,200 | 11,932 | 7,571 | 12,386 | 7,270 | |||||||||||||||||||||
Administration fees (Note 5) | 92,547 | 123,983 | 59,546 | 29,876 | 85,703 | 4,725 | |||||||||||||||||||||
Custodian fees (Note 6) | 48,864 | 134,092 | 18,822 | 4,117 | 41,795 | 1,275 | |||||||||||||||||||||
Printing and Shareholder reports | 37,188 | 64,142 | 13,324 | 1,524 | 13,024 | 3,309 | |||||||||||||||||||||
Licensing fees | 110,759 | 7,652 | 7,652 | 7,652 | 267,189 | 6,437 | |||||||||||||||||||||
Trustee fees | 2,823 | 6,022 | 1,070 | 134 | 1,553 | 33 | |||||||||||||||||||||
Recoupment of prior expenses reimbursed by Advisor (Note 4) | — | 48,162 | — | — | — | — | |||||||||||||||||||||
Other fees | 20,411 | 35,433 | 7,594 | 2,560 | 9,701 | 1,940 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 2,547,374 | 6,716,506 | 942,497 | 213,543 | 2,413,959 | 50,058 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Advisory fees waived and reimbursed, if any (Note 4) | (74,953 | ) | — | (24,943 | ) | (34,934 | ) | (202,651 | ) | (22,095 | ) | ||||||||||||||||
Total Net Expenses | 2,472,421 | 6,716,506 | 917,554 | 178,609 | 2,211,308 | 27,963 | |||||||||||||||||||||
Net Investment Income (Loss) | 10,553,627 | 29,082,299 | 3,917,815 | 762,683 | 8,924,510 | 118,509 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | (3,554,454 | ) | (16,013,400 | ) | (692,847 | ) | — | (5,083,123 | ) | — | |||||||||||||||||
Swap agreements | 39,344,086 | (53,262,901 | ) | 17,825,085 | 7,068,802 | 4,486,328 | 1,680,635 | ||||||||||||||||||||
In-kind redemptions | — | — | — | — | — | — | |||||||||||||||||||||
Net realized gain (loss) | 35,789,632 | (69,276,301 | ) | 17,132,238 | 7,068,802 | (596,795 | ) | 1,680,635 | |||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | 1,487,952 | 5,718,832 | 748,102 | — | 4,290,283 | — | |||||||||||||||||||||
Swap agreements | (15,489,553 | ) | 87,913,915 | 8,198,019 | (1,740,812 | ) | 51,831,833 | (1,107,517 | ) | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (14,001,601 | ) | 93,632,747 | 8,946,121 | (1,740,812 | ) | 56,122,116 | (1,107,517 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) | 21,788,031 | 24,356,446 | 26,078,359 | 5,327,990 | 55,525,321 | 573,118 | |||||||||||||||||||||
Change in Net Assets Resulting from Operations | $ | 32,341,658 | $ | 53,438,745 | $ | 29,996,174 | $ | 6,090,673 | $ | 64,449,831 | $ | 691,627 |
See accompanying notes to the financial statements.
206
UltraShort Russell1000 Growth | UltraShort Russell MidCap Value | UltraShort Russell MidCap Growth | UltraShort Russell2000 Value | UltraShort Russell2000 Growth | UltraShort Basic Materials | ||||||||||||||||||||||
Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Interest | 212,654 | 141,525 | 131,941 | 524,292 | 548,809 | 633,706 | |||||||||||||||||||||
Foreign withholding tax on dividends | — | — | — | — | — | — | |||||||||||||||||||||
Total Investment Income | 212,654 | 141,525 | 131,941 | 524,292 | 548,809 | 633,706 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 32,207 | 21,096 | 19,397 | 80,840 | 80,509 | 91,842 | |||||||||||||||||||||
Management Services fees (Note 4) | 4,295 | 2,813 | 2,586 | 10,778 | 10,735 | 12,246 | |||||||||||||||||||||
Professional fees | 7,296 | 7,275 | 7,271 | 7,406 | 7,468 | 7,429 | |||||||||||||||||||||
Administration fees (Note 5) | 6,880 | 4,507 | 4,144 | 17,261 | 17,199 | 18,502 | |||||||||||||||||||||
Custodian fees (Note 6) | 1,488 | 1,262 | 1,227 | 2,572 | 2,683 | 2,787 | |||||||||||||||||||||
Printing and Shareholder reports | 3,378 | 3,280 | 3,286 | 3,503 | 4,050 | 622 | |||||||||||||||||||||
Licensing fees | 7,468 | 6,449 | 6,502 | 13,113 | 13,072 | 11,298 | |||||||||||||||||||||
Trustee fees | 38 | 33 | 34 | 65 | 96 | 78 | |||||||||||||||||||||
Recoupment of prior expenses reimbursed by Advisor (Note 4) | — | — | — | — | — | — | |||||||||||||||||||||
Other fees | 1,951 | 1,944 | 1,944 | 2,011 | 2,299 | 2,106 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 65,001 | 48,659 | 46,391 | 137,549 | 138,111 | 146,910 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Advisory fees waived and reimbursed, if any (Note 4) | (24,340 | ) | (21,975 | ) | (21,875 | ) | (35,332 | ) | (36,362 | ) | (31,166 | ) | |||||||||||||||
Total Net Expenses | 40,661 | 26,684 | 24,516 | 102,217 | 101,749 | 115,744 | |||||||||||||||||||||
Net Investment Income (Loss) | 171,993 | 114,841 | 107,425 | 422,075 | 447,060 | 517,962 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | 450,125 | 831,417 | 943,511 | 3,775,986 | 3,112,310 | (3,417,410 | ) | ||||||||||||||||||||
In-kind redemptions | — | — | — | — | — | — | |||||||||||||||||||||
Net realized gain (loss) | 450,125 | 831,417 | 943,511 | 3,775,986 | 3,112,310 | (3,417,410 | ) | ||||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (1,477,866 | ) | 401,757 | (365,287 | ) | (435,356 | ) | (1,283,515 | ) | (8,355,841 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,477,866 | ) | 401,757 | (365,287 | ) | (435,356 | ) | (1,283,515 | ) | (8,355,841 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | (1,027,741 | ) | 1,233,174 | 578,224 | 3,340,630 | 1,828,795 | (11,773,251 | ) | |||||||||||||||||||
Change in Net Assets Resulting from Operations | $ | (855,748 | ) | $ | 1,348,015 | $ | 685,649 | $ | 3,762,705 | $ | 2,275,855 | $ | (11,255,289 | ) |
See accompanying notes to the financial statements.
207
ProShares Trust Statements of Operations (continued)
For the Periods Indicated (Unaudited)
UltraShort Consumer Goods | UltraShort Consumer Services | UltraShort Financials | UltraShort Health Care | UltraShort Industrials | UltraShort Oil & Gas | ||||||||||||||||||||||
Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Interest | 296,682 | 265,099 | 12,031,052 | 256,959 | 183,532 | 2,269,337 | |||||||||||||||||||||
Foreign withholding tax on dividends | — | — | — | — | — | — | |||||||||||||||||||||
Total Investment Income | 296,682 | 265,099 | 12,031,052 | 256,959 | 183,532 | 2,269,337 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 45,359 | 42,585 | 1,972,025 | 38,135 | 28,969 | 367,867 | |||||||||||||||||||||
Management Services fees (Note 4) | 6,048 | 5,678 | 262,934 | 5,084 | 3,862 | 49,048 | |||||||||||||||||||||
Professional fees | 7,354 | 7,315 | 11,595 | 7,326 | 7,269 | 7,867 | |||||||||||||||||||||
Administration fees (Note 5) | 9,692 | 9,097 | 84,953 | 8,148 | 6,188 | 44,070 | |||||||||||||||||||||
Custodian fees (Note 6) | 1,828 | 1,683 | 45,293 | 1,682 | 1,397 | 8,690 | |||||||||||||||||||||
Printing and Shareholder reports | 417 | 334 | 7,351 | 340 | 271 | 1,858 | |||||||||||||||||||||
Licensing fees | 8,819 | 8,672 | 111,576 | 8,434 | 7,945 | 26,020 | |||||||||||||||||||||
Trustee fees | 64 | 47 | 1,138 | 57 | 36 | 197 | |||||||||||||||||||||
Recoupment of prior expenses reimbursed by Advisor (Note 4) | — | — | — | — | — | — | |||||||||||||||||||||
Other fees | 2,105 | 1,966 | 5,245 | 2,090 | 1,935 | 2,867 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 81,686 | 77,377 | 2,502,110 | 71,296 | 57,872 | 508,484 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Advisory fees waived and reimbursed, if any (Note 4) | (24,410 | ) | (23,518 | ) | (7,788 | ) | (23,126 | ) | (21,283 | ) | (43,708 | ) | |||||||||||||||
Total Net Expenses | 57,276 | 53,859 | 2,494,322 | 48,170 | 36,589 | 464,776 | |||||||||||||||||||||
Net Investment Income (Loss) | 239,406 | 211,240 | 9,536,730 | 208,789 | 146,943 | 1,804,561 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (546,910 | ) | 1,570,946 | 74,227,495 | 404,145 | 228,155 | 16,568,987 | ||||||||||||||||||||
In-kind redemptions | — | — | — | — | — | — | |||||||||||||||||||||
Net realized gain (loss) | (546,910 | ) | 1,570,946 | 74,227,495 | 404,145 | 228,155 | 16,568,987 | ||||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (554,835 | ) | 240,584 | (11,283,153 | ) | (459,068 | ) | (579,928 | ) | (17,452,127 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (554,835 | ) | 240,584 | (11,283,153 | ) | (459,068 | ) | (579,928 | ) | (17,452,127 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | (1,101,745 | ) | 1,811,530 | 62,944,342 | (54,923 | ) | (351,773 | ) | (883,140 | ) | |||||||||||||||||
Change in Net Assets Resulting from Operations | $ | (862,339 | ) | $ | 2,022,770 | $ | 72,481,072 | $ | 153,866 | $ | (204,830 | ) | $ | 921,421 |
See accompanying notes to the financial statements.
208
UltraShort Real Estate | UltraShort Semiconductors | UltraShort Technology | UltraShort Utilities | Short MSCI EAFE | Short MSCI Emerging Markets | ||||||||||||||||||||||
Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | Six Months Ended November 30, 2007 | October 23, 2007* through November 30, 2007 | October 30, 2007* through November 30, 2007 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Interest | 9,325,488 | 214,410 | 138,614 | 476,220 | 60,617 | 44,775 | |||||||||||||||||||||
Foreign withholding tax on dividends | — | — | — | — | — | — | |||||||||||||||||||||
Total Investment Income | 9,325,488 | 214,410 | 138,614 | 476,220 | 60,617 | 44,775 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 1,434,581 | 31,025 | 21,132 | 68,459 | 10,405 | 7,521 | |||||||||||||||||||||
Management Services fees (Note 4) | 191,275 | 4,136 | 2,818 | 9,128 | 1,387 | 1,003 | |||||||||||||||||||||
Professional fees | 10,556 | 7,310 | 7,249 | 7,325 | 3,391 | 2,857 | |||||||||||||||||||||
Administration fees (Note 5) | 78,972 | 6,630 | 4,514 | 14,618 | 2,224 | 1,608 | |||||||||||||||||||||
Custodian fees (Note 6) | 34,405 | 1,505 | 1,242 | 2,480 | 366 | 285 | |||||||||||||||||||||
Printing and Shareholder reports | 8,435 | 477 | 245 | 1,137 | 45 | 38 | |||||||||||||||||||||
Licensing fees | 82,912 | 8,055 | 7,527 | 10,051 | 11,177 | 9,416 | |||||||||||||||||||||
Trustee fees | 960 | 52 | 33 | 57 | 8 | 7 | |||||||||||||||||||||
Recoupment of prior expenses reimbursed by Advisor (Note 4) | — | — | — | — | — | — | |||||||||||||||||||||
Other fees | 5,591 | 2,078 | 1,935 | 2,209 | 682 | 575 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 1,847,687 | 61,268 | 46,695 | 115,464 | 29,685 | 23,310 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Advisory fees waived and reimbursed, if any (Note 4) | (33,234 | ) | (22,092 | ) | (20,019 | ) | (28,973 | ) | (16,540 | ) | (13,810 | ) | |||||||||||||||
Total Net Expenses | 1,814,453 | 39,176 | 26,676 | 86,491 | 13,145 | 9,500 | |||||||||||||||||||||
Net Investment Income (Loss) | 7,511,035 | 175,234 | 111,938 | 389,729 | 47,472 | 35,275 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | 96,533,388 | 430,823 | 74,101 | 69,084 | (152,811 | ) | 1,168,065 | ||||||||||||||||||||
In-kind redemptions | — | — | — | — | — | — | |||||||||||||||||||||
Net realized gain (loss) | 96,533,388 | 430,823 | 74,101 | 69,084 | (152,811 | ) | 1,168,065 | ||||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (35,488,767 | ) | (723,215 | ) | (395,730 | ) | 397,524 | 89,800 | (1,350,874 | ) | |||||||||||||||||
Change in net unrealized appreciation (depreciation) | (35,488,767 | ) | (723,215 | ) | (395,730 | ) | 397,524 | 89,800 | (1,350,874 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | 61,044,621 | (292,392 | ) | (321,629 | ) | 466,608 | (63,011 | ) | (182,809 | ) | |||||||||||||||||
Change in Net Assets Resulting from Operations | $ | 68,555,656 | $ | (117,158 | ) | $ | (209,691 | ) | $ | 856,337 | $ | (15,539 | ) | $ | (147,534 | ) |
*Commencement of investment operations.
See accompanying notes to the financial statements.
209
ProShares Trust Statements of Operations (continued)
For the Periods Indicated (Unaudited)
UltraShort MSCI EAFE | UltraShort MSCI Emerging Markets | UltraShort FTSE/Xinhua China 25 | UltraShort MSCI Japan | ||||||||||||||||
October 23, 2007* through November 30, 2007 | October 30, 2007* through November 30, 2007 | November 6, 2007* through November 30, 2007 | November 6, 2007* through November 30, 2007 | ||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||
Dividends | $ | — | $ | — | $ | — | $ | — | |||||||||||
Interest | 69,358 | 152,620 | 381,602 | 33,877 | |||||||||||||||
Foreign withholding tax on dividends | — | — | — | — | |||||||||||||||
Total Investment Income | 69,358 | 152,620 | 381,602 | 33,877 | |||||||||||||||
EXPENSES: | |||||||||||||||||||
Advisory fees (Note 4) | 13,145 | 27,436 | 73,828 | 5,517 | |||||||||||||||
Management Services fees (Note 4) | 1,752 | 3,658 | 9,844 | 736 | |||||||||||||||
Professional fees | 3,391 | 2,857 | 2,286 | 2,286 | |||||||||||||||
Administration fees (Note 5) | 2,808 | 5,103 | 6,459 | 1,180 | |||||||||||||||
Custodian fees (Note 6) | 504 | 730 | 1,552 | 277 | |||||||||||||||
Printing and Shareholder reports | 45 | 38 | 30 | 30 | |||||||||||||||
Licensing fees | 11,177 | 9,416 | 11,583 | 13,333 | |||||||||||||||
Trustee fees | 8 | 7 | 6 | 6 | |||||||||||||||
Recoupment of prior expenses reimbursed by Advisor (Note 4) | — | — | — | — | |||||||||||||||
Other fees | 682 | 575 | 460 | 461 | |||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 33,512 | 49,820 | 106,048 | 23,826 | |||||||||||||||
LESS: | |||||||||||||||||||
Advisory fees waived and reimbursed, if any (Note 4) | (16,942 | ) | (15,220 | ) | (13,989 | ) | (16,857 | ) | |||||||||||
Total Net Expenses | 16,570 | 34,600 | 92,059 | 6,969 | |||||||||||||||
Net Investment Income (Loss) | 52,788 | 118,020 | 289,543 | 26,908 | |||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||
Investments | — | — | — | — | |||||||||||||||
Futures contracts | — | — | — | — | |||||||||||||||
Swap agreements | 294,980 | 10,085,546 | 29,252,677 | 1,287,562 | |||||||||||||||
In-kind redemptions | — | — | — | — | |||||||||||||||
Net realized gain (loss) | 294,980 | 10,085,546 | 29,252,677 | 1,287,562 | |||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||
Investments | — | — | — | — | |||||||||||||||
Futures contracts | — | — | — | — | |||||||||||||||
Swap agreements | (2,006,481 | ) | (13,721,987 | ) | (84,899,236 | ) | (1,399,152 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (2,006,481 | ) | (13,721,987 | ) | (84,899,236 | ) | (1,399,152 | ) | |||||||||||
Net realized and unrealized gain (loss) | (1,711,501 | ) | (3,636,441 | ) | (55,646,559 | ) | (111,590 | ) | |||||||||||
Change in Net Assets Resulting from Operations | $ | (1,658,713 | ) | $ | (3,518,421 | ) | $ | (55,357,016 | ) | $ | (84,682 | ) |
*Commencement of investment operations.
See accompanying notes to the financial statements.
210
ProShares Trust Statements of Changes in Net Assets
For the Periods Indicated
Ultra QQQ® | Ultra Dow30SM | Ultra S&P500® | |||||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | June 19, 2006* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | June 19, 2006* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | June 19, 2006* through May 31, 2007 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 284,351 | $ | 327,096 | $ | 1,563,083 | $ | 1,104,314 | $ | 3,327,425 | $ | 1,844,513 | |||||||||||||||
Net realized gain (loss) | 93,295,682 | 53,836,089 | 1,172,610 | 16,711,180 | (56,567 | ) | 20,362,657 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (20,167,086 | ) | 22,585,417 | (9,989,493 | ) | 9,648,637 | (18,352,539 | ) | 25,367,960 | ||||||||||||||||||
Change in Net Assets Resulting from Operations | 73,412,947 | 76,748,602 | (7,253,800 | ) | 27,464,131 | (15,081,681 | ) | 47,575,130 | |||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | — | (380,775 | ) | (1,017,808 | ) | (844,257 | ) | (1,963,077 | ) | (1,310,935 | ) | ||||||||||||||||
Net realized gains | — | (16,735,924 | ) | — | (5,072,065 | ) | — | (6,067,371 | ) | ||||||||||||||||||
Total distributions | — | (17,116,699 | ) | (1,017,808 | ) | (5,916,322 | ) | (1,963,077 | ) | (7,378,306 | ) | ||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 622,872,204 | 310,933,214 | 170,703,130 | 183,697,403 | 413,056,829 | 203,382,483 | |||||||||||||||||||||
Cost of shares redeemed | (176,870,096 | ) | (122,303,684 | ) | (27,780,772 | ) | (81,288,750 | ) | (27,129,789 | ) | — | ||||||||||||||||
Change in net assets resulting from capital transactions | 446,002,108 | 188,629,530 | 142,922,358 | 102,408,653 | 385,927,040 | 203,382,483 | |||||||||||||||||||||
Change in net assets | 519,415,055 | 248,261,433 | 134,650,750 | 123,956,462 | 368,882,282 | 243,579,307 | |||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 248,261,433 | $ | — | $ | 123,956,462 | $ | — | $ | 243,579,307 | $ | — | |||||||||||||||
End of period | $ | 767,676,488 | $ | 248,261,433 | $ | 258,607,212 | $ | 123,956,462 | $ | 612,461,589 | $ | 243,579,307 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 245,084 | $ | (39,267 | ) | $ | 817,190 | $ | 271,915 | $ | 1,908,279 | $ | 543,931 | ||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 2,625,001 | — | 1,275,001 | — | 2,475,001 | — | |||||||||||||||||||||
Issued | 3,900,000 | 3,900,001 | 1,275,000 | 2,325,001 | 2,625,000 | 2,475,001 | |||||||||||||||||||||
Issued in-kind | 2,475,000 | 150,000 | 600,000 | — | 2,100,000 | — | |||||||||||||||||||||
Redeemed | (150,000 | ) | — | — | (600,000 | ) | — | — | |||||||||||||||||||
Redemption in-kind | (1,575,000 | ) | (1,425,000 | ) | (300,000 | ) | (450,000 | ) | (300,000 | ) | — | ||||||||||||||||
Shares outstanding, end of period | 7,275,001 | 2,625,001 | 2,850,001 | 1,275,001 | 6,900,001 | 2,475,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
211
ProShares Trust Statements of Changes in Net Assets (continued)
For the Periods Indicated
Ultra MidCap400 | Ultra SmallCap600 | Ultra Russell2000 | |||||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | June 19, 2006* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 23, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 23, 2007* through May 31, 2007 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 431,316 | $ | 644,922 | $ | 36,068 | $ | 43,031 | $ | 246,919 | $ | 110,770 | |||||||||||||||
Net realized gain (loss) | 1,375,942 | 13,459,706 | (858,238 | ) | 1,553,868 | 377,864 | 2,614,889 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (15,958,446 | ) | 11,797,176 | (1,826,231 | ) | 915,162 | (7,006,883 | ) | 1,839,592 | ||||||||||||||||||
Change in Net Assets Resulting from Operations | (14,151,188 | ) | 25,901,804 | (2,648,401 | ) | 2,512,061 | (6,382,100 | ) | 4,565,251 | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (351,219 | ) | (539,508 | ) | (69,705 | ) | — | (241,443 | ) | — | |||||||||||||||||
Net realized gains | — | (2,654,711 | ) | — | — | — | — | ||||||||||||||||||||
Total distributions | (351,219 | ) | (3,194,219 | ) | (69,705 | ) | — | (241,443 | ) | — | |||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 26,339,125 | 93,441,635 | — | 15,754,165 | 72,652,806 | 36,426,312 | |||||||||||||||||||||
Cost of shares redeemed | (34,040,023 | ) | (12,163,500 | ) | — | (5,873,250 | ) | (25,894,759 | ) | (11,076,000 | ) | ||||||||||||||||
Change in net assets resulting from capital transactions | (7,700,898 | ) | 81,278,135 | — | 9,880,915 | 46,758,047 | 25,350,312 | ||||||||||||||||||||
Change in net assets | (22,203,305 | ) | 103,985,720 | (2,718,106 | ) | 12,392,976 | 40,134,504 | 29,915,563 | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 103,985,720 | $ | — | $ | 12,392,976 | $ | — | $ | 29,915,563 | $ | — | |||||||||||||||
End of period | $ | 81,782,415 | $ | 103,985,720 | $ | 9,674,870 | $ | 12,392,976 | $ | 70,050,067 | $ | 29,915,563 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 197,796 | $ | 117,699 | $ | 9,394 | $ | 43,031 | $ | 116,246 | $ | 110,770 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 1,050,001 | — | 150,001 | — | 375,001 | — | |||||||||||||||||||||
Issued | 300,000 | 1,200,001 | — | 225,001 | 900,000 | 525,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | 225,000 | — | |||||||||||||||||||||
Redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Redemption in-kind | (375,000 | ) | (150,000 | ) | — | (75,000 | ) | (375,000 | ) | (150,000 | ) | ||||||||||||||||
Shares outstanding, end of period | 975,001 | 1,050,001 | 150,001 | 150,001 | 1,125,001 | 375,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
212
Ultra Russell1000 Value | Ultra Russell1000 Growth | Ultra Russell MidCap Value | |||||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | February 20, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | February 20, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | February 20, 2007* through May 31, 2007 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 94,665 | $ | 60,566 | $ | 78,795 | $ | 30,134 | $ | 72,985 | $ | 59,116 | |||||||||||||||
Net realized gain (loss) | (1,017,587 | ) | 334,139 | 773,877 | 256,806 | (1,356,328 | ) | 197,965 | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,154,164 | ) | 497,319 | (861,446 | ) | 580,729 | (1,459,152 | ) | 489,519 | ||||||||||||||||||
Change in Net Assets Resulting from Operations | (2,077,086 | ) | 892,024 | (8,774 | ) | 867,669 | (2,742,495 | ) | 746,600 | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (114,742 | ) | — | (59,572 | ) | — | (106,697 | ) | — | ||||||||||||||||||
Net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (114,742 | ) | — | (59,572 | ) | — | (106,697 | ) | — | ||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | — | 10,502,380 | 11,259,539 | 10,502,380 | — | 10,502,380 | |||||||||||||||||||||
Cost of shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Change in net assets resulting from capital transactions | — | 10,502,380 | 11,259,539 | 10,502,380 | — | 10,502,380 | |||||||||||||||||||||
Change in net assets | (2,191,828 | ) | 11,394,404 | 11,191,193 | 11,370,049 | (2,849,192 | ) | 11,248,980 | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 11,394,404 | $ | — | $ | 11,370,049 | $ | — | $ | 11,248,980 | $ | — | |||||||||||||||
End of period | $ | 9,202,576 | $ | 11,394,404 | $ | 22,561,242 | $ | 11,370,049 | $ | 8,399,788 | $ | 11,248,980 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 40,489 | $ | 60,566 | $ | 49,357 | $ | 30,134 | $ | 25,404 | $ | 59,116 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 150,001 | — | 150,001 | — | 150,001 | — | |||||||||||||||||||||
Issued | — | 150,001 | 150,000 | 150,001 | — | 150,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 150,001 | 150,001 | 300,001 | 150,001 | 150,001 | 150,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
213
ProShares Trust Statements of Changes in Net Assets (continued)
For the Periods Indicated
Ultra Russell MidCap Growth | Ultra Russell2000 Value | Ultra Russell2000 Growth | |||||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | February 20, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | February 20, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | February 20, 2007* through May 31, 2007 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 24,203 | $ | 20,137 | $ | 79,891 | $ | 53,757 | $ | 21,506 | $ | 10,014 | |||||||||||||||
Net realized gain (loss) | 425,241 | 234,322 | (1,745,511 | ) | (148,590 | ) | (51,567 | ) | 97,140 | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,110,311 | ) | 684,363 | (1,577,257 | ) | 211,170 | (1,211,642 | ) | 499,755 | ||||||||||||||||||
Change in Net Assets Resulting from Operations | (660,867 | ) | 938,822 | (3,242,877 | ) | 116,337 | (1,241,703 | ) | 606,909 | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (30,686 | ) | — | (101,454 | ) | — | (28,383 | ) | — | ||||||||||||||||||
Net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (30,686 | ) | — | (101,454 | ) | — | (28,383 | ) | — | ||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 5,002,816 | 10,502,380 | — | 10,502,380 | — | 10,502,380 | |||||||||||||||||||||
Cost of shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Change in net assets resulting from capital transactions | 5,002,816 | 10,502,380 | — | 10,502,380 | — | 10,502,380 | |||||||||||||||||||||
Change in net assets | 4,311,263 | 11,441,202 | (3,344,331 | ) | 10,618,717 | (1,270,086 | ) | 11,109,289 | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 11,441,202 | $ | — | $ | 10,618,717 | $ | — | $ | 11,109,289 | $ | — | |||||||||||||||
End of period | $ | 15,752,465 | $ | 11,441,202 | $ | 7,274,386 | $ | 10,618,717 | $ | 9,839,203 | $ | 11,109,289 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 13,654 | $ | 20,137 | $ | 32,194 | $ | 53,757 | $ | 3,137 | $ | 10,014 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 150,001 | — | 150,001 | — | 150,001 | — | |||||||||||||||||||||
Issued | 75,000 | 150,001 | — | 150,001 | — | 150,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 225,001 | 150,001 | 150,001 | 150,001 | 150,001 | 150,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
214
Ultra Basic Materials | Ultra Consumer Goods | Ultra Consumer Services | |||||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 116,329 | $ | 74,800 | $ | 67,682 | $ | 65,268 | $ | 15,975 | $ | 22,379 | |||||||||||||||
Net realized gain (loss) | 3,734,727 | 1,444,802 | 6,170 | 394,709 | (619,135 | ) | 81,631 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,695,803 | ) | 1,670,164 | (158,474 | ) | 544,792 | (563,657 | ) | 210,132 | ||||||||||||||||||
Change in Net Assets Resulting from Operations | 2,155,253 | 3,189,766 | (84,622 | ) | 1,004,769 | (1,166,817 | ) | 314,142 | |||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (125,876 | ) | — | (121,301 | ) | — | (29,898 | ) | — | ||||||||||||||||||
Net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (125,876 | ) | — | (121,301 | ) | — | (29,898 | ) | — | ||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 5,222,444 | 10,502,380 | 598 | 10,502,380 | — | 10,503,531 | |||||||||||||||||||||
Cost of shares redeemed | (6,510,822 | ) | — | (5,464,148 | ) | — | — | (5,315,984 | ) | ||||||||||||||||||
Change in net assets resulting from capital transactions | (1,288,378 | ) | 10,502,380 | (5,463,550 | ) | 10,502,380 | — | 5,187,547 | |||||||||||||||||||
Change in net assets | 740,999 | 13,692,146 | (5,669,473 | ) | 11,507,149 | (1,196,715 | ) | 5,501,689 | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 13,692,146 | $ | — | $ | 11,507,149 | $ | — | $ | 5,501,689 | $ | — | |||||||||||||||
End of period | $ | 14,433,145 | $ | 13,692,146 | $ | 5,837,676 | $ | 11,507,149 | $ | 4,304,974 | $ | 5,501,689 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 65,253 | $ | 74,800 | $ | 11,649 | $ | 65,268 | $ | 8,456 | $ | 22,379 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 150,001 | — | 150,001 | — | 75,001 | — | |||||||||||||||||||||
Issued | 75,000 | 150,001 | — | 150,001 | — | 150,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | — | — | — | — | — | (75,000 | ) | ||||||||||||||||||||
Redemption in-kind | (75,000 | ) | — | (75,000 | ) | — | — | — | |||||||||||||||||||
Shares outstanding, end of period | 150,001 | 150,001 | 75,001 | 150,001 | 75,001 | 75,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
215
ProShares Trust Statements of Changes in Net Assets (continued)
For the Periods Indicated
Ultra Financials | Ultra Health Care | Ultra Industrials | |||||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 532,120 | $ | 98,367 | $ | 52,852 | $ | 77,897 | $ | 41,282 | $ | 47,610 | |||||||||||||||
Net realized gain (loss) | (7,310,029 | ) | (547,511 | ) | (435,538 | ) | 559,497 | (55,011 | ) | 1,569,108 | |||||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,578,267 | ) | 236,939 | 249,305 | 557,868 | (912,682 | ) | 584,344 | |||||||||||||||||||
Change in Net Assets Resulting from Operations | (8,356,176 | ) | (212,205 | ) | (133,381 | ) | 1,195,262 | (926,411 | ) | 2,201,062 | |||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (267,133 | ) | — | (108,065 | ) | — | (63,653 | ) | — | ||||||||||||||||||
Net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (267,133 | ) | — | (108,065 | ) | — | (63,653 | ) | — | ||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 151,181,015 | 15,754,563 | — | 10,502,380 | 6,763,563 | 10,503,062 | |||||||||||||||||||||
Cost of shares redeemed | (3,485,065 | ) | (4,757,250 | ) | — | — | ��� | (6,184,883 | ) | ||||||||||||||||||
Change in net assets resulting from capital transactions | 147,695,950 | 10,997,313 | — | 10,502,380 | 6,763,563 | 4,318,179 | |||||||||||||||||||||
Change in net assets | 139,072,641 | 10,785,108 | (241,446 | ) | 11,697,642 | 5,773,499 | 6,519,241 | ||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 10,785,108 | $ | — | $ | 11,697,642 | $ | — | $ | 6,519,241 | $ | — | |||||||||||||||
End of period | $ | 149,857,749 | $ | 10,785,108 | $ | 11,456,196 | $ | 11,697,642 | $ | 12,292,740 | $ | 6,519,241 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 363,354 | $ | 98,367 | $ | 22,684 | $ | 77,897 | $ | 25,239 | $ | 47,610 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 150,001 | — | 150,001 | — | 75,001 | — | |||||||||||||||||||||
Issued | 2,850,000 | 225,001 | — | 150,001 | 75,000 | 150,001 | |||||||||||||||||||||
Issued in-kind | 300,000 | — | — | — | — | — | |||||||||||||||||||||
Redeemed | — | (75,000 | ) | — | — | — | — | ||||||||||||||||||||
Redemption in-kind | (75,000 | ) | — | — | — | — | (75,000 | ) | |||||||||||||||||||
Shares outstanding, end of period | 3,225,001 | 150,001 | 150,001 | 150,001 | 150,001 | 75,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
216
Ultra Oil & Gas | Ultra Real Estate | Ultra Semiconductors | |||||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 747,477 | $ | 95,881 | $ | 142,947 | $ | 102,961 | $ | 73,156 | $ | 42,308 | |||||||||||||||
Net realized gain (loss) | 8,287,363 | 4,119,050 | (1,856,670 | ) | (2,964,478 | ) | (1,184,682 | ) | 542,464 | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (3,702,773 | ) | 1,885,580 | (1,508,370 | ) | (36,201 | ) | (2,466,829 | ) | 688,039 | |||||||||||||||||
Change in Net Assets Resulting from Operations | 5,332,067 | �� | 6,100,511 | (3,222,093 | ) | (2,897,718 | ) | (3,578,355 | ) | 1,272,811 | |||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (239,097 | ) | — | (148,970 | ) | — | (70,604 | ) | — | ||||||||||||||||||
Net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (239,097 | ) | — | (148,970 | ) | — | (70,604 | ) | — | ||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 37,415,020 | 35,008,700 | 16,319,245 | 21,007,670 | 30,463,369 | 10,502,380 | |||||||||||||||||||||
Cost of shares redeemed | (9,010,710 | ) | (12,627,750 | ) | — | (13,473,662 | ) | (5,588,635 | ) | — | |||||||||||||||||
Change in net assets resulting from capital transactions | 28,404,310 | 22,380,950 | 16,319,245 | 7,534,008 | 24,874,734 | 10,502,380 | |||||||||||||||||||||
Change in net assets | 33,497,280 | 28,481,461 | 12,948,182 | 4,636,290 | 21,225,775 | 11,775,191 | |||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 28,481,461 | $ | — | $ | 4,636,290 | $ | — | $ | 11,775,191 | $ | — | |||||||||||||||
End of period | $ | 61,978,741 | $ | 28,481,461 | $ | 17,584,472 | $ | 4,636,290 | $ | 33,000,966 | $ | 11,775,191 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 604,261 | $ | 95,881 | $ | 96,938 | $ | 102,961 | $ | 44,860 | $ | 42,308 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 300,001 | — | 75,001 | — | 150,001 | — | |||||||||||||||||||||
Issued | 75,000 | 300,001 | 375,000 | 300,001 | — | 150,001 | |||||||||||||||||||||
Issued in-kind | 300,000 | 150,000 | — | — | 375,000 | — | |||||||||||||||||||||
Redeemed | — | — | — | (225,000 | ) | — | — | ||||||||||||||||||||
Redemption in-kind | (75,000 | ) | (150,000 | ) | — | — | (75,000 | ) | — | ||||||||||||||||||
Shares outstanding, end of period | 600,001 | 300,001 | 450,001 | 75,001 | 450,001 | 150,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
217
ProShares Trust Statements of Changes in Net Assets (continued)
For the Periods Indicated
Ultra Technology | Ultra Utilities | Short QQQ® | |||||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | June 19, 2006* through May 31, 2007 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 67,113 | $ | 20,794 | $ | 136,432 | $ | 110,286 | $ | 1,649,720 | $ | 3,870,039 | |||||||||||||||
Net realized gain (loss) | 3,904,041 | 627,576 | 88,730 | 1,407,864 | (11,645,274 | ) | (21,193,093 | ) | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (6,078,110 | ) | 406,028 | (364,654 | ) | 1,520,528 | 4,808,454 | (1,386,954 | ) | ||||||||||||||||||
Change in Net Assets Resulting from Operations | (2,106,956 | ) | 1,054,398 | (139,492 | ) | 3,038,678 | (5,187,100 | ) | (18,710,008 | ) | |||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (41,798 | ) | — | (191,956 | ) | — | (2,058,277 | ) | (2,541,079 | ) | |||||||||||||||||
Net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (41,798 | ) | — | (191,956 | ) | — | (2,058,277 | ) | (2,541,079 | ) | |||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 57,554,069 | 10,503,610 | — | 10,502,380 | 244,935,757 | 229,163,471 | |||||||||||||||||||||
Cost of shares redeemed | — | (5,705,625 | ) | — | — | (261,428,794 | ) | (115,950,000 | ) | ||||||||||||||||||
Change in net assets resulting from capital transactions | 57,554,069 | 4,797,985 | — | 10,502,380 | (16,493,037 | ) | 113,213,471 | ||||||||||||||||||||
Change in net assets | 55,405,315 | 5,852,383 | (331,448 | ) | 13,541,058 | (23,738,414 | ) | 91,962,384 | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 5,852,383 | $ | — | $ | 13,541,058 | $ | — | $ | 91,962,384 | $ | — | |||||||||||||||
End of period | $ | 61,257,698 | $ | 5,852,383 | $ | 13,209,610 | $ | 13,541,058 | $ | 68,223,970 | $ | 91,962,384 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 46,109 | $ | 20,794 | $ | 54,762 | $ | 110,286 | $ | 436,601 | $ | 845,158 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 75,001 | — | 150,001 | — | 1,575,001 | — | |||||||||||||||||||||
Issued | 675,000 | 150,001 | — | 150,001 | 4,350,000 | 3,375,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | — | (75,000 | ) | — | — | (4,650,000 | ) | (1,800,000 | ) | ||||||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 750,001 | 75,001 | 150,001 | 150,001 | 1,275,001 | 1,575,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
218
Short Dow30SM | Short S&P500® | Short MidCap400 | |||||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | June 19, 2006* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | June 19, 2006* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | June 19, 2006* through May 31, 2007 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 2,504,073 | $ | 2,658,389 | $ | 4,114,721 | $ | 4,623,209 | $ | 1,631,500 | $ | 4,211,231 | |||||||||||||||
Net realized gain (loss) | (1,122,499 | ) | (12,983,474 | ) | (2,239,461 | ) | (21,085,714 | ) | 2,542,310 | (19,946,528 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | 3,480,545 | (1,006,787 | ) | 5,183,074 | (1,620,404 | ) | 3,483,037 | (1,858,782 | ) | ||||||||||||||||||
Change in Net Assets Resulting from Operations | 4,862,119 | (11,331,872 | ) | 7,058,334 | (18,082,909 | ) | 7,656,847 | (17,594,079 | ) | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (2,408,495 | ) | (1,877,899 | ) | (4,158,476 | ) | (3,260,155 | ) | (2,173,012 | ) | (3,330,179 | ) | |||||||||||||||
Net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (2,408,495 | ) | (1,877,899 | ) | (4,158,476 | ) | (3,260,155 | ) | (2,173,012 | ) | (3,330,179 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 168,163,415 | 144,817,204 | 275,771,135 | 244,227,855 | 8,499,587 | 229,927,225 | |||||||||||||||||||||
Cost of shares redeemed | (168,490,688 | ) | (4,908,750 | ) | (232,455,699 | ) | (37,430,250 | ) | (75,294,786 | ) | (98,112,750 | ) | |||||||||||||||
Change in net assets resulting from capital transactions | (327,273 | ) | 139,908,454 | 43,315,436 | 206,797,605 | (66,795,199 | ) | 131,814,475 | |||||||||||||||||||
Change in net assets | 2,126,351 | 126,698,683 | 46,215,294 | 185,454,541 | (61,311,364 | ) | 110,890,217 | ||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 126,698,683 | $ | — | $ | 185,554,541 | $ | 100,000 | $ | 110,890,217 | $ | — | |||||||||||||||
End of period | $ | 128,825,034 | $ | 126,698,683 | $ | 231,769,835 | $ | 185,554,541 | $ | 49,578,853 | $ | 110,890,217 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 884,422 | $ | 788,844 | $ | 1,339,243 | $ | 1,382,998 | $ | 357,341 | $ | 898,853 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 2,175,001 | — | 3,151,429 | 1,428 | 1,950,001 | — | |||||||||||||||||||||
Issued | 2,850,000 | 2,250,001 | 4,500,000 | 3,750,001 | 150,000 | 3,450,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (2,850,000 | ) | (75,000 | ) | (3,825,000 | ) | (600,000 | ) | (1,275,000 | ) | (1,500,000 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 2,175,001 | 2,175,001 | 3,826,429 | 3,151,429 | 825,001 | 1,950,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
219
ProShares Trust Statements of Changes in Net Assets (continued)
For the Periods Indicated
Short SmallCap600 | Short Russell2000 | UltraShort QQQ® | |||||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | January 23, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 23, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | July 11, 2006* through May 31, 2007 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 205,871 | $ | 158,070 | $ | 671,187 | $ | 182,103 | $ | 36,497,398 | $ | 31,562,224 | |||||||||||||||
Net realized gain (loss) | 1,114,422 | (784,618 | ) | 3,188,459 | (689,446 | ) | (353,718,860 | ) | (291,141,983 | ) | |||||||||||||||||
Change in net unrealized appreciation (depreciation) | (151,026 | ) | (111,773 | ) | (497,950 | ) | (265,772 | ) | 139,354,122 | (67,103,700 | ) | ||||||||||||||||
Change in Net Assets Resulting from Operations | 1,169,267 | (738,321 | ) | 3,361,696 | (773,115 | ) | (177,867,340 | ) | (326,683,459 | ) | |||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (288,794 | ) | — | (592,768 | ) | — | (40,771,562 | ) | (16,494,853 | ) | |||||||||||||||||
Net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (288,794 | ) | — | (592,768 | ) | — | (40,771,562 | ) | (16,494,853 | ) | |||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | — | 10,501,225 | 26,138,473 | 25,595,128 | 2,340,837,896 | 2,830,563,857 | |||||||||||||||||||||
Cost of shares redeemed | — | — | (10,364,327 | ) | — | (3,049,878,974 | ) | (172,098,625 | ) | ||||||||||||||||||
Change in net assets resulting from capital transactions | — | 10,501,225 | 15,774,146 | 25,595,128 | (709,041,078 | ) | 2,658,465,232 | ||||||||||||||||||||
Change in net assets | 880,473 | 9,762,904 | 18,543,074 | 24,822,013 | (927,679,980 | ) | 2,315,286,920 | ||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 9,762,904 | $ | — | $ | 24,822,013 | $ | — | $ | 2,315,286,920 | $ | — | |||||||||||||||
End of period | $ | 10,643,377 | $ | 9,762,904 | $ | 43,365,087 | $ | 24,822,013 | $ | 1,387,606,940 | $ | 2,315,286,920 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 75,147 | $ | 158,070 | $ | 260,522 | $ | 182,103 | $ | 10,813,624 | $ | 15,087,788 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 150,001 | — | 375,001 | — | 50,100,001 | — | |||||||||||||||||||||
Issued | — | 150,001 | 375,000 | 375,001 | 56,850,000 | 53,400,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | — | — | (150,000 | ) | — | (70,725,000 | ) | (3,300,000 | ) | ||||||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 150,001 | 150,001 | 600,001 | 375,001 | 36,225,001 | 50,100,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
220
UltraShort Dow30SM | UltraShort S&P500® | UltraShort MidCap400 | |||||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | July 11, 2006* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | July 11, 2006* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | July 11, 2006* through May 31, 2007 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 10,553,627 | $ | 6,463,791 | $ | 29,082,299 | $ | 14,507,397 | $ | 3,917,815 | $ | 4,329,134 | |||||||||||||||
Net realized gain (loss) | 35,789,632 | (65,174,469 | ) | (69,276,301 | ) | (140,662,758 | ) | 17,132,238 | (49,688,535 | ) | |||||||||||||||||
Change in net unrealized appreciation (depreciation) | (14,001,601 | ) | (8,826,386 | ) | 93,632,747 | (15,675,256 | ) | 8,946,121 | (6,261,104 | ) | |||||||||||||||||
Change in Net Assets Resulting from Operations | 32,341,658 | (67,537,064 | ) | 53,438,745 | (141,830,617 | ) | 29,996,174 | (51,620,505 | ) | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (9,841,316 | ) | (3,472,997 | ) | (23,384,376 | ) | (8,038,350 | ) | (4,067,909 | ) | (2,841,797 | ) | |||||||||||||||
Net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (9,841,316 | ) | (3,472,997 | ) | (23,384,376 | ) | (8,038,350 | ) | (4,067,909 | ) | (2,841,797 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 1,118,786,107 | 695,292,803 | 2,646,230,578 | 1,167,757,699 | 76,187,833 | 273,577,397 | |||||||||||||||||||||
Cost of shares redeemed | (1,294,139,994 | ) | (48,998,024 | ) | (1,918,189,453 | ) | (75,952,622 | ) | (113,627,425 | ) | (30,372,750 | ) | |||||||||||||||
Change in net assets resulting from capital transactions | (175,353,887 | ) | 646,294,779 | 728,041,125 | 1,091,805,077 | (37,439,592 | ) | 243,204,647 | |||||||||||||||||||
Change in net assets | (152,853,545 | ) | 575,284,718 | 758,095,494 | 941,936,110 | (11,511,327 | ) | 188,742,345 | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 575,284,718 | $ | — | $ | 941,936,110 | $ | — | $ | 188,742,345 | $ | — | |||||||||||||||
End of period | $ | 422,431,173 | $ | 575,284,718 | $ | 1,700,031,604 | $ | 941,936,110 | $ | 177,231,018 | $ | 188,742,345 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 3,709,993 | $ | 2,997,682 | $ | 12,181,208 | $ | 6,483,285 | $ | 1,348,428 | $ | 1,498,522 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 11,775,001 | — | 18,450,001 | — | 3,825,001 | — | |||||||||||||||||||||
Issued | 22,200,000 | 12,750,001 | 49,350,000 | 19,800,001 | 1,425,000 | 4,350,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (25,500,000 | ) | (975,000 | ) | (36,000,000 | ) | (1,350,000 | ) | (2,025,000 | ) | (525,000 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 8,475,001 | 11,775,001 | 31,800,001 | 18,450,001 | 3,225,001 | 3,825,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
221
ProShares Trust Statements of Changes in Net Assets (continued)
For the Periods Indicated
UltraShort SmallCap600 | UltraShort Russell2000 | UltraShort Russell1000 Value | |||||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | January 23, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 23, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | February 20, 2007* through May 31, 2007 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 762,683 | $ | 262,884 | $ | 8,924,510 | $ | 1,333,557 | $ | 118,509 | $ | 85,140 | |||||||||||||||
Net realized gain (loss) | 7,068,802 | (3,160,827 | ) | (596,795 | ) | (17,329,352 | ) | 1,680,635 | (242,944 | ) | |||||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,740,812 | ) | (511,801 | ) | 56,122,116 | (4,838,194 | ) | (1,107,517 | ) | (65,340 | ) | ||||||||||||||||
Change in Net Assets Resulting from Operations | 6,090,673 | (3,409,744 | ) | 64,449,831 | (20,833,989 | ) | 691,627 | (223,144 | ) | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (706,605 | ) | — | (5,884,255 | ) | — | (154,274 | ) | — | ||||||||||||||||||
Net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (706,605 | ) | — | (5,884,255 | ) | — | (154,274 | ) | — | ||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 34,547,335 | 30,422,327 | 676,445,075 | 236,259,274 | 5,752,049 | 10,503,572 | |||||||||||||||||||||
Cost of shares redeemed | (9,835,257 | ) | (4,838,268 | ) | (274,881,994 | ) | (4,964,250 | ) | — | (5,414,250 | ) | ||||||||||||||||
Change in net assets resulting from capital transactions | 24,712,078 | 25,584,059 | 401,563,081 | 231,295,024 | 5,752,049 | 5,089,322 | |||||||||||||||||||||
Change in net assets | 30,096,146 | 22,174,315 | 460,128,657 | 210,461,035 | 6,289,402 | 4,866,178 | |||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 22,174,315 | $ | — | $ | 210,461,035 | $ | — | $ | 4,866,178 | $ | — | |||||||||||||||
End of period | $ | 52,270,461 | $ | 22,174,315 | $ | 670,589,692 | $ | 210,461,035 | $ | 11,155,580 | $ | 4,866,178 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 318,962 | $ | 262,884 | $ | 4,373,812 | $ | 1,333,557 | $ | 49,375 | $ | 85,140 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 375,001 | — | 3,450,001 | — | 75,001 | — | |||||||||||||||||||||
Issued | 525,000 | 450,001 | 9,975,000 | 3,525,001 | 75,000 | 150,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (150,000 | ) | (75,000 | ) | (3,975,000 | ) | (75,000 | ) | — | (75,000 | ) | ||||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 750,001 | 375,001 | 9,450,001 | 3,450,001 | 150,001 | 75,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
222
UltraShort Russell1000 Growth | UltraShort Russell MidCap Value | UltraShort Russell MidCap Growth | |||||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | February 20, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | February 20, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | February 20, 2007* through May 31, 2007 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 171,993 | $ | 85,517 | $ | 114,841 | $ | 86,987 | $ | 107,425 | $ | 123,370 | |||||||||||||||
Net realized gain (loss) | 450,125 | (117,565 | ) | 831,417 | (130,251 | ) | 943,511 | (563,923 | ) | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (1,477,866 | ) | (115,243 | ) | 401,757 | (109,190 | ) | (365,287 | ) | (157,731 | ) | ||||||||||||||||
Change in Net Assets Resulting from Operations | (855,748 | ) | (147,291 | ) | 1,348,015 | (152,454 | ) | 685,649 | (598,284 | ) | |||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (163,998 | ) | — | (159,558 | ) | — | (194,720 | ) | — | ||||||||||||||||||
Net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (163,998 | ) | — | (159,558 | ) | — | (194,720 | ) | — | ||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 14,742,196 | 10,503,581 | — | 10,503,571 | 4,580,158 | 10,503,509 | |||||||||||||||||||||
Cost of shares redeemed | — | (5,475,750 | ) | — | (5,420,250 | ) | (5,037,033 | ) | (5,074,585 | ) | |||||||||||||||||
Change in net assets resulting from capital transactions | 14,742,196 | 5,027,831 | — | 5,083,321 | (456,875 | ) | 5,428,924 | ||||||||||||||||||||
Change in net assets | 13,722,450 | 4,880,540 | 1,188,457 | 4,930,867 | 34,054 | 4,830,640 | |||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 4,880,540 | $ | — | $ | 4,930,867 | $ | — | $ | 4,830,640 | $ | — | |||||||||||||||
End of period | $ | 18,602,990 | $ | 4,880,540 | $ | 6,119,324 | $ | 4,930,867 | $ | 4,864,694 | $ | 4,830,640 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 93,512 | $ | 85,517 | $ | 42,270 | $ | 86,987 | $ | 36,075 | $ | 123,370 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 75,001 | — | 75,001 | — | 75,001 | — | |||||||||||||||||||||
Issued | 225,000 | 150,001 | — | 150,001 | 75,000 | 150,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | — | (75,000 | ) | — | (75,000 | ) | (75,000 | ) | (75,000 | ) | |||||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 300,001 | 75,001 | 75,001 | 75,001 | 75,001 | 75,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
223
ProShares Trust Statements of Changes in Net Assets (continued)
For the Periods Indicated
UltraShort Russell2000 Value | �� | UltraShort Russell2000 Growth | UltraShort Basic Materials | ||||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | February 20, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | February 20, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 422,075 | $ | 112,920 | $ | 447,060 | $ | 163,296 | $ | 517,962 | $ | 143,745 | |||||||||||||||
Net realized gain (loss) | 3,775,986 | (110,085 | ) | 3,112,310 | (1,039,903 | ) | (3,417,410 | ) | (2,392,535 | ) | |||||||||||||||||
Change in net unrealized appreciation (depreciation) | (435,356 | ) | (105,863 | ) | (1,283,515 | ) | (388,507 | ) | (8,355,841 | ) | (292,201 | ) | |||||||||||||||
Change in Net Assets Resulting from Operations | 3,762,705 | (103,028 | ) | 2,275,855 | (1,265,114 | ) | (11,255,289 | ) | (2,540,991 | ) | |||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (284,760 | ) | — | (433,580 | ) | — | (345,714 | ) | — | ||||||||||||||||||
Net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (284,760 | ) | — | (433,580 | ) | — | (345,714 | ) | — | ||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 44,116,524 | 15,887,975 | 14,331,524 | 21,368,447 | 97,628,324 | 10,502,380 | |||||||||||||||||||||
Cost of shares redeemed | (5,919,687 | ) | (10,635,340 | ) | (5,481,603 | ) | (5,353,500 | ) | (18,093,156 | ) | — | ||||||||||||||||
Change in net assets resulting from capital transactions | 38,196,837 | 5,252,635 | 8,849,921 | 16,014,947 | 79,535,168 | 10,502,380 | |||||||||||||||||||||
Change in net assets | 41,674,782 | 5,149,607 | 10,692,196 | 14,749,833 | 67,934,165 | 7,961,389 | |||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 5,149,607 | $ | — | $ | 14,749,833 | $ | — | $ | 7,961,389 | $ | — | |||||||||||||||
End of period | $ | 46,824,389 | $ | 5,149,607 | $ | 25,442,029 | $ | 14,749,833 | $ | 75,895,554 | $ | 7,961,389 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 250,235 | $ | 112,920 | $ | 176,776 | $ | 163,296 | $ | 315,993 | $ | 143,745 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 75,001 | — | 225,001 | — | 150,001 | — | |||||||||||||||||||||
Issued | 525,000 | 225,001 | 225,000 | 300,001 | 1,875,000 | 150,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (75,000 | ) | (150,000 | ) | (75,000 | ) | (75,000 | ) | (300,000 | ) | — | ||||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 525,001 | 75,001 | 375,001 | 225,001 | 1,725,001 | 150,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
224
UltraShort Consumer Goods | UltraShort Consumer Services | UltraShort Financials | |||||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 239,406 | $ | 152,722 | $ | 211,240 | $ | 148,550 | $ | 9,536,730 | $ | 601,247 | |||||||||||||||
Net realized gain (loss) | (546,910 | ) | (839,001 | ) | 1,570,946 | (282,844 | ) | 74,227,495 | (4,804,620 | ) | |||||||||||||||||
Change in net unrealized appreciation (depreciation) | (554,835 | ) | (105,459 | ) | 240,584 | (88,074 | ) | (11,283,153 | ) | (647,931 | ) | ||||||||||||||||
Change in Net Assets Resulting from Operations | (862,339 | ) | (791,738 | ) | 2,022,770 | (222,368 | ) | 72,481,072 | (4,851,304 | ) | |||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (285,484 | ) | — | (223,979 | ) | — | (4,512,539 | ) | — | ||||||||||||||||||
Net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (285,484 | ) | — | (223,979 | ) | — | (4,512,539 | ) | — | ||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 14,424,433 | 10,502,380 | 23,524,101 | 10,503,547 | 1,140,893,155 | 61,064,378 | |||||||||||||||||||||
Cost of shares redeemed | — | — | — | (5,220,371 | ) | (294,904,399 | ) | — | |||||||||||||||||||
Change in net assets resulting from capital transactions | 14,424,433 | 10,502,380 | 23,524,101 | 5,283,176 | 845,988,756 | 61,064,378 | |||||||||||||||||||||
Change in net assets | 13,276,610 | 9,710,642 | 25,322,892 | 5,060,808 | 913,957,289 | 56,213,074 | |||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 9,710,642 | $ | — | $ | 5,060,808 | $ | — | $ | 56,213,074 | $ | — | |||||||||||||||
End of period | $ | 22,987,252 | $ | 9,710,642 | $ | 30,383,700 | $ | 5,060,808 | $ | 970,170,363 | $ | 56,213,074 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 106,644 | $ | 152,722 | $ | 135,811 | $ | 148,550 | $ | 5,625,438 | $ | 601,247 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 150,001 | — | 75,001 | — | 825,001 | — | |||||||||||||||||||||
Issued | 225,000 | 150,001 | 300,000 | 150,001 | 12,975,000 | 825,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | — | — | — | (75,000 | ) | (3,225,000 | ) | — | |||||||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 375,001 | 150,001 | 375,001 | 75,001 | 10,575,001 | 825,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
225
ProShares Trust Statements of Changes in Net Assets (continued)
For the Periods Indicated
UltraShort Health Care | UltraShort Industrials | UltraShort Oil & Gas | |||||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 208,789 | $ | 153,333 | $ | 146,943 | $ | 141,698 | $ | 1,804,561 | $ | 279,435 | |||||||||||||||
Net realized gain (loss) | 404,145 | (1,078,266 | ) | 228,155 | (1,756,526 | ) | 16,568,987 | (5,196,575 | ) | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (459,068 | ) | (13,147 | ) | (579,928 | ) | (130,615 | ) | (17,452,127 | ) | (760,555 | ) | |||||||||||||||
Change in Net Assets Resulting from Operations | 153,866 | (938,080 | ) | (204,830 | ) | (1,745,443 | ) | 921,421 | (5,677,695 | ) | |||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (288,641 | ) | — | (166,136 | ) | — | (876,498 | ) | — | ||||||||||||||||||
Net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (288,641 | ) | — | (166,136 | ) | — | (876,498 | ) | — | ||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | — | 10,502,380 | 17,185,830 | 10,503,365 | 305,037,964 | 40,669,373 | |||||||||||||||||||||
Cost of shares redeemed | — | — | — | (4,489,038 | ) | (27,350,727 | ) | (4,396,500 | ) | ||||||||||||||||||
Change in net assets resulting from capital transactions | — | 10,502,380 | 17,185,830 | 6,014,327 | 277,687,237 | 36,272,873 | |||||||||||||||||||||
Change in net assets | (134,775 | ) | 9,564,300 | 16,814,864 | 4,268,884 | 277,732,160 | 30,595,178 | ||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 9,564,300 | $ | — | $ | 4,268,884 | $ | — | $ | 30,595,178 | $ | — | |||||||||||||||
End of period | $ | 9,429,525 | $ | 9,564,300 | $ | 21,083,748 | $ | 4,268,884 | $ | 308,327,338 | $ | 30,595,178 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 73,481 | $ | 153,333 | $ | 122,505 | $ | 141,698 | $ | 1,207,498 | $ | 279,435 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 150,001 | — | 75,001 | — | 600,001 | — | |||||||||||||||||||||
Issued | — | 150,001 | 300,000 | 150,001 | 7,350,000 | 675,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | — | — | — | (75,000 | ) | (600,000 | ) | (75,000 | ) | ||||||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 150,001 | 150,001 | 375,001 | 75,001 | 7,350,001 | 600,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
226
UltraShort Real Estate | UltraShort Semiconductors | UltraShort Technology | |||||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 7,511,035 | $ | 755,518 | $ | 175,234 | $ | 150,274 | $ | 111,938 | $ | 148,460 | |||||||||||||||
Net realized gain (loss) | 96,533,388 | 6,273,453 | 430,823 | (1,286,834 | ) | 74,101 | (956,477 | ) | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (35,488,767 | ) | (4,581,105 | ) | (723,215 | ) | (119,321 | ) | (395,730 | ) | (124,669 | ) | |||||||||||||||
Change in Net Assets Resulting from Operations | 68,555,656 | 2,447,866 | (117,158 | ) | (1,255,881 | ) | (209,691 | ) | (932,686 | ) | |||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (4,696,897 | ) | — | (264,030 | ) | — | (173,522 | ) | — | ||||||||||||||||||
Net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (4,696,897 | ) | — | (264,030 | ) | — | (173,522 | ) | — | ||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 681,688,629 | 116,498,305 | — | 10,502,380 | 12,094,358 | 10,503,468 | |||||||||||||||||||||
Cost of shares redeemed | (272,404,867 | ) | (21,117,000 | ) | — | — | — | (4,843,573 | ) | ||||||||||||||||||
Change in net assets resulting from capital transactions | 409,283,762 | 95,381,305 | — | 10,502,380 | 12,094,358 | 5,659,895 | |||||||||||||||||||||
Change in net assets | 473,142,521 | 97,829,171 | (381,188 | ) | 9,246,499 | 11,711,145 | 4,727,209 | ||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 97,829,171 | $ | — | $ | 9,246,499 | $ | — | $ | 4,727,209 | $ | — | |||||||||||||||
End of period | $ | 570,971,692 | $ | 97,829,171 | $ | 8,865,311 | $ | 9,246,499 | $ | 16,438,354 | $ | 4,727,209 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 3,569,656 | $ | 755,518 | $ | 61,478 | $ | 150,274 | $ | 86,876 | $ | 148,460 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 1,275,001 | — | 150,001 | — | 75,001 | — | |||||||||||||||||||||
Issued | 6,825,000 | 1,575,001 | — | 150,001 | 225,000 | 150,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (2,550,000 | ) | (300,000 | ) | — | — | — | (75,000 | ) | ||||||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 5,550,001 | 1,275,001 | 150,001 | 150,001 | 300,001 | 75,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
227
ProShares Trust Statements of Changes in Net Assets (continued)
For the Periods Indicated
Ultra Short Utilities | Short MSCI EAFE | Short MSCI Emerging Markets | Ultra Short MSCI EAFE | Ultra Short MSCI Emerging Markets | |||||||||||||||||||||||
Six Months Ended November 30, 2007 (Unaudited) | January 30, 2007* through May 31, 2007 | October 23, 2007* through November 30, 2007 (Unaudited) | October 30, 2007* through November 30, 2007 (Unaudited) | October 23, 2007* through November 30, 2007 (Unaudited) | October 30, 2007* through November 30, 2007 (Unaudited) | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 389,729 | $ | 137,099 | $ | 47,472 | $ | 35,275 | $ | 52,788 | $ | 118,020 | |||||||||||||||
Net realized gain (loss) | 69,084 | (2,067,485 | ) | (152,811 | ) | 1,168,065 | 294,980 | 10,085,546 | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 397,524 | (370,317 | ) | 89,800 | (1,350,874 | ) | (2,006,481 | ) | (13,721,987 | ) | |||||||||||||||||
Change in Net Assets Resulting from Operations | 856,337 | (2,300,703 | ) | (15,539 | ) | (147,534 | ) | (1,658,713 | ) | (3,518,421 | ) | ||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (434,651 | ) | — | — | — | — | — | ||||||||||||||||||||
Net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (434,651 | ) | — | — | — | — | — | ||||||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 13,398,529 | 18,630,259 | 15,860,807 | 16,455,154 | 33,188,068 | 80,331,614 | |||||||||||||||||||||
Cost of shares redeemed | (18,675,284 | ) | — | — | — | — | — | ||||||||||||||||||||
Change in net assets resulting from capital transactions | (5,276,755 | ) | 18,630,259 | 15,860,807 | 16,455,154 | 33,188,068 | 80,331,614 | ||||||||||||||||||||
Change in net assets | (4,855,069 | ) | 16,329,556 | 15,845,268 | 16,307,620 | 31,529,355 | 76,813,193 | ||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 16,329,556 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
End of period | $ | 11,474,487 | $ | 16,329,556 | $ | 15,845,268 | $ | 16,307,620 | $ | 31,529,355 | $ | 76,813,193 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 92,177 | $ | 137,099 | $ | 47,472 | $ | 35,275 | $ | 52,788 | $ | 118,020 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 300,001 | — | — | — | — | — | |||||||||||||||||||||
Issued | 225,000 | 300,001 | 225,001 | 225,001 | 450,001 | 1,050,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (300,000 | ) | — | — | — | — | — | ||||||||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 225,001 | 300,001 | 225,001 | 225,001 | 450,001 | 1,050,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
228
UltraShort FTSE/ Xinhua China 25 | UltraShort MSCI Japan | ||||||||||
November 6, 2007* through November 30, 2007 (Unaudited) | November 6, 2007* through November 30, 2007 (Unaudited) | ||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||
OPERATIONS: | |||||||||||
Net investment income (loss) | $ | 289,543 | $ | 26,908 | |||||||
Net realized gain (loss) | 29,252,677 | 1,287,562 | |||||||||
Change in net unrealized appreciation (depreciation) | (84,899,236 | ) | (1,399,152 | ) | |||||||
Change in Net Assets Resulting from Operations | (55,357,016 | ) | (84,682 | ) | |||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||
Net investment income | — | — | |||||||||
Net realized gains | — | — | |||||||||
Total distributions | — | — | |||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||
Proceeds from shares issued | 420,510,778 | 10,502,380 | |||||||||
Cost of shares redeemed | — | — | |||||||||
Change in net assets resulting from capital transactions | 420,510,778 | 10,502,380 | |||||||||
Change in net assets | 365,153,762 | 10,417,698 | |||||||||
NET ASSETS: | |||||||||||
Beginning of period | $ | — | $ | — | |||||||
End of period | $ | 365,153,762 | $ | 10,417,698 | |||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 289,543 | $ | 26,908 | |||||||
SHARE TRANSACTIONS: | |||||||||||
Beginning of period | — | — | |||||||||
Issued | 5,250,001 | 150,001 | |||||||||
Issued in-kind | — | — | |||||||||
Redeemed | — | — | |||||||||
Redemption in-kind | — | — | |||||||||
Shares outstanding, end of period | 5,250,001 | 150,001 |
* Commencement of investment operations.
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 9 to the Financial Statements.
See accompanying notes to the financial statements.
229
ProShares Trust Financial Highlights
FOR THE PERIODS INDICATED
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | |||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (b) | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (c) | Market value (d) | ||||||||||||||||||||||||||||||||||
Ultra QQQ® | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | $ | 94.58 | $ | 0.06 | $ | 10.88 | $ | 10.94 | $ | — | $ | — | $ | — | $ | 105.52 | 11.57 | % | 11.35 | % | |||||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 70.00 | 0.14 | 29.87 | 30.01 | (0.12 | ) | (5.31 | ) | (5.43 | ) | 94.58 | 43.94 | 44.14 | ||||||||||||||||||||||||||||||
Ultra Dow30SM | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 97.22 | 0.88 | (6.70 | ) | (5.82 | ) | (0.66 | ) | — | (0.66 | ) | 90.74 | (6.02 | ) | (6.13 | ) | |||||||||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 70.00 | 1.44 | 32.95 | 34.39 | (1.02 | ) | (6.15 | ) | (7.17 | ) | 97.22 | 50.99 | 50.91 | ||||||||||||||||||||||||||||||
Ultra S&P 500® | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 98.42 | 0.77 | (9.91 | ) | (9.14 | ) | (0.52 | ) | — | (0.52 | ) | 88.76 | (9.32 | ) | (8.93 | ) | |||||||||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 70.00 | 1.22 | 31.25 | 32.47 | (0.68 | ) | (3.37 | ) | (4.05 | ) | 98.42 | 47.17 | 47.28 | ||||||||||||||||||||||||||||||
Ultra MidCap400 | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 99.03 | 0.39 | (15.25 | ) | (14.86 | ) | (0.29 | ) | — | (0.29 | ) | 83.88 | (15.02 | ) | (15.29 | ) | |||||||||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 70.00 | 0.91 | 32.78 | 33.69 | (0.73 | ) | (3.93 | ) | (4.66 | ) | 99.03 | 49.76 | 50.02 |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (e) | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
Expenses before expense reductions | Expenses net of waivers, if any | Net investment income (loss) before expense reductions | Net investment income (loss) net of waivers, if any | Net assets end of period (000's) | Portfolio turnover rate (b)(f) | ||||||||||||||||||||||
Ultra QQQ® | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.05 | % | 0.95 | % | 0.03 | % | 0.12 | % | $ | 767,676 | 23 | % | |||||||||||||||
June 19, 2006* through May 31, 2007 | 1.07 | 0.95 | 0.05 | 0.18 | 248,261 | 20 | |||||||||||||||||||||
Ultra Dow30SM | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.04 | 0.95 | 1.80 | 1.89 | 258,607 | 10 | |||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 1.22 | 0.95 | 1.57 | 1.84 | 123,956 | 81 | |||||||||||||||||||||
Ultra S&P 500® | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 0.98 | 0.95 | 1.64 | 1.67 | 612,462 | 12 | |||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 1.11 | 0.95 | 1.32 | 1.48 | 243,579 | 12 | |||||||||||||||||||||
Ultra MidCap400 | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.26 | 0.95 | 0.55 | 0.86 | 81,782 | 30 | |||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 1.34 | 0.95 | 0.77 | 1.16 | 103,986 | 28 |
See accompanying notes to the financial statements.
230
ProShares Trust Financial Highlights (continued)
FOR THE PERIODS INDICATED
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | |||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (b) | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (c) | Market value (d) | ||||||||||||||||||||||||||||||||||
Ultra SmallCap600 | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | $ | 82.62 | $ | 0.24 | $ | (17.90 | ) | $ | (17.66 | ) | $ | (0.46 | ) | $ | — | $ | (0.46 | ) | $ | 64.50 | (21.46 | )% | (21.99 | )% | |||||||||||||||||||
January 23, 2007* through May 31, 2007 | 70.00 | 0.22 | 12.40 | 12.62 | — | — | — | 82.62 | 18.03 | 18.50 | |||||||||||||||||||||||||||||||||
Ultra Russell2000 | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 79.77 | 0.37 | (17.38 | ) | (17.01 | ) | (0.49 | ) | — | (0.49 | ) | 62.27 | (21.41 | ) | (21.99 | ) | |||||||||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 70.00 | 0.27 | 9.50 | 9.77 | — | — | — | 79.77 | 13.96 | 14.29 | |||||||||||||||||||||||||||||||||
Ultra Russell1000 Value | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 75.96 | 0.63 | (14.48 | ) | (13.85 | ) | (0.76 | ) | — | (0.76 | ) | 61.35 | (18.34 | ) | (18.29 | ) | |||||||||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.40 | 5.56 | 5.96 | — | — | — | 75.96 | 8.51 | 8.04 | |||||||||||||||||||||||||||||||||
Ultra Russell1000 Growth | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 75.80 | 0.36 | (0.62 | ) | (0.26 | ) | (0.34 | ) | — | (0.34 | ) | 75.20 | (0.32 | ) | (1.23 | ) | |||||||||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.20 | 5.60 | 5.80 | — | — | — | 75.80 | 8.29 | 8.43 |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (e) | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
Expenses before expense reductions | Expenses net of waivers, if any | Net investment income (loss) before expense reductions | Net investment income (loss) net of waivers, if any | Net assets end of period (000's) | Portfolio turnover rate (b)(f) | ||||||||||||||||||||||
Ultra SmallCap600 | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 2.70 | % | 0.95 | % | (1.10 | )% | 0.65 | % | $ | 9,675 | 13 | % | |||||||||||||||
January 23, 2007* through May 31, 2007 | 2.48 | 0.95 | (0.70 | ) | 0.83 | 12,393 | 12 | ||||||||||||||||||||
Ultra Russell2000 | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.86 | 0.95 | 0.14 | 1.06 | 70,050 | 24 | |||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 2.50 | 0.95 | (0.49 | ) | 1.06 | 29,916 | 14 | ||||||||||||||||||||
Ultra Russell1000 Value | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 2.48 | 0.95 | 0.34 | 1.86 | 9,203 | 26 | |||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 2.26 | 0.95 | 0.81 | 2.12 | 11,394 | 3 | |||||||||||||||||||||
Ultra Russell1000 Growth | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 2.04 | 0.95 | (0.13 | ) | 0.96 | 22,561 | 14 | ||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 2.30 | 0.95 | (0.28 | ) | 1.06 | 11,370 | 2 |
See accompanying notes to the financial statements.
231
ProShares Trust Financial Highlights (continued)
FOR THE PERIODS INDICATED
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | |||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (b) | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (c) | Market value (d) | ||||||||||||||||||||||||||||||||||
Ultra Russell MidCap Value | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | $ | 74.99 | $ | 0.49 | $ | (18.77 | ) | $ | (18.28 | ) | $ | (0.71 | ) | $ | — | $ | (0.71 | ) | $ | 56.00 | (24.52 | )% | (24.71 | )% | |||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.39 | 4.60 | 4.99 | — | — | — | 74.99 | 7.13 | 6.96 | |||||||||||||||||||||||||||||||||
Ultra Russell MidCap Growth | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 76.27 | 0.13 | (6.20 | ) | (6.07 | ) | (0.19 | ) | — | (0.19 | ) | 70.01 | (7.98 | ) | (8.43 | ) | |||||||||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.13 | 6.14 | 6.27 | — | — | — | 76.27 | 8.97 | 8.91 | |||||||||||||||||||||||||||||||||
Ultra Russell2000 Value | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 70.79 | 0.53 | (22.14 | ) | (21.61 | ) | (0.68 | ) | — | (0.68 | ) | 48.50 | (30.74 | ) | (30.46 | ) | |||||||||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.36 | 0.43 | 0.79 | — | — | — | 70.79 | 1.13 | 0.59 | |||||||||||||||||||||||||||||||||
Ultra Russell2000 Growth | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 74.06 | 0.14 | (8.42 | ) | (8.28 | ) | (0.19 | ) | — | (0.19 | ) | 65.59 | (11.20 | ) | (10.08 | ) | |||||||||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.07 | 3.99 | 4.06 | — | — | — | 74.06 | 5.80 | 4.13 |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (e) | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
Expenses before expense reductions | Expenses net of waivers, if any | Net investment income (loss) before expense reductions | Net investment income (loss) net of waivers, if any | Net assets end of period (000's) | Portfolio turnover rate (b)(f) | ||||||||||||||||||||||
Ultra Russell MidCap Value | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 2.37 | % | 0.95 | % | 0.11 | % | 1.53 | % | $ | 8,400 | 41 | % | |||||||||||||||
February 20, 2007* through May 31, 2007 | 2.21 | 0.95 | 0.82 | 2.07 | 11,249 | 3 | |||||||||||||||||||||
Ultra Russell MidCap Growth | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 2.07 | 0.95 | (0.76 | ) | 0.37 | 15,752 | 35 | ||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 2.23 | 0.95 | (0.57 | ) | 0.71 | 11,441 | 2 | ||||||||||||||||||||
Ultra Russell2000 Value | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 4.06 | 0.95 | (1.30 | ) | 1.81 | 7,274 | 43 | ||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 2.64 | 0.95 | 0.27 | 1.96 | 10,619 | 4 | |||||||||||||||||||||
Ultra Russell2000 Growth | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 3.58 | 0.95 | (2.22 | ) | 0.41 | 9,839 | 40 | ||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 2.60 | 0.95 | (1.29 | ) | 0.36 | 11,109 | 5 |
See accompanying notes to the financial statements.
232
ProShares Trust Financial Highlights (continued)
FOR THE PERIODS INDICATED
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | |||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (b) | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (c) | Market value (d) | ||||||||||||||||||||||||||||||||||
Ultra Basic Materials | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | $ | 91.28 | $ | 0.61 | $ | 5.06 | $ | 5.67 | $ | (0.73 | ) | $ | — | $ | (0.73 | ) | $ | 96.22 | 6.29 | % | 5.40 | % | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.50 | 20.78 | 21.28 | — | — | — | 91.28 | 30.40 | 30.59 | |||||||||||||||||||||||||||||||||
Ultra Consumer Goods | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 76.71 | 0.69 | 1.43 | 2.12 | (1.00 | ) | — | (1.00 | ) | 77.83 | 2.87 | 3.26 | |||||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.44 | 6.27 | 6.71 | — | — | — | 76.71 | 9.59 | 8.59 | |||||||||||||||||||||||||||||||||
Ultra Consumer Services | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 73.35 | 0.21 | (15.76 | ) | (15.55 | ) | (0.40 | ) | — | (0.40 | ) | 57.40 | (21.29 | ) | (20.53 | ) | |||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.16 | 3.19 | 3.35 | — | — | — | 73.35 | 4.80 | 3.49 | |||||||||||||||||||||||||||||||||
Ultra Financials | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 71.90 | 0.66 | (25.23 | ) | (24.57 | ) | (0.86 | ) | — | (0.86 | ) | 46.47 | (34.49 | ) | (34.11 | ) | |||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.55 | 1.35 | 1.90 | — | — | — | 71.90 | 2.71 | 2.86 |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (e) | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
Expenses before expense reductions | Expenses net of waivers, if any | Net investment income (loss) before expense reductions | Net investment income (loss) net of waivers, if any | Net assets end of period (000's) | Portfolio turnover rate (b)(f) | ||||||||||||||||||||||
Ultra Basic Materials | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.42 | % | 0.95 | % | 0.86 | % | 1.33 | % | $ | 14,433 | 21 | % | |||||||||||||||
January 30, 2007* through May 31, 2007 | 1.95 | 0.95 | 0.90 | 1.90 | 13,692 | 8 | |||||||||||||||||||||
Ultra Consumer Goods | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 2.08 | 0.95 | 0.75 | 1.89 | 5,838 | 3 | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 2.02 | 0.95 | 0.76 | 1.83 | 11,507 | 1 | |||||||||||||||||||||
Ultra Consumer Services | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 2.79 | 0.95 | (1.17 | ) | 0.66 | 4,305 | 7 | ||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 2.40 | 0.95 | (0.76 | ) | 0.68 | 5,502 | 60 | ||||||||||||||||||||
Ultra Financials | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.28 | 0.95 | 2.22 | 2.55 | 149,858 | 25 | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 2.28 | 0.95 | 1.10 | 2.43 | 10,785 | 46 |
See accompanying notes to the financial statements.
233
ProShares Trust Financial Highlights (continued)
FOR THE PERIODS INDICATED
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | |||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (b) | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (c) | Market value (d) | ||||||||||||||||||||||||||||||||||
Ultra Health Care | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | $ | 77.98 | $ | 0.35 | $ | (1.24 | ) | $ | (0.89 | ) | $ | (0.72 | ) | $ | — | $ | (0.72 | ) | $ | 76.37 | (1.08 | )% | (1.37 | )% | |||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.52 | 7.46 | 7.98 | — | — | — | 77.98 | 11.40 | 11.53 | |||||||||||||||||||||||||||||||||
Ultra Industrials | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 86.92 | 0.44 | (4.56 | ) | (4.12 | ) | (0.85 | ) | — | (0.85 | ) | 81.95 | (4.77 | ) | (4.94 | ) | |||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.34 | 16.58 | 16.92 | — | — | — | 86.92 | 24.17 | 24.29 | |||||||||||||||||||||||||||||||||
Ultra Oil & Gas | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 94.94 | 1.28 | 7.51 | 8.79 | (0.43 | ) | — | (0.43 | ) | 103.30 | 9.27 | 8.91 | |||||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.36 | 24.58 | 24.94 | — | — | — | 94.94 | 35.63 | 36.01 | |||||||||||||||||||||||||||||||||
Ultra Real Estate | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 61.82 | 0.56 | (22.31 | ) | (21.75 | ) | (0.99 | ) | — | (0.99 | ) | 39.08 | (35.47 | ) | (35.58 | ) | |||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.44 | (8.62 | ) | (8.18 | ) | — | — | — | 61.82 | (11.69 | ) | (11.86 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (e) | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
Expenses before expense reductions | Expenses net of waivers, if any | Net investment income (loss) before expense reductions | Net investment income (loss) net of waivers, if any | Net assets end of period (000's) | Portfolio turnover rate (b)(f) | ||||||||||||||||||||||
Ultra Health Care | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.78 | % | 0.95 | % | 0.15 | % | 0.98 | % | $ | 11,456 | 6 | % | |||||||||||||||
January 30, 2007* through May 31, 2007 | 2.00 | 0.95 | 1.13 | 2.17 | 11,698 | 2 | |||||||||||||||||||||
Ultra Industrials | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 2.22 | 0.95 | (0.23 | ) | 1.04 | 12,293 | 16 | ||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 2.12 | 0.95 | 0.18 | 1.35 | 6,519 | 1 | |||||||||||||||||||||
Ultra Oil & Gas | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.18 | 0.95 | 2.25 | 2.48 | 61,979 | 48 | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.62 | 0.95 | 0.75 | 1.42 | 28,481 | 18 | |||||||||||||||||||||
Ultra Real Estate | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.59 | 0.95 | 1.85 | 2.49 | 17,584 | 44 | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.87 | 0.95 | 1.09 | 2.01 | 4,636 | 114 |
See accompanying notes to the financial statements.
234
ProShares Trust Financial Highlights (continued)
FOR THE PERIODS INDICATED
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | |||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (b) | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (c) | Market value (d) | ||||||||||||||||||||||||||||||||||
Ultra Semiconductors | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | $ | 78.50 | $ | 0.27 | $ | (5.06 | ) | $ | (4.79 | ) | $ | (0.37 | ) | $ | — | $ | (0.37 | ) | $ | 73.34 | (6.16 | )% | (6.34 | )% | |||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.28 | 8.22 | 8.50 | — | — | — | 78.50 | 12.14 | 12.34 | |||||||||||||||||||||||||||||||||
Ultra Technology | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 78.03 | 0.17 | 3.80 | 3.97 | (0.32 | ) | — | (0.32 | ) | 81.68 | 5.10 | 4.80 | |||||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.15 | 7.88 | 8.03 | — | — | — | 78.03 | 11.47 | 11.37 | |||||||||||||||||||||||||||||||||
Ultra Utilities | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 90.27 | 0.91 | (1.84 | ) | (0.93 | ) | (1.28 | ) | — | (1.28 | ) | 88.06 | (0.86 | ) | (1.74 | ) | |||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.74 | 19.53 | 20.27 | — | — | — | 90.27 | 28.96 | 29.24 | |||||||||||||||||||||||||||||||||
Short QQQ® | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 58.39 | 1.15 | (4.54 | ) | (3.39 | ) | (1.49 | ) | — | (1.49 | ) | 53.51 | (5.90 | ) | (6.02 | ) | |||||||||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 70.00 | 2.66 | (12.69 | ) | (10.03 | ) | (1.58 | ) | — | (1.58 | ) | 58.39 | (14.48 | ) | (14.39 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (e) | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
Expenses before expense reductions | Expenses net of waivers, if any | Net investment income (loss) before expense reductions | Net investment income (loss) net of waivers, if any | Net assets end of period (000's) | Portfolio turnover rate (b)(f) | ||||||||||||||||||||||
Ultra Semiconductors | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.35 | % | 0.95 | % | 0.25 | % | 0.64 | % | $ | 33,001 | 33 | % | |||||||||||||||
January 30, 2007* through May 31, 2007 | 1.94 | 0.95 | 0.17 | 1.16 | 11,775 | 3 | |||||||||||||||||||||
Ultra Technology | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.33 | 0.95 | 0.02 | 0.40 | 61,258 | 16 | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 2.25 | 0.95 | (0.66 | ) | 0.63 | 5,852 | 63 | ||||||||||||||||||||
Ultra Utilities | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.54 | 0.95 | 1.66 | 2.24 | 13,210 | 20 | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.88 | 0.95 | 1.73 | 2.66 | 13,541 | — | (g) | ||||||||||||||||||||
Short QQQ® | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.16 | 0.95 | 3.88 | 4.09 | 68,224 | — | |||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 1.14 | 0.95 | 4.20 | 4.38 | 91,962 | — |
See accompanying notes to the financial statements.
235
ProShares Trust Financial Highlights (continued)
FOR THE PERIODS INDICATED
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | |||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (b) | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (c) | Market value (d) | ||||||||||||||||||||||||||||||||||
Short Dow30SM | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | $ | 58.25 | $ | 1.18 | $ | 0.97 | $ | 2.15 | $ | (1.17 | ) | $ | — | $ | (1.17 | ) | $ | 59.23 | 3.73 | % | 3.51 | % | |||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 70.00 | 2.63 | (12.91 | ) | (10.28 | ) | (1.47 | ) | — | (1.47 | ) | 58.25 | (14.83 | ) | (14.79 | ) | |||||||||||||||||||||||||||
Short S&P 500® | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 58.88 | 1.19 | 1.81 | 3.00 | (1.31 | ) | — | (1.31 | ) | 60.57 | 5.15 | 5.01 | |||||||||||||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 70.00 | 2.59 | (12.11 | ) | (9.52 | ) | (1.60 | ) | — | (1.60 | ) | 58.88 | (13.70 | ) | (13.60 | ) | |||||||||||||||||||||||||||
Short MidCap400 | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 56.87 | 1.22 | 3.70 | 4.92 | (1.69 | ) | — | (1.69 | ) | 60.10 | 8.76 | 8.73 | |||||||||||||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 70.00 | 2.65 | (13.33 | ) | (10.68 | ) | (2.45 | ) | — | (2.45 | ) | 56.87 | (15.54 | ) | (15.51 | ) | |||||||||||||||||||||||||||
Short SmallCap600 | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 65.09 | 1.37 | 6.43 | 7.80 | (1.93 | ) | — | (1.93 | ) | 70.96 | 12.21 | 12.19 | |||||||||||||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 70.00 | 1.05 | (5.96 | ) | (4.91 | ) | — | — | — | 65.09 | (7.01 | ) | (6.84 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (e) | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
Expenses before expense reductions | Expenses net of waivers, if any | Net investment income (loss) before expense reductions | Net investment income (loss) net of waivers, if any | Net assets end of period (000's) | Portfolio turnover rate (b)(f) | ||||||||||||||||||||||
Short Dow30SM | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.05 | % | 0.95 | % | 3.91 | % | 4.01 | % | $ | 128,825 | — | % | |||||||||||||||
June 19, 2006* through May 31, 2007 | 1.21 | 0.95 | 4.13 | 4.39 | 126,699 | — | |||||||||||||||||||||
Short S&P 500® | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 0.97 | 0.95 | 3.93 | 3.95 | 231,770 | — | |||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 1.08 | 0.95 | 4.20 | 4.33 | 185,555 | — | |||||||||||||||||||||
Short MidCap400 | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.07 | 0.95 | 4.04 | 4.15 | 49,579 | — | |||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 1.07 | 0.95 | 4.24 | 4.36 | 110,890 | — | |||||||||||||||||||||
Short SmallCap600 | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.40 | 0.95 | 3.62 | 4.07 | 10,643 | — | |||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 1.89 | 0.95 | 3.49 | 4.43 | 9,763 | — |
See accompanying notes to the financial statements.
236
ProShares Trust Financial Highlights (continued)
FOR THE PERIODS INDICATED
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | |||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (b) | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (c) | Market value (d) | ||||||||||||||||||||||||||||||||||
Short Russell2000 | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | $ | 66.19 | $ | 1.38 | $ | 6.02 | $ | 7.40 | $ | (1.31 | ) | $ | — | $ | (1.31 | ) | $ | 72.28 | 11.31 | % | 11.42 | % | |||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 70.00 | 1.02 | (4.83 | ) | (3.81 | ) | — | — | — | 66.19 | (5.44 | ) | (5.29 | ) | |||||||||||||||||||||||||||||
UltraShort QQQ® | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 46.21 | 0.89 | (7.82 | ) | (6.93 | ) | (0.97 | ) | — | (0.97 | ) | 38.31 | (15.19 | ) | (15.20 | ) | |||||||||||||||||||||||||||
July 11, 2006* through May 31, 2007 | 70.00 | 1.98 | (24.86 | ) | (22.88 | ) | (0.91 | ) | — | (0.91 | ) | 46.21 | (32.86 | ) | (33.01 | ) | |||||||||||||||||||||||||||
UltraShort Dow30SM | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 48.86 | 1.00 | 0.86 | 1.86 | (0.88 | ) | — | (0.88 | ) | 49.84 | 3.85 | 3.88 | |||||||||||||||||||||||||||||||
July 11, 2006* through May 31, 2007 | 70.00 | 2.13 | (22.17 | ) | (20.04 | ) | (1.10 | ) | — | (1.10 | ) | 48.86 | (28.86 | ) | (28.80 | ) | |||||||||||||||||||||||||||
UltraShort S&P500® | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 51.05 | 1.05 | 2.23 | 3.28 | (0.87 | ) | — | (0.87 | ) | 53.46 | 6.47 | 6.37 | |||||||||||||||||||||||||||||||
July 11, 2006* through May 31, 2007 | 70.00 | 2.21 | (20.09 | ) | (17.88 | ) | (1.07 | ) | — | (1.07 | ) | 51.05 | (25.72 | ) | (25.76 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (e) | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
Expenses before expense reductions | Expenses net of waivers, if any | Net investment income (loss) before expense reductions | Net investment income (loss) net of waivers, if any | Net assets end of period (000's) | Portfolio turnover rate (b)(f) | ||||||||||||||||||||||
Short Russell2000 | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.18 | % | 0.95 | % | 3.72 | % | 3.96 | % | $ | 43,365 | — | % | |||||||||||||||
January 23, 2007* through May 31, 2007 | 1.70 | 0.95 | 3.52 | 4.27 | 24,822 | — | |||||||||||||||||||||
UltraShort QQQ® | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.02 | 0.95 | 4.12 | 4.19 | 1,387,607 | — | |||||||||||||||||||||
July 11, 2006* through May 31, 2007 | 0.98 | 0.95 | 4.27 | 4.30 | 2,315,287 | — | |||||||||||||||||||||
UltraShort Dow30SM | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 0.98 | 0.95 | 4.03 | 4.06 | 422,431 | — | |||||||||||||||||||||
July 11, 2006* through May 31, 2007 | 1.05 | 0.95 | 4.21 | 4.31 | 575,285 | — | |||||||||||||||||||||
UltraShort S&P500® | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 0.91 | 0.91 | 3.95 | 3.95 | 1,700,032 | — | |||||||||||||||||||||
July 11, 2006* through May 31, 2007 | 0.96 | 0.95 | 4.33 | 4.35 | 941,936 | — |
See accompanying notes to the financial statements.
237
ProShares Trust Financial Highlights (continued)
FOR THE PERIODS INDICATED
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | |||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (b) | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (c) | Market value (d) | ||||||||||||||||||||||||||||||||||
UltraShort MidCap400 | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | $ | 49.34 | $ | 1.08 | $ | 5.69 | $ | 6.77 | $ | (1.15 | ) | $ | — | $ | (1.15 | ) | $ | 54.96 | 13.79 | % | 13.46 | % | |||||||||||||||||||||
July 11, 2006* through May 31, 2007 | 70.00 | 2.31 | (21.45 | ) | (19.14 | ) | (1.52 | ) | — | (1.52 | ) | 49.34 | (27.71 | ) | (27.83 | ) | |||||||||||||||||||||||||||
UltraShort SmallCap600 | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 59.13 | 1.31 | 10.61 | 11.92 | (1.36 | ) | — | (1.36 | ) | 69.69 | 20.43 | 20.54 | |||||||||||||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 70.00 | 1.03 | (11.90 | ) | (10.87 | ) | — | — | — | 59.13 | (15.53 | ) | (15.23 | ) | |||||||||||||||||||||||||||||
UltraShort Russell2000 | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 61.00 | 1.28 | 9.64 | 10.92 | (0.96 | ) | — | (0.96 | ) | 70.96 | 18.05 | 18.15 | |||||||||||||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 70.00 | 0.95 | (9.95 | ) | (9.00 | ) | — | — | — | 61.00 | (12.86 | ) | (13.04 | ) | |||||||||||||||||||||||||||||
UltraShort Russell1000 Value | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 64.88 | 1.43 | 10.12 | 11.55 | (2.06 | ) | — | (2.06 | ) | 74.37 | 18.11 | 18.81 | |||||||||||||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.87 | (5.99 | ) | (5.12 | ) | — | — | — | 64.88 | (7.31 | ) | (7.70 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (e) | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
Expenses before expense reductions | Expenses net of waivers, if any | Net investment income (loss) before expense reductions | Net investment income (loss) net of waivers, if any | Net assets end of period (000's) | Portfolio turnover rate (b)(f) | ||||||||||||||||||||||
UltraShort MidCap400 | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 0.98 | % | 0.95 | % | 4.03 | % | 4.06 | % | $ | 177,231 | — | % | |||||||||||||||
July 11, 2006* through May 31, 2007 | 1.05 | 0.95 | 4.29 | 4.39 | 188,742 | — | |||||||||||||||||||||
UltraShort SmallCap600 | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.14 | 0.95 | 3.87 | 4.06 | 52,270 | — | |||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 1.59 | 0.95 | 3.87 | 4.51 | 22,174 | — | |||||||||||||||||||||
UltraShort Russell2000 | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.04 | 0.95 | 3.75 | 3.83 | 670,590 | — | |||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 1.08 | 0.95 | 4.02 | 4.15 | 210,461 | — | |||||||||||||||||||||
UltraShort Russell1000 Value | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.70 | 0.95 | 3.28 | 4.03 | 11,156 | — | |||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 2.37 | 0.95 | 3.03 | 4.45 | 4,866 | — |
See accompanying notes to the financial statements.
238
ProShares Trust Financial Highlights (continued)
FOR THE PERIODS INDICATED
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | |||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (b) | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (c) | Market value (d) | ||||||||||||||||||||||||||||||||||
UltraShort Russell1000 Growth | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | $ | 65.07 | $ | 1.28 | $ | (2.59 | ) | $ | (1.31 | ) | $ | (1.75 | ) | $ | — | $ | (1.75 | ) | $ | 62.01 | (2.16 | )% | (1.61 | )% | |||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.88 | (5.81 | ) | (4.93 | ) | — | — | — | 65.07 | (7.04 | ) | (7.46 | ) | |||||||||||||||||||||||||||||
UltraShort Russell MidCap Value | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 65.74 | 1.53 | 16.45 | 17.98 | (2.13 | ) | — | (2.13 | ) | 81.59 | 27.80 | 27.77 | |||||||||||||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.89 | (5.15 | ) | (4.26 | ) | — | — | — | 65.74 | (6.09 | ) | (5.79 | ) | |||||||||||||||||||||||||||||
UltraShort Russell MidCap Growth | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 64.41 | 1.36 | 1.69 | 3.05 | (2.60 | ) | — | (2.60 | ) | 64.86 | 4.71 | 4.55 | |||||||||||||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.89 | (6.48 | ) | (5.59 | ) | — | — | — | 64.41 | (7.99 | ) | (7.86 | ) | |||||||||||||||||||||||||||||
UltraShort Russell2000 Value | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 68.66 | 1.61 | 21.02 | 22.63 | (2.10 | ) | — | (2.10 | ) | 89.19 | 33.66 | 33.86 | |||||||||||||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.96 | (2.30 | ) | (1.34 | ) | — | — | — | 68.66 | (1.91 | ) | (1.61 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (e) | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
Expenses before expense reductions | Expenses net of waivers, if any | Net investment income (loss) before expense reductions | Net investment income (loss) net of waivers, if any | Net assets end of period (000's) | Portfolio turnover rate (b)(f) | ||||||||||||||||||||||
UltraShort Russell1000 Growth | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.52 | % | 0.95 | % | 3.45 | % | 4.02 | % | $ | 18,603 | — | % | |||||||||||||||
February 20, 2007* through May 31, 2007 | 2.36 | 0.95 | 3.03 | 4.44 | 4,881 | — | |||||||||||||||||||||
UltraShort Russell MidCap Value | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.73 | 0.95 | 3.31 | 4.09 | 6,119 | — | |||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 2.37 | 0.95 | 3.12 | 4.53 | 4,931 | — | |||||||||||||||||||||
UltraShort Russell MidCap Growth | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.80 | 0.95 | 3.32 | 4.16 | 4,865 | — | |||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 1.99 | 0.95 | 3.51 | 4.55 | 4,831 | — | |||||||||||||||||||||
UltraShort Russell2000 Value | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.28 | 0.95 | 3.59 | 3.92 | 46,824 | — | |||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 2.12 | 0.95 | 3.59 | 4.76 | 5,150 | — |
See accompanying notes to the financial statements.
239
ProShares Trust Financial Highlights (continued)
FOR THE PERIODS INDICATED
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | |||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (b) | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (c) | Market value (d) | ||||||||||||||||||||||||||||||||||
UltraShort Russell2000 Growth | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | $ | 65.55 | $ | 1.39 | $ | 2.58 | $ | 3.97 | $ | (1.67 | ) | $ | — | $ | (1.67 | ) | $ | 67.85 | 6.12 | % | 6.38 | % | |||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.92 | (5.37 | ) | (4.45 | ) | — | — | — | 65.55 | (6.36 | ) | (6.17 | ) | |||||||||||||||||||||||||||||
UltraShort Basic Materials | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 53.08 | 1.03 | (8.77 | ) | (7.74 | ) | (1.34 | ) | — | (1.34 | ) | 44.00 | (15.01 | ) | (14.47 | ) | |||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.96 | (17.88 | ) | (16.92 | ) | — | — | — | 53.08 | (24.17 | ) | (24.54 | ) | |||||||||||||||||||||||||||||
UltraShort Consumer Goods | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 64.74 | 1.30 | (3.08 | ) | (1.78 | ) | (1.66 | ) | — | (1.66 | ) | 61.30 | (2.95 | ) | (2.41 | ) | |||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 1.02 | (6.28 | ) | (5.26 | ) | — | — | — | 64.74 | (7.51 | ) | (7.57 | ) | |||||||||||||||||||||||||||||
UltraShort Consumer Services | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 67.48 | 1.44 | 14.20 | 15.64 | (2.10 | ) | — | (2.10 | ) | 81.02 | 23.58 | 23.89 | |||||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 1.06 | (3.58 | ) | (2.52 | ) | — | — | — | 67.48 | (3.60 | ) | (3.70 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (e) | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
Expenses before expense reductions | Expenses net of waivers, if any | Net investment income (loss) before expense reductions | Net investment income (loss) net of waivers, if any | Net assets end of period (000's) | Portfolio turnover rate (b)(f) | ||||||||||||||||||||||
UltraShort Russell2000 Growth | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.29 | % | 0.95 | % | 3.83 | % | 4.17 | % | $ | 25,442 | — | % | |||||||||||||||
February 20, 2007* through May 31, 2007 | 1.78 | 0.95 | 3.84 | 4.66 | 14,750 | — | |||||||||||||||||||||
UltraShort Basic Materials | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.21 | 0.95 | 4.00 | 4.25 | 75,896 | — | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 2.00 | 0.95 | 3.64 | 4.69 | 7,961 | — | |||||||||||||||||||||
UltraShort Consumer Goods | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.36 | 0.95 | 3.57 | 3.97 | 22,987 | — | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.91 | 0.95 | 3.52 | 4.47 | 9,711 | — | |||||||||||||||||||||
UltraShort Consumer Services | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.37 | 0.95 | 3.31 | 3.73 | 30,384 | — | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.94 | 0.95 | 3.56 | 4.55 | 5,601 | — |
See accompanying notes to the financial statements.
240
ProShares Trust Financial Highlights (continued)
FOR THE PERIODS INDICATED
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | |||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (b) | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (c) | Market value (d) | ||||||||||||||||||||||||||||||||||
UltraShort Financials | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | $ | 68.14 | $ | 1.55 | $ | 23.26 | $ | 24.81 | $ | (1.21 | ) | $ | — | $ | (1.21 | ) | $ | 91.74 | 36.79 | % | 36.08 | % | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 1.01 | (2.87 | ) | (1.86 | ) | — | — | — | 68.14 | (2.66 | ) | (2.86 | ) | |||||||||||||||||||||||||||||
UltraShort Health Care | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 63.76 | 1.39 | (0.37 | ) | 1.02 | (1.92 | ) | — | (1.92 | ) | 62.86 | 1.43 | 1.98 | ||||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 1.02 | (7.26 | ) | (6.24 | ) | — | — | — | 63.76 | (8.91 | ) | (9.09 | ) | |||||||||||||||||||||||||||||
UltraShort Industrials | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 56.92 | 1.07 | (0.12 | ) | 0.95 | (1.65 | ) | — | (1.65 | ) | 56.22 | 1.70 | 2.13 | ||||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 1.00 | (14.08 | ) | (13.08 | ) | — | — | — | 56.92 | (18.69 | ) | (18.64 | ) | |||||||||||||||||||||||||||||
UltraShort Oil & Gas | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 50.99 | 0.79 | (9.21 | ) | (8.42 | ) | (0.62 | ) | — | (0.62 | ) | 41.95 | (16.62 | ) | (16.52 | ) | |||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.94 | (19.95 | ) | (19.01 | ) | — | — | — | 50.99 | (27.16 | ) | (27.16 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (e) | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
Expenses before expense reductions | Expenses net of waivers, if any | Net investment income (loss) before expense reductions | Net investment income (loss) net of waivers, if any | Net assets end of period (000's) | Portfolio turnover rate (b)(f) | ||||||||||||||||||||||
UltraShort Financials | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 0.95 | % | 0.95 | % | 3.63 | % | 3.63 | % | $ | 970,170 | — | % | |||||||||||||||
January 30, 2007* through May 31, 2007 | 1.30 | 0.95 | 3.92 | 4.27 | 56,213 | — | |||||||||||||||||||||
UltraShort Health Care | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.41 | 0.95 | 3.66 | 4.12 | 9,430 | — | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.91 | 0.95 | 3.53 | 4.49 | 9,564 | — | |||||||||||||||||||||
UltraShort Industrials | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.50 | 0.95 | 3.26 | 3.82 | 21,084 | — | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 2.00 | 0.95 | 3.57 | 4.62 | 4,269 | — | |||||||||||||||||||||
UltraShort Oil & Gas | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.04 | 0.95 | 3.60 | 3.69 | 308,327 | — | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.59 | 0.95 | 3.87 | 4.51 | 30,595 | — |
See accompanying notes to the financial statements.
241
ProShares Trust Financial Highlights (continued)
FOR THE PERIODS INDICATED
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | |||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (b) | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (c) | Market value (d) | ||||||||||||||||||||||||||||||||||
UltraShort Real Estate | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | $ | 76.73 | $ | 1.90 | $ | 25.49 | $ | 27.39 | $ | (1.24 | ) | $ | — | $ | (1.24 | ) | $ | 102.88 | 35.88 | % | 35.69 | % | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 1.10 | 5.63 | 6.73 | — | — | — | 76.73 | 9.61 | 9.90 | |||||||||||||||||||||||||||||||||
UltraShort Semiconductors | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 61.64 | 1.17 | (1.95 | ) | (0.78 | ) | (1.76 | ) | — | (1.76 | ) | 59.10 | (1.09 | ) | (0.60 | ) | |||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 1.00 | (9.36 | ) | (8.36 | ) | — | — | — | 61.64 | (11.94 | ) | (12.16 | ) | |||||||||||||||||||||||||||||
UltraShort Technology | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 63.03 | 1.14 | (7.07 | ) | (5.93 | ) | (2.31 | ) | — | (2.31 | ) | 54.79 | (9.57 | ) | (9.41 | ) | |||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 1.06 | (8.03 | ) | (6.97 | ) | — | — | — | 63.03 | (9.96 | ) | (9.71 | ) | |||||||||||||||||||||||||||||
UltraShort Utilities | |||||||||||||||||||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 54.43 | 1.25 | (3.08 | ) | (1.83 | ) | (1.60 | ) | — | (1.60 | ) | 51.00 | (3.68 | ) | (3.42 | ) | |||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.88 | (16.45 | ) | (15.57 | ) | — | — | — | 54.43 | (22.24 | ) | (22.39 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (e) | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
Expenses before expense reductions | Expenses net of waivers, if any | Net investment income (loss) before expense reductions | Net investment income (loss) net of waivers, if any | Net assets end of period (000's) | Portfolio turnover rate (b)(f) | ||||||||||||||||||||||
UltraShort Real Estate | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 0.97 | % | 0.95 | % | 3.92 | % | 3.93 | % | $ | 570,972 | — | % | |||||||||||||||
January 30, 2007* through May 31, 2007 | 1.24 | 0.95 | 4.00 | 4.29 | 97,829 | — | |||||||||||||||||||||
UltraShort Semiconductors | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.49 | 0.95 | 3.71 | 4.25 | 8,865 | — | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.94 | 0.95 | 3.57 | 4.55 | 9,246 | — | |||||||||||||||||||||
UltraShort Technology | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.66 | 0.95 | 3.27 | 3.99 | 16,438 | — | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.95 | 0.95 | 3.56 | 4.55 | 4,727 | — | |||||||||||||||||||||
UltraShort Utilities | |||||||||||||||||||||||||||
Six months ended November 30, 2007 (Unaudited) | 1.27 | 0.95 | 3.96 | 4.28 | 11,474 | — | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 2.00 | 0.95 | 3.44 | 4.49 | 16,330 | — |
See accompanying notes to the financial statements.
242
ProShares Trust Financial Highlights (continued)
FOR THE PERIODS INDICATED
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | |||||||||||||||||||||||||||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | |||||||||||||||||||||||||||||||||||||||||||
INVESTMENT OPERATIONS | DISTRIBUTIONS | TOTAL RETURN (b) | |||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (c) | Market value (d) | ||||||||||||||||||||||||||||||||||
Short MSCI EAFE | |||||||||||||||||||||||||||||||||||||||||||
October 23, 2007* through November 30, 2007 (Unaudited) | $ | 70.00 | $ | 0.25 | (h) | $ | 0.17 | (h) | $ | 0.42 | $ | — | $ | — | $ | — | $ | 70.42 | 0.60 | % | 0.90 | % | |||||||||||||||||||||
Short MSCI Emerging Markets | |||||||||||||||||||||||||||||||||||||||||||
October 30, 2007* through November 30, 2007 (Unaudited) | 70.00 | 0.22 | (h) | 2.26 | (h) | 2.48 | — | — | — | 72.48 | 3.54 | 3.76 | |||||||||||||||||||||||||||||||
UltraShort MSCI EAFE | |||||||||||||||||||||||||||||||||||||||||||
October 23, 2007* through November 30, 2007 (Unaudited) | 70.00 | 0.23 | (h) | (0.16 | )(h) | 0.07 | — | — | — | 70.07 | 0.10 | 0.49 | |||||||||||||||||||||||||||||||
UltraShort MSCI Emerging Markets | |||||||||||||||||||||||||||||||||||||||||||
October 30, 2007* through November 30, 2007 (Unaudited) | 70.00 | 0.22 | (h) | 2.94 | (h) | 3.16 | — | — | — | 73.16 | 4.51 | 5.19 | |||||||||||||||||||||||||||||||
UltraShort FTSE/Xinhua China 25 | |||||||||||||||||||||||||||||||||||||||||||
November 6, 2007* through November 30, 2007 (Unaudited) | 70.00 | 0.16 | (h) | (0.61 | )(h) | (0.45 | ) | — | — | — | 69.55 | (0.64 | ) | 0.74 | |||||||||||||||||||||||||||||
UltraShort MSCI Japan | |||||||||||||||||||||||||||||||||||||||||||
November 6, 2007* through November 30, 2007 (Unaudited) | 70.00 | 0.18 | (h) | (0.73 | )(h) | (0.55 | ) | — | — | — | 69.45 | (0.79 | ) | (0.67 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (e) | SUPPLEMENTAL DATA | ||||||||||||||||||||||||||
Expenses before expense reductions | Expenses net of waivers, if any | Net investment income (loss) before expense reductions | Net investment income (loss) net of waivers, if any | Net assets end of period (000's) | Portfolio turnover rate (b)(f) | ||||||||||||||||||||||
Short MSCI EAFE | |||||||||||||||||||||||||||
October 23, 2007* through November 30, 2007 (Unaudited) | 2.15 | % | 0.95 | % | 2.24 | % | 3.43 | % | $ | 15,845 | — | % | |||||||||||||||
Short MSCI Emerging Markets | |||||||||||||||||||||||||||
October 30, 2007* through November 30, 2007 (Unaudited) | 2.33 | 0.95 | 2.15 | 3.53 | 16,308 | — | |||||||||||||||||||||
UltraShort MSCI EAFE | |||||||||||||||||||||||||||
October 23, 2007* through November 30, 2007 (Unaudited) | 1.92 | 0.95 | 2.06 | 3.03 | 31,529 | — | |||||||||||||||||||||
UltraShort MSCI Emerging Markets | |||||||||||||||||||||||||||
October 30, 2007* through November 30, 2007 (Unaudited) | 1.37 | 0.95 | 2.83 | 3.24 | 76,813 | — | |||||||||||||||||||||
UltraShort FTSE/Xinhua China 25 | |||||||||||||||||||||||||||
November 6, 2007* through November 30, 2007 (Unaudited) | 1.10 | 0.95 | 2.85 | 3.00 | 365,154 | — | |||||||||||||||||||||
UltraShort MSCI Japan | |||||||||||||||||||||||||||
November 6, 2007* through November 30, 2007 (Unaudited) | 3.25 | 0.95 | 1.37 | 3.67 | 10,418 | — |
See accompanying notes to the financial statements.
243
ProShares Trust Notes to Financial Highlights:
* Commencement of investment operations.
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Not annualized for periods less than one year.
(c) Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. This percentage is not an indication of the performance of a shareholder's investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.
(d) Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period at market value. Market value is determined by trading that occurs on the American Stock Exchange (AMEX). Market value may be greater or less than net asset value, depending on the Fund's closing price on the AMEX.
(e) Annualized for periods less than one year.
(f) Portfolio turnover rate is calculated without regard to instruments having a maturity of less than one year from acquisition or derivative instruments (including swap agreements and futures contracts). The portfolio turnover rate can be high and volatile due to the sales and purchases of fund shares during the period.
(g) Less than 0.5%
(h) The amount shown for a share outstanding throughout the period does not accord with the aggregate net income and/or gain on investments for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund.
See accompanying notes to the financial statements.
244
ProShares Trust Notes to Financial Statements
November 30, 2007 (Unaudited)
1. Organization
ProShares Trust, a Delaware statutory trust, (the "Trust") was formed on May 29, 2002, and has authorized capital of unlimited shares at no par value. The Trust is comprised of 58 active Funds (collectively, the "Funds" and individually, a "Fund"). Each Fund is a "non-diversified" series of the Trust pursuant to the Investment Company Act of 1940 ("1940 Act").
The Funds had no operations prior to June 19, 2006, other than matters relating to their organization and registration and the sale and issuance to ProShares Advisors LLC of 1,428 shares of Short S&P 500® ProShares at an aggregate price of $100,000.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by each Fund in preparation of its financial statements. These policies are in conformity with U.S. generally accepted accounting principles. The preparation of financial statements in accordance with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts. The actual results could differ from those estimates.
Security Valuation
Security prices are generally provided by a third party pricing service. The securities in the portfolio of a Fund, except as otherwise noted, that are listed or traded on a stock exchange or the NASDAQ National Market System, are valued at the closing price, if available, or the last sale price, on the exchange or market where the security is principally traded. If there have been no sales for that day on the exchange or system where the security is principally traded, then the value may be determined with reference to the last sale price, or the closing price, if applicable, on any other exchange or system. If there have been no sales for that day on any exchange or system, a security may be valued at the mean between the closing bid and asked quotes on the exchange or system where the security is principally traded, or at the most recent closing price, if applicable, or at such other price that ProShare Advisors LLC (the "Advisor") deems appropriate in accordance with procedures approved by the Trust's Board of Trustees.
Securities regularly traded in the over-the-counter ("OTC") markets, including securities listed on an exchange but that are primarily traded OTC other than those traded on the NASDAQ Stock Market, are valued on the basis of the mean between the bid and asked quotes based upon quotes furnished by primary market makers for those instruments. Short-term debt securities maturing in sixty days or less are generally valued at amortized cost, which approximates market value.
Debt securities, futures contracts and options on securities, indices and futures contracts are generally valued at their last sale price prior to the time at which the net asset value per share of a Fund is determined. If there was no sale on that day, fair valuation procedures as described below may be applied. Valuation of certain derivatives is performed using procedures approved by the Trust's Board of Trustees.
When the Advisor determines that the price of a security is not readily available or deemed unreliable (e.g., an approved pricing service does not provide a price, a furnished price is in error, certain stale prices, or an event occurs that materially affects the furnished price), it may in good faith establish a fair value for that security in accordance with procedures established by and under the general supervision and responsibility of the Trust's Board of Trustees.
American Depositary Receipts ("ADRs")
ADRs represent the right to receive securities of foreign issuers deposited in a bank or trust company. ADRs are an alternative to purchasing the underlying securities in their national markets and currencies. Investment in ADRs has certain advantages over direct investment in the underlying foreign securities since: (i) ADRs are U.S. dollar-denominated investments that are easily transferable and for which market quotations are readily available, and (ii) issuers whose securities are represented by ADRs are generally subject to auditing, accounting and financial reporting standards similar to those applied to domestic issuers.
245
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2007 (Unaudited)
Repurchase Agreements
Under a repurchase agreement, the Fund purchases a debt security and simultaneously agrees to sell the security back to the seller at a mutually agreed-upon future price and date, normally one day or a few days later. The resale price is greater than the purchase price, reflecting an agreed-upon market interest rate during the purchaser's holding period. While the maturities of the underlying collateral securities in repurchase transactions may be more than one year, the term of each repurchase agreement will always be less than one year. A Fund will enter into repurchase agreements only with large, well-capitalized and well-established financial institutions. The creditworthiness of each of the firms which is a counterparty to a repurchase agreement will be monitored by the Advisor.
In addition, the value of the collateral underlying the repurchase agreement will always be at least equal to the repurchase price, including any accrued interest earned on the repurchase agreement. The Funds invest in repurchase agreements jointly, therefore, each Fund holds a pro rata share of the collateral based upon the dollar amount of the repurchase agreements entered into by each Fund. The collateral underlying the repurchase agreement is held by the Fund's custodian. Repurchase agreement risk is the risk that the counterparty to the repurchase agreement that sells the securities may default on its obligation to repurchase them. In this circumstance, a Fund may lose money because: it may not be able to sell the securities at the agreed upon time and price, the securities may lose value before they can be sold, the selling institution may default or declare bankruptcy or the Fund may have difficulty exercising rights to the collateral .
Real Estate Investment Trusts
The Funds may own shares of real estate investment trusts ("REITS") which report information on the source of their distributions annually. Certain distributions received from REITS during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Futures Contracts
The Funds may purchase or sell stock index futures contracts as a substitute for a comparable market position in the underlying securities or to satisfy regulatory requirements. A futures contract generally obligates the seller to deliver (and the purchaser to take delivery of) the specified commodity on the expiration date of the contract. A stock index futures contract obligates the seller to deliver (and the purchaser to accept) an amount of cash equal to a specific dollar amount multiplied by the difference between the final settlement price of a specific stock index futures contract and the price at which the agreement is made. The underlying stocks in the index are not physically delivered. Futures contracts may also be closed by entering into an offsetting transaction before final settlement.
Upon entering into a contract, the Fund is required to deposit and maintain as collateral such initial margin as required by the exchange on which the transaction is effected. A portion of the initial margin is segregated cash balances with brokers for futures contracts, as disclosed in the Statement of Assets and Liabilities, and is restricted as to its use. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. The Fund will realize a gain or loss upon closing of a futures transaction.
Futures contracts involve, to varying degrees, elements of market risk and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. The primary risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying securities and the possibility of an illiquid market for a futures contract.
Swap Agreements
The Funds may enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in securities (or shorting securities), or to hedge a position. Index swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a "net basis" with a single payment. Consequently, a Fund's current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the "net amount"). In a "long" swap agreement, the counterparty will generally agree to pay the Fund
246
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2007 (Unaudited)
the amount, if any, by which the notional amount of the swap agreement would have increased in value had it been invested in the particular instruments, plus an amount equal to any dividends or interest that would have been received on those instruments. The Fund will agree to pay to the counterparty an amount equal to a floating rate of interest (e.g., a LIBOR based rate) on the notional amount of the swap agreement plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such instruments plus, in certain instances, commissions of trading spreads on the notional amount. Therefore, the return to the Fund on a long swap agreement should be the gain or loss on the notional amount plus dividends or interest on the instruments less the interest paid by the Fund on the notional amount. Swap agreements do not involve the delivery of securities or other underlying instruments. The net amount of the excess, if any, of a Fund's obligations over its entitlements with respect to each swap is accrued on a daily basis and an amount of cash or liquid assets, having an aggregate net asset value at least equal to such accrued excess is maintained in a segregated account by a Fund's custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount plus dividends or interest on the underlying instruments less the interest payable by the Fund on the notional amount are recorded as "unrealized appreciation or depreciation on swap agreements" and when cash is exchanged, the gain or loss realized is recorded as "realized gains or losses on swap agreements". Swap agreements are collateralized by certain securities of each particular Fund.
The Fund may also enter into swap agreements that provide the opposite return of their benchmark index or security ("short" the index or security). Their operations are similar to that of the swaps disclosed above except that the counterparty pays interest to the Fund on the notional amount outstanding and that dividends or interest on the underlying instruments reduce the value of the swap, plus, in certain instances, the Fund will agree to pay to the counterparty commissions or trading spreads on the notional amount. These amounts are netted with any unrealized gain or loss to determine the value of the swap.
Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the net asset value of the Fund. The primary risks associated with the use of swap agreements are imperfect correlation between movements in the notional amount and the price of the underlying investments and the inability of counterparties to perform. A Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will enter into swap agreements only with large, well-capitalized and well established financial institutions. The creditworthiness of each of the firms which is a party to a swap agreement is monitored by the Advisor.
Distributions
Distributions to shareholders from net investment income and net capital gain, if any, are declared and paid at least annually. The amount of distributions from net investment income and net realized gains are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. These tax differences are due to differing treatments of income and gain on various investment securities held by the Funds, timing differences and differing characterizations of distributions made by the Funds.
Taxes
Each of the Funds intends to qualify or continue to qualify as a regulated investment company and distribute all of its net investment income and capital gains to shareholders. Accordingly, no provision for Federal income taxes is required in the financial statements.
Effective November 30, 2007, the Funds adopted Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes ("FIN 48"). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the affirmative evaluation of tax positions taken or expected to be taken in the course of preparing the Funds' tax returns to determine whether it is more-likely-than-not (i.e., greater than 50-percent) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. A tax position that meets the more-likely-than-not recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. Differences between tax positions taken in a tax return and amounts recognized in the financial statements will generally result in an increas e in a liability for taxes payable (or a reduction of a tax refund receivable), including the recognition of any related interest and penalties as an operating expense.
247
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2007 (Unaudited)
Implementation of FIN 48 requires Management of the Funds to analyze all open tax years, as defined by the Statute of Limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for exam by taxing authorities (i.e., the last 4 tax year ends and the interim tax period since then). The Funds have no examinations in progress and none are expected at this time.
As of November 30, 2007, Management of the Funds has reviewed all open tax years and major jurisdictions and concluded the adoption of FIN48 resulted in no impact the Funds' net assets or results of operations. There is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.
The tax character of distributions paid may differ from the character of distributions shown on the Statement of Changes in Net Assets due to short-term capital gains being treated as ordinary income for tax purposes. The tax character of distributions paid for the tax year ended October 31, 2007, were as follows:
Fund | Distributions paid from ordinary income | Distributions paid from net long term capital gains | Total distributions | ||||||||||||
ULTRA QQQ® | $ | 16,571,347 | $ | 545,360 | $ | 17,116,707 | |||||||||
ULTRA Dow30SM | 6,783,155 | 150,978 | 6,934,133 | ||||||||||||
ULTRA S&P500® | 9,127,884 | 213,505 | 9,341,389 | ||||||||||||
ULTRA MidCap400 | 3,429,286 | 116,157 | 3,545,443 | ||||||||||||
ULTRA SmallCap 600 | 69,706 | — | 69,706 | ||||||||||||
ULTRA Russell2000 | 241,443 | — | 241,443 | ||||||||||||
ULTRA Russell1000 Value | 114,742 | — | 114,742 | ||||||||||||
ULTRA Russell1000 Growth | 59,572 | — | 59,572 | ||||||||||||
ULTRA Russell MidCap Value | 106,697 | — | 106,697 | ||||||||||||
ULTRA Russell MidCap Growth | 30,686 | — | 30,686 | ||||||||||||
ULTRA Russell2000 Value | 101,455 | — | 101,455 | ||||||||||||
ULTRA Russell2000 Growth | 28,383 | — | 28,383 | ||||||||||||
ULTRA Basic Materials | 125,876 | — | 125,876 | ||||||||||||
ULTRA Consumer Goods | 121,302 | — | 121,302 | ||||||||||||
UTLRA Consumer Services | 29,898 | — | 29,898 | ||||||||||||
ULTRA Financials | 267,133 | — | 267,133 | ||||||||||||
ULTRA Health Care | 108,065 | — | 108,065 | ||||||||||||
ULTRA Industrials | 63,653 | — | 63,653 | ||||||||||||
ULTRA Oil & Gas | 239,097 | — | 239,097 | ||||||||||||
ULTRA Real Estate | 148,970 | — | 148,970 | ||||||||||||
ULTRA Semiconductors | 70,604 | — | 70,604 | ||||||||||||
ULTRA Technology | 41,799 | — | 41,799 | ||||||||||||
ULTRA Utilities | 191,956 | — | 191,956 | ||||||||||||
SHORT QQQ® | 4,599,356 | — | 4,599,356 | ||||||||||||
SHORT Dow30SM | 4,286,394 | — | 4,286,394 | ||||||||||||
SHORT S&P500® | 7,418,631 | — | 7,418,631 | ||||||||||||
SHORT MidCap400 | 5,503,191 | — | 5,503,191 | ||||||||||||
SHORT SmallCap600 | 288,794 | — | 288,794 | ||||||||||||
SHORT Russell2000 | 592,768 | — | 592,768 | ||||||||||||
ULTRASHORT QQQ® | 57,266,415 | — | 57,266,415 | ||||||||||||
ULTRASHORT Dow30SM | 13,314,314 | — | 13,314,314 |
248
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2007 (Unaudited)
Fund | Distributions paid from ordinary income | Distributions paid from net long term capital gains | Total distributions | ||||||||||||
ULTRASHORT S&P500® | $ | 31,422,726 | — | $ | 31,422,726 | ||||||||||
ULTRASHORT MidCap400 | 6,909,701 | — | 6,909,701 | ||||||||||||
ULTRASHORT SmallCap600 | 706,605 | — | 706,605 | ||||||||||||
ULTRASHORT Russell2000 | 5,884,255 | — | 5,884,255 | ||||||||||||
ULTRASHORT Russell1000 Value | 154,274 | — | 154,274 | ||||||||||||
ULTRASHORT Russell1000 Growth | 163,998 | — | 163,998 | ||||||||||||
ULTRASHORT Russell MidCap Value | 159,558 | — | 159,558 | ||||||||||||
ULTRASHORT Russell MidCap Growth | 194,720 | — | 194,720 | ||||||||||||
ULTRASHORT Russell2000 Value | 284,761 | — | 284,761 | ||||||||||||
ULTRASHORT Russell2000 Growth | 433,580 | — | 433,580 | ||||||||||||
ULTRASHORT Basic Materials | 345,714 | — | 345,714 | ||||||||||||
ULTRASHORT Consumer Goods | 285,484 | — | 285,484 | ||||||||||||
ULTRASHORT Consumer Services | 223,979 | — | 223,979 | ||||||||||||
ULTRASHORT Financials | 4,512,539 | — | 4,512,539 | ||||||||||||
ULTRASHORT Health Care | 288,641 | — | 288,641 | ||||||||||||
ULTRASHORT Industrials | 166,136 | — | 166,136 | ||||||||||||
ULTRASHORT Oil & Gas | 876,498 | — | 876,498 | ||||||||||||
ULTRASHORT Real Estate | 4,696,897 | — | 4,696,897 | ||||||||||||
ULTRASHORT Semiconductors | 264,030 | — | 264,030 | ||||||||||||
ULTRASHORT Technology | 173,522 | — | 173,522 | ||||||||||||
ULTRASHORT Utilities | 434,651 | — | 434,651 |
The amount and character of income and gains to be distributed are determined in accordance with the income tax regulations which may differ from U.S. generally accepted accounting principles. These book/tax differences are either considered temporary or permanent in nature.
Temporary differences are generally due to differing book and tax treatments for the timing of the recognition of gains and losses on certain investment transactions and the timing and the deductibility of certain expenses.
At October 31, 2007, the Funds' tax year end, the components of accumulated earnings (deficit) on a tax basis were as follows:
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
ULTRA QQQ® | $ | 45,645,227 | $ | 3,631,483 | — | $ | (9,009,408 | ) | |||||||||||
ULTRA Dow30SM | 10,219,498 | 334,429 | — | (1,649,101 | ) | ||||||||||||||
ULTRA S&P500® | 23,419,827 | 1,376,197 | �� | — | 1,931,075 | ||||||||||||||
ULTRA MidCap400 | 3,259,681 | 370,144 | — | (5,411,258 | ) | ||||||||||||||
ULTRA SmallCap 600 | 391,286 | 4,885 | — | (934,158 | ) | ||||||||||||||
ULTRA Russell2000 | 1,138,715 | 30,960 | — | (5,795,602 | ) | ||||||||||||||
ULTRA Russell1000 Value | 16,353 | — | $ | (130,032 | ) | (783,261 | ) | ||||||||||||
ULTRA Russell1000 Growth | 771,244 | — | — | (305,936 | ) | ||||||||||||||
ULTRA Russell MidCap Value | 530 | — | (487,807 | ) | (1,232,265 | ) |
249
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2007 (Unaudited)
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
ULTRA Russell MidCap Growth | $ | 611,477 | $ | 866 | — | $ | (458,239 | ) | |||||||||||
ULTRA Russell2000 Value | 811 | — | $ | (988,098 | ) | (1,700,651 | ) | ||||||||||||
ULTRA Russell2000 Growth | 90,370 | 1,171 | — | (757,531 | ) | ||||||||||||||
ULTRA Basic Materials | 3,531,715 | — | — | (79,226 | ) | ||||||||||||||
ULTRA Consumer Goods | 42,213 | — | — | 386,266 | |||||||||||||||
UTLRA Consumer Services | 2,298 | — | (291,486 | ) | (371,220 | ) | |||||||||||||
ULTRA Financials | 94,638 | — | (317,962 | ) | (2,602,372 | ) | |||||||||||||
ULTRA Health Care | 204,503 | — | — | 801,997 | |||||||||||||||
ULTRA Industrials | 509,626 | — | — | (377,423 | ) | ||||||||||||||
ULTRA Oil & Gas | 6,355,854 | — | — | (2,581,553 | ) | ||||||||||||||
ULTRA Real Estate | 52,312 | — | (1,156,071 | ) | (2,103,679 | ) | |||||||||||||
ULTRA Semiconductors | 1,651,669 | — | — | (2,320,787 | ) | ||||||||||||||
ULTRA Technology | 1,583,667 | — | — | (6,306,834 | ) | ||||||||||||||
ULTRA Utilities | 967,997 | — | — | (1,110,842 | ) | ||||||||||||||
SHORT QQQ® | 283,546 | — | (29,838,281 | ) | 3,421,500 | ||||||||||||||
SHORT Dow30SM | 546,982 | — | (16,312,932 | ) | 2,473,758 | ||||||||||||||
SHORT S&P500® | 788,226 | — | (24,643,417 | ) | 3,562,670 | ||||||||||||||
SHORT MidCap400 | 242,043 | — | (17,259,064 | ) | 1,624,255 | ||||||||||||||
SHORT SmallCap600 | 45,758 | — | (608,042 | ) | (262,799 | ) | |||||||||||||
SHORT Russell2000 | — | — | (127,092 | ) | (763,722 | ) | |||||||||||||
ULTRASHORT QQQ® | 6,996,287 | — | (603,350,892 | ) | 72,250,422 | ||||||||||||||
ULTRASHORT Dow30SM | 2,409,274 | — | (91,657,575 | ) | (22,827,987 | ) | |||||||||||||
ULTRASHORT S&P500® | 7,568,604 | — | (228,792,720 | ) | 77,957,491 | ||||||||||||||
ULTRASHORT MidCap400 | 816,996 | — | (42,914,424 | ) | 2,685,017 | ||||||||||||||
ULTRASHORT SmallCap600 | — | — | (3,494,033 | ) | (2,252,613 | ) | |||||||||||||
ULTRASHORT Russell2000 | — | — | (31,597,502 | ) | 51,283,922 | ||||||||||||||
ULTRASHORT Russell1000 Value | — | — | — | (1,172,857 | ) | ||||||||||||||
ULTRASHORT Russell1000 Growth | — | — | (1,004,536 | ) | (1,593,109 | ) | |||||||||||||
ULTRASHORT Russell MidCap Value | 55,796 | — | — | 292,567 | |||||||||||||||
ULTRASHORT Russell MidCap Growth | — | — | (332,637 | ) | (523,018 | ) | |||||||||||||
ULTRASHORT Russell2000 Value | 35,213 | — | — | (541,219 | ) | ||||||||||||||
ULTRASHORT Russell2000 Growth | — | — | (1,195,488 | ) | (1,672,022 | ) | |||||||||||||
ULTRASHORT Basic Materials | 113,904 | — | (10,983,370 | ) | (8,648,042 | ) | |||||||||||||
ULTRASHORT Consumer Goods | 66,675 | — | (1,283,480 | ) | (660,294 | ) | |||||||||||||
ULTRASHORT Consumer Services | 954,416 | — | — | 152,510 | |||||||||||||||
ULTRASHORT Financials | 1,368,822 | — | (44,904,963 | ) | (11,931,084 | ) | |||||||||||||
ULTRASHORT Health Care | 46,086 | — | (761,500 | ) | (472,215 | ) | |||||||||||||
ULTRASHORT Industrials | 79,814 | — | (2,555,682 | ) | (710,543 | ) | |||||||||||||
ULTRASHORT Oil & Gas | 481,821 | — | (17,972,815 | ) | (18,212,682 | ) | |||||||||||||
ULTRASHORT Real Estate | — | — | (11,860,408 | ) | (40,069,872 | ) | |||||||||||||
ULTRASHORT Semiconductors | 45,810 | — | (2,425,997 | ) | (842,536 | ) |
250
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2007 (Unaudited)
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
ULTRASHORT Technology | $ | 57,077 | $ | — | — | $ | (520,399 | ) | |||||||||||
ULTRASHORT Utilities | — | — | $ | (866,821 | ) | 27,207 | |||||||||||||
SHORT MSCI EAFE | 8,850 | — | — | 89,800 | |||||||||||||||
SHORT MSCI Emerging Markets | 1,106 | — | — | (1,350,874 | ) | ||||||||||||||
ULTRASHORT MSCI EAFE | 8,881 | — | — | (2,006,481 | ) | ||||||||||||||
ULTRASHORT MSCI Emerging Markets | 1,106 | — | — | (13,721,987 | ) | ||||||||||||||
ULTRASHORT FTSE/Xinhua China 25 | — | — | — | (84,899,236 | ) | ||||||||||||||
ULTRASHORT MSCI Japan | — | — | — | (1,399,152 | ) |
For the tax year ended October 31, 2007, the following Funds had available capital loss carryforwards to offset future net capital gains, to the extent provided by regulations, through the indicated expiration date:
Fund | Expiring October 31, 2014 | Expiring October 31, 2015 | |||||||||
ULTRA Russell1000 Value | — | $ | 130,032 | ||||||||
ULTRA Russell MidCap Value | — | 487,807 | |||||||||
ULTRA Russell2000 Value | — | 988,098 | |||||||||
UTLRA Consumer Services | — | 291,486 | |||||||||
ULTRA Financials | — | 317,962 | |||||||||
ULTRA Real Estate | — | 1,156,071 | |||||||||
SHORT QQQ® | $ | 11,785,145 | 18,053,136 | ||||||||
SHORT Dow30SM | 3,884,813 | 12,428,119 | |||||||||
SHORT S&P500® | 7,147,858 | 17,495,559 | |||||||||
SHORT MidCap400 | 6,889,918 | 10,369,146 | |||||||||
SHORT SmallCap600 | — | 608,042 | |||||||||
SHORT Russell2000 | — | 127,092 | |||||||||
ULTRASHORT QQQ® | 65,260,977 | 538,089,915 | |||||||||
ULTRASHORT Dow30SM | 8,492,428 | 83,165,147 | |||||||||
ULTRASHORT S&P500® | 24,105,023 | 204,687,697 | |||||||||
ULTRASHORT MidCap400 | 12,189,910 | 30,724,514 | |||||||||
ULTRASHORT SmallCap600 | — | 3,494,033 | |||||||||
ULTRASHORT Russell2000 | — | 31,957,502 | |||||||||
ULTRASHORT Russell1000 Growth | — | 1,004,536 | |||||||||
ULTRASHORT Russell MidCap Growth | — | 332,637 | |||||||||
ULTRASHORT Russell2000 Growth | — | 1,195,488 | |||||||||
ULTRASHORT Basic Materials | — | 10,983,370 | |||||||||
ULTRASHORT Consumer Goods | — | 1,283,480 | |||||||||
ULTRASHORT Financials | — | 44,904,963 | |||||||||
ULTRASHORT Health Care | — | 761,500 | |||||||||
ULTRASHORT Industrials | — | 2,555,682 | |||||||||
ULTRASHORT Oil & Gas | — | 17,972,815 | |||||||||
ULTRASHORT Real Estate | — | 11,860,408 | |||||||||
ULTRASHORT Semiconductors | — | 2,425,997 | |||||||||
ULTRASHORT Utilities | — | 866,821 |
251
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2007 (Unaudited)
New Accounting Pronouncements
In September 2006, Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is evaluating the application of the SFAS 157 and has not at this time determined the impact, if any, resulting from the adoption of the Fund's financial statements.
In addition, in February 2007, the FASB issued Statement of Financial Accounting Standards No. 159, "The Fair Value Option for Financial Assets and Financial Liabilities - including an amendment of FASB Statement No. 115." ("SFAS 159"), which is effective for fiscal years beginning after November 15, 2007. SFAS 159 permits entities to elect to measure certain financial assets and liabilities at fair value. The fair value option may be applied instrument by instrument, is irrevocable and is applied only to entire instruments and not to portions of instruments. SFAS 159 also establishes presentation and disclosure requirements designed to facilitate comparisons between entities that choose different measurement attributes for similar types of assets and liabilities. Management continues to evaluate the impact the adoption of SFAS 159 will have on the Funds' financial statement disclosures.
3. Securities Transactions, Related Income and Allocations
During the period, security transactions are accounted for no later than one business day following the trade date. However, for financial reporting purposes, security transactions are accounted for on the trade date of the last business day of the reporting period. Realized gains and losses on security transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income is recognized on the accrual basis. Expenses directly attributable to a Fund are charged to the Fund, while expenses which are attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or another reasonable basis.
4. Advisory and Management Service Fees
ProShare Advisors LLC serves as the Trust's investment adviser pursuant to an Investment Advisory Agreement and provides management and other administrative services to the Trust pursuant to a separate Management Services Agreement. The Advisor is responsible for developing, implementing and supervising each Fund's investment program. The Advisor manages the investment and the reinvestment of the assets of the Funds, in accordance with the investment objectives, policies, and limitations of the Fund, subject to the general supervision and control of the Trustees and officers of the Trust. For these and other services, the Funds pay the Advisor advisory and management services fees at an annualized rate based upon each Fund's average daily net assets of 0.75% and 0.10%, respectively.
The Advisor has contractually agreed to waive advisory and management services fees, and if necessary reimburse certain other expenses, in order to limit the annual operating expenses of each Fund to 0.95% of average daily net assets.
The limitation for each of the Funds is as follows:
For the period June 1, 2007 to September 30, 2008 | |||||||
Fund | Expense Limit | ||||||
ULTRA QQQ® | 0.95 | % | |||||
ULTRA Dow30SM | 0.95 | % | |||||
ULTRA S&P500® | 0.95 | % | |||||
ULTRA MidCap400 | 0.95 | % | |||||
SHORT QQQ® | 0.95 | % | |||||
SHORT Dow30SM | 0.95 | % | |||||
SHORT S&P500® | 0.95 | % | |||||
SHORT MidCap400 | 0.95 | % | |||||
ULTRASHORT QQQ® | 0.95 | % | |||||
ULTRASHORT Dow30SM | 0.95 | % | |||||
ULTRASHORT S&P500® | 0.95 | % | |||||
ULTRASHORT MidCap400 | 0.95 | % |
252
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2007 (Unaudited)
For the period January 23, 2007 to September 30, 2008 | |||||||
Fund | Expense Limit | ||||||
ULTRA SmallCap 600 | 0.95 | % | |||||
ULTRA Russell2000 . | 0.95 | % | |||||
ULTRA Russell1000 Value | 0.95 | % | |||||
ULTRA Russell1000 Growth | 0.95 | % | |||||
ULTRA Russell MidCap Value . | 0.95 | % | |||||
ULTRA Russell MidCap Growth | 0.95 | % | |||||
ULTRA Russell2000 Value | 0.95 | % | |||||
ULTRA Russell2000 Growth . | 0.95 | % | |||||
ULTRA Basic Materials | 0.95 | % | |||||
ULTRA Consumer Goods | 0.95 | % | |||||
UTLRA Consumer Services . | 0.95 | % | |||||
ULTRA Financials | 0.95 | % | |||||
ULTRA Health Care . | 0.95 | % | |||||
ULTRA Industrials . | 0.95 | % | |||||
ULTRA Oil & Gas | 0.95 | % | |||||
ULTRA Real Estate | 0.95 | % | |||||
ULTRA Semiconductors . | 0.95 | % | |||||
ULTRA Technology | 0.95 | % | |||||
ULTRA Utilities | 0.95 | % | |||||
SHORT SmallCap600 | 0.95 | % | |||||
SHORT Russell2000 . | 0.95 | % | |||||
ULTRASHORT SmallCap600 | 0.95 | % | |||||
ULTRASHORT Russell2000 | 0.95 | % | |||||
ULTRASHORT Russell1000 Value | 0.95 | % | |||||
ULTRASHORT Russell1000 Growth | 0.95 | % | |||||
ULTRASHORT Russell MidCap Value | 0.95 | % | |||||
ULTRASHORT Russell MidCap Growth | 0.95 | % | |||||
ULTRASHORT Russell2000 Value | 0.95 | % | |||||
ULTRASHORT Russell2000 Growth | 0.95 | % | |||||
ULTRASHORT Basic Materials | 0.95 | % | |||||
ULTRASHORT Consumer Goods | 0.95 | % | |||||
ULTRASHORT Consumer Services | 0.95 | % | |||||
ULTRASHORT Financials | 0.95 | % | |||||
ULTRASHORT Health Care | 0.95 | % | |||||
ULTRASHORT Industrials | 0.95 | % | |||||
ULTRASHORT Oil & Gas | 0.95 | % | |||||
ULTRASHORT Real Estate | 0.95 | % | |||||
ULTRASHORT Semiconductors | 0.95 | % | |||||
ULTRASHORT Technology | 0.95 | % | |||||
ULTRASHORT Utilities | 0.95 | % | |||||
For the period October 23, 2007 to October 23, 2008 | |||||||
Fund | Expense Limit | ||||||
SHORT MSCI EAFE | 0.95 | % | |||||
ULTRASHORT MSCI EAFE | 0.95 | % |
253
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2007 (Unaudited)
For the period October 30, 2007 to October 30, 2008 | |||||||
Fund | Expense Limit | ||||||
SHORT MSCI Emerging Markets | 0.95 | % | |||||
ULTRASHORT MSCI Emerging Markets | 0.95 | % | |||||
For the period November 6, 2007 to November 6, 2008 | |||||||
Fund | Expense Limit | ||||||
ULTRASHORT FTSE/Xinhua China 25 | 0.95 | % | |||||
ULTRASHORT MSCI Japan | 0.95 | % |
For the six months ended November 30, 2007, advisory and management services fees waivers and expense reimbursements were as follows:
Fund | Advisory Fees Waived | Management Services Fees Waived | Expense Reimbursements | ||||||||||||
ULTRA QQQ® | $ | 226,018 | — | — | |||||||||||
ULTRA Dow30SM | 74,645 | — | — | ||||||||||||
ULTRA S&P500® | 56,989 | — | — | ||||||||||||
ULTRA MidCap400 | 157,393 | — | — | ||||||||||||
ULTRA SmallCap 600 | 41,866 | $ | 5,582 | $ | 49,860 | ||||||||||
ULTRA Russell2000 | 175,677 | 23,423 | 14,088 | ||||||||||||
ULTRA Russell1000 Value | 38,223 | 5,096 | 34,208 | ||||||||||||
ULTRA Russell1000 Growth | 61,626 | 8,217 | 19,504 | ||||||||||||
ULTRA Russell MidCap Value | 35,963 | 4,795 | 26,875 | ||||||||||||
ULTRA Russell MidCap Growth | 49,761 | 6,635 | 17,810 | ||||||||||||
ULTRA Russell2000 Value | 33,246 | 4,433 | 99,539 | ||||||||||||
ULTRA Russell2000 Growth | 39,678 | 5,290 | 93,480 | ||||||||||||
ULTRA Basic Materials | 41,005 | — | — | ||||||||||||
ULTRA Consumer Goods | 27,002 | 3,600 | 10,033 | ||||||||||||
UTLRA Consumer Services | 18,179 | 2,424 | |||||||||||||
ULTRA Financials | 68,234 | — | — | ||||||||||||
ULTRA Health Care | 40,592 | 4,382 | — | ||||||||||||
ULTRA Industrials | 29,943 | 3,992 | 16,670 | ||||||||||||
ULTRA Oil & Gas | 69,356 | — | — | ||||||||||||
ULTRA Real Estate | 36,765 | — | — | ||||||||||||
ULTRA Semiconductors | 45,283 | — | — | ||||||||||||
ULTRA Technology | 63,212 | — | — | ||||||||||||
ULTRA Utilities | 35,683 | — | — | ||||||||||||
SHORT QQQ® | 84,620 | — | — | ||||||||||||
SHORT Dow30SM | 60,985 | — | — | ||||||||||||
SHORT S&P500® | 23,858 | — | — | ||||||||||||
SHORT MidCap400 | 45,239 | — | — | ||||||||||||
SHORT SmallCap600 | 22,851 | — | — | ||||||||||||
SHORT Russell2000 | 39,503 | — | — | ||||||||||||
ULTRASHORT QQQ® | 582,802 | — | — | ||||||||||||
ULTRASHORT Dow30SM | 74,953 | — | — | ||||||||||||
ULTRASHORT S&P500® | — | — | — |
254
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2007 (Unaudited)
Fund | Advisory Fees Waived | Management Services Fees Waived | Expense Reimbursements | ||||||||||||
ULTRASHORT MidCap400 | $ | 24,943 | — | — | |||||||||||
ULTRASHORT SmallCap600 | 34,934 | — | — | ||||||||||||
ULTRASHORT Russell2000 | 202,651 | — | — | ||||||||||||
ULTRASHORT Russell1000 Value | 22,095 | — | — | ||||||||||||
ULTRASHORT Russell1000 Growth | 24,340 | — | — | ||||||||||||
ULTRASHORT Russell MidCap Value | 21,096 | $ | 879 | — | |||||||||||
ULTRASHORT Russell MidCap Growth | 19,397 | 2,478 | — | ||||||||||||
ULTRASHORT Russell2000 Value | 35,332 | — | — | ||||||||||||
ULTRASHORT Russell2000 Growth | 36,362 | — | — | ||||||||||||
ULTRASHORT Basic Materials | 31,166 | — | — | ||||||||||||
ULTRASHORT Consumer Goods | 24,410 | — | — | ||||||||||||
ULTRASHORT Consumer Services | 23,518 | — | — | ||||||||||||
ULTRASHORT Financials | 7,788 | — | — | ||||||||||||
ULTRASHORT Health Care | 23,126 | — | — | ||||||||||||
ULTRASHORT Industrials | 21,283 | — | — | ||||||||||||
ULTRASHORT Oil & Gas | 43,708 | — | — | ||||||||||||
ULTRASHORT Real Estate | 33,234 | — | — | ||||||||||||
ULTRASHORT Semiconductors | 22,092 | — | — | ||||||||||||
ULTRASHORT Technology | 20,019 | — | — | ||||||||||||
ULTRASHORT Utilities | 28,973 | — | — | ||||||||||||
SHORT MSCI EAFE | 10,405 | 1,387 | $ | 4,748 | |||||||||||
SHORT MSCI Emerging Markets | 7,521 | 1,003 | 5,286 | ||||||||||||
ULTRASHORT MSCI EAFE | 13,145 | 1,752 | 2,045 | ||||||||||||
ULTRASHORT MSCI Emerging Markets | 15,220 | — | — | ||||||||||||
ULTRASHORT FTSE/Xinhua China 25 | 13,989 | — | — | ||||||||||||
ULTRASHORT MSCI Japan | 5,517 | 736 | 10,604 |
Amounts waived or reimbursed by the Advisor in a particular fiscal year may be recouped by the Advisor within five years of the waiver or reimbursement to the extent that such recoupment will not cause the Fund's expenses to exceed any expense limitation in place at that time. As of November 30, 2007, the amounts that Advisor may potentially be reimbursed are as follows:
Fund | Expires 2011 | Expires 2012 | Total Amount Eligible for Reimbursement | ||||||||||||
ULTRA QQQ® | $ | 228,566 | $ | 226,018 | $ | 454,584 | |||||||||
ULTRA Dow30SM | 158,554 | 74,645 | 233,199 | ||||||||||||
ULTRA S&P500® | 200,112 | 56,989 | 257,101 | ||||||||||||
ULTRA MidCap400 | 217,801 | 157,393 | 375,194 | ||||||||||||
ULTRA SmallCap 600 | 79,440 | 97,308 | 176,748 | ||||||||||||
ULTRA Russell2000 | 161,781 | 213,188 | 374,969 | ||||||||||||
ULTRA Russell1000 Value | 37,482 | 77,527 | 115,009 | ||||||||||||
ULTRA Russell1000 Growth | 38,222 | 89,348 | 127,570 | ||||||||||||
ULTRA Russell MidCap Value | 35,888 | 67,633 | 103,521 | ||||||||||||
ULTRA Russell MidCap Growth | 36,463 | 74,206 | 110,669 |
255
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2007 (Unaudited)
Fund | Expires 2011 | Expires 2012 | Total Amount Eligible for Reimbursement | ||||||||||||
ULTRA Russell2000 Value | $ | 46,441 | $ | 137,218 | $ | 183,659 | |||||||||
ULTRA Russell2000 Growth | 45,999 | 138,448 | 184,447 | ||||||||||||
ULTRA Basic Materials | 39,506 | 41,005 | 80,511 | ||||||||||||
ULTRA Consumer Goods | 38,119 | 40,635 | 78,754 | ||||||||||||
UTLRA Consumer Services | 47,434 | 44,317 | 91,751 | ||||||||||||
ULTRA Financials | 53,756 | 68,234 | 121,990 | ||||||||||||
ULTRA Health Care | 37,543 | 44,974 | 82,517 | ||||||||||||
ULTRA Industrials | 41,329 | 50,605 | 91,934 | ||||||||||||
ULTRA Oil & Gas | 45,444 | 69,356 | 114,800 | ||||||||||||
ULTRA Real Estate | 46,989 | 36,979 | 83,968 | ||||||||||||
ULTRA Semiconductors | 36,242 | 45,283 | 81,525 | ||||||||||||
ULTRA Technology | 42,523 | 63,212 | 105,735 | ||||||||||||
ULTRA Utilities | 38,375 | 35,683 | 74,058 | ||||||||||||
SHORT QQQ® | 164,375 | 84,620 | 248,995 | ||||||||||||
SHORT Dow30SM | 154,968 | 60,985 | 215,953 | ||||||||||||
SHORT S&P500® | 133,369 | 24,970 | 158,339 | ||||||||||||
SHORT MidCap400 | 116,362 | 45,239 | 161,601 | ||||||||||||
SHORT SmallCap600 | 33,570 | 22,851 | 56,421 | ||||||||||||
SHORT Russell2000 | 32,031 | 39,503 | 71,534 | ||||||||||||
ULTRASHORT QQQ® | 136,708 | 668,786 | 805,494 | ||||||||||||
ULTRASHORT Dow30SM | 145,884 | 74,953 | 220,837 | ||||||||||||
ULTRASHORT S&P500® | — | — | — | ||||||||||||
ULTRASHORT MidCap400 | 95,078 | 25,923 | 121,001 | ||||||||||||
ULTRASHORT SmallCap600 | 37,182 | 34,934 | 72,116 | ||||||||||||
ULTRASHORT Russell2000 | — | 244,590 | 244,590 | ||||||||||||
ULTRASHORT Russell1000 Value | 27,166 | 22,095 | 49,261 | ||||||||||||
ULTRASHORT Russell1000 Growth | 27,174 | 24,340 | 51,514 | ||||||||||||
ULTRASHORT Russell MidCap Value | 27,187 | 21,975 | 49,162 | ||||||||||||
ULTRASHORT Russell MidCap Growth | 28,193 | 21,875 | 50,068 | ||||||||||||
ULTRASHORT Russell2000 Value | 27,854 | 35,332 | 63,186 | ||||||||||||
ULTRASHORT Russell2000 Growth | 28,943 | 36,362 | 65,305 | ||||||||||||
ULTRASHORT Basic Materials | 32,123 | 31,166 | 63,289 | ||||||||||||
ULTRASHORT Consumer Goods | 32,621 | 24,410 | 57,031 | ||||||||||||
ULTRASHORT Consumer Services | 32,412 | 23,518 | 55,930 | ||||||||||||
ULTRASHORT Financials | 36,710 | 20,368 | 57,078 | ||||||||||||
ULTRASHORT Health Care | 32,629 | 23,126 | 55,755 | ||||||||||||
ULTRASHORT Industrials | 32,149 | 21,283 | 53,432 | ||||||||||||
ULTRASHORT Oil & Gas | 39,849 | 43,708 | 83,557 | ||||||||||||
ULTRASHORT Real Estate | 45,554 | 39,091 | 84,645 | ||||||||||||
ULTRASHORT Semiconductors | 26,324 | 28,304 | 54,628 | ||||||||||||
ULTRASHORT Technology | 32,468 | 20,019 | 52,487 | ||||||||||||
ULTRASHORT Utilities | 32,116 | 28,973 | 61,089 | ||||||||||||
SHORT MSCI EAFE | — | 16,540 | 16,540 |
256
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2007 (Unaudited)
Fund | Expires 2011 | Expires 2012 | Total Amount Eligible for Reimbursement | ||||||||||||
SHORT MSCI Emerging Markets | — | $ | 13,810 | $ | 13,810 | ||||||||||
ULTRASHORT MSCI EAFE | — | 16,942 | 16,942 | ||||||||||||
ULTRASHORT MSCI Emerging Markets | — | 15,220 | 15,220 | ||||||||||||
ULTRASHORT FTSE/Xinhua China 25 | — | 13,989 | 13,989 | ||||||||||||
ULTRASHORT MSCI Japan | — | 16,857 | 16,857 |
5. Administration Fees
J.P. Morgan Investor Services Co. acts as Administrator to the Funds. The Administrator provides certain administrative services to the Funds. For these services, each Fund shall pay the Administrator monthly, a fee accrued daily and based on average net assets. Each Fund may also reimburse the Administrator for such out-of-pocket expenses as incurred by the Administrator in the performance of its duties. Certain employees of the Administrator are also officers of the Trust.
6. Custodian Fees
JPMorgan Chase Bank acts as custodian for the Funds in accordance with a custodian agreement. The custodian holds cash, securities and other assets of the Funds as required by the 1940 Act. Custodian fees are payable monthly based on assets held in custody, investment purchases and sales activity and account maintenance fees, plus reimbursement for certain out-of-pocket expenses.
7. Trustees Fees
Each Trustee of ProShares and other affiliated funds are paid quarterly an aggregate fee consisting of a $65,000 annual retainer for services provided as a Board member, plus a quarterly in-person meeting fee of $3,000, a special in-person meeting fee of $3,000 and a telephonic meeting fee of $1,000.
8. Distribution and Service Plan
SEI Investments serves as the Funds' distributor. The Trust has adopted a Distribution and Service (12b-1) Plan pursuant to which each Fund may bear a 12b-1 fee not to exceed 0.25% per annum of the Fund's average daily net assets. No 12b-1 fees are currently paid by the Funds, and there are currently no plans to impose these fees.
9. Creation and Redemption of Creation Units
Each Fund issues and redeems Shares only in Creation Units, a bundle of a specified number of shares. Certain funds are permitted to do such transactions on an in-kind basis, with a balancing cash component to equate the transaction to the net asset value of each Fund of the Trust on the transaction date. Each Fund will impose transaction fees to those investors creating or redeeming creation units.
Transaction Fees on Creation and Redemption Transactions
Each Fund will impose Transaction Fees to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. There is a fixed and a variable component to the total Transaction Fee on transactions in Creation Units. A fixed Transaction Fee is applicable to each creation and redemption transaction, regardless of the number of Creation Units transacted. A variable Transaction Fee based upon the value of each Creation Unit is applicable to each creation and redemption transaction. Purchasers and redeemers of Creation Units of Ultra Share Funds affected through in-kind transactions are required to pay an additional charge to compensate for brokerage and other expenses. In addition, purchasers of Creation Units are responsible for payment of the costs of transferring the securities to the Trust. Redeemers of Creation Units are responsible for the costs of transferring securities from the Trust to their accou nts or on their order. Investors who use the services of a broker or other such intermediary may pay fees for such services.
257
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2007 (Unaudited)
In addition, the maximum additional variable transaction fee for in-kind and cash purchases and redemptions is 0.10% of the amount invested.
For the six months ended November 30, 2007, transaction fees which are included in the proceeds from shares issued on the Statements of Changes in Net Assets, were as follows:
Fund | Transaction Fees | ||||||
ULTRA QQQ® | $ | 132,468 | |||||
ULTRA Dow30SM | 34,371 | ||||||
ULTRA S&P500® | 73,858 | ||||||
ULTRA MidCap400 | 9,616 | ||||||
ULTRA SmallCap 600 | — | ||||||
ULTRA Russell2000 | 17,296 | ||||||
ULTRA Russell1000 Value | — | ||||||
ULTRA Russell1000 Growth | 2,528 | ||||||
ULTRA Russell MidCap Value | — | ||||||
ULTRA Russell MidCap Growth | 1,114 | ||||||
ULTRA Russell2000 Value | — | ||||||
ULTRA Russell2000 Growth | — | ||||||
ULTRA Basic Materials | 1,871 | ||||||
ULTRA Consumer Goods | 598 | ||||||
ULTRA Consumer Services | — | ||||||
ULTRA Financials | 31,926 | ||||||
ULTRA Health Care | — | ||||||
ULTRA Industrials | 1,510 | ||||||
ULTRA Oil & Gas | 5,966 | ||||||
ULTRA Real Estate | 3,565 | ||||||
ULTRA Semiconductors | 3,997 | ||||||
ULTRA Technology | 12,459 | ||||||
ULTRA Utilities | — | ||||||
SHORT QQQ® | 55,879 | ||||||
SHORT Dow30SM | 37,123 | ||||||
SHORT S&P500® | 56,087 | ||||||
SHORT MidCap400 | 9,201 | ||||||
SHORT SmallCap 600 | — | ||||||
SHORT Russell2000 | 4,049 | ||||||
ULTRASHORT QQQ® | 1,174,053 | ||||||
ULTRASHORT Dow30SM | 531,049 | ||||||
ULTRASHORT S&P500® | 1,005,572 | ||||||
ULTRASHORT MidCap400 | 41,394 | ||||||
ULTRASHORT SmallCap600 | 9,645 | ||||||
ULTRASHORT Russell2000 | 210,583 | ||||||
ULTRASHORT Russell1000 Value | 1,243 | ||||||
ULTRASHORT Russell1000 Growth | 3,174 | ||||||
ULTRASHORT Russell MidCap Value | — |
258
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2007 (Unaudited)
Fund | Transaction Fees | ||||||
ULTRASHORT Russell MidCap Growth | $ | 2,054 | |||||
ULTRASHORT Russell2000 Value | 11,071 | ||||||
ULTRASHORT Russell2000 Growth | 4,463 | ||||||
ULTRASHORT Basic Materials | 25,665 | ||||||
ULTRASHORT Consumer Goods | 3,261 | ||||||
ULTRASHORT Consumer Services | 5,232 | ||||||
ULTRASHORT Financials | 316,416 | ||||||
ULTRASHORT Health Care | — | ||||||
ULTRASHORT Industrials | 3,722 | ||||||
ULTRASHORT Oil & Gas | 72,579 | ||||||
ULTRASHORT Real Estate | 208,794 | ||||||
ULTRASHORT Semiconductors | — | ||||||
ULTRASHORT Technology | 2,719 | ||||||
ULTRASHORT Utilities | 7,047 | ||||||
SHORT MSCI EAFE | 1,733 | ||||||
SHORT MSCI Emerging Markets | 1,785 | ||||||
ULTRASHORT MSCI EAFE | 7,283 | ||||||
ULTRASHORT MSCI Emerging Markets | 18,338 | ||||||
ULTRASHORT FTSE/Xinhua China 25 | 91,953 | ||||||
ULTRASHORT MSCI Japan | 2,310 |
10. Investment Transactions
For the periods ended November 30, 2007, the cost of securities purchased and proceeds from sales of securities, excluding short-term securities, derivatives and in-kind transactions, were as follows:
Fund | Purchases | Sales | |||||||||
ULTRA QQQ® | $ | 389,996,180 | $ | 93,032,505 | |||||||
ULTRA Dow30SM | 106,823,039 | 14,129,363 | |||||||||
ULTRA S&P500® | 210,963,222 | 44,124,370 | |||||||||
ULTRA MidCap400 | 47,613,915 | 26,472,336 | |||||||||
ULTRA SmallCap 600 | 1,285,573 | 2,349,904 | |||||||||
ULTRA Russell2000 | 61,033,459 | 10,199,109 | |||||||||
ULTRA Russell1000 Value | 2,315,047 | 3,345,701 | |||||||||
ULTRA Russell1000 Growth | 11,782,360 | 2,018,572 | |||||||||
ULTRA Russell Mid Cap Value | 3,574,825 | 5,172,074 | |||||||||
ULTRA Russell Mid Cap Growth | 7,632,110 | 4,059,325 | |||||||||
ULTRA Russell2000 Value | 3,515,257 | 5,376,115 | |||||||||
ULTRA Russell2000 Growth | 3,783,900 | 4,688,106 | |||||||||
ULTRA Basic Materials | 8,524,409 | 3,139,328 | |||||||||
ULTRA Consumer Goods | 774,409 | 166,076 | |||||||||
ULTRA Consumer Services | 317,951 | 917,899 | |||||||||
ULTRA Financials | 124,396,888 | 10,826,952 | |||||||||
ULTRA Health Care | 547,992 | 991,587 |
259
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2007 (Unaudited)
Fund | Purchases | Sales | |||||||||
ULTRA Industrials | $ | 6,527,545 | $ | 1,138,825 | |||||||
ULTRA Oil & Gas | 32,296,775 | 24,254,926 | |||||||||
ULTRA Real Estate | 16,838,757 | 4,452,755 | |||||||||
ULTRA Semiconductors | 6,676,924 | 12,178,904 | |||||||||
ULTRA Technology | 55,213,409 | 4,720,952 | |||||||||
ULTRA Utilities | 2,141,353 | 2,293,444 |
11. In-Kind Transactions
During the periods, certain Funds of the Trust delivered securities of the Funds in exchange for the redemption of shares (redemption-in-kind). Cash and securities were transferred for redemptions at a fair value. For financial reporting purposes, the Funds recorded net realized gains and losses in connection with each transaction.
For the six months ended November 30, 2007, the fair value of the cash and securities transferred for redemptions, and the net realized gains recorded in connection with the transactions were as follows:
Fund | Fair Value | Net Realized Gains (Losses) | |||||||||
ULTRA QQQ® | $ | 134,227,253 | $ | 25,153,521 | |||||||
ULTRA Dow30SM | 27,459,258 | 4,129,134 | |||||||||
ULTRA S&P500® | 26,837,980 | 5,300,399 | |||||||||
ULTRA MidCap400 | 33,789,473 | 6,138,902 | |||||||||
ULTRA Russell2000 | 26,026,162 | 2,182,576 | |||||||||
Ultra Basic Materials | 7,481,572 | 1,074,508 | |||||||||
ULTRA Consumer Goods | 5,447,854 | 181,572 | |||||||||
ULTRA Financials | 3,419,773 | (564,233 | ) | ||||||||
ULTRA Oil & Gas | 8,996,032 | 2,276,518 | |||||||||
ULTRA Semiconductors | 5,681,030 | (762,200 | ) |
In addition, during the period, certain Funds of the Trust received securities in exchange for subscriptions of shares (subscriptions-in-kind). For the six months ended November 30, 2007, the fair value of the securities received for subscriptions were as follows:
Fund | Fair Value | ||||||
ULTRA QQQ® | $ | 253,433,331 | |||||
ULTRA Dow30SM | 52,832,041 | ||||||
ULTRA S&P500® | 177,998,374 | ||||||
ULTRA Russell2000 | 13,775,291 | ||||||
ULTRA Financials | 12,147,083 | ||||||
ULTRA Oil & Gas | 29,374,122 | ||||||
ULTRA Semiconductors | 30,755,646 |
12. Leverage Risk
Leverage offers a means of magnifying market movements into larger changes in an investment's value and provides greater investment exposure than an unleveraged investment. Swap agreements, borrowing, futures
260
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2007 (Unaudited)
contracts, forward contracts, options on securities indexes, reverse repurchase agreements and short sales, all may be used to create leverage. While only the Ultra ProShares and certain Short ProShares employ leverage to the extent that the Funds' exposure to the markets exceed the net assets of the Fund, each Fund employs leveraged investment techniques to achieve its investment objective.
13. Concentration Risk
Each Ultra Sector and UltraShort Sector Fund may concentrate its investments in one or more particular industries to the same extent that its underlying index is so concentrated. These Funds are subject to the risk that those issuers (or industry sectors) will perform poorly, and the Funds will be negatively impacted by that poor performance. The ULTRASHORT FTSE/Xinhua China 25 and the ULTRASHORT MSCI Japan Funds may be particularly susceptible to economic, political or regulatory events affecting companies and countries within the specific geographic region in which they focus their investments.
14. Liquidity Risk
In certain circumstances, such as the disruption of the orderly markets for the securities or financial instruments in which a Fund invests, a Fund might not be able to dispose of certain holdings quickly or at prices that represent fair market value in the judgment of ProShare Advisors. This may prevent a Fund from limiting losses, realizing gains or from achieving a high correlation or inverse correlation with its Underlying Benchmark.
15. Indemnifications
In the normal course of business the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust's maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of loss to be remote.
261
ProShares Trust Board Approval of Investment Advisory Agreements
(Unaudited)
Under an amended investment advisory agreement between ProShare Advisors, LLC ("ProShare Advisors" or "Advisor") and the Trust, on behalf of each Fund, dated December 14, 2005 ("Advisory Agreement"), each Fund pays ProShare Advisors a fee at an annualized rate, based on its average daily net assets, of 0.75%. ProShare Advisors manages the investment and the reinvestment of the assets of each of the Funds, in accordance with the investment objectives, policies, and limitations of the Fund, subject to the general supervision and control of the Trustees and the officers of the Funds. ProShare Advisors bears the costs associated with providing these advisory services. ProShare Advisors has contractually agreed to waive investment advisory and management services fees and to reimburse other expenses to the extent total annual operating expenses, as a percentage of average daily net assets, exceed 0.95% through October 23, 2008 for SHORT MSCI EAFE ProShares and ULTRASHORT MSCI EAFE ProShares, through November 1, 2008 for SHORT MSCI Emerging Markets ProShares and ULTRASHORT Emerging Market ProShares and through November 8, 2008 for ULTRASHORT MSCI Japan ProShares and ULTRASHORT FTSE/Xinhua China 25 ProShares. After such dates, the expense waiver and reimbursement may be terminated or revised. For the other Funds covered by the period of this Report, ProShare Advisors has contractually agreed to waive investment advisory and management services fees and to reimburse other expenses to the extent total annual operating expenses, as a percentage of average daily net assets, exceed 0.95% through September 30, 2008. After such date, the expense limitation may be terminated or revised. Amounts waived or reimbursed in a particular fiscal year may be recouped by ProShare Advisors within five years of waiver or reimbursement to the extent that recoupment will not cause a Fund's expenses to exceed any expense limitation in place at that time. ProShare Advisors, from its own resources, including profits from advisory fees received from the Funds, also may make payments to broker-dealers and other financial institutions for their expenses in connection with the distribution of the Funds' Shares. The address of ProShare Advisors is 7501 Wisconsin Avenue, Suite 1000, Bethesda, Maryland 20814.
At a meeting held on December 10, 2007, the Board unanimously approved the continuance of the Advisory Agreement with respect to Funds covered by the period of this Report. The Board considered all factors it considered relevant, none of which was considered dispositive by itself, including (i) the nature, extent, and quality of the services to be provided to each Fund and its shareholders by the Advisor; (ii) the costs of the services provided and the profits to be realized by the Advisor from the relationship with the Funds; (iii) the extent to which economies of scale would be realized as the Funds grow; and (iv) whether fee levels reflect these economies of scale, if any, for the benefit of Fund shareholders. The Board considered each Fund's performance in their review of the Advisory Agreement.
These factors and the conclusions that formed the basis of the Board's determination that the terms of the Advisory Agreement were fair and reasonable, in the best interest of the shareholders and consistent with the Advisor's fiduciary duty under applicable law are discussed in more detail below. In reaching its determination to approve the Advisory Agreement, the Board considered that the Funds were unique in the ETF marketplace. The Board reviewed substantial detailed information that it believed to be reasonably necessary to reach its conclusion, including the terms of the Advisory Agreement itself, the Advisor's Form ADV, the background and experience of the people primarily responsible for providing investment advisory services to the Funds, detailed comparative industry fee data, information regarding brokerage allocation and best execution and developments in the financial services industry. The Board carefully evaluated this informa tion, and was advised by legal counsel with respect to its deliberations. The Trustees who were not "interested persons" of the Funds ("Non-Interested Trustees") were also advised by independent legal counsel.
Nature, Quality and Extent of Services
The Board reviewed the nature, quality and extent of the investment advisory services of the Advisor in light of the high quality services the Trust expects to be provided by the Advisor in its management of the Funds and the success of each Fund in achieving its stated investment objective. The Board focused on the overall high quality of the personnel and operations at the Advisor and the systems and processes required to effectively manage the Funds, which systems and processes may not be present at other investment advisory organizations. The Board noted the nature of, and the special advisory skills needed to manage, each Fund. Specifically, the Board considered the fact that to maintain exposure consistent with each Fund's daily investment objective, the Funds need to be re-balanced each day and that such activity is not typical of traditional ETFs or index funds. The Board also considered the Advisor's development of investment strate gies, including those involving the use of complex financial instruments, and processes that maximize the Funds' ability to meet their stated investment objectives. The Board considered the size and experience of the Advisor's portfolio staff and the Advisor's ability to recruit, train and retain personnel with relevant experience. The Board considered the structure of the portfolio staff compensation
262
ProShares Trust Board Approval of Investment Advisory Agreements
(Unaudited)
program and the Board considered whether it provided appropriate incentives. The Board also considered information regarding how Fund brokerage would be allocated. Finally, the Board reviewed the proposed compliance activities of the Advisor. Based upon its review, the Board concluded that the Advisor had sufficient resources and expertise to provide appropriately high quality services to the Funds consistent with the terms of the Advisory Agreement, and that the expected high quality of services will benefit Fund shareholders, particularly in light of the unique nature of the Funds and the services required to support them. The Board also concluded that the portfolio manager compensation structure was appropriate and did not provide any inappropriate incentives, and that the Advisor's brokerage practices were reasonable.
Cost of Services
The Board considered the fairness and reasonableness of the investment advisory fee payable to the Advisor in light of the investment advisory services to be provided, the expected costs of these services and the comparability of the fees paid to fees paid by other investment companies, including investment companies offering services similar in nature and extent to the Trust. The Board considered the fact that obtaining useful industry fee comparisons for the Funds is complicated by the fact that there are few similar funds in the marketplace. Notwithstanding, the Board found such comparisons useful in that each comparison contained information for certain categories of ETFs and mutual funds that, when taken together, provided a comprehensive presentation for the Trustees' consideration. The Board noted that fees paid by traditional ETFs were not necessarily appropriate benchmarks for comparison, because traditional ETFs do not involve leve rage or portfolio management in the usual sense. The Board also considered the significant drivers of cost (leverage, intellectual capital (trading, tax, regulatory) and daily rebalancing) and also examined the costs to investors to achieve the objectives of the Funds on their own accord, noting that it would be more expensive or impossible to do so. The Board also considered the Advisor's performance of non-advisory services, including those performed under a Management Services Agreement. The Board discussed with management the indirect or "fall-out" benefits the Advisor may derive from its relationship to the Funds, noting in particular that while the Advisor may receive research provided by broker-dealers, it will only obtain generic or other research not ascribed significant value and therefore not requiring the commitment of trading. The Board also considered the financial condition of the Advisor, which they found to be sound. The Board, including the Non-Interested Trustees, concluded that the invest ment advisory fees and other compensation payable by each Fund to the Advisor were reasonable in relation to the services provided, and also concluded that the proposed fees were reasonable in relation to the fees paid by other investment companies referenced by the Advisor, including funds offering services similar in nature and extent to those of the Funds.
The Board discussed with representatives of the Advisor the potential economies of scale as well as the effect of the contractual expense limitations undertaken by the Advisor. The Board discussed the fact that economies of scale are best achieved when a fund grows to be very large and remains that way and that the Funds' expected asset volatility may offset such economies. In addition, the Advisor discussed with the Board that to maintain exposure consistent with each Fund's daily investment objective, the Funds need to be re-balanced each day and that such activity is not typical of traditional ETFs or index funds. As a consequence, regardless of asset growth, the Advisor's workload will depend more on volatility in markets and the challenges of trading larger portfolios, as the Funds grow, to meet the daily investment objectives of the Funds. The Board also considered the extended period associated with the start-up of the Funds and the a ssociated costs borne by the Advisor. Based on these considerations, the Board determined that it was not necessary for the Funds to impose advisory fee breakpoints at this time.
Conclusion
Based upon its evaluation, including their consideration of each of the factors noted above for each Fund, the Board and the Non-Interested Trustees acting separately, unanimously concluded that the Advisory Agreement is fair and reasonable to each Fund and in the best interest of its shareholders.
263
Proxy Voting Information
You may obtain a description of ProShares Trust's (1) proxy voting policies, (2) proxy voting procedures and (3) information regarding how ProShares Trust voted any proxies related to portfolio securities for the most recent twelve-month period ended June 30, without charge, upon request by contacting the Fund directly at 1-866-PRO-5125 or on the EDGAR Database on the SEC's Website (http://www.sec.gov).
Quarterly Portfolio Holdings Information
ProShares Trust will file its complete schedule of portfolio holdings with the Securities and Exchange Commission ("SEC") for the first and third quarters of each fiscal year on Form N-Q. ProShares Trust Form N-Q will be available on the SEC's Website at http://www.sec.gov. The Trust's Form N-Q may also be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
264
Change in Auditors
Other Information (Unaudited)
On June 5, 2007, the Trust's Board of Trustees, upon the recommendation of the Audit Committee of the Board of Trustees, determined not to retain Ernst & Young LLP ("E&Y") and approved a change of the Trust's independent auditors to PricewaterhouseCoopers LLP ("PwC"). For the period ended May 31, 2007, E&Y served as the Trust's independent auditor. During the period ended May 31, 2007, E&Y's audit report, concerning the Trust, contained no adverse opinion or disclaimer of opinion; nor were its reports qualified or modified as to uncertainty, audit scope, or accounting principles. Further, in connection with its audit for the period ended May 31, 2007 and through June 5, 2007, there were no disagreements between the Trust and E&Y on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which if not resolved to the satisfaction of E&Y would have caused it to mak e reference to the disagreements in its report on the financial statements for such periods.
265
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ProShares
ProShares Trust
7501 Wisconsin Avenue
Suite 1000
Bethesda, MD 20814
866.PRO.5125
www.proshares.com
"Standard & Poor's®," "S&P®," "S&P 500®," "Standard & Poor's 500," "500," "S&P MidCap 400," and "Standard & Poor's MidCap 400," are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by ProShares. "Dow Jones," "Dow 30," and "Dow Jones Industrial AverageTM," are trademarks of Dow Jones & Company, Inc. and have been licensed for use for certain purposes by ProShares. "NASDAQ-100® Index" is a trademark of The NASDAQ Stock Market, Inc. ProShares are not sponsored, endorsed, sold or promoted by these organizations and the organizations make no representations regarding the advisability of investing in ProShares.
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not Applicable.
Item 6. Schedule of Investments
Please see the schedules of investments contained in the reports to shareholders included under Item 1 of this Report except as discussed below. Provided below is a complete schedule of investments for each series of the Registrant that provided a summary schedule of portfolio holdings in a report to shareholders included under Item 1 in lieu of a complete schedule of investments. The schedules of investments for the following series are provided below:
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000
Shares | Value | ||||||||||
Common Stocks (a) — 89.7% | |||||||||||
Consumer Discretionary — 12.5% | |||||||||||
1,181 | 1-800-FLOWERS.COM, Inc., Class A* | $ | 12,365 | ||||||||
2,291 | 99 Cents Only Stores* | 18,465 | |||||||||
988 | A.C. Moore Arts & Crafts, Inc.* | 15,679 | |||||||||
2,258 | Aaron Rents, Inc. | 45,408 | |||||||||
3,787 | Aeropostale, Inc.* | 96,758 | |||||||||
1,355 | AFC Enterprises* | 14,783 | |||||||||
1,067 | Aftermarket Technology Corp.* | 29,791 | |||||||||
768 | Ambassadors Group, Inc. | 14,085 | |||||||||
436 | Ambassadors International, Inc. | 5,241 | |||||||||
2,186 | American Axle & Manufacturing Holdings, Inc. | 50,540 | |||||||||
2,706 | American Greetings Corp., Class A | 62,942 | |||||||||
1,056 | Amerigon, Inc.* | 19,304 | |||||||||
1,235 | Ameristar Casinos, Inc. | 38,767 | |||||||||
1,379 | Arbitron, Inc. | 54,953 | |||||||||
587 | Arctic Cat, Inc. | 6,263 | |||||||||
3,488 | ArvinMeritor, Inc. | 35,264 | |||||||||
1,252 | Asbury Automotive Group, Inc. | 20,958 | |||||||||
820 | Audiovox Corp.* | 10,471 | |||||||||
280 | Avatar Holdings, Inc.* | 12,197 | |||||||||
2,602 | Bally Technologies, Inc.* | 108,503 | |||||||||
1,910 | Beazer Homes USA, Inc. | 16,216 | |||||||||
1,239 | Bebe Stores, Inc. | 16,726 | |||||||||
4,136 | Belo Corp., Class A | 68,492 | |||||||||
602 | Benihana, Inc., Class A* | 8,428 | |||||||||
1,109 | Big 5 Sporting Goods Corp. | 18,221 | |||||||||
831 | BJ's Restaurants, Inc.* | 14,783 | |||||||||
9,382 | Blockbuster, Inc., Class A* | 33,494 | |||||||||
655 | Blue Nile, Inc.* | 48,346 | |||||||||
1,037 | Bluegreen Corp.* | 7,446 | |||||||||
1,242 | Blyth, Inc. | 24,430 | |||||||||
1,748 | Bob Evans Farms, Inc. | 53,908 | |||||||||
500 | Bon-Ton Stores, Inc. (The) | 5,840 | |||||||||
725 | Books-A-Million, Inc. | 8,765 | |||||||||
2,861 | Borders Group, Inc. | 35,791 | |||||||||
1,278 | Bright Horizons Family Solutions, Inc.* | 48,296 | |||||||||
552 | Brookfield Homes Corp. | 9,307 | |||||||||
2,150 | Brown Shoe Co., Inc. | 36,485 | |||||||||
686 | Buckle, Inc. (The) | 24,223 | |||||||||
749 | Buffalo Wild Wings, Inc.* | 21,654 | |||||||||
766 | Build-A-Bear Workshop, Inc.* | 12,080 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,436 | Building Materials Holding Corp. | $ | 8,214 | ||||||||
1,899 | Cabela's, Inc.* | 31,409 | |||||||||
602 | Cache, Inc.* | 8,061 | |||||||||
1,420 | California Pizza Kitchen, Inc.* | 22,592 | |||||||||
3,238 | Callaway Golf Co. | 55,240 | |||||||||
525 | Capella Education Co.* | 36,970 | |||||||||
616 | Carmike Cinemas, Inc. | 7,269 | |||||||||
486 | Carrols Restaurant Group, Inc.* | 5,186 | |||||||||
2,854 | Carter's, Inc.* | 64,015 | |||||||||
1,765 | Casual Male Retail Group, Inc.* | 10,943 | |||||||||
1,460 | Cato Corp. (The), Class A | 21,988 | |||||||||
1,204 | CBRL Group, Inc. | 40,286 | |||||||||
1,266 | CEC Entertainment, Inc.* | 36,081 | |||||||||
3,750 | Champion Enterprises, Inc.* | 33,825 | |||||||||
1,237 | Charlotte Russe Holding, Inc.* | 20,361 | |||||||||
6,045 | Charming Shoppes, Inc.* | 33,429 | |||||||||
19,964 | Charter Communications, Inc., Class A* | 26,352 | |||||||||
366 | Cherokee, Inc. | 11,533 | |||||||||
1,099 | Childrens Place Retail Stores, Inc. (The)* | 31,278 | |||||||||
1,602 | Chipotle Mexican Grill, Inc., Class B* | 185,063 | |||||||||
1,769 | Christopher & Banks Corp. | 28,516 | |||||||||
462 | Churchill Downs, Inc. | 24,246 | |||||||||
1,368 | Cinemark Holdings, Inc. | 22,832 | |||||||||
8,900 | Citadel Broadcasting Corp. | 20,470 | |||||||||
677 | Citi Trends, Inc.* | 10,460 | |||||||||
2,795 | CKE Restaurants, Inc. | 40,863 | |||||||||
1,849 | CKX, Inc.* | 22,428 | |||||||||
1,359 | Coinstar, Inc.* | 35,511 | |||||||||
3,189 | Collective Brands, Inc.* | 48,887 | |||||||||
676 | Columbia Sportswear Co. | 32,455 | |||||||||
595 | Conn's, Inc.* | 10,769 | |||||||||
3,013 | Cooper Tire & Rubber Co. | 46,340 | |||||||||
448 | Core-Mark Holding Co., Inc.* | 12,020 | |||||||||
4,233 | Corinthian Colleges, Inc.* | 73,908 | |||||||||
1,624 | Cox Radio, Inc., Class A* | 19,131 | |||||||||
254 | CPI Corp. | 7,051 | |||||||||
788 | Crown Media Holdings, Inc., Class A* | 5,729 | |||||||||
2,147 | CSK Auto Corp.* | 20,933 | |||||||||
383 | CSS Industries, Inc. | 15,159 | |||||||||
1,387 | Cumulus Media, Inc., Class A* | 11,665 | |||||||||
625 | Deckers Outdoor Corp.* | 90,106 | |||||||||
4,576 | Denny's Corp.* | 18,762 | |||||||||
2,929 | DeVry, Inc. | 161,036 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
728 | DG FastChannel, Inc.* | $ | 14,240 | ||||||||
545 | Dolan Media Co.* | 14,442 | |||||||||
2,140 | Domino's Pizza, Inc. | 29,660 | |||||||||
764 | Dover Downs Gaming & Entertainment, Inc. | 8,442 | |||||||||
2,298 | Dress Barn, Inc.* | 32,494 | |||||||||
887 | Drew Industries, Inc.* | 24,233 | |||||||||
792 | DSW, Inc., Class A* | 17,812 | |||||||||
1,488 | Eddie Bauer Holdings, Inc.* | 9,955 | |||||||||
1,471 | Emmis Communications Corp., Class A* | 6,340 | |||||||||
1,599 | Entercom Communications Corp., Class A | 26,048 | |||||||||
3,378 | Entravision Communications Corp., Class A* | 25,267 | |||||||||
1,293 | Ethan Allen Interiors, Inc. | 36,928 | |||||||||
3,644 | Exide Technologies* | 25,617 | |||||||||
2,077 | Finish Line, Class A | 7,789 | |||||||||
305 | Fisher Communications, Inc.* | 12,423 | |||||||||
3,129 | Fleetwood Enterprises, Inc.* | 17,116 | |||||||||
2,132 | Fossil, Inc.* | 92,401 | |||||||||
1,957 | Fred's, Inc., Class A | 20,392 | |||||||||
935 | FTD Group, Inc. | 12,529 | |||||||||
2,362 | Furniture Brands International, Inc. | 23,927 | |||||||||
636 | G-lII Apparel Group Ltd.* | 9,139 | |||||||||
845 | Gaiam, Inc., Class A* | 19,900 | |||||||||
249 | Gander Mountain Co.* | 1,208 | |||||||||
1,091 | GateHouse Media, Inc. | 8,946 | |||||||||
2,001 | Gaylord Entertainment Co.* | 84,162 | |||||||||
12,233 | Gemstar-TV Guide International, Inc.* | 72,175 | |||||||||
1,112 | Genesco, Inc.* | 34,472 | |||||||||
767 | Global Sources Ltd.* | 23,340 | |||||||||
2,045 | Gray Television, Inc. | 17,403 | |||||||||
1,499 | Great Wolf Resorts, Inc.* | 16,219 | |||||||||
1,113 | Group 1 Automotive, Inc. | 29,917 | |||||||||
976 | GSI Commerce, Inc.* | 25,493 | |||||||||
1,504 | Gymboree Corp.* | 50,173 | |||||||||
2,576 | Harris Interactive, Inc.* | 10,793 | |||||||||
968 | Haverty Furniture Cos., Inc. | 8,228 | |||||||||
4,885 | Hayes Lemmerz International, Inc.* | 20,175 | |||||||||
314 | Heelys, Inc.* | 1,912 | |||||||||
1,480 | Helen of Troy Ltd.* | 26,832 | |||||||||
458 | hhgregg, Inc.* | 6,435 | |||||||||
1,544 | Hibbett Sports, Inc.* | 33,072 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,926 | Home Solutions of America, Inc.* | $ | 2,042 | ||||||||
541 | Hooker Furniture Corp. | 9,100 | |||||||||
2,162 | HOT Topic, Inc.* | 13,642 | |||||||||
1,829 | Hovnanian Enterprises, Inc., Class A* | 13,827 | |||||||||
2,477 | Iconix Brand Group, Inc.* | 56,451 | |||||||||
852 | Ihop Corp. | 43,230 | |||||||||
1,763 | Interactive Data Corp. | 55,058 | |||||||||
2,555 | INVESTools, Inc.* | 39,475 | |||||||||
751 | iRobot Corp.* | 12,031 | |||||||||
785 | Isle of Capri Casinos, Inc.* | 13,722 | |||||||||
1,903 | J. Crew Group, Inc.* | 91,439 | |||||||||
3,059 | Jack in the Box, Inc.* | 91,617 | |||||||||
1,468 | Jackson Hewitt Tax Service, Inc. | 47,343 | |||||||||
1,375 | Jakks Pacific, Inc.* | 34,705 | |||||||||
2,541 | Jamba, Inc.* | 8,690 | |||||||||
1,219 | Jo-Ann Stores, Inc.* | 20,065 | |||||||||
883 | JOS. A. Bank Clothiers, Inc.* | 22,861 | |||||||||
2,135 | Journal Communications, Inc., Class A | 19,428 | |||||||||
1,263 | K-Swiss, Inc., Class A | 22,923 | |||||||||
1,270 | Kellwood Co. | 19,037 | |||||||||
486 | Kenneth Cole Productions, Inc., Class A | 9,166 | |||||||||
1,285 | Kimball International, Inc., Class B | 17,142 | |||||||||
1,272 | Knology, Inc.* | 17,096 | |||||||||
3,158 | Krispy Kreme Doughnuts, Inc.* | 8,432 | |||||||||
2,510 | La-Z-Boy, Inc. | 13,705 | |||||||||
870 | Lakes Entertainment, Inc.* | 5,777 | |||||||||
611 | Landry's Restaurants, Inc. | 14,432 | |||||||||
1,682 | Leapfrog Enterprises, Inc.* | 11,269 | |||||||||
3,746 | Lear Corp.* | 110,282 | |||||||||
2,250 | Lee Enterprises, Inc. | 31,500 | |||||||||
703 | Libbey, Inc. | 10,904 | |||||||||
1,635 | Life Time Fitness, Inc.* | 88,813 | |||||||||
503 | Lifetime Brands, Inc. | 6,448 | |||||||||
1,332 | Lin TV Corp., Class A* | 14,945 | |||||||||
229 | Lincoln Educational Services Corp.* | 3,179 | |||||||||
775 | Lithia Motors, Inc., Class A | 12,090 | |||||||||
3,583 | Live Nation, Inc.* | 48,084 | |||||||||
2,749 | LKQ Corp.* | 109,163 | |||||||||
1,110 | Lodgenet Entertainment Corp.* | 21,312 | |||||||||
916 | Lodgian, Inc.* | 10,497 | |||||||||
615 | Lululemon Athletica, Inc.* | 22,552 | |||||||||
589 | M/I Homes, Inc. | 5,908 | |||||||||
1,967 | Magna Entertainment Corp., Class A* | 2,872 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,123 | Maidenform Brands, Inc.* | $ | 14,678 | ||||||||
1,034 | Marcus Corp. | 18,633 | |||||||||
579 | Marine Products Corp. | 4,261 | |||||||||
798 | MarineMax, Inc.* | 13,047 | |||||||||
1,298 | Martha Stewart Living Omnimedia, Class A* | 13,175 | |||||||||
2,422 | Marvel Entertainment, Inc.* | 67,089 | |||||||||
1,544 | Matthews International Corp., Class A | 68,152 | |||||||||
715 | McCormick & Schmick's Seafood Restaurants, Inc.* | 10,482 | |||||||||
1,080 | Media General, Inc., Class A | 26,752 | |||||||||
2,649 | Mediacom Communications Corp., Class A* | 11,947 | |||||||||
2,648 | Men's Wearhouse, Inc. | 91,409 | |||||||||
1,281 | Meritage Homes Corp.* | 17,511 | |||||||||
722 | Midas, Inc.* | 11,826 | |||||||||
1,584 | Modine Manufacturing Co. | 32,219 | |||||||||
1,463 | Monaco Coach Corp. | 13,211 | |||||||||
587 | Monarch Casino & Resort, Inc.* | 15,015 | |||||||||
862 | Monro Muffler, Inc. | 18,162 | |||||||||
1,079 | Morgans Hotel Group Co.* | 19,951 | |||||||||
601 | Morningstar, Inc.* | 48,891 | |||||||||
520 | Morton's Restaurant Group, Inc.* | 5,970 | |||||||||
841 | Movado Group, Inc. | 23,296 | |||||||||
1,001 | MTR Gaming Group, Inc.* | 6,927 | |||||||||
1,125 | Multimedia Games, Inc.* | 8,933 | |||||||||
2,052 | National CineMedia, Inc. | 56,799 | |||||||||
218 | National Presto Industries, Inc. | 11,807 | |||||||||
1,541 | Nautilus, Inc. | 8,861 | |||||||||
2,294 | NetFlix, Inc.* | 52,991 | |||||||||
1,063 | New York & Co., Inc.* | 7,834 | |||||||||
2,233 | NexCen Brands, Inc.* | 10,049 | |||||||||
519 | Nexstar Broadcasting Group, Inc., Class A* | 4,707 | |||||||||
574 | Noble International Ltd. | 9,368 | |||||||||
1,084 | O'Charleys, Inc. | 16,162 | |||||||||
1,661 | Orbitz Worldwide, Inc.* | 13,288 | |||||||||
804 | Overstock.com, Inc.* | 18,629 | |||||||||
752 | Oxford Industries, Inc. | 18,627 | |||||||||
3,430 | Pacific Sunwear of California* | 56,183 | |||||||||
478 | Palm Harbor Homes, Inc.* | 5,392 | |||||||||
1,051 | Papa John's International, Inc.* | 24,751 | |||||||||
667 | Peet's Coffee & Tea, Inc.* | 17,822 | �� | ||||||||
1,946 | PEP Boys-Manny Moe & Jack | 21,270 | |||||||||
555 | Perry Ellis International, Inc.* | 8,947 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,044 | PetMed Express, Inc.* | $ | 13,301 | ||||||||
1,260 | PF Chang's China Bistro, Inc.* | 32,243 | |||||||||
4,314 | Pier 1 Imports, Inc.* | 17,774 | |||||||||
2,916 | Pinnacle Entertainment, Inc.* | 80,044 | |||||||||
1,077 | Playboy Enterprises, Inc., Class B* | 10,135 | |||||||||
1,747 | Polaris Industries, Inc. | 79,593 | |||||||||
440 | Pre-Paid Legal Services, Inc.* | 22,004 | |||||||||
1,428 | Premier Exhibitions, Inc.* | 15,537 | |||||||||
1,851 | priceline.com, Inc.* | 210,644 | |||||||||
2,154 | Primedia, Inc. | 17,663 | |||||||||
6,074 | Quiksilver, Inc.* | 64,384 | |||||||||
3,737 | Radio One, Inc., Class D* | 7,623 | |||||||||
1,518 | Raser Technologies, Inc.* | 18,929 | |||||||||
926 | RC2 Corp.* | 26,928 | |||||||||
1,493 | RCN Corp.* | 21,678 | |||||||||
814 | Red Robin Gourmet Burgers, Inc.* | 32,202 | |||||||||
2,164 | Regis Corp. | 63,600 | |||||||||
3,437 | Rent-A-Center, Inc.* | 48,668 | |||||||||
1,351 | Retail Ventures, Inc.* | 9,376 | |||||||||
497 | Riviera Holdings Corp.* | 13,568 | |||||||||
2,653 | Ruby Tuesday, Inc. | 34,781 | |||||||||
812 | Russ Berrie & Co., Inc.* | 13,479 | |||||||||
929 | Ruth's Chris Steak House* | 11,241 | |||||||||
449 | Salem Communications Corp., Class A | 3,592 | |||||||||
4,572 | Sally Beauty Holdings, Inc.* | 41,651 | |||||||||
536 | Sauer-Danfoss, Inc. | 13,025 | |||||||||
1,501 | Scholastic Corp.* | 52,895 | |||||||||
2,185 | Sealy Corp. | 28,492 | |||||||||
2,288 | Select Comfort Corp.* | 24,344 | |||||||||
428 | Shoe Carnival, Inc.* | 4,982 | |||||||||
1,721 | Shuffle Master, Inc.* | 23,010 | |||||||||
713 | Shutterfly, Inc.* | 20,313 | |||||||||
2,403 | Sinclair Broadcast Group, Inc., Class A | 24,871 | |||||||||
3,446 | Six Flags, Inc.* | 8,064 | |||||||||
996 | Skechers U.S.A., Inc., Class A* | 22,559 | |||||||||
333 | Skyline Corp. | 11,289 | |||||||||
1,449 | Smith & Wesson Holding Corp.* | 14,432 | |||||||||
1,514 | Sonic Automotive, Inc., Class A | 34,989 | |||||||||
2,969 | Sonic Corp.* | 72,444 | |||||||||
3,228 | Sotheby's | 120,889 | |||||||||
1,680 | Source Interlink Cos., Inc.* | 3,377 | |||||||||
1,969 | Spanish Broadcasting System, Inc., Class A* | 3,780 | |||||||||
1,573 | Spartan Motors, Inc. | 15,699 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
680 | Speedway Motorsports, Inc. | $ | 22,950 | ||||||||
2,121 | Stage Stores, Inc. | 35,887 | |||||||||
805 | Stamps.com, Inc.* | 10,224 | |||||||||
769 | Standard Motor Products, Inc. | 5,698 | |||||||||
3,163 | Standard-Pacific Corp. | 10,944 | |||||||||
1,390 | Steak N Shake Co. (The)* | 16,082 | |||||||||
1,326 | Stein Mart, Inc. | 7,187 | |||||||||
787 | Steiner Leisure Ltd.* | 33,605 | |||||||||
392 | Steinway Musical Instruments | 11,074 | |||||||||
1,001 | Steven Madden Ltd.* | 22,753 | |||||||||
4,641 | Stewart Enterprises, Inc., Class A | 38,056 | |||||||||
693 | Stoneridge, Inc.* | 5,766 | |||||||||
710 | Strayer Education, Inc. | 128,411 | |||||||||
1,106 | Sturm Ruger & Co., Inc.* | 10,231 | |||||||||
3,187 | Sun-Times Media Group, Inc.* | 3,187 | |||||||||
1,115 | Superior Industries International, Inc. | 20,650 | |||||||||
335 | Syms Corp. | 5,427 | |||||||||
2,802 | Syntax-Brillian Corp.* | 8,154 | |||||||||
519 | Systemax, Inc. | 10,250 | |||||||||
1,132 | Talbots, Inc. | 17,557 | |||||||||
678 | Tarragon Corp.* | 1,153 | |||||||||
3,671 | Tempur-Pedic International, Inc. | 108,992 | |||||||||
2,261 | Tenneco, Inc.* | 66,903 | |||||||||
2,573 | Texas Roadhouse, Inc., Class A* | 32,394 | |||||||||
2,307 | Timberland Co., Class A* | 37,558 | |||||||||
4,762 | Tivo, Inc.* | 35,667 | |||||||||
794 | Town Sports International Holdings, Inc.* | 8,019 | |||||||||
3,076 | Triarc Cos., Inc., Class B | 25,869 | |||||||||
681 | True Religion Apparel, Inc.* | 11,863 | |||||||||
1,519 | Trump Entertainment Resorts, Inc.* | 7,853 | |||||||||
1,466 | Tuesday Morning Corp. | 10,907 | |||||||||
3,003 | Tupperware Brands Corp. | 104,745 | |||||||||
1,207 | Tween Brands, Inc.* | 30,392 | |||||||||
1,210 | Under Armour, Inc., Class A* | 60,113 | |||||||||
699 | Unifirst Corp. | 26,122 | |||||||||
704 | Universal Electronics, Inc.* | 26,013 | |||||||||
1,149 | Universal Technical Institute, Inc.* | 20,257 | |||||||||
1,535 | Vail Resorts, Inc.* | 85,208 | |||||||||
2,339 | Valassis Communications, Inc.* | 28,840 | |||||||||
66 | Value Line, Inc. | 2,730 | |||||||||
1,499 | ValueVision Media, Inc., Class A* | 9,863 | |||||||||
6,333 | Visteon Corp.* | 27,865 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
715 | Volcom, Inc.* | $ | 19,284 | ||||||||
2,262 | Warnaco Group, Inc. (The)* | 83,468 | |||||||||
1,508 | WCI Communities, Inc.* | 5,067 | |||||||||
721 | West Marine, Inc.* | 6,366 | |||||||||
3,467 | Westwood One, Inc. | 6,622 | |||||||||
4,120 | Wet Seal, Inc. (The), Class A* | 8,776 | |||||||||
362 | Weyco Group, Inc. | 9,912 | |||||||||
1,444 | Winnebago Industries | 31,075 | |||||||||
1,986 | WMS Industries, Inc.* | 66,332 | |||||||||
2,661 | Wolverine World Wide, Inc. | 65,913 | |||||||||
1,102 | World Wrestling Entertainment, Inc., Class A | 17,368 | |||||||||
2,393 | Zale Corp.* | 42,811 | |||||||||
843 | Zumiez, Inc.* | 23,435 | |||||||||
8,760,307 | |||||||||||
Consumer Staples — 2.7% | |||||||||||
176 | Alico, Inc. | 7,813 | |||||||||
4,674 | Alliance One International, Inc.* | 19,304 | |||||||||
334 | American Dairy, Inc.* | 5,595 | |||||||||
2,612 | American Oriental Bioengineering, Inc.* | 30,560 | |||||||||
760 | Andersons, Inc. (The) | 32,239 | |||||||||
55 | Arden Group, Inc. | 7,921 | |||||||||
441 | Boston Beer Co., Inc., Class A* | 14,637 | |||||||||
616 | Cal-Maine Foods, Inc. | 15,172 | |||||||||
2,468 | Casey's General Stores, Inc. | 71,572 | |||||||||
1,727 | Central European Distribution Corp.* | 86,350 | |||||||||
3,412 | Central Garden and Pet Co., Class A* | 17,913 | |||||||||
829 | Chattem, Inc.* | 58,784 | |||||||||
2,074 | Chiquita Brands International, Inc.* | 39,800 | |||||||||
291 | Coca-Cola Bottling Co. Consolidated | 16,511 | |||||||||
3,951 | Darling International, Inc.* | 40,498 | |||||||||
1,191 | Elizabeth Arden, Inc.* | 28,620 | |||||||||
329 | Farmer Bros. Co. | 7,564 | |||||||||
3,750 | Flowers Foods, Inc. | 87,112 | |||||||||
1,498 | Fresh Del Monte Produce, Inc.* | 46,318 | |||||||||
959 | Great Atlantic & Pacific Tea Co.* | 28,818 | |||||||||
841 | Green Mountain Coffee Roasters, Inc.* | 27,433 | |||||||||
1,939 | Hain Celestial Group, Inc.* | 64,142 | |||||||||
574 | Imperial Sugar Co. | 13,099 | |||||||||
606 | Ingles Markets, Inc., Class A | 14,417 | |||||||||
420 | Inter Parfums, Inc. | 7,673 | |||||||||
684 | J&J Snack Foods Corp. | 22,148 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,263 | Jones Soda Co.* | $ | 8,336 | ||||||||
1,097 | Lancaster Colony Corp. | 42,256 | |||||||||
1,514 | Lance, Inc. | 31,400 | |||||||||
1,610 | Longs Drug Stores Corp. | 85,201 | |||||||||
764 | Mannatech, Inc. | 4,821 | |||||||||
217 | Maui Land & Pineapple Co., Inc.* | 6,109 | |||||||||
483 | MGP Ingredients, Inc. | 3,970 | |||||||||
655 | Nash Finch Co. | 23,377 | |||||||||
500 | National Beverage Corp. | 3,700 | |||||||||
2,457 | Nu Skin Enterprises, Inc., Class A | 43,464 | |||||||||
1,118 | Pantry, Inc. (The)* | 32,187 | |||||||||
1,568 | Pathmark Stores, Inc.* | 20,227 | |||||||||
1,726 | Performance Food Group Co.* | 47,793 | |||||||||
1,974 | Pilgrim's Pride Corp. | 51,482 | |||||||||
1,656 | Prestige Brands Holdings, Inc.* | 13,894 | |||||||||
654 | Pricesmart, Inc. | 19,509 | |||||||||
1,254 | Ralcorp Holdings, Inc.* | 76,983 | |||||||||
1,065 | Reddy Ice Holdings, Inc. | 27,786 | |||||||||
9,608 | Revlon, Inc., Class A* | 10,761 | |||||||||
2,008 | Ruddick Corp. | 71,866 | |||||||||
826 | Sanderson Farms, Inc. | 25,656 | |||||||||
17 | Seaboard Corp. | 25,653 | |||||||||
1,059 | Spartan Stores, Inc. | 23,827 | |||||||||
1,912 | Spectrum Brands, Inc.* | 9,885 | |||||||||
211 | Synutra International, Inc.* | 7,887 | |||||||||
171 | Tiens Biotech Group USA, Inc.* | 491 | |||||||||
1,744 | Tootsie Roll Industries, Inc. | 42,972 | |||||||||
1,524 | TreeHouse Foods, Inc.* | 35,921 | |||||||||
2,091 | United Natural Foods, Inc.* | 61,245 | |||||||||
1,320 | Universal Corp. | 70,858 | |||||||||
412 | USANA Health Sciences, Inc.* | 17,172 | |||||||||
1,518 | Vector Group Ltd. | 33,426 | |||||||||
150 | Village Super Market, Class A | 8,038 | |||||||||
859 | WD-40 Co. | 34,077 | |||||||||
606 | Weis Markets, Inc. | 24,798 | |||||||||
1,672 | Winn-Dixie Stores, Inc.* | 31,618 | |||||||||
1,890,659 | |||||||||||
Energy — 5.7% | |||||||||||
1,227 | Allis-Chalmers Energy, Inc.* | 18,589 | |||||||||
633 | Alon USA Energy, Inc. | 17,610 | |||||||||
3,202 | Alpha Natural Resources, Inc.* | 89,976 | |||||||||
446 | APCO Argentina, Inc. | 11,957 | |||||||||
1,488 | Arena Resources, Inc.* | 55,934 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
648 | Arlington Tankers Ltd. | $ | 13,906 | ||||||||
1,116 | Atlas America, Inc. | 63,367 | |||||||||
1,043 | ATP Oil & Gas Corp.* | 46,497 | |||||||||
1,339 | Atwood Oceanics, Inc.* | 116,828 | |||||||||
1,470 | Aventine Renewable Energy Holdings, Inc.* | 14,480 | |||||||||
1,996 | Basic Energy Services, Inc.* | 38,922 | |||||||||
1,930 | Berry Petroleum Co., Class A | 79,825 | |||||||||
1,508 | Bill Barrett Corp.* | 58,209 | |||||||||
889 | Bois d'Arc Energy, Inc.* | 17,424 | |||||||||
2,525 | BPZ Resources, Inc.* | 28,785 | |||||||||
2,229 | Brigham Exploration Co.* | 15,402 | |||||||||
989 | Bristow Group, Inc.* | 54,395 | |||||||||
1,271 | Bronco Drilling Co., Inc.* | 18,252 | |||||||||
1,092 | Cal Dive International, Inc.* | 13,552 | |||||||||
1,014 | Callon Petroleum Co.* | 15,159 | |||||||||
991 | CARBO Ceramics, Inc. | 39,343 | |||||||||
1,191 | Carrizo Oil & Gas, Inc.* | 57,704 | |||||||||
270 | Clayton Williams Energy, Inc.* | 7,765 | |||||||||
488 | Clean Energy Fuels Corp.* | 7,281 | |||||||||
2,088 | Complete Production Services, Inc.* | 36,999 | |||||||||
2,169 | Comstock Resources, Inc.* | 72,662 | |||||||||
1,126 | Concho Resources, Inc.* | 21,236 | |||||||||
641 | Contango Oil & Gas Co.* | 30,255 | |||||||||
1,801 | Crosstex Energy, Inc. | 64,656 | |||||||||
372 | Dawson Geophysical Co.* | 24,931 | |||||||||
575 | Delek U.S. Holdings, Inc. | 10,603 | |||||||||
3,209 | Delta Petroleum Corp.* | 49,322 | |||||||||
1,038 | Double Hull Tankers, Inc. | 13,764 | |||||||||
1,302 | Dril-Quip, Inc.* | 73,459 | |||||||||
1,390 | Edge Petroleum Corp.* | 8,201 | |||||||||
2,595 | Encore Acquisition Co.* | 84,467 | |||||||||
1,380 | Energy Partners Ltd.* | 17,084 | |||||||||
817 | ENGlobal Corp.* | 8,832 | |||||||||
4,087 | Evergreen Energy, Inc.* | 14,999 | |||||||||
3,012 | EXCO Resources, Inc.* | 42,108 | |||||||||
2,947 | Exterran Holdings, Inc.* | 235,878 | |||||||||
1,846 | FX Energy, Inc.* | 13,734 | |||||||||
1,398 | General Maritime Corp. | 37,327 | |||||||||
1,576 | GeoGlobal Resources, Inc.* | 4,917 | |||||||||
334 | Geokinetics, Inc.* | 7,275 | |||||||||
883 | GeoMet, Inc.* | 4,291 | |||||||||
563 | GMX Resources, Inc.* | 18,010 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,704 | Golar LNG Ltd. | $ | 36,278 | ||||||||
758 | Goodrich Petroleum Corp.* | 18,518 | |||||||||
9,032 | Grey Wolf, Inc.* | 45,883 | |||||||||
524 | Gulf Island Fabrication, Inc. | 16,668 | |||||||||
1,117 | Gulfmark Offshore, Inc.* | 49,640 | |||||||||
965 | Gulfport Energy Corp.* | 20,091 | |||||||||
1,704 | Harvest Natural Resources, Inc.* | 22,203 | |||||||||
4,057 | Hercules Offshore, Inc.* | 101,466 | |||||||||
1,597 | Horizon Offshore, Inc.* | 27,053 | |||||||||
1,123 | Hornbeck Offshore Services, Inc.* | 46,234 | |||||||||
6,207 | International Coal Group, Inc.* | 31,097 | |||||||||
3,474 | ION Geophysical Corp.* | 53,604 | |||||||||
489 | Kayne Anderson Energy Development Co. | 11,316 | |||||||||
835 | Knightsbridge Tankers Ltd. | 21,050 | |||||||||
735 | Lufkin Industries, Inc. | 38,227 | |||||||||
4,257 | Mariner Energy, Inc.* | 92,292 | |||||||||
313 | Markwest Hydrocarbon, Inc. | 19,187 | |||||||||
1,299 | Matrix Service Co.* | 33,891 | |||||||||
2,086 | McMoRan Exploration Co.* | 24,531 | |||||||||
4,365 | Meridian Resource Corp.* | 7,595 | |||||||||
901 | NATCO Group, Inc.* | 42,834 | |||||||||
4,392 | Newpark Resources* | 23,629 | |||||||||
1,464 | Nordic American Tanker Shipping | 50,084 | |||||||||
1,532 | Nova Biosource Fuels, Inc.* | 2,436 | |||||||||
2,406 | Oil States International, Inc.* | 76,294 | |||||||||
6,112 | Oilsands Quest, Inc.* | 27,504 | |||||||||
194 | OYO Geospace Corp.* | 20,312 | |||||||||
1,738 | Pacific Ethanol, Inc.* | 10,619 | |||||||||
1,842 | Parallel Petroleum Corp.* | 35,274 | |||||||||
5,453 | Parker Drilling Co.* | 38,989 | |||||||||
1,836 | Penn Virginia Corp. | 76,414 | |||||||||
8,285 | PetroHawk Energy Corp.* | 135,046 | |||||||||
727 | Petroleum Development Corp.* | 36,837 | |||||||||
2,029 | Petroquest Energy, Inc.* | 26,965 | |||||||||
665 | PHI, Inc. (Non-Voting)* | 21,207 | |||||||||
2,425 | Pioneer Drilling Co.* | 28,882 | |||||||||
7,951 | Rentech, Inc.* | 16,538 | |||||||||
469 | Rex Energy Corp.* | 4,638 | |||||||||
2,480 | Rosetta Resources, Inc.* | 45,384 | |||||||||
1,574 | RPC, Inc. | 17,471 | |||||||||
1,539 | Ship Finance International Ltd. | 39,198 | |||||||||
1,369 | Stone Energy Corp.* | 61,879 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
2,167 | Sulphco, Inc.* | $ | 11,485 | ||||||||
497 | Superior Offshore International, Inc.* | 3,067 | |||||||||
766 | Superior Well Services, Inc.* | 14,853 | |||||||||
1,461 | Swift Energy Co.* | 59,185 | |||||||||
299 | T-3 Energy Services, Inc.* | 15,073 | |||||||||
738 | Toreador Resources Corp.* | 4,812 | |||||||||
581 | Trico Marine Services, Inc.* | 20,550 | |||||||||
1,647 | TXCO Resources, Inc.* | 19,846 | |||||||||
673 | Union Drilling, Inc.* | 8,547 | |||||||||
2,549 | Uranium Resources, Inc.* | 30,231 | |||||||||
661 | U.S. BioEnergy Corp.* | 5,995 | |||||||||
5,249 | USEC, Inc.* | 43,094 | |||||||||
2,888 | Vaalco Energy, Inc.* | 12,592 | |||||||||
696 | Venoco, Inc.* | 12,709 | |||||||||
1,947 | VeraSun Energy Corp.* | 22,994 | |||||||||
1,988 | Verenium Corp.* | 7,256 | |||||||||
1,486 | W-H Energy Services, Inc.* | 75,043 | |||||||||
2,843 | Warren Resources, Inc.* | 36,277 | |||||||||
2,054 | Whiting Petroleum Corp.* | 108,287 | |||||||||
1,809 | Willbros Group, Inc.* | 67,783 | |||||||||
1,394 | World Fuel Services Corp. | 44,106 | |||||||||
3,975,215 | |||||||||||
Financials — 17.7% | |||||||||||
674 | 1st Source Corp. | 13,574 | |||||||||
513 | Abington Bancorp, Inc. | 4,545 | |||||||||
373 | ACA Capital Holdings, Inc.* | 306 | |||||||||
1,570 | Acadia Realty Trust (REIT) | 41,432 | |||||||||
3,260 | Advance America Cash Advance Centers, Inc. | 29,731 | |||||||||
1,811 | Advanta Corp., Class B | 18,128 | |||||||||
379 | Agree Realty Corp. (REIT) | 11,389 | |||||||||
831 | Alabama National Bancorporation | 64,228 | |||||||||
2,023 | Aldabra 2 Acquisition Corp.* | 19,279 | |||||||||
2,979 | Alesco Financial, Inc. (REIT) | 11,082 | |||||||||
98 | Alexander's, Inc. (REIT)* | 38,186 | |||||||||
1,557 | Alexandria Real Estate Equities, Inc. (REIT) | 152,944 | |||||||||
1,601 | Alfa Corp. | 34,598 | |||||||||
2,023 | Alternative Asset Management Acquisition Corp.* | 18,531 | |||||||||
1,128 | Amcore Financial, Inc. | 26,508 | |||||||||
1,323 | American Campus Communities, Inc. (REIT) | 34,213 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
2,777 | American Equity Investment Life Holding Co. | $ | 25,021 | ||||||||
6,364 | American Financial Realty Trust (REIT) | 51,357 | |||||||||
442 | American Physicians Capital, Inc. | 18,546 | |||||||||
840 | AmericanWest Bancorp | 15,246 | |||||||||
661 | Ameris Bancorp | 11,125 | |||||||||
918 | Amerisafe, Inc.* | 14,009 | |||||||||
998 | Ampal American Israel, Class A* | 6,497 | |||||||||
1,251 | Amtrust Financial Services, Inc. | 15,888 | |||||||||
956 | Anchor Bancorp Wisconsin, Inc. | 24,302 | |||||||||
3,133 | Anthracite Capital, Inc. (REIT) | 23,936 | |||||||||
2,229 | Anworth Mortgage Asset Corp. (REIT) | 15,648 | |||||||||
5,828 | Apollo Investment Corp. | 103,214 | |||||||||
661 | Arbor Realty Trust, Inc. (REIT) | 11,303 | |||||||||
3,395 | Ares Capital Corp. | 51,129 | |||||||||
1,434 | Argo Group International Holdings Ltd.* | 56,657 | |||||||||
5,175 | Ashford Hospitality Trust, Inc. (REIT) | 40,054 | |||||||||
4,306 | Aspen Insurance Holdings Ltd. | 124,013 | |||||||||
729 | Asset Acceptance Capital Corp. | 8,238 | |||||||||
718 | Associated Estates Realty Corp. (REIT) | 8,953 | |||||||||
3,312 | Assured Guaranty Ltd. | 74,752 | |||||||||
549 | Asta Funding, Inc. | 19,852 | |||||||||
397 | Baldwin & Lyons, Inc., Class B | 10,695 | |||||||||
390 | Bancfirst Corp. | 18,236 | |||||||||
1,329 | Banco Latinoamericano de Exportaciones S.A., Class E | 23,736 | |||||||||
525 | Bancorp, Inc.* | 8,484 | |||||||||
2,703 | Bank Mutual Corp. | 27,354 | |||||||||
597 | Bank of the Ozarks, Inc. | 17,367 | |||||||||
2,040 | BankAtlantic Bancorp, Inc., Class A | 7,854 | |||||||||
1,132 | BankFinancial Corp. | 17,897 | |||||||||
1,560 | BankUnited Financial Corp., Class A | 12,449 | |||||||||
756 | Banner Corp. | 22,650 | |||||||||
1,780 | Beneficial Mutual Bancorp, Inc.* | 17,355 | |||||||||
522 | Berkshire Hills Bancorp, Inc. | 12,669 | |||||||||
3,198 | BioMed Realty Trust, Inc. (REIT) | 72,211 | |||||||||
487 | BlackRock Kelso Capital Corp. | 6,954 | |||||||||
1,810 | Boston Private Financial Holdings, Inc. | 49,847 | |||||||||
3,080 | Brookline Bancorp, Inc. | 31,570 | |||||||||
343 | BRT Realty Trust (REIT) | 5,179 | |||||||||
1,042 | Calamos Asset Management, Inc., Class A | 30,854 | |||||||||
620 | Capital City Bank Group, Inc. | 17,999 | |||||||||
467 | Capital Corp. of the West | 8,775 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
149 | Capital Southwest Corp. | $ | 17,916 | ||||||||
667 | Capital Trust, Inc., Class A (REIT) | 20,517 | |||||||||
696 | Capitol Bancorp Ltd. | 13,948 | |||||||||
2,125 | CapLease, Inc. (REIT) | 18,700 | |||||||||
1,097 | Cascade Bancorp | 19,022 | |||||||||
1,451 | Cash America International, Inc. | 52,207 | |||||||||
387 | Castlepoint Holdings Ltd. | 4,551 | |||||||||
2,500 | Cathay General Bancorp | 72,450 | |||||||||
1,424 | CBRE Realty Finance, Inc. (REIT) | 10,110 | |||||||||
2,159 | Cedar Shopping Centers, Inc. (REIT) | 25,260 | |||||||||
2,697 | Centennial Bank Holdings, Inc.* | 13,620 | |||||||||
491 | Center Financial Corp. | 6,039 | |||||||||
2,488 | Centerline Holding Co. | 30,080 | |||||||||
1,502 | Central Pacific Financial Corp. | 30,355 | |||||||||
1,212 | Chemical Financial Corp. | 30,421 | |||||||||
2,253 | Chittenden Corp. | 78,923 | |||||||||
3,699 | Citizens Republic Bancorp, Inc. | 52,600 | |||||||||
1,689 | Citizens, Inc./Texas* | 11,080 | |||||||||
667 | City Bank | 13,874 | |||||||||
838 | City Holding Co. | 30,151 | |||||||||
586 | Clayton Holdings, Inc.* | 2,303 | |||||||||
583 | Clifton Savings Bancorp, Inc. | 6,180 | |||||||||
808 | CNA Surety Corp.* | 16,669 | |||||||||
904 | CoBiz Financial, Inc. | 14,771 | |||||||||
854 | Cohen & Steers, Inc. | 24,228 | |||||||||
874 | Columbia Banking System, Inc. | 26,928 | |||||||||
2,388 | Commerce Group, Inc. | 85,849 | |||||||||
509 | Community Bancorp* | 9,177 | |||||||||
1,470 | Community Bank System, Inc. | 29,650 | |||||||||
1,211 | Community Banks, Inc. | 35,652 | |||||||||
743 | Community Trust Bancorp, Inc. | 20,990 | |||||||||
1,034 | Compass Diversified Holdings | 15,396 | |||||||||
994 | CompuCredit Corp.* | 12,882 | |||||||||
279 | Consolidated-Tomoka Land Co. | 17,605 | |||||||||
1,906 | Corporate Office Properties Trust SBI MD (REIT) | 68,845 | |||||||||
1,901 | Corus Bankshares, Inc. | 18,040 | |||||||||
1,980 | Cousins Properties, Inc. (REIT) | 47,065 | |||||||||
772 | Cowen Group, Inc.* | 8,284 | |||||||||
1,240 | Crawford & Co., Class B* | 4,960 | |||||||||
250 | Credit Acceptance Corp.* | 4,768 | |||||||||
1,221 | Crystal River Capital, Inc. (REIT) | 17,253 | |||||||||
3,240 | CVB Financial Corp. | 36,029 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
375 | Darwin Professional Underwriters, Inc.* | $ | 8,625 | ||||||||
8,228 | DCT Industrial Trust, Inc. (REIT) | 83,021 | |||||||||
2,527 | Deerfield Triarc Capital Corp. (REIT) | 18,978 | |||||||||
2,122 | Delphi Financial Group, Inc. | 81,570 | |||||||||
808 | Delta Financial Corp. | 1,487 | |||||||||
4,618 | DiamondRock Hospitality Co. (REIT) | 79,984 | |||||||||
2,754 | Digital Realty Trust, Inc. (REIT) | 105,093 | |||||||||
1,203 | Dime Community Bancshares | 16,325 | |||||||||
784 | Dollar Financial Corp.* | 23,426 | |||||||||
649 | Donegal Group, Inc., Class A | 10,962 | |||||||||
1,031 | Downey Financial Corp. | 42,900 | |||||||||
1,160 | EastGroup Properties, Inc. (REIT) | 53,511 | |||||||||
1,367 | Education Realty Trust, Inc. (REIT) | 16,390 | |||||||||
652 | eHealth, Inc.* | 20,205 | |||||||||
292 | EMC Insurance Group, Inc. | 7,110 | |||||||||
2,424 | Employers Holdings, Inc. | 43,123 | |||||||||
785 | Encore Capital Group, Inc.* | 8,062 | |||||||||
1,091 | Energy Infrastructure Acquisition Corp.* | 10,986 | |||||||||
342 | Enstar Group Ltd.* | 37,107 | |||||||||
503 | Enterprise Financial Services Corp. | 11,534 | |||||||||
1,372 | Entertainment Properties Trust (REIT) | 73,114 | |||||||||
425 | Epoch Holding Corp. | 5,946 | |||||||||
984 | Equity Lifestyle Properties, Inc. (REIT) | 45,648 | |||||||||
1,778 | Equity One, Inc. (REIT) | 42,085 | |||||||||
450 | Evercore Partners, Inc., Class A | 9,437 | |||||||||
3,145 | Extra Space Storage, Inc. (REIT) | 44,848 | |||||||||
1,810 | Ezcorp, Inc., Class A* | 22,734 | |||||||||
703 | FBL Financial Group, Inc., Class A | 26,060 | |||||||||
1,518 | FBR Capital Markets Corp.* | 15,286 | |||||||||
430 | FCStone Group, Inc.* | 18,150 | |||||||||
504 | Federal Agricultural Mortgage Corp., Class C | 13,714 | |||||||||
3,048 | FelCor Lodging Trust, Inc. (REIT) | 53,370 | |||||||||
1,314 | Financial Federal Corp. | 29,026 | |||||||||
835 | First Acceptance Corp.* | 3,373 | |||||||||
588 | First Bancorp/North Carolina | 11,237 | |||||||||
4,519 | First Bancorp/Puerto Rico | 29,554 | |||||||||
1,268 | First Busey Corp. | 26,489 | |||||||||
1,216 | First Cash Financial Services, Inc.* | 20,672 | |||||||||
1,717 | First Charter Corp. | 51,716 | |||||||||
3,615 | First Commonwealth Financial Corp. | 42,079 | |||||||||
1,264 | First Community Bancorp, Inc. | 56,867 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
491 | First Community Bancshares, Inc. | $ | 15,766 | ||||||||
1,622 | First Financial Bancorp | 18,621 | |||||||||
1,014 | First Financial Bankshares, Inc. | 39,546 | |||||||||
645 | First Financial Corp. | 18,305 | |||||||||
583 | First Financial Holdings, Inc. | 15,980 | |||||||||
604 | First Indiana Corp. | 19,237 | |||||||||
2,217 | First Industrial Realty Trust, Inc. (REIT) | 80,965 | |||||||||
895 | First Merchants Corp. | 19,413 | |||||||||
604 | First Mercury Financial Corp.* | 12,817 | |||||||||
2,429 | First Midwest Bancorp, Inc. | 79,428 | |||||||||
4,952 | First Niagara Financial Group, Inc. | 61,553 | |||||||||
852 | First Place Financial Corp. | 12,303 | |||||||||
1,183 | First Potomac Realty Trust (REIT) | 22,311 | |||||||||
408 | First Regional Bancorp* | 8,992 | |||||||||
416 | First South Bancorp, Inc. | 10,030 | |||||||||
999 | First State Bancorporation | 14,605 | |||||||||
666 | FirstFed Financial Corp.* | 23,323 | |||||||||
3,931 | FirstMerit Corp. | 81,018 | |||||||||
2,173 | Flagstar Bancorp, Inc. | 13,690 | |||||||||
671 | Flagstone Reinsurance Holdings Ltd. | 9,495 | |||||||||
1,032 | Flushing Financial Corp. | 16,574 | |||||||||
2,949 | FNB Corp./Pennsylvania | 45,739 | |||||||||
446 | Fpic Insurance Group, Inc.* | 19,058 | |||||||||
1,238 | Franklin Bank Corp.* | 5,262 | |||||||||
2,907 | Franklin Street Properties Corp. (REIT) | 48,111 | |||||||||
3,310 | Fremont General Corp. | 8,308 | |||||||||
6,857 | Friedman Billings Ramsey Group, Inc., Class A (REIT) | 20,502 | |||||||||
1,913 | Frontier Financial Corp. | 36,653 | |||||||||
270 | GAMCO Investors, Inc. | 14,391 | |||||||||
847 | Getty Realty Corp. (REIT) | 22,971 | |||||||||
783 | GFI Group, Inc.* | 76,249 | |||||||||
2,574 | Glacier Bancorp, Inc. | 51,248 | |||||||||
696 | Gladstone Capital Corp. | 13,635 | |||||||||
1,813 | Glimcher Realty Trust (REIT) | 35,190 | |||||||||
1,535 | GMH Communities Trust (REIT) | 8,964 | |||||||||
1,216 | Gramercy Capital Corp. (REIT) | 28,916 | |||||||||
508 | Great Southern Bancorp, Inc. | 11,293 | |||||||||
558 | Green Bankshares, Inc. | 16,667 | |||||||||
874 | Greenhill & Co., Inc. | 63,181 | |||||||||
524 | Greenlight Capital Re Ltd., Class A* | 11,387 | |||||||||
772 | Grubb & Ellis Co.* | 3,984 | |||||||||
224 | Hallmark Financial Services* | 3,351 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,307 | Hancock Holding Co. | $ | 51,247 | ||||||||
1,985 | Hanmi Financial Corp. | 19,036 | |||||||||
722 | Harleysville Group, Inc. | 25,270 | |||||||||
1,501 | Harleysville National Corp. | 23,040 | |||||||||
2,476 | Healthcare Realty Trust, Inc. (REIT) | 62,965 | |||||||||
621 | Heartland Financial USA, Inc. | 12,414 | |||||||||
1,582 | Hercules Technology Growth Capital, Inc. | 18,683 | |||||||||
653 | Heritage Commerce Corp. | 11,623 | |||||||||
1,992 | Hersha Hospitality Trust (REIT) | 20,279 | |||||||||
803 | HFF, Inc., Class A* | 5,484 | |||||||||
2,779 | Highwoods Properties, Inc. (REIT) | 88,178 | |||||||||
1,796 | Hilb Rogal & Hobbs Co. | 76,779 | |||||||||
2,317 | Hilltop Holdings, Inc.* | 25,116 | |||||||||
562 | Home Bancshares, Inc. | 11,257 | |||||||||
1,624 | Home Properties, Inc. (REIT) | 73,389 | |||||||||
2,110 | Horace Mann Educators Corp. | 41,272 | |||||||||
599 | Horizon Financial Corp. | 10,309 | |||||||||
567 | IBERIABANK Corp. | 27,443 | |||||||||
3,717 | IMPAC Mortgage Holdings, Inc. (REIT) | 2,267 | |||||||||
269 | Imperial Capital Bancorp, Inc. | 6,133 | |||||||||
309 | Independence Holding Co. | 4,190 | |||||||||
694 | Independent Bank Corp./Massachusetts | 20,084 | |||||||||
1,103 | Independent Bank Corp./Michigan | 10,545 | |||||||||
799 | Infinity Property & Casualty Corp. | 31,233 | |||||||||
1,580 | Information Services Group, Inc.* | 10,633 | |||||||||
2,838 | Inland Real Estate Corp. (REIT) | 41,492 | |||||||||
1,015 | Integra Bank Corp. | 16,311 | |||||||||
1,954 | Interactive Brokers Group, Inc.* | 57,448 | |||||||||
2,503 | International Bancshares Corp. | 55,166 | |||||||||
1,900 | International Securities Exchange Holdings, Inc. | 127,661 | |||||||||
2,494 | Investors Bancorp, Inc.* | 36,587 | |||||||||
2,356 | Investors Real Estate Trust (REIT) | 23,701 | |||||||||
2,954 | IPC Holdings Ltd. | 87,320 | |||||||||
919 | Irwin Financial Corp. | 7,471 | |||||||||
285 | James River Group, Inc. | 9,747 | |||||||||
1,264 | JER Investors Trust, Inc. (REIT) | 12,362 | |||||||||
240 | K-Fed Bancorp | 2,918 | |||||||||
227 | Kansas City Life Insurance Co. | 10,233 | |||||||||
1,430 | KBW, Inc.* | 37,752 | |||||||||
1,046 | Kearny Financial Corp. | 13,242 | |||||||||
1,019 | Kite Realty Group Trust (REIT) | 15,947 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,348 | KNBT Bancorp, Inc. | $ | 21,379 | ||||||||
4,744 | Knight Capital Group, Inc., Class A* | 63,332 | |||||||||
698 | Kohlberg Capital Corp. | 7,322 | |||||||||
2,598 | LaBranche & Co., Inc.* | 13,795 | |||||||||
4,785 | Ladenburg Thalmann Financial Services, Inc.* | 9,235 | |||||||||
980 | Lakeland Bancorp, Inc. | 11,280 | |||||||||
595 | Lakeland Financial Corp. | 11,269 | |||||||||
761 | LandAmerica Financial Group, Inc. | 20,030 | |||||||||
1,959 | LaSalle Hotel Properties (REIT) | 72,875 | |||||||||
3,233 | Lexington Realty Trust (REIT) | 57,192 | |||||||||
1,156 | LTC Properties, Inc. (REIT) | 27,212 | |||||||||
2,116 | Luminent Mortgage Capital, Inc. (REIT) | 2,179 | |||||||||
756 | Macatawa Bank Corp. | 7,545 | |||||||||
1,830 | Maguire Properties, Inc. (REIT) | 46,262 | |||||||||
915 | MainSource Financial Group, Inc. | 13,780 | |||||||||
1,849 | Marathon Acquisition Corp.* | 14,626 | |||||||||
1,517 | MarketAxess Holdings, Inc.* | 21,784 | |||||||||
2,946 | Max Capital Group Ltd. | 83,401 | |||||||||
1,782 | MB Financial, Inc. | 56,489 | |||||||||
3,053 | MCG Capital Corp. | 34,499 | |||||||||
1,566 | Meadowbrook Insurance Group, Inc.* | 14,392 | |||||||||
2,422 | Medical Properties Trust, Inc. (REIT) | 27,175 | |||||||||
2,234 | Meruelo Maddux Properties, Inc.* | 9,383 | |||||||||
5,955 | MFA Mortgage Investments, Inc. (REIT) | 52,285 | |||||||||
1,243 | Mid-America Apartment Communities, Inc. (REIT) | 60,024 | |||||||||
482 | Midland Co. (The) | 30,829 | |||||||||
1,078 | Midwest Banc Holdings, Inc. | 13,583 | |||||||||
959 | Mission West Properties (REIT) | 9,820 | |||||||||
5,025 | Montpelier Re Holdings Ltd. | 87,033 | |||||||||
1,185 | MVC Capital, Inc. | 19,043 | |||||||||
1,093 | Nara Bancorp, Inc. | 14,581 | |||||||||
184 | NASB Financial, Inc. | 5,511 | |||||||||
1,840 | National Financial Partners Corp. | 83,536 | |||||||||
1,137 | National Health Investors, Inc. (REIT) | 32,314 | |||||||||
259 | National Interstate Corp. | 8,529 | |||||||||
2,397 | National Penn Bancshares, Inc. | 37,657 | |||||||||
3,494 | National Retail Properties, Inc. (REIT) | 85,568 | |||||||||
110 | National Western Life Insurance Co., Class A | 22,107 | |||||||||
4,360 | Nationwide Health Properties, Inc. (REIT) | 136,381 | |||||||||
641 | Navigators Group, Inc.* | 37,627 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,575 | NBT Bancorp, Inc. | $ | 39,265 | ||||||||
855 | Nelnet, Inc., Class A | 11,790 | |||||||||
5,543 | NewAlliance Bancshares, Inc. | 71,505 | |||||||||
2,029 | Newcastle Investment Corp. (REIT) | 26,397 | |||||||||
675 | NewStar Financial, Inc.* | 6,197 | |||||||||
852 | NGP Capital Resources Co. | 12,499 | |||||||||
2,997 | NorthStar Realty Finance Corp. (REIT) | 27,482 | |||||||||
896 | Northwest Bancorp, Inc. | 24,855 | |||||||||
463 | Novastar Financial, Inc. (REIT) | 912 | |||||||||
1,200 | NTR Acquisition Co.* | 11,508 | |||||||||
285 | NYMAGIC, Inc. | 6,350 | |||||||||
1,735 | Ocwen Financial Corp.* | 9,716 | |||||||||
1,384 | Odyssey Re Holdings Corp. | 53,339 | |||||||||
3,245 | Old National Bancorp | 51,855 | |||||||||
593 | Old Second Bancorp, Inc. | 15,709 | |||||||||
618 | Omega Financial Corp. | 19,127 | |||||||||
3,285 | Omega Healthcare Investors, Inc. (REIT) | 53,118 | |||||||||
2,134 | optionsXpress Holdings, Inc. | 64,895 | |||||||||
1,012 | Oriental Financial Group | 13,642 | |||||||||
594 | Oritani Financial Corp.* | 7,663 | |||||||||
2,297 | Pacific Capital Bancorp | 47,203 | |||||||||
592 | Park National Corp. | 44,737 | |||||||||
776 | Parkway Properties, Inc. (REIT) | 30,706 | |||||||||
2,130 | Partners Trust Financial Group, Inc. | 27,157 | |||||||||
1,009 | Patriot Capital Funding, Inc. | 10,816 | |||||||||
977 | PennantPark Investment Corp. | 11,226 | |||||||||
1,570 | Pennsylvania Real Estate Investment Trust (REIT) | 54,212 | |||||||||
710 | Penson Worldwide, Inc.* | 10,884 | |||||||||
514 | Peoples Bancorp, Inc. | 12,434 | |||||||||
1,105 | PFF Bancorp, Inc. | 10,387 | |||||||||
5,574 | Phoenix Cos., Inc. (The) | 66,999 | |||||||||
745 | Pico Holdings, Inc.* | 28,675 | |||||||||
759 | Pinnacle Financial Partners, Inc.* | 22,110 | |||||||||
855 | Piper Jaffray Cos.* | 39,604 | |||||||||
2,924 | Platinum Underwriters Holdings Ltd. | 106,200 | |||||||||
1,594 | PMA Capital Corp., Class A* | 13,932 | |||||||||
738 | Portfolio Recovery Associates, Inc. | 29,727 | |||||||||
2,132 | Post Properties, Inc. (REIT) | 77,413 | |||||||||
1,906 | Potlatch Corp. (REIT) | 87,504 | |||||||||
451 | Preferred Bank | 12,055 | |||||||||
1,055 | Presidential Life Corp. | 18,188 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
2,200 | Primus Guaranty Ltd.* | $ | 14,058 | ||||||||
922 | PrivateBancorp, Inc. | 28,222 | |||||||||
1,629 | ProAssurance Corp.* | 89,334 | |||||||||
1,149 | Prospect Capital Corp. | 16,109 | |||||||||
1,735 | Prosperity Bancshares, Inc. | 55,763 | |||||||||
1,575 | Provident Bankshares Corp. | 36,934 | |||||||||
3,020 | Provident Financial Services, Inc. | 44,877 | |||||||||
2,071 | Provident New York Bancorp | 25,266 | |||||||||
777 | PS Business Parks, Inc. (REIT) | 41,919 | |||||||||
387 | QC Holdings, Inc. | 5,375 | |||||||||
814 | Quadra Realty Trust, Inc. (REIT) | 5,885 | |||||||||
3,093 | RAIT Financial Trust (REIT) | 26,754 | |||||||||
889 | RAM Holdings Ltd.* | 5,156 | |||||||||
908 | Ramco-Gershenson Properties Trust (REIT) | 22,972 | |||||||||
4,935 | Realty Income Corp. (REIT) | 140,647 | |||||||||
1,032 | Redwood Trust, Inc. (REIT) | 31,507 | |||||||||
1,035 | Renasant Corp. | 20,193 | |||||||||
463 | Republic Bancorp, Inc., Class A | 7,524 | |||||||||
645 | Resource America, Inc., Class A | 10,462 | |||||||||
1,076 | Resource Capital Corp. (REIT) | 10,276 | |||||||||
1,029 | RLI Corp. | 61,359 | |||||||||
434 | Rockville Financial, Inc. | 5,933 | |||||||||
496 | Roma Financial Corp. | 7,961 | |||||||||
265 | Royal Bancshares of Pennsylvania | 3,169 | |||||||||
1,212 | S & T Bancorp, Inc. | 38,820 | |||||||||
793 | Safety Insurance Group, Inc. | 28,952 | |||||||||
908 | Sanders Morris Harris Group, Inc. | 8,835 | |||||||||
769 | Sandy Spring Bancorp, Inc. | 22,578 | |||||||||
214 | Santander BanCorp. | 2,093 | |||||||||
524 | Saul Centers, Inc. (REIT) | 29,915 | |||||||||
449 | SCBT Financial Corp. | 13,919 | |||||||||
3,322 | Scottish Re Group Ltd.* | 3,820 | |||||||||
1,016 | SeaBright Insurance Holdings, Inc.* | 15,758 | |||||||||
725 | Seacoast Banking Corp. of Florida | 9,099 | |||||||||
799 | Security Bank Corp. | 9,005 | |||||||||
1,164 | Security Capital Assurance Ltd. | 8,241 | |||||||||
2,680 | Selective Insurance Group | 63,221 | |||||||||
4,086 | Senior Housing Properties Trust (REIT) | 90,260 | |||||||||
370 | Sierra Bancorp | 9,235 | |||||||||
1,450 | Signature Bank* | 53,722 | |||||||||
690 | Simmons First National Corp., Class A | 18,002 | |||||||||
3,623 | South Financial Group, Inc. (The) | 64,924 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
560 | Southside Bancshares, Inc. | $ | 10,724 | ||||||||
698 | Southwest Bancorp, Inc. | 12,529 | |||||||||
1,058 | Sovran Self Storage, Inc. (REIT) | 46,245 | |||||||||
922 | Star Maritime Acquisition Corp.* | 13,664 | |||||||||
705 | State Auto Financial Corp. | 19,655 | |||||||||
912 | Sterling Bancorp | 12,184 | |||||||||
3,635 | Sterling Bancshares, Inc. | 44,856 | |||||||||
1,290 | Sterling Financial Corp./Pennsylvania | 22,124 | |||||||||
2,505 | Sterling Financial Corp./Washington | 44,915 | |||||||||
840 | Stewart Information Services Corp. | 22,739 | |||||||||
730 | Stifel Financial Corp.* | 33,981 | |||||||||
3,632 | Strategic Hotels & Resorts, Inc. (REIT) | 66,502 | |||||||||
242 | Stratus Properties, Inc.* | 7,599 | |||||||||
491 | Suffolk Bancorp | 15,152 | |||||||||
768 | Sun Bancorp, Inc.* | 12,941 | |||||||||
782 | Sun Communities, Inc. (REIT) | 19,143 | |||||||||
3,051 | Sunstone Hotel Investors, Inc. (REIT) | 70,783 | |||||||||
1,968 | Superior Bancorp* | 11,788 | |||||||||
4,158 | Susquehanna Bancshares, Inc. | 82,703 | |||||||||
1,675 | SVB Financial Group* | 86,229 | |||||||||
1,090 | SWS Group, Inc. | 14,780 | |||||||||
601 | SY Bancorp, Inc. | 14,220 | |||||||||
1,528 | Tanger Factory Outlet Centers (REIT) | 64,344 | |||||||||
283 | Taylor Capital Group, Inc. | 6,266 | |||||||||
1,043 | Technology Investment Capital Corp. | 10,899 | |||||||||
540 | Tejon Ranch Co.* | 20,871 | |||||||||
1,144 | Texas Capital Bancshares, Inc.* | 24,116 | |||||||||
1,160 | Thomas Properties Group, Inc. | 12,087 | |||||||||
1,054 | Thomas Weisel Partners Group, Inc.* | 14,482 | |||||||||
882 | TierOne Corp. | 20,639 | |||||||||
321 | Tompkins Financial Corp. | 13,659 | |||||||||
974 | Tower Group, Inc. | 31,577 | |||||||||
1,415 | TradeStation Group, Inc.* | 16,881 | |||||||||
559 | Triad Guaranty, Inc.* | 4,813 | |||||||||
685 | Trico Bancshares | 14,529 | |||||||||
3,670 | Trustco Bank Corp. NY | 39,012 | |||||||||
2,391 | Trustmark Corp. | 60,875 | |||||||||
2,263 | U-Store-It Trust (REIT) | 22,743 | |||||||||
577 | U.S. Global Investors, Inc., Class A | 9,503 | |||||||||
4,881 | UCBH Holdings, Inc. | 78,486 | |||||||||
1,513 | UMB Financial Corp. | 56,919 | |||||||||
2,993 | Umpqua Holdings Corp. | 48,307 | |||||||||
652 | Union Bankshares Corp. | 13,503 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,205 | United America Indemnity Ltd., Class A* | $ | 23,859 | ||||||||
1,872 | United Bankshares, Inc. | 58,182 | |||||||||
2,030 | United Community Banks, Inc. | 38,489 | |||||||||
1,310 | United Community Financial Corp. | 7,428 | |||||||||
1,070 | United Fire & Casualty Co. | 32,977 | |||||||||
400 | United Security Bancshares | 6,220 | |||||||||
576 | Universal Health Realty Income Trust (REIT) | 18,950 | |||||||||
634 | Univest Corp. of Pennsylvania | 13,504 | |||||||||
1,033 | Urstadt Biddle Properties, Inc., Class A (REIT) | 17,437 | |||||||||
552 | USB Holding Co., Inc. | 11,636 | |||||||||
772 | Validus Holdings Ltd.* | 19,223 | |||||||||
567 | ViewPoint Financial Group | 10,110 | |||||||||
837 | Virginia Commerce Bancorp* | 10,488 | |||||||||
5,575 | W Holding Co., Inc. | 6,523 | |||||||||
4,100 | Waddell & Reed Financial, Inc. | 140,138 | |||||||||
2,201 | Washington Real Estate Investment Trust (REIT) | 70,520 | |||||||||
558 | Washington Trust Bancorp, Inc. | 13,866 | |||||||||
478 | Wauwatosa Holdings, Inc.* | 6,377 | |||||||||
1,021 | WesBanco, Inc. | 24,484 | |||||||||
767 | West Coast Bancorp | 15,309 | |||||||||
1,468 | Westamerica Bancorporation | 69,011 | |||||||||
810 | Western Alliance Bancorp* | 17,869 | |||||||||
505 | Westfield Financial, Inc. | 4,878 | |||||||||
861 | Wilshire Bancorp, Inc. | 8,025 | |||||||||
2,471 | Winthrop Realty Trust (REIT) | 13,195 | |||||||||
1,180 | Wintrust Financial Corp. | 41,678 | |||||||||
856 | World Acceptance Corp.* | 27,024 | |||||||||
1,071 | WP Stewart & Co., Ltd. | 6,094 | |||||||||
307 | WSFS Financial Corp. | 17,155 | |||||||||
1,810 | Zenith National Insurance Corp. | 76,074 | |||||||||
12,416,561 | |||||||||||
Health Care — 12.5% | |||||||||||
1,021 | Abaxis, Inc.* | 33,867 | |||||||||
1,412 | Abiomed, Inc.* | 18,144 | |||||||||
1,513 | Acadia Pharmaceuticals, Inc.* | 17,157 | |||||||||
804 | Accuray, Inc.* | 13,354 | |||||||||
1,217 | Acorda Therapeutics, Inc.* | 22,770 | |||||||||
1,740 | Adams Respiratory Therapeutics, Inc.* | 75,064 | |||||||||
208 | Affymax, Inc.* | 5,296 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
3,352 | Affymetrix, Inc.* | $ | 69,889 | ||||||||
510 | Air Methods Corp.* | 26,852 | |||||||||
2,690 | Akorn, Inc.* | 20,552 | |||||||||
1,193 | Albany Molecular Research, Inc.* | 15,760 | |||||||||
1,779 | Alexion Pharmaceuticals, Inc.* | 129,369 | |||||||||
991 | Alexza Pharmaceuticals, Inc.* | 8,681 | |||||||||
2,891 | Align Technology, Inc.* | 48,829 | |||||||||
4,913 | Alkermes, Inc.* | 70,059 | |||||||||
1,246 | Alliance Imaging, Inc.* | 11,899 | |||||||||
2,041 | Allos Therapeutics, Inc.* | 14,103 | |||||||||
2,704 | Allscripts Healthcare Solutions, Inc.* | 47,834 | |||||||||
1,710 | Alnylam Pharmaceuticals, Inc.* | 55,780 | |||||||||
2,118 | Alpharma, Inc., Class A* | 44,478 | |||||||||
1,037 | Altus Pharmaceuticals, Inc.* | 10,982 | |||||||||
818 | AMAG Pharmaceuticals, Inc.* | 47,141 | |||||||||
1,268 | Amedisys, Inc.* | 54,093 | |||||||||
613 | American Dental Partners, Inc.* | 12,217 | |||||||||
3,520 | American Medical Systems Holdings, Inc.* | 48,118 | |||||||||
2,578 | AMERIGROUP Corp.* | 88,606 | |||||||||
244 | Amicus Therapeutics, Inc.* | 3,733 | |||||||||
1,695 | AMN Healthcare Services, Inc.* | 28,612 | |||||||||
1,493 | Amsurg Corp.* | 38,609 | |||||||||
647 | Analogic Corp. | 34,822 | |||||||||
1,025 | Angiodynamics, Inc.* | 19,895 | |||||||||
576 | Animal Health International, Inc.* | 6,912 | |||||||||
3,852 | Applera Corp.- Celera Group* | 58,242 | |||||||||
2,132 | Apria Healthcare Group, Inc.* | 46,201 | |||||||||
3,526 | Arena Pharmaceuticals, Inc.* | 30,853 | |||||||||
3,355 | Ariad Pharmaceuticals, Inc.* | 15,098 | |||||||||
1,902 | Arqule, Inc.* | 12,344 | |||||||||
2,296 | Array Biopharma, Inc.* | 25,417 | |||||||||
1,344 | Arthrocare Corp.* | 72,751 | |||||||||
756 | Aspect Medical Systems, Inc.* | 11,234 | |||||||||
2,941 | Assisted Living Concepts, Inc., Class A* | 20,234 | |||||||||
1,527 | Auxilium Pharmaceuticals, Inc.* | 42,832 | |||||||||
1,492 | Beijing Med-Pharm Corp.* | 15,099 | |||||||||
934 | Bentley Pharmaceuticals, Inc.* | 11,759 | |||||||||
913 | Bio-Rad Laboratories, Inc., Class A* | 92,131 | |||||||||
542 | Bio-Reference Labs, Inc.* | 18,141 | |||||||||
245 | Biodel, Inc.* | 4,305 | |||||||||
4,680 | BioMarin Pharmaceutical, Inc.* | 128,700 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
524 | BioMimetic Therapeutics, Inc.* | $ | 6,388 | ||||||||
2,567 | Bionovo, Inc.* | 4,826 | |||||||||
622 | Bradley Pharmaceuticals, Inc.* | 12,247 | |||||||||
3,174 | Bruker BioSciences Corp.* | 29,487 | |||||||||
790 | Cadence Pharmaceuticals, Inc.* | 10,633 | |||||||||
1,401 | Cambrex Corp. | 10,844 | |||||||||
563 | Cantel Medical Corp.* | 9,960 | |||||||||
1,135 | Capital Senior Living Corp.* | 9,318 | |||||||||
519 | Caraco Pharmaceutical Laboratories Ltd.* | 7,660 | |||||||||
3,813 | Cell Genesys, Inc.* | 8,884 | |||||||||
2,131 | Centene Corp.* | 53,275 | |||||||||
2,692 | Cepheid, Inc.* | 58,228 | |||||||||
1,168 | Chemed Corp. | 63,247 | |||||||||
444 | Computer Programs & Systems, Inc. | 9,888 | |||||||||
1,437 | Conceptus, Inc.* | 28,869 | |||||||||
1,382 | Conmed Corp.* | 34,384 | |||||||||
372 | Corvel Corp.* | 8,649 | |||||||||
1,566 | Cross Country Healthcare, Inc.* | 22,801 | |||||||||
1,203 | CryoLife, Inc.* | 8,638 | |||||||||
2,704 | Cubist Pharmaceuticals, Inc.* | 57,433 | |||||||||
620 | Cutera, Inc.* | 9,387 | |||||||||
2,900 | CV Therapeutics, Inc.* | 25,288 | |||||||||
1,085 | Cyberonics, Inc.* | 14,799 | |||||||||
392 | Cynosure, Inc., Class A* | 11,639 | |||||||||
1,807 | Cypress Bioscience, Inc.* | 22,045 | |||||||||
1,681 | Cytokinetics, Inc.* | 8,170 | |||||||||
4,241 | CytRx Corp.* | 14,165 | |||||||||
628 | Datascope Corp. | 22,979 | |||||||||
4,080 | Dendreon Corp.* | 20,400 | |||||||||
929 | Dionex Corp.* | 78,473 | |||||||||
4,133 | Discovery Laboratories, Inc.* | 12,068 | |||||||||
3,618 | Durect Corp.* | 20,984 | |||||||||
2,232 | Eclipsys Corp.* | 51,782 | |||||||||
454 | Emergency Medical Services Corp.* | 13,965 | |||||||||
290 | Emergent Biosolutions, Inc.* | 1,621 | |||||||||
597 | Emeritus Corp.* | 15,044 | |||||||||
3,328 | Encysive Pharmaceuticals, Inc.* | 2,230 | |||||||||
1,517 | Enzo Biochem, Inc.* | 16,626 | |||||||||
2,153 | Enzon Pharmaceuticals, Inc.* | 20,367 | |||||||||
1,913 | eResearchTechnology, Inc.* | 22,688 | |||||||||
2,263 | ev3, Inc.* | 33,130 | |||||||||
5,094 | Exelixis, Inc.* | 44,471 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
667 | Genomic Health, Inc.* | $ | 16,155 | ||||||||
1,349 | Gentiva Health Services, Inc.* | 24,363 | |||||||||
3,237 | GenVec, Inc.* | 5,956 | |||||||||
3,560 | Geron Corp.* | 23,033 | |||||||||
1,091 | Greatbatch, Inc.* | 22,453 | |||||||||
823 | GTx, Inc.* | 11,827 | |||||||||
1,297 | Haemonetics Corp.* | 75,239 | |||||||||
3,146 | Halozyme Therapeutics, Inc.* | 26,678 | |||||||||
468 | Hansen Medical, Inc.* | 13,801 | |||||||||
1,510 | HealthExtras, Inc.* | 40,121 | |||||||||
3,847 | Healthsouth Corp.* | 76,286 | |||||||||
2,336 | Healthspring, Inc.* | 44,150 | |||||||||
1,713 | Healthways, Inc.* | 99,988 | |||||||||
1,026 | HMS Holdings Corp.* | 31,857 | |||||||||
5,977 | Hologic, Inc.* | 396,813 | |||||||||
6,560 | Human Genome Sciences, Inc.* | 68,290 | |||||||||
1,818 | Hythiam, Inc.* | 5,872 | |||||||||
1,002 | I-Flow Corp.* | 16,703 | |||||||||
631 | ICU Medical, Inc.* | 23,423 | |||||||||
1,216 | Idenix Pharmaceuticals, Inc.* | 2,906 | |||||||||
2,619 | Illumina, Inc.* | 151,352 | |||||||||
3,365 | Immucor, Inc.* | 111,617 | |||||||||
2,836 | Immunomedics, Inc.* | 6,409 | |||||||||
4,103 | Incyte Corp.* | 35,204 | |||||||||
2,978 | Indevus Pharmaceuticals, Inc.* | 22,305 | |||||||||
383 | Insulet Corp.* | 10,517 | |||||||||
879 | Integra LifeSciences Holdings Corp.* | 36,435 | |||||||||
1,461 | InterMune, Inc.* | 23,727 | |||||||||
1,406 | Invacare Corp. | 36,556 | |||||||||
1,521 | inVentiv Health, Inc.* | 44,383 | |||||||||
3,289 | Inverness Medical Innovations, Inc.* | 192,999 | |||||||||
4,248 | Isis Pharmaceuticals, Inc.* | 75,147 | |||||||||
2,077 | Javelin Pharmaceuticals, Inc.* | 8,640 | |||||||||
293 | Jazz Pharmaceuticals, Inc.* | 4,544 | |||||||||
620 | Kendle International, Inc.* | 26,765 | |||||||||
583 | Kensey Nash Corp.* | 15,718 | |||||||||
2,128 | Keryx Biopharmaceuticals, Inc.* | 19,578 | |||||||||
1,403 | Kindred Healthcare, Inc.* | 34,472 | |||||||||
2,078 | Kosan Biosciences, Inc.* | 9,912 | |||||||||
1,728 | KV Pharmaceutical Co., Class A* | 48,730 | |||||||||
449 | Landauer, Inc. | 22,544 | |||||||||
931 | LCA-Vision, Inc. | 15,138 | |||||||||
709 | LHC Group, Inc.* | 18,150 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,656 | Lifecell Corp.* | $ | 67,151 | ||||||||
4,159 | Ligand Pharmaceuticals, Inc., Class B | 20,421 | |||||||||
1,750 | Luminex Corp.* | 28,018 | |||||||||
1,910 | Magellan Health Services, Inc.* | 86,810 | |||||||||
2,578 | MannKind Corp.* | 24,233 | |||||||||
1,576 | Martek Biosciences Corp.* | 40,755 | |||||||||
670 | Masimo Corp.* | 24,763 | |||||||||
1,042 | Matria Healthcare, Inc.* | 23,674 | |||||||||
1,192 | Maxygen, Inc.* | 9,023 | |||||||||
6,153 | Medarex, Inc.* | 78,143 | |||||||||
492 | Medcath Corp.* | 12,507 | |||||||||
680 | Medical Action Industries, Inc.* | 13,607 | |||||||||
2,527 | Medicines Co. (The)* | 44,677 | |||||||||
2,728 | Medicis Pharmaceutical Corp., Class A | 73,383 | |||||||||
1,042 | Medivation, Inc.* | 14,171 | |||||||||
1,651 | Mentor Corp. | 62,061 | |||||||||
1,940 | Meridian Bioscience, Inc. | 59,849 | |||||||||
1,338 | Merit Medical Systems, Inc.* | 19,441 | |||||||||
706 | Metabolix, Inc.* | 15,193 | |||||||||
3,897 | MGI Pharma, Inc.* | 134,875 | |||||||||
733 | Micrus Endovascular Corp.* | 13,421 | |||||||||
2,301 | Minrad International, Inc.* | 6,236 | |||||||||
246 | Molecular Insight Pharmaceuticals, Inc.* | 2,162 | |||||||||
667 | Molina Healthcare, Inc.* | 25,006 | |||||||||
1,158 | Momenta Pharmaceuticals, Inc.* | 6,184 | |||||||||
416 | MWI Veterinary Supply, Inc.* | 17,505 | |||||||||
2,103 | Myriad Genetics, Inc.* | 101,365 | |||||||||
2,963 | Nabi Biopharmaceuticals* | 9,778 | |||||||||
1,245 | Nastech Pharmaceutical Co., Inc.* | 4,731 | |||||||||
341 | National Healthcare Corp. | 16,743 | |||||||||
1,054 | Natus Medical, Inc.* | 17,781 | |||||||||
4,479 | Nektar Therapeutics* | 29,875 | |||||||||
1,856 | Neurocrine Biosciences, Inc.* | 24,165 | |||||||||
1,546 | Neurogen Corp.* | 5,102 | |||||||||
1,030 | Nighthawk Radiology Holdings, Inc.* | 21,774 | |||||||||
954 | Northstar Neuroscience, Inc.* | 8,805 | |||||||||
349 | Novacea, Inc.* | 995 | |||||||||
1,213 | Noven Pharmaceuticals, Inc.* | 19,202 | |||||||||
1,686 | NuVasive, Inc.* | 71,773 | |||||||||
987 | NxStage Medical, Inc.* | 12,693 | |||||||||
261 | Obagi Medical Products, Inc.* | 4,802 | |||||||||
1,650 | Odyssey HealthCare, Inc.* | 16,500 | |||||||||
1,643 | Omnicell, Inc.* | 43,326 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
669 | Omrix Biopharmaceuticals, Inc.* | $ | 22,338 | ||||||||
2,673 | Onyx Pharmaceuticals, Inc.* | 145,785 | |||||||||
2,256 | OraSure Technologies, Inc.* | 21,387 | |||||||||
356 | Orexigen Therapeutics, Inc.* | 4,689 | |||||||||
808 | Orthofix International N.V.* | 47,195 | |||||||||
2,817 | OSI Pharmaceuticals, Inc.* | 131,357 | |||||||||
664 | Osiris Therapeutics, Inc.* | 7,417 | |||||||||
1,979 | Owens & Minor, Inc. | 77,715 | |||||||||
1,758 | Pain Therapeutics, Inc.* | 18,441 | |||||||||
896 | Palomar Medical Technologies, Inc.* | 15,716 | |||||||||
1,652 | Par Pharmaceutical Cos., Inc.* | 31,785 | |||||||||
1,360 | Parexel International Corp.* | 60,180 | |||||||||
1,138 | Penwest Pharmaceuticals Co.* | 6,930 | |||||||||
3,755 | Perrigo Co. | 116,030 | |||||||||
912 | PharmaNet Development Group, Inc.* | 36,024 | |||||||||
1,321 | PharMerica Corp.* | 19,458 | |||||||||
1,271 | Pharmion Corp.* | 81,141 | |||||||||
2,009 | Phase Forward, Inc.* | 49,020 | |||||||||
1,136 | Poniard Pharmaceuticals, Inc.* | 5,112 | |||||||||
1,245 | Pozen, Inc.* | 12,985 | |||||||||
970 | PRA International* | 29,391 | |||||||||
1,248 | Progenics Pharmaceuticals, Inc.* | 24,211 | |||||||||
111 | Protalix BioTherapeutics, Inc.* | 405 | |||||||||
565 | Providence Service Corp. (The)* | 15,809 | |||||||||
3,283 | PSS World Medical, Inc.* | 62,968 | |||||||||
2,652 | Psychiatric Solutions, Inc.* | 96,878 | |||||||||
1,402 | Quidel Corp.* | 26,498 | |||||||||
634 | Radiation Therapy Services, Inc.* | 19,775 | |||||||||
1,455 | Regeneration Technologies, Inc.* | 12,920 | |||||||||
3,110 | Regeneron Pharmaceuticals, Inc.* | 67,736 | |||||||||
853 | RehabCare Group, Inc.* | 19,704 | |||||||||
1,190 | Res-Care, Inc.* | 27,108 | |||||||||
1,476 | Rigel Pharmaceuticals, Inc.* | 10,568 | |||||||||
2,304 | Salix Pharmaceuticals Ltd.* | 26,173 | |||||||||
2,480 | Santarus, Inc.* | 6,299 | |||||||||
2,594 | Savient Pharmaceuticals, Inc.* | 36,472 | |||||||||
1,723 | Sciele Pharma, Inc.* | 38,457 | |||||||||
2,383 | Seattle Genetics, Inc.* | 26,189 | |||||||||
1,482 | Senomyx, Inc.* | 10,374 | |||||||||
818 | Sirona Dental Systems, Inc.* | 22,135 | |||||||||
296 | Sirtris Pharmaceuticals, Inc.* | 4,763 | |||||||||
1,094 | Skilled Healthcare Group, Inc.* | 16,574 | |||||||||
496 | Somaxon Pharmaceuticals, Inc.* | 2,882 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,289 | Sonic Innovations, Inc.* | $ | 10,737 | ||||||||
811 | SonoSite, Inc.* | 26,941 | |||||||||
1,522 | Spectranetics Corp.* | 23,089 | |||||||||
1,278 | Stereotaxis, Inc.* | 17,240 | |||||||||
3,184 | STERIS Corp. | 89,025 | |||||||||
211 | Sucampo Pharmaceuticals, Inc., Class A* | 2,798 | |||||||||
2,098 | Sun Healthcare Group, Inc.* | 34,806 | |||||||||
2,184 | Sunrise Senior Living, Inc.* | 68,556 | |||||||||
2,608 | SuperGen, Inc.* | 11,032 | |||||||||
741 | SurModics, Inc.* | 38,265 | |||||||||
1,724 | Symmetry Medical, Inc.* | 29,032 | |||||||||
244 | Synta Pharmaceuticals Corp.* | 1,818 | |||||||||
2,563 | Telik, Inc.* | 8,586 | |||||||||
1,610 | Tercica, Inc.* | 10,690 | |||||||||
2,599 | Thoratec Corp.* | 50,914 | |||||||||
574 | TomoTherapy, Inc.* | 10,676 | |||||||||
2,211 | Trizetto Group* | 34,116 | |||||||||
424 | Trubion Pharmaceuticals, Inc.* | 4,236 | |||||||||
1,015 | United Therapeutics Corp.* | 101,581 | |||||||||
2,383 | Universal American Financial Corp.* | 56,811 | |||||||||
4,642 | Valeant Pharmaceuticals International* | 53,615 | |||||||||
1,298 | Vanda Pharmaceuticals, Inc.* | 11,669 | |||||||||
1,498 | Varian, Inc.* | 104,935 | |||||||||
1,311 | Ventana Medical Systems, Inc.* | 116,443 | |||||||||
3,410 | Viropharma, Inc.* | 30,485 | |||||||||
750 | Visicu, Inc.* | 6,285 | |||||||||
834 | Vital Images, Inc.* | 15,045 | |||||||||
529 | Vital Signs, Inc. | 27,989 | |||||||||
2,851 | Vivus, Inc.* | 16,137 | |||||||||
1,409 | Volcano Corp.* | 20,586 | |||||||||
1,612 | West Pharmaceutical Services, Inc. | 60,563 | |||||||||
1,731 | Wright Medical Group, Inc.* | 46,702 | |||||||||
1,053 | XenoPort, Inc.* | 55,377 | |||||||||
6,434 | XOMA Ltd.* | 23,162 | |||||||||
996 | Zoll Medical Corp.* | 23,187 | |||||||||
1,900 | Zymogenetics, Inc.* | 27,892 | |||||||||
8,802,248 | |||||||||||
Industrials — 13.2% | |||||||||||
860 | 3D Systems Corp.* | 15,110 | |||||||||
676 | AAON, Inc. | 12,864 | |||||||||
1,822 | AAR Corp.* | 60,162 | |||||||||
2,116 | ABM Industries, Inc. | 43,166 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
2,867 | ABX Air, Inc.* | $ | 12,758 | ||||||||
2,636 | ACCO Brands Corp.* | 44,048 | |||||||||
1,151 | Accuride Corp.* | 8,736 | |||||||||
2,678 | Actuant Corp., Class A | 84,812 | |||||||||
2,122 | Acuity Brands, Inc. | 83,798 | |||||||||
1,142 | Administaff, Inc. | 37,321 | |||||||||
882 | Advisory Board Co. (The)* | 57,339 | |||||||||
2,095 | Aecom Technology Corp.* | 55,706 | |||||||||
340 | Aerovironment, Inc.* | 8,191 | |||||||||
4,470 | Airtran Holdings, Inc.* | 37,950 | |||||||||
1,977 | Alaska Air Group, Inc.* | 50,077 | |||||||||
1,433 | Albany International Corp. | 55,414 | |||||||||
258 | Allegiant Travel Co.* | 9,133 | |||||||||
561 | Altra Holdings, Inc.* | 8,993 | |||||||||
489 | Amerco, Inc.* | 32,015 | |||||||||
2,450 | American Commercial Lines, Inc.* | 42,605 | |||||||||
792 | American Ecology Corp. | 17,614 | |||||||||
478 | American Railcar Industries, Inc. | 7,352 | |||||||||
1,454 | American Reprographics Co.* | 22,508 | |||||||||
448 | American Science & Engineering, Inc. | 25,917 | |||||||||
1,984 | American Superconductor Corp.* | 47,894 | |||||||||
532 | American Woodmark Corp. | 10,305 | |||||||||
445 | Ameron International Corp. | 47,072 | |||||||||
353 | Ampco-Pittsburgh Corp. | 12,433 | |||||||||
84 | Amrep Corp. | 2,777 | |||||||||
1,005 | AO Smith Corp. | 35,567 | |||||||||
1,407 | Apogee Enterprises, Inc. | 31,264 | |||||||||
2,104 | Applied Industrial Technologies, Inc. | 63,562 | |||||||||
636 | Argon ST, Inc.* | 11,588 | |||||||||
1,102 | Arkansas Best Corp. | 25,126 | |||||||||
1,654 | Arrowhead Research Corp.* | 6,748 | |||||||||
919 | Astec Industries, Inc.* | 34,518 | |||||||||
995 | ASV, Inc.* | 11,602 | |||||||||
652 | Atlas Air Worldwide Holdings, Inc.* | 34,328 | |||||||||
569 | AZZ, Inc.* | 15,238 | |||||||||
695 | Badger Meter, Inc. | 27,105 | |||||||||
2,236 | Baldor Electric Co. | 75,465 | |||||||||
2,251 | Barnes Group, Inc. | 69,691 | |||||||||
363 | Barrett Business Services, Inc. | 5,946 | |||||||||
2,163 | Beacon Roofing Supply, Inc.* | 19,921 | |||||||||
2,201 | Belden, Inc. | 101,356 | |||||||||
1,859 | Blount International, Inc.* | 22,810 | |||||||||
563 | BlueLinx Holdings, Inc. | 2,308 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,348 | Bowne & Co., Inc. | $ | 24,345 | ||||||||
2,462 | Brady Corp., Class A | 98,554 | |||||||||
2,416 | Briggs & Stratton Corp. | 55,085 | |||||||||
1,827 | Bucyrus International, Inc. | 160,246 | |||||||||
747 | Builders FirstSource, Inc.* | 5,169 | |||||||||
577 | Cascade Corp. | 34,810 | |||||||||
1,111 | Casella Waste Systems, Inc.* | 16,632 | |||||||||
2,318 | CBIZ, Inc.* | 21,418 | |||||||||
631 | CDI Corp. | 16,829 | |||||||||
1,149 | Celadon Group, Inc.* | 8,962 | |||||||||
2,623 | Cenveo, Inc.* | 53,929 | |||||||||
1,329 | Ceradyne, Inc.* | 65,706 | |||||||||
665 | Chart Industries, Inc.* | 18,487 | |||||||||
799 | CIRCOR International, Inc. | 34,669 | |||||||||
2,505 | Clarcor, Inc. | 89,203 | |||||||||
810 | Clean Harbors, Inc.* | 43,529 | |||||||||
410 | Coleman Cable, Inc.* | 4,260 | |||||||||
920 | Columbus McKinnon Corp.* | 28,630 | |||||||||
2,001 | Comfort Systems USA, Inc. | 23,512 | |||||||||
1,045 | Commercial Vehicle Group, Inc.* | 13,930 | |||||||||
60 | Compx International, Inc. | 846 | |||||||||
857 | COMSYS IT Partners, Inc.* | 11,441 | |||||||||
454 | Consolidated Graphics, Inc.* | 23,485 | |||||||||
519 | Cornell Cos., Inc.* | 12,207 | |||||||||
938 | CoStar Group, Inc.* | 45,202 | |||||||||
509 | Courier Corp. | 16,731 | |||||||||
537 | CRA International, Inc.* | 24,842 | |||||||||
760 | Cubic Corp. | 30,005 | |||||||||
2,164 | Curtiss-Wright Corp. | 116,726 | |||||||||
2,535 | Deluxe Corp. | 80,081 | |||||||||
1,380 | Diamond Management & Technology Consultants, Inc. | 10,253 | |||||||||
1,049 | Dollar Thrifty Automotive Group* | 27,211 | |||||||||
518 | Dynamex, Inc.* | 14,229 | |||||||||
591 | Dynamic Materials Corp. | 37,511 | |||||||||
1,220 | DynCorp International, Inc., Class A* | 25,498 | |||||||||
2,283 | Eagle Bulk Shipping, Inc. | 65,294 | |||||||||
861 | EDO Corp. | 48,061 | |||||||||
846 | Electro Rent Corp. | 11,573 | |||||||||
3,116 | EMCOR Group, Inc.* | 83,010 | |||||||||
1,141 | Encore Wire Corp. | 19,511 | |||||||||
1,935 | Energy Conversion Devices, Inc.* | 50,058 | |||||||||
1,045 | EnerSys* | 24,317 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,250 | Ennis, Inc. | $ | 22,950 | ||||||||
1,048 | EnPro Industries, Inc.* | 32,069 | |||||||||
1,267 | ESCO Technologies, Inc.* | 46,854 | |||||||||
1,429 | Esterline Technologies Corp.* | 74,622 | |||||||||
4,177 | Evergreen Solar, Inc.* | 55,011 | |||||||||
725 | Exponent, Inc.* | 20,191 | |||||||||
2,648 | ExpressJet Holdings, Inc.* | 6,620 | |||||||||
2,342 | Federal Signal Corp. | 26,933 | |||||||||
363 | First Advantage Corp., Class A* | 6,607 | |||||||||
1,821 | Flow International Corp.* | 14,386 | |||||||||
3,325 | Force Protection, Inc.* | 35,943 | |||||||||
1,474 | Forward Air Corp. | 47,713 | |||||||||
943 | Franklin Electric Co., Inc. | 36,739 | |||||||||
599 | FreightCar America, Inc. | 20,348 | |||||||||
2,315 | FTI Consulting, Inc.* | 131,955 | |||||||||
846 | Fuel Tech, Inc.* | 20,651 | |||||||||
3,237 | FuelCell Energy, Inc.* | 29,360 | |||||||||
1,051 | G&K Services, Inc., Class A | 42,744 | |||||||||
512 | Gehl Co.* | 8,300 | |||||||||
982 | Genco Shipping & Trading Ltd. | 62,161 | |||||||||
2,741 | GenCorp, Inc.* | 33,166 | |||||||||
1,526 | Genesee & Wyoming, Inc.* | 39,981 | |||||||||
1,390 | Genlyte Group, Inc.* | 131,007 | |||||||||
2,463 | Geo Group, Inc. (The)* | 62,708 | |||||||||
855 | GeoEye, Inc.* | 27,121 | |||||||||
1,222 | Gibraltar Industries, Inc. | 17,084 | |||||||||
1,838 | Goodman Global, Inc.* | 43,469 | |||||||||
561 | Gorman-Rupp Co. (The) | 22,131 | |||||||||
5,094 | GrafTech International Ltd.* | 81,861 | |||||||||
1,760 | Granite Construction, Inc. | 72,195 | |||||||||
574 | Great Lakes Dredge & Dock Corp. | 5,114 | |||||||||
781 | Greenbrier Cos., Inc. | 17,323 | |||||||||
1,457 | Griffon Corp.* | 18,824 | |||||||||
869 | H&E Equipment Services, Inc.* | 15,008 | |||||||||
543 | Hardinge, Inc. | 8,563 | |||||||||
2,032 | Healthcare Services Group | 44,501 | |||||||||
2,832 | Heartland Express, Inc. | 41,149 | |||||||||
1,249 | Heico Corp. | 61,526 | |||||||||
879 | Heidrick & Struggles International, Inc. | 31,881 | |||||||||
3,102 | Herman Miller, Inc. | 85,150 | |||||||||
4,608 | Hexcel Corp.* | 117,366 | |||||||||
1,643 | Horizon Lines, Inc., Class A | 32,712 | |||||||||
766 | Houston Wire & Cable Co. | 11,344 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,894 | HUB Group, Inc., Class A* | $ | 49,396 | ||||||||
1,233 | Hudson Highland Group, Inc.* | 10,986 | |||||||||
273 | Hurco Cos., Inc.* | 11,267 | |||||||||
911 | Huron Consulting Group, Inc.* | 66,749 | |||||||||
396 | ICT Group, Inc.* | 4,388 | |||||||||
1,537 | IHS, Inc., Class A* | 107,805 | |||||||||
1,158 | II-Vi, Inc.* | 38,839 | |||||||||
5,253 | IKON Office Solutions, Inc. | 66,345 | |||||||||
1,139 | Innerworkings, Inc.* | 18,053 | |||||||||
616 | Innovative Solutions & Support, Inc.* | 8,766 | |||||||||
1,333 | Insituform Technologies, Inc.* | 17,316 | |||||||||
893 | Insteel Industries, Inc. | 10,153 | |||||||||
654 | Integrated Electrical Services, Inc.* | 12,276 | |||||||||
2,673 | Interface, Inc., Class A | 46,617 | |||||||||
1,352 | Interline Brands, Inc.* | 32,353 | |||||||||
1,559 | Ionatron, Inc.* | 5,394 | |||||||||
8,723 | JetBlue Airways Corp.* | 61,061 | |||||||||
681 | Kadant, Inc.* | 20,062 | |||||||||
1,189 | Kaman Corp. | 37,929 | |||||||||
1,382 | Kaydon Corp. | 69,943 | |||||||||
1,138 | Kelly Services, Inc., Class A | 21,679 | |||||||||
1,234 | Kenexa Corp.* | 23,903 | |||||||||
1,582 | Kforce, Inc.* | 17,165 | |||||||||
2,795 | Knight Transportation, Inc. | 42,484 | |||||||||
2,427 | Knoll, Inc. | 42,424 | |||||||||
2,328 | Korn/Ferry International* | 40,111 | |||||||||
516 | L.B. Foster Co., Class A* | 23,638 | |||||||||
2,147 | Labor Ready, Inc.* | 32,312 | |||||||||
709 | Ladish Co., Inc.* | 31,309 | |||||||||
204 | Lawson Products | 6,901 | |||||||||
817 | Layne Christensen Co.* | 46,528 | |||||||||
1,234 | LECG Corp.* | 19,571 | |||||||||
569 | Lindsay Corp. | 30,111 | |||||||||
897 | LSI Industries, Inc. | 18,532 | |||||||||
592 | M&F Worldwide Corp.* | 30,411 | |||||||||
747 | Marten Transport Ltd.* | 8,187 | |||||||||
1,230 | Mcgrath Rentcorp | 32,706 | |||||||||
1,118 | Medis Technologies Ltd.* | 14,277 | |||||||||
353 | Michael Baker Corp.* | 12,330 | |||||||||
668 | Middleby Corp.* | 50,695 | |||||||||
1,201 | Midwest Air Group, Inc.* | 18,712 | |||||||||
489 | Miller Industries, Inc.* | 6,372 | |||||||||
1,374 | Mine Safety Appliances Co. | 67,340 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,754 | Mobile Mini, Inc.* | $ | 33,712 | ||||||||
1,851 | Moog, Inc., Class A* | 83,443 | |||||||||
461 | MTC Technologies, Inc.* | 7,537 | |||||||||
1,810 | Mueller Industries, Inc. | 54,716 | |||||||||
5,607 | Mueller Water Products, Inc., Class A | 58,705 | |||||||||
398 | Multi-Color Corp. | 9,512 | |||||||||
284 | NACCO Industries, Inc., Class A | 28,798 | |||||||||
2,319 | Navigant Consulting, Inc.* | 30,101 | |||||||||
985 | NCI Building Systems, Inc.* | 33,815 | |||||||||
1,646 | Nordson Corp. | 86,909 | |||||||||
436 | Northwest Pipe Co.* | 14,506 | |||||||||
750 | Nuco2, Inc.* | 20,685 | |||||||||
2,008 | Odyssey Marine Exploration, Inc.* | 11,305 | |||||||||
1,450 | Old Dominion Freight Line, Inc.* | 32,668 | |||||||||
1,716 | On Assignment, Inc.* | 10,965 | |||||||||
2,899 | Orbital Sciences Corp.* | 69,750 | |||||||||
1,688 | Pacer International, Inc. | 23,227 | |||||||||
392 | Park-Ohio Holdings Corp.* | 9,228 | |||||||||
79 | Patriot Transportation Holding, Inc.* | 7,417 | |||||||||
1,151 | PeopleSupport, Inc.* | 16,172 | |||||||||
1,304 | Perini Corp.* | 69,360 | |||||||||
509 | PGT, Inc.* | 2,810 | |||||||||
2,614 | PHH Corp.* | 57,926 | |||||||||
868 | Pike Electric Corp.* | 13,801 | |||||||||
901 | Pinnacle Airlines Corp.* | 14,650 | |||||||||
733 | Polypore International, Inc.* | 12,762 | |||||||||
394 | Powell Industries, Inc.* | 16,095 | |||||||||
3,430 | Power-One, Inc.* | 16,018 | |||||||||
121 | Preformed Line Products Co. | 6,516 | |||||||||
319 | Protection One, Inc.* | 3,723 | |||||||||
782 | Raven Industries, Inc. | 27,159 | |||||||||
1,038 | RBC Bearings, Inc.* | 38,178 | |||||||||
1,561 | Regal-Beloit Corp. | 73,492 | |||||||||
1,647 | Republic Airways Holdings, Inc.* | 33,072 | |||||||||
2,395 | Resources Connection, Inc. | 49,385 | |||||||||
688 | Robbins & Myers, Inc. | 47,128 | |||||||||
1,384 | Rollins, Inc. | 40,745 | |||||||||
1,018 | RSC Holdings, Inc.* | 12,501 | |||||||||
1,622 | Rush Enterprises, Inc., Class A* | 25,563 | |||||||||
653 | Saia, Inc.* | 8,515 | |||||||||
719 | Schawk, Inc. | 10,332 | |||||||||
1,034 | School Specialty, Inc.* | 36,903 | |||||||||
353 | Sequa Corp., Class A* | 61,757 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,802 | Simpson Manufacturing Co., Inc. | $ | 47,951 | ||||||||
2,975 | Skywest, Inc. | 78,272 | |||||||||
2,755 | Spherion Corp.* | 21,434 | |||||||||
240 | Standard Parking Corp.* | 11,129 | |||||||||
869 | Standard Register Co. (The) | 10,489 | |||||||||
607 | Standex International Corp. | 11,582 | |||||||||
391 | Stanley, Inc.* | 13,411 | |||||||||
545 | Sun Hydraulics Corp. | 15,832 | |||||||||
998 | Superior Essex, Inc.* | 24,211 | |||||||||
803 | TAL International Group, Inc. | 18,188 | |||||||||
3,033 | Taser International, Inc.* | 42,492 | |||||||||
237 | TBS International Ltd., Class A* | 10,347 | |||||||||
774 | Team, Inc.* | 23,127 | |||||||||
756 | Tecumseh Products Co., Class A* | 17,970 | |||||||||
1,708 | Teledyne Technologies, Inc.* | 92,608 | |||||||||
2,042 | TeleTech Holdings, Inc.* | 42,290 | |||||||||
823 | Tennant Co. | 36,072 | |||||||||
2,838 | Tetra Tech, Inc.* | 58,803 | |||||||||
1,177 | Titan International, Inc. | 32,320 | |||||||||
458 | TransDigm Group, Inc.* | 21,837 | |||||||||
1,458 | Tredegar Corp. | 21,083 | |||||||||
584 | Trex Co., Inc.* | 4,024 | |||||||||
689 | Trimas Corp.* | 7,648 | |||||||||
805 | Triumph Group, Inc. | 65,414 | |||||||||
961 | TurboChef Technologies, Inc.* | 14,290 | |||||||||
223 | Twin Disc, Inc. | 13,855 | |||||||||
2,515 | UAP Holding Corp. | 75,224 | |||||||||
743 | Ultrapetrol Bahamas Ltd.* | 12,906 | |||||||||
1,222 | United Stationers, Inc.* | 61,907 | |||||||||
815 | Universal Forest Products, Inc. | 23,317 | |||||||||
290 | Universal Truckload Services, Inc.* | 5,060 | |||||||||
909 | Valmont Industries, Inc. | 71,347 | |||||||||
1,030 | Viad Corp. | 31,940 | |||||||||
950 | Vicor Corp. | 13,718 | |||||||||
693 | Volt Information Sciences, Inc.* | 8,815 | |||||||||
1,491 | Wabash National Corp. | 10,303 | |||||||||
2,379 | Wabtec Corp. | 80,743 | |||||||||
2,543 | Walter Industries, Inc. | 88,217 | |||||||||
3,355 | Waste Connections, Inc.* | 106,790 | |||||||||
247 | Waste Industries USA, Inc. | 8,349 | |||||||||
950 | Waste Services, Inc.* | 8,778 | |||||||||
1,118 | Watsco, Inc. | 40,527 | |||||||||
2,089 | Watson Wyatt Worldwide, Inc., Class A | 96,198 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,535 | Watts Water Technologies, Inc., Class A | $ | 44,914 | ||||||||
2,272 | Werner Enterprises, Inc. | 39,874 | |||||||||
1,464 | Woodward Governor Co. | 100,343 | |||||||||
961 | Xerium Technologies, Inc. | 5,718 | |||||||||
9,254,176 | |||||||||||
Information Technology — 16.6% | |||||||||||
19,012 | 3Com Corp.* | 81,942 | |||||||||
1,461 | Acacia Research - Acacia Technologies* | 13,470 | |||||||||
1,815 | ACI Worldwide, Inc.* | 41,436 | |||||||||
1,079 | Acme Packet, Inc.* | 13,272 | |||||||||
1,273 | Actel Corp.* | 13,952 | |||||||||
2,958 | Actuate Corp.* | 22,392 | |||||||||
5,782 | Adaptec, Inc.* | 19,370 | |||||||||
2,877 | Adtran, Inc. | 62,402 | |||||||||
1,864 | Advanced Analogic Technologies, Inc.* | 20,075 | |||||||||
1,750 | Advanced Energy Industries, Inc.* | 25,393 | |||||||||
848 | Advent Software, Inc.* | 43,044 | |||||||||
1,289 | Agilysys, Inc. | 17,904 | |||||||||
416 | Airvana, Inc.* | 2,629 | |||||||||
3,265 | AMIS Holdings, Inc.* | 25,043 | |||||||||
5,110 | Amkor Technology, Inc.* | 42,106 | |||||||||
2,875 | Anadigics, Inc.* | 31,654 | |||||||||
779 | Anaren, Inc.* | 11,997 | |||||||||
7,608 | Andrew Corp.* | 111,533 | |||||||||
1,509 | Anixter International, Inc.* | 97,331 | |||||||||
831 | Ansoft Corp.* | 24,107 | |||||||||
3,787 | Ansys, Inc.* | 147,163 | |||||||||
13,836 | Applied Micro Circuits Corp.* | 34,728 | |||||||||
3,829 | Ariba, Inc.* | 45,450 | |||||||||
5,326 | Arris Group, Inc.* | 55,550 | |||||||||
6,249 | Art Technology Group, Inc.* | 26,121 | |||||||||
409 | Aruba Networks, Inc.* | 5,701 | |||||||||
1,547 | AsiaInfo Holdings, Inc.* | 18,255 | |||||||||
4,303 | Aspen Technology, Inc.* | 72,979 | |||||||||
2,405 | Asyst Technologies, Inc.* | 8,273 | |||||||||
2,700 | Atheros Communications, Inc.* | 79,623 | |||||||||
1,686 | ATMI, Inc.* | 50,732 | |||||||||
379 | AuthenTec, Inc.* | 6,481 | |||||||||
9,501 | Avanex Corp.* | 14,252 | |||||||||
2,017 | Avid Technology, Inc.* | 53,511 | |||||||||
2,465 | Avocent Corp.* | 61,379 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
4,966 | Axcelis Technologies, Inc.* | $ | 23,539 | ||||||||
550 | Bankrate, Inc.* | 21,527 | |||||||||
9,849 | BearingPoint, Inc.* | 35,949 | |||||||||
581 | Bel Fuse, Inc., Class B | 17,384 | |||||||||
3,548 | Benchmark Electronics, Inc.* | 63,687 | |||||||||
602 | BigBand Networks, Inc.* | 3,606 | |||||||||
848 | Black Box Corp. | 31,206 | |||||||||
2,147 | Blackbaud, Inc. | 61,104 | |||||||||
1,396 | Blackboard, Inc.* | 54,444 | |||||||||
283 | BladeLogic, Inc.* | 6,922 | |||||||||
1,360 | Blue Coat Systems, Inc.* | 49,246 | |||||||||
3,552 | Borland Software Corp.* | 11,473 | |||||||||
1,058 | Bottomline Technologies, Inc.* | 13,331 | |||||||||
2,485 | Brightpoint, Inc.* | 41,276 | |||||||||
3,439 | Brooks Automation, Inc.* | 46,186 | |||||||||
2,421 | C-COR, Inc.* | 29,730 | |||||||||
1,162 | Cabot Microelectronics Corp.* | 43,459 | |||||||||
1,510 | CACI International, Inc., Class A* | 68,539 | |||||||||
341 | Cass Information Systems, Inc. | 12,709 | |||||||||
330 | Cavium Networks, Inc.* | 8,465 | |||||||||
1,926 | Checkpoint Systems, Inc.* | 45,762 | |||||||||
1,600 | Chordiant Software, Inc.* | 16,048 | |||||||||
2,652 | Ciber, Inc.* | 18,087 | |||||||||
4,307 | Cirrus Logic, Inc.* | 24,550 | |||||||||
2,381 | CMGI, Inc.* | 24,688 | |||||||||
7,388 | CNET Networks, Inc.* | 56,001 | |||||||||
2,127 | Cogent, Inc.* | 23,610 | |||||||||
2,161 | Cognex Corp. | 43,803 | |||||||||
1,535 | Coherent, Inc.* | 44,162 | |||||||||
1,111 | Cohu, Inc. | 17,387 | |||||||||
1,734 | Commvault Systems, Inc.* | 38,616 | |||||||||
292 | comScore, Inc.* | 9,475 | |||||||||
960 | Comtech Group, Inc.* | 17,030 | |||||||||
1,131 | Comtech Telecommunications Corp.* | 56,165 | |||||||||
289 | Comverge, Inc.* | 9,098 | |||||||||
2,092 | Concur Technologies, Inc.* | 78,576 | |||||||||
23,962 | Conexant Systems, Inc.* | 26,598 | |||||||||
351 | CPI International, Inc.* | 5,893 | |||||||||
1,586 | Cray, Inc.* | 9,246 | |||||||||
4,942 | Credence Systems Corp.* | 10,131 | |||||||||
1,814 | CSG Systems International, Inc.* | 30,058 | |||||||||
1,753 | CTS Corp. | 18,529 | |||||||||
3,131 | Cybersource Corp.* | 45,744 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,561 | Cymer, Inc.* | $ | 64,110 | ||||||||
1,553 | Daktronics, Inc. | 36,231 | |||||||||
442 | Data Domain, Inc.* | 11,395 | |||||||||
1,748 | DealerTrack Holdings, Inc.* | 74,360 | |||||||||
830 | Dice Holdings, Inc.* | 8,200 | |||||||||
1,234 | Digi International, Inc.* | 18,979 | |||||||||
2,020 | Digital River, Inc.* | 78,113 | |||||||||
1,455 | Diodes, Inc.* | 42,806 | |||||||||
1,262 | Ditech Networks, Inc.* | 4,076 | |||||||||
1,135 | DivX, Inc.* | 19,216 | |||||||||
410 | Double-Take Software, Inc.* | 10,168 | |||||||||
1,584 | DSP Group, Inc.* | 21,432 | |||||||||
889 | DTS, Inc.* | 22,003 | |||||||||
1,994 | Dycom Industries, Inc.* | 56,111 | |||||||||
599 | Eagle Test Systems, Inc.* | 6,559 | |||||||||
6,025 | Earthlink, Inc.* | 40,910 | |||||||||
1,462 | Echelon Corp.* | 24,547 | |||||||||
1,428 | Electro Scientific Industries, Inc.* | 28,917 | |||||||||
2,776 | Electronics for Imaging* | 63,681 | |||||||||
750 | EMS Technologies, Inc.* | 21,833 | |||||||||
4,170 | Emulex Corp.* | 69,848 | |||||||||
200 | EnerNOC, Inc.* | 9,154 | |||||||||
5,657 | Entegris, Inc.* | 48,990 | |||||||||
2,839 | Epicor Software Corp.* | 30,718 | |||||||||
1,266 | EPIQ Systems, Inc.* | 22,054 | |||||||||
1,757 | Equinix, Inc.* | 182,921 | |||||||||
951 | eSpeed, Inc., Class A* | 9,605 | |||||||||
2,240 | Euronet Worldwide, Inc.* | 73,382 | |||||||||
2,124 | Exar Corp.* | 19,520 | |||||||||
594 | Excel Technology, Inc.* | 16,020 | |||||||||
1,104 | ExlService Holdings, Inc.* | 26,463 | |||||||||
5,787 | Extreme Networks* | 21,065 | |||||||||
1,563 | FalconStor Software, Inc.* | 18,928 | |||||||||
810 | FARO Technologies, Inc.* | 21,886 | |||||||||
1,913 | FEI Co.* | 47,653 | |||||||||
13,088 | Finisar Corp.* | 22,250 | |||||||||
3,239 | Flir Systems, Inc.* | 222,616 | |||||||||
2,334 | Formfactor, Inc.* | 88,552 | |||||||||
738 | Forrester Research, Inc.* | 19,321 | |||||||||
7,117 | Foundry Networks, Inc.* | 125,473 | |||||||||
3,370 | Gartner, Inc.* | 63,659 | |||||||||
1,809 | Genesis Microchip, Inc.* | 9,117 | |||||||||
1,129 | Gerber Scientific, Inc.* | 10,726 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,194 | Gevity HR, Inc. | $ | 5,075 | ||||||||
2,158 | Global Cash Access Holdings, Inc.* | 7,510 | |||||||||
362 | Glu Mobile, Inc.* | 1,977 | |||||||||
1,060 | Greenfield Online, Inc.* | 15,942 | |||||||||
160 | Guidance Software, Inc.* | 1,970 | |||||||||
3,877 | Harmonic, Inc.* | 40,204 | |||||||||
1,234 | Harris Stratex Networks, Inc., Class A* | 21,249 | |||||||||
798 | Heartland Payment Systems, Inc. | 25,759 | |||||||||
800 | Hittite Microwave Corp.* | 34,552 | |||||||||
641 | HSW International, Inc.* | 3,397 | |||||||||
314 | Hughes Communications, Inc.* | 16,689 | |||||||||
1,272 | Hutchinson Technology, Inc.* | 33,466 | |||||||||
2,602 | Hypercom Corp.* | 13,921 | |||||||||
756 | i2 Technologies, Inc.* | 12,232 | |||||||||
1,621 | Ibasis, Inc. | 8,575 | |||||||||
1,067 | iGate Corp.* | 9,027 | |||||||||
1,719 | Imation Corp. | 34,500 | |||||||||
602 | Imergent, Inc. | 7,441 | |||||||||
1,473 | Immersion Corp.* | 19,340 | |||||||||
834 | Infinera Corp.* | 18,190 | |||||||||
4,275 | Informatica Corp.* | 73,316 | |||||||||
1,612 | Infospace, Inc. | 28,710 | |||||||||
1,588 | infoUSA, Inc. | 13,704 | |||||||||
2,362 | Insight Enterprises, Inc.* | 46,791 | |||||||||
458 | Integral Systems, Inc. | 11,418 | |||||||||
636 | Interactive Intelligence, Inc.* | 16,587 | |||||||||
2,292 | InterDigital, Inc.* | 41,256 | |||||||||
2,960 | Intermec, Inc.* | 63,551 | |||||||||
2,390 | Internap Network Services Corp.* | 23,781 | |||||||||
1,888 | Internet Capital Group, Inc.* | 21,089 | |||||||||
1,898 | InterVoice, Inc.* | 18,562 | |||||||||
2,129 | Interwoven, Inc.* | 26,144 | |||||||||
1,045 | Intevac, Inc.* | 16,407 | |||||||||
2,466 | Ipass, Inc.* | 10,776 | |||||||||
491 | IPG Photonics Corp.* | 9,992 | |||||||||
416 | Isilon Systems, Inc.* | 2,350 | |||||||||
1,466 | Itron, Inc.* | 113,688 | |||||||||
2,141 | Ixia* | 22,117 | |||||||||
1,265 | IXYS Corp.* | 9,778 | |||||||||
2,412 | j2 Global Communications, Inc.* | 58,660 | |||||||||
3,846 | Jack Henry & Associates, Inc. | 102,919 | |||||||||
1,254 | JDA Software Group, Inc.* | 26,259 | |||||||||
4,102 | Kemet Corp.* | 25,432 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
767 | Keynote Systems, Inc.* | $ | 10,554 | ||||||||
1,349 | Knot, Inc. (The)* | 17,807 | |||||||||
2,634 | Kulicke & Soffa Industries, Inc.* | 18,649 | |||||||||
2,893 | L-1 Identity Solutions, Inc.* | 53,752 | |||||||||
5,607 | Lattice Semiconductor Corp.* | 18,840 | |||||||||
6,029 | Lawson Software, Inc.* | 58,602 | |||||||||
902 | Limelight Networks, Inc.* | 7,171 | |||||||||
2,956 | Lionbridge Technologies* | 8,986 | |||||||||
518 | Liquidity Services, Inc.* | 6,185 | |||||||||
1,086 | Littelfuse, Inc.* | 36,218 | |||||||||
1,975 | LivePerson, Inc.* | 9,875 | |||||||||
915 | LoJack Corp.* | 16,022 | |||||||||
1,324 | LoopNet, Inc.* | 20,337 | |||||||||
560 | Loral Space & Communications, Inc.* | 19,174 | |||||||||
3,035 | LTX Corp.* | 7,284 | |||||||||
2,591 | Macrovision Corp.* | 64,568 | |||||||||
1,986 | Magma Design Automation, Inc.* | 26,533 | |||||||||
1,248 | Manhattan Associates, Inc.* | 33,858 | |||||||||
954 | Mantech International Corp., Class A* | 36,910 | |||||||||
1,367 | Marchex, Inc., Class B | 16,828 | |||||||||
2,074 | MasTec, Inc.* | 20,968 | |||||||||
2,574 | Mattson Technology, Inc.* | 21,210 | |||||||||
1,069 | MAXIMUS, Inc. | 41,691 | |||||||||
697 | Measurement Specialties, Inc.* | 17,153 | |||||||||
4,376 | Mentor Graphics Corp.* | 47,655 | |||||||||
786 | Mercadolibre, Inc.* | 33,334 | |||||||||
1,085 | Mercury Computer Systems, Inc.* | 15,906 | |||||||||
1,786 | Methode Electronics, Inc. | 21,521 | |||||||||
2,713 | Micrel, Inc. | 24,200 | |||||||||
1,980 | Micros Systems, Inc.* | 142,837 | |||||||||
3,726 | Microsemi Corp.* | 85,251 | |||||||||
467 | MicroStrategy, Inc.* | 47,097 | |||||||||
2,618 | Microtune, Inc.* | 13,614 | |||||||||
1,130 | Midway Games, Inc.* | 2,746 | |||||||||
2,119 | MIPS Technologies, Inc.* | 12,036 | |||||||||
2,471 | MKS Instruments, Inc.* | 44,898 | |||||||||
1,159 | Monolithic Power Systems, Inc.* | 22,114 | |||||||||
537 | Monotype Imaging Holdings, Inc.* | 8,587 | |||||||||
5,095 | Move, Inc.* | 11,973 | |||||||||
5,009 | MPS Group, Inc.* | 55,600 | |||||||||
7,731 | MRV Communications, Inc.* | 17,317 | |||||||||
2,144 | MSC.Software Corp.* | 28,322 | |||||||||
866 | MTS Systems Corp. | 35,497 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
410 | Multi-Fineline Electronix, Inc.* | $ | 7,491 | ||||||||
1,668 | Ness Technologies, Inc.* | 15,696 | |||||||||
2,043 | Net 1 UEPS Technologies, Inc.* | 63,251 | |||||||||
495 | Netezza Corp.* | 6,559 | |||||||||
1,691 | Netgear, Inc.* | 57,308 | |||||||||
804 | Netlogic Microsystems, Inc.* | 23,517 | |||||||||
1,288 | Network Equipment Technologies, Inc.* | 16,023 | |||||||||
1,708 | Newport Corp.* | 22,648 | |||||||||
1,451 | Nextwave Wireless, Inc.* | 8,721 | |||||||||
1,916 | NIC, Inc. | 14,945 | |||||||||
1,576 | Novatel Wireless, Inc.* | 24,491 | |||||||||
6,437 | Nuance Communications, Inc.* | 129,899 | |||||||||
1,676 | Omniture, Inc.* | 47,615 | |||||||||
2,683 | Omnivision Technologies, Inc.* | 49,957 | |||||||||
11,858 | ON Semiconductor Corp.* | 108,975 | |||||||||
7,804 | On2 Technologies, Inc.* | 5,853 | |||||||||
1,408 | Online Resources Corp.* | 13,235 | |||||||||
4,577 | OpenTV Corp., Class A* | 5,447 | |||||||||
4,043 | Openwave Systems, Inc. | 11,118 | |||||||||
1,088 | Oplink Communications, Inc.* | 17,571 | |||||||||
912 | OpNext, Inc.* | 7,387 | |||||||||
598 | Optium Corp.* | 5,023 | |||||||||
1,282 | Orbcomm, Inc.* | 9,987 | |||||||||
740 | OSI Systems, Inc.* | 18,345 | |||||||||
1,758 | Packeteer, Inc.* | 11,884 | |||||||||
5,054 | Palm, Inc. | 35,226 | |||||||||
5,611 | Parametric Technology Corp.* | 93,704 | |||||||||
987 | Park Electrochemical Corp. | 29,067 | |||||||||
454 | PC Connection, Inc.* | 5,807 | |||||||||
1,110 | PDF Solutions, Inc.* | 8,802 | |||||||||
655 | Pegasystems, Inc. | 8,109 | |||||||||
1,431 | Perficient, Inc.* | 23,998 | |||||||||
1,271 | Pericom Semiconductor Corp.* | 21,060 | |||||||||
4,265 | Perot Systems Corp., Class A* | 56,085 | |||||||||
2,042 | Photronics, Inc.* | 21,012 | |||||||||
2,348 | Plantronics, Inc. | 63,044 | |||||||||
2,264 | Plexus Corp.* | 67,377 | |||||||||
1,401 | PLX Technology, Inc.* | 13,786 | |||||||||
10,438 | PMC - Sierra, Inc.* | 73,275 | |||||||||
4,479 | Polycom, Inc.* | 108,705 | |||||||||
6,365 | Powerwave Technologies, Inc.* | 26,351 | |||||||||
2,004 | Progress Software Corp.* | 63,387 | |||||||||
383 | PROS Holdings, Inc.* | 6,588 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
706 | QAD, Inc. | $ | 6,008 | ||||||||
832 | Quality Systems, Inc. | 24,619 | |||||||||
9,575 | Quantum Corp.* | 30,353 | |||||||||
3,333 | Quest Software, Inc.* | 53,895 | |||||||||
1,398 | Rackable Systems, Inc.* | 14,889 | |||||||||
1,282 | Radiant Systems, Inc.* | 20,474 | |||||||||
1,073 | Radisys Corp.* | 16,674 | |||||||||
4,699 | RealNetworks, Inc.* | 28,993 | |||||||||
416 | Renaissance Learning, Inc. | 5,416 | |||||||||
12,917 | RF Micro Devices, Inc.* | 74,662 | |||||||||
882 | RightNow Technologies, Inc.* | 16,008 | |||||||||
493 | Rimage Corp.* | 12,290 | |||||||||
759 | Rofin-Sinar Technologies, Inc.* | 69,099 | |||||||||
863 | Rogers Corp.* | 38,024 | |||||||||
1,421 | Rudolph Technologies, Inc.* | 16,981 | |||||||||
2,522 | S1 Corp.* | 18,713 | |||||||||
5,908 | Safeguard Scientifics, Inc.* | 11,639 | |||||||||
6,259 | SAIC, Inc.* | 124,804 | |||||||||
3,982 | Sapient Corp.* | 28,830 | |||||||||
1,342 | SAVVIS, Inc.* | 42,998 | |||||||||
1,258 | Scansource, Inc.* | 44,382 | |||||||||
1,439 | Seachange International, Inc.* | 10,850 | |||||||||
2,276 | Secure Computing Corp.* | 20,643 | |||||||||
1,083 | Semitool, Inc.* | 10,007 | |||||||||
3,072 | Semtech Corp.* | 46,879 | |||||||||
444 | ShoreTel, Inc.* | 6,891 | |||||||||
640 | SI International, Inc.* | 16,614 | |||||||||
1,372 | Sigma Designs, Inc.* | 89,207 | |||||||||
318 | Silicon Graphics, Inc.* | 5,409 | |||||||||
4,287 | Silicon Image, Inc.* | 20,149 | |||||||||
4,437 | Silicon Storage Technology, Inc.* | 12,601 | |||||||||
2,932 | SiRF Technology Holdings, Inc.* | 70,632 | |||||||||
7,811 | Skyworks Solutions, Inc.* | 70,924 | |||||||||
2,449 | Smart Modular Technologies WWH, Inc.* | 20,572 | |||||||||
1,448 | Smith Micro Software, Inc.* | 11,598 | |||||||||
1,342 | Sohu.com, Inc.* | 77,004 | |||||||||
1,283 | Solera Holdings, Inc.* | 29,522 | |||||||||
1,091 | Sonic Solutions, Inc.* | 10,834 | |||||||||
3,161 | SonicWALL, Inc.* | 31,989 | |||||||||
13,059 | Sonus Networks, Inc.* | 85,928 | |||||||||
324 | Sourcefire, Inc.* | 2,628 | |||||||||
3,304 | SourceForge, Inc.* | 7,632 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
4,395 | Spansion, Inc., Class A* | $ | 23,469 | ||||||||
899 | SPSS, Inc.* | 32,490 | |||||||||
2,018 | SRA International, Inc., Class A* | 55,172 | |||||||||
1,117 | Standard Microsystems Corp.* | 39,397 | |||||||||
634 | Starent Networks Corp.* | 13,251 | |||||||||
1,581 | STEC, Inc.* | 14,735 | |||||||||
1,008 | Stratasys, Inc.* | 25,190 | |||||||||
451 | Super Micro Computer, Inc.* | 3,725 | |||||||||
557 | Supertex, Inc.* | 18,910 | |||||||||
623 | Switch & Data Facilities Co., Inc.* | 11,831 | |||||||||
4,462 | Sybase, Inc.* | 114,406 | |||||||||
9,004 | Sycamore Networks, Inc.* | 34,665 | |||||||||
1,607 | SYKES Enterprises, Inc.* | 29,665 | |||||||||
2,268 | Symmetricom, Inc.* | 9,775 | |||||||||
1,254 | Synaptics, Inc.* | 69,647 | |||||||||
900 | Synchronoss Technologies, Inc.* | 29,628 | |||||||||
796 | SYNNEX Corp.* | 16,445 | |||||||||
615 | Syntel, Inc. | 22,158 | |||||||||
3,563 | Take-Two Interactive Software, Inc.* | 53,374 | |||||||||
807 | Taleo Corp., Class A* | 22,782 | |||||||||
1,993 | Technitrol, Inc. | 53,353 | |||||||||
376 | TechTarget, Inc.* | 5,136 | |||||||||
731 | Techwell, Inc.* | 8,926 | |||||||||
2,976 | Tekelec* | 36,605 | |||||||||
2,474 | Terremark Worldwide, Inc.* | 13,879 | |||||||||
2,341 | Tessera Technologies, Inc.* | 90,409 | |||||||||
1,067 | TheStreet.com, Inc. | 13,124 | |||||||||
3,269 | THQ, Inc.* | 79,927 | |||||||||
9,310 | TIBCO Software, Inc.* | 72,897 | |||||||||
1,183 | TNS, Inc. | 18,597 | |||||||||
343 | Travelzoo, Inc.* | 5,238 | |||||||||
2,790 | Trident Microsystems, Inc.* | 17,521 | |||||||||
6,797 | TriQuint Semiconductor, Inc.* | 40,306 | |||||||||
2,061 | TTM Technologies, Inc.* | 24,917 | |||||||||
1,903 | Tyler Technologies, Inc.* | 28,659 | |||||||||
1,205 | Ultimate Software Group, Inc.* | 39,367 | |||||||||
927 | Ultra Clean Holdings* | 13,321 | |||||||||
1,135 | Ultratech, Inc.* | 13,597 | |||||||||
479 | Unica Corp.* | 4,311 | |||||||||
3,260 | United Online, Inc. | 49,030 | |||||||||
1,320 | Universal Display Corp.* | 21,859 | |||||||||
5,189 | Utstarcom, Inc.* | 15,048 | |||||||||
4,877 | Valueclick, Inc.* | 115,292 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,278 | Vasco Data Security International, Inc.* | $ | 28,678 | ||||||||
1,522 | Veeco Instruments, Inc.* | 25,539 | |||||||||
443 | Veraz Networks, Inc.* | 2,100 | |||||||||
1,184 | Viasat, Inc.* | 39,486 | |||||||||
1,301 | Vignette Corp.* | 20,009 | |||||||||
215 | Virtusa Corp.* | 3,799 | |||||||||
2,108 | VistaPrint Ltd.* | 93,595 | |||||||||
997 | Visual Sciences, Inc.* | 15,773 | |||||||||
633 | Vocus, Inc.* | 19,876 | |||||||||
1,040 | Volterra Semiconductor Corp.* | 12,875 | |||||||||
2,197 | Websense, Inc.* | 35,899 | |||||||||
3,647 | Wind River Systems, Inc.* | 37,236 | |||||||||
1,951 | Wright Express Corp.* | 74,040 | |||||||||
1,420 | X-Rite, Inc.* | 17,651 | |||||||||
2,423 | Zoran Corp.* | 52,870 | |||||||||
798 | Zygo Corp.* | 9,009 | |||||||||
11,618,902 | |||||||||||
Materials — 4.8% | |||||||||||
688 | A.M. Castle & Co. | 17,269 | |||||||||
2,638 | AbitibiBowater, Inc. | 59,245 | |||||||||
274 | AEP Industries, Inc.* | 9,374 | |||||||||
1,253 | AMCOL International Corp. | 47,589 | |||||||||
889 | American Vanguard Corp. | 14,535 | |||||||||
2,865 | Apex Silver Mines Ltd.* | 48,848 | |||||||||
3,381 | Aptargroup, Inc. | 142,712 | |||||||||
1,188 | Arch Chemicals, Inc. | 48,886 | |||||||||
872 | Balchem Corp. | 18,643 | |||||||||
992 | Brush Engineered Materials, Inc.* | 44,372 | |||||||||
1,856 | Buckeye Technologies, Inc.* | 26,504 | |||||||||
1,963 | Calgon Carbon Corp.* | 28,581 | |||||||||
1,428 | Century Aluminum Co.* | 81,882 | |||||||||
2,705 | CF Industries Holdings, Inc. | 246,101 | |||||||||
973 | Chesapeake Corp. | 5,935 | |||||||||
425 | Claymont Steel Holdings, Inc.* | 9,125 | |||||||||
13,605 | Coeur d'Alene Mines Corp.* | 56,733 | |||||||||
1,571 | Compass Minerals International, Inc. | 57,687 | |||||||||
513 | Deltic Timber Corp. | 24,701 | |||||||||
631 | Esmark, Inc.* | 12,241 | |||||||||
2,120 | Ferro Corp. | 44,923 | |||||||||
887 | Flotek Industries, Inc.* | 32,695 | |||||||||
2,372 | General Moly, Inc.* | 25,286 | |||||||||
423 | GenTek, Inc.* | 12,690 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,680 | Georgia Gulf Corp. | $ | 12,499 | ||||||||
2,200 | Glatfelter | 33,066 | |||||||||
3,357 | Graphic Packaging Corp.* | 13,764 | |||||||||
1,622 | Greif, Inc., Class A | 95,812 | |||||||||
569 | Haynes International, Inc.* | 48,086 | |||||||||
2,963 | HB Fuller Co. | 74,934 | |||||||||
1,925 | Headwaters, Inc.* | 23,100 | |||||||||
5,875 | Hecla Mining Co.* | 68,914 | |||||||||
5,696 | Hercules, Inc. | 110,559 | |||||||||
273 | Horsehead Holding Corp.* | 4,540 | |||||||||
1,015 | Innophos Holdings, Inc. | 14,525 | |||||||||
1,173 | Innospec, Inc. | 20,598 | |||||||||
738 | Kaiser Aluminum Corp. | 52,501 | |||||||||
857 | Koppers Holdings, Inc. | 32,943 | |||||||||
117 | Kronos Worldwide, Inc. | 1,945 | |||||||||
1,061 | Landec Corp.* | 13,942 | |||||||||
759 | LSB Industries, Inc.* | 17,214 | |||||||||
1,557 | Mercer International, Inc.* | 12,331 | |||||||||
1,251 | Metal Management, Inc. | 57,571 | |||||||||
932 | Minerals Technologies, Inc. | 62,351 | |||||||||
1,368 | Myers Industries, Inc. | 27,305 | |||||||||
724 | Neenah Paper, Inc. | 21,850 | |||||||||
699 | NewMarket Corp. | 37,508 | |||||||||
349 | NL Industries, Inc. | 3,521 | |||||||||
3,602 | Olin Corp. | 75,426 | |||||||||
427 | Olympic Steel, Inc. | 11,162 | |||||||||
1,456 | OM Group, Inc.* | 81,958 | |||||||||
4,543 | PolyOne Corp.* | 28,485 | |||||||||
1,812 | Quanex Corp. | 90,672 | |||||||||
1,715 | Rock-Tenn Co., Class A | 45,242 | |||||||||
1,712 | Rockwood Holdings, Inc.* | 57,660 | |||||||||
1,243 | Royal Gold, Inc. | 35,699 | |||||||||
1,127 | RTI International Metals, Inc.* | 82,767 | |||||||||
1,069 | Schnitzer Steel Industries, Inc. | 66,727 | |||||||||
1,317 | Schulman (A.), Inc. | 28,395 | |||||||||
767 | Schweitzer-Mauduit International, Inc. | 20,479 | |||||||||
2,297 | Sensient Technologies Corp. | 63,558 | |||||||||
1,398 | ShengdaTech, Inc.* | 11,436 | |||||||||
1,211 | Silgan Holdings, Inc. | 64,946 | |||||||||
1,562 | Spartech Corp. | 21,337 | |||||||||
303 | Stepan Co. | 9,254 | |||||||||
2,042 | Stillwater Mining Co.* | 19,807 | |||||||||
1,623 | Symyx Technologies* | 12,432 | |||||||||
4,536 | Terra Industries, Inc.* | 171,370 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,334 | Texas Industries, Inc. | $ | 92,553 | ||||||||
2,025 | Tronox, Inc., Class B | 16,403 | |||||||||
1,661 | U.S. Concrete, Inc.* | 6,245 | |||||||||
2,517 | U.S. Gold Corp.* | 8,633 | |||||||||
324 | Universal Stainless & Alloy* | 9,992 | |||||||||
329 | Valhi, Inc. | 6,027 | |||||||||
3,424 | W.R. Grace & Co.* | 92,482 | |||||||||
2,172 | Wausau Paper Corp. | 20,482 | |||||||||
3,375 | Worthington Industries, Inc. | 71,516 | |||||||||
1,061 | Zep, Inc.* | 13,931 | |||||||||
1,219 | Zoltek Cos., Inc.* | 51,954 | |||||||||
3,366,966 | |||||||||||
Telecommunication Services — 1.3% | |||||||||||
2,087 | Alaska Communications Systems Group, Inc. | 31,305 | |||||||||
460 | Atlantic Tele-Network, Inc. | 17,544 | |||||||||
1,008 | Cbeyond, Inc.* | 41,701 | |||||||||
1,166 | Centennial Communications Corp.* | 10,377 | |||||||||
12,099 | Cincinnati Bell, Inc.* | 57,591 | |||||||||
2,441 | Cogent Communications Group, Inc.* | 50,724 | |||||||||
964 | Consolidated Communications Holdings, Inc. | 15,501 | |||||||||
1,721 | Fairpoint Communications, Inc. | 25,677 | |||||||||
5,029 | FiberTower Corp.* | 11,466 | |||||||||
2,620 | General Communication, Inc., Class A* | 23,213 | |||||||||
1,742 | Global Crossing Ltd.* | 31,931 | |||||||||
947 | Globalstar, Inc.* | 8,589 | |||||||||
768 | Golden Telecom, Inc.* | 77,921 | |||||||||
176 | Hungarian Telephone & Cable Corp.* | 3,073 | |||||||||
5,025 | ICO Global Communications Holdings Ltd.* | 19,799 | |||||||||
2,418 | IDT Corp., Class B | 19,610 | |||||||||
1,549 | Iowa Telecommunications Services, Inc. | 26,395 | |||||||||
830 | iPCS, Inc. | 28,718 | |||||||||
733 | North Pittsburgh Systems, Inc. | 17,313 | |||||||||
1,356 | NTELOS Holdings Corp. | 35,975 | |||||||||
3,645 | PAETEC Holding Corp.* | 39,002 | |||||||||
3,017 | Premiere Global Services, Inc.* | 41,574 | |||||||||
596 | Rural Cellular Corp., Class A* | 26,260 | |||||||||
1,140 | Shenandoah Telecom Co. | 28,124 | |||||||||
707 | SureWest Communications | 12,804 | |||||||||
1,334 | Syniverse Holdings, Inc.* | 20,837 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
7,069 | Time Warner Telecom, Inc., Class A* | $ | 158,558 | ||||||||
1,128 | USA Mobility, Inc.* | 14,878 | |||||||||
3,159 | Vonage Holdings Corp.* | 6,666 | |||||||||
903,126 | |||||||||||
Utilities — 2.7% | |||||||||||
1,253 | Allete, Inc. | 51,323 | |||||||||
833 | American States Water Co. | 34,694 | |||||||||
18,305 | Aquila, Inc.* | 72,488 | |||||||||
2,577 | Avista Corp. | 55,096 | |||||||||
1,840 | Black Hills Corp. | 76,654 | |||||||||
581 | Cadiz, Inc.* | 11,539 | |||||||||
956 | California Water Service Group | 37,351 | |||||||||
498 | Central Vermont Public Service Corp. | 13,775 | |||||||||
770 | CH Energy Group, Inc. | 34,126 | |||||||||
2,916 | Cleco Corp. | 81,473 | |||||||||
702 | Consolidated Water Co., Inc. | 21,397 | |||||||||
2,237 | El Paso Electric Co.* | 57,513 | |||||||||
1,483 | Empire District Electric Co. (The) | 34,168 | |||||||||
346 | EnergySouth, Inc. | 19,127 | |||||||||
2,149 | Idacorp, Inc. | 75,559 | |||||||||
2,076 | ITC Holdings Corp. | 105,959 | |||||||||
1,055 | Laclede Group, Inc. (The) | 36,303 | |||||||||
1,036 | MGE Energy, Inc. | 36,333 | |||||||||
1,368 | New Jersey Resources Corp. | 69,016 | |||||||||
2,200 | Nicor, Inc. | 92,708 | |||||||||
1,318 | Northwest Natural Gas Co. | 63,224 | |||||||||
1,754 | NorthWestern Corp. | 48,849 | |||||||||
670 | Ormat Technologies, Inc. | 33,835 | |||||||||
1,452 | Otter Tail Corp. | 48,657 | |||||||||
3,644 | Piedmont Natural Gas Co. | 94,890 | |||||||||
3,746 | PNM Resources, Inc. | 83,086 | |||||||||
1,490 | Portland General Electric Co. | 39,887 | |||||||||
741 | SJW Corp. | 24,794 | |||||||||
1,440 | South Jersey Industries, Inc. | 53,136 | |||||||||
2,060 | Southwest Gas Corp. | 59,575 | |||||||||
1,176 | Southwest Water Co. | 14,088 | |||||||||
1,229 | UIL Holdings Corp. | 44,023 | |||||||||
1,723 | Unisource Energy Corp. | 53,292 | |||||||||
4,883 | Westar Energy, Inc. | 126,519 | |||||||||
2,405 | WGL Holdings, Inc. | 79,461 | |||||||||
1,883,918 | |||||||||||
Total Common Stock (Cost $65,481,424) | 62,872,078 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 (continued)
Principal Amount | Value | ||||||||||
Repurchase Agreements — 13.4% | |||||||||||
$ | 1,870,259 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $1,870,982 ** | $ | 1,870,259 | |||||||
2,151,200 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $2,152,016 *** | 2,151,200 | |||||||||
374,052 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $374,194 **** | 374,052 | |||||||||
4,987,359 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $4,989,250 ***** | 4,987,359 | |||||||||
Total Repurchase Agreements (Cost $9,382,870) | 9,382,870 | ||||||||||
Total Investments (Cost $74,864,294) — 103.1% | 72,254,948 | ||||||||||
Liabilities in excess of other assets — (3.1%) | (2,204,881 | ) | |||||||||
Net Assets — 100.0% | $ | 70,050,067 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $1,907,673. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%,due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $2,194,231. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $381,535. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $5,087,107. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 3,091,127 | |||||
Aggregated gross unrealized depreciation | (6,328,784 | ) | |||||
Net unrealized depreciation | $ | (3,237,657 | ) | ||||
Federal income tax cost of investments | $ | 75,492,605 |
See accompanying notes to the financial statements.
Futures Contracts Purchased
Ultra Russell2000 had the following open long futures contracts as of November 30, 2007:
Number of Contracts | Expiration Date | Notional Value | Unrealized Depreciation | ||||||||||||||||
E-Mini Russell 2000 Index® Futures Contracts | 91 | December - 07 | $ | 6,983,340 | $ | (18,675 | ) |
Cash collateral in the amount of $402,036 was pledged to cover margin requirements for open futures contracts as of November 30, 2007.
Swap Agreements
Ultra Russell 2000 had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07 | $ | 30,492,065 | $ | (678,678 | ) | ||||||
Equity Index Swap Agreement based on the Russell 2000® Index, expiring 12/27/07 | 42,000,000 | (1,860,592 | ) | ||||||||
$ | (2,539,270 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell1000 Value
Shares | Value | ||||||||||
Common Stocks (a) — 92.3% | |||||||||||
Consumer Discretionary — 6.9% | |||||||||||
15 | AnnTaylor Stores Corp.* | $ | 457 | ||||||||
38 | Autoliv, Inc. | 2,219 | |||||||||
165 | AutoNation, Inc.* | 2,723 | |||||||||
56 | Barnes & Noble, Inc. | 2,153 | |||||||||
36 | Black & Decker Corp. | 2,975 | |||||||||
55 | BorgWarner, Inc. | 5,314 | |||||||||
108 | Brunswick Corp. | 2,202 | |||||||||
177 | Cablevision Systems Corp.* | 4,784 | |||||||||
305 | Carnival Corp. | 13,762 | |||||||||
717 | CBS Corp., Class B | 19,667 | |||||||||
136 | Centex Corp. | 2,837 | |||||||||
3 | Central European Media Enterprises Ltd.* | 329 | |||||||||
115 | Circuit City Stores, Inc. | 744 | |||||||||
466 | Clear Channel Communications, Inc. | 16,729 | |||||||||
1,364 | Comcast Corp., Class A* | 28,017 | |||||||||
74 | Dillard's, Inc., Class A | 1,509 | |||||||||
149 | Discovery Holding Co., Class A* | 3,645 | |||||||||
375 | DR Horton, Inc. | 4,489 | |||||||||
16 | DreamWorks Animation SKG, Inc., Class A* | 421 | |||||||||
344 | Eastman Kodak Co. | 8,077 | |||||||||
108 | EW Scripps Co., Class A | 4,693 | |||||||||
226 | Expedia, Inc.* | 7,368 | |||||||||
186 | Foot Locker, Inc. | 2,427 | |||||||||
2,414 | Ford Motor Co.* | 18,129 | |||||||||
182 | Fortune Brands, Inc. | 13,950 | |||||||||
280 | Gannett Co., Inc. | 10,290 | |||||||||
716 | Gap, Inc. (The) | 14,606 | |||||||||
576 | General Motors Corp. | 17,182 | |||||||||
203 | Genuine Parts Co. | 9,754 | |||||||||
31 | Getty Images, Inc.* | 904 | |||||||||
94 | Harrah's Entertainment, Inc. | 8,279 | |||||||||
18 | Harte-Hanks, Inc. | 302 | |||||||||
116 | Hasbro, Inc. | 3,221 | |||||||||
30 | Hearst-Argyle Television, Inc. | 587 | |||||||||
848 | Home Depot, Inc. | 24,219 | |||||||||
194 | IAC/InterActiveCorp* | 5,399 | |||||||||
176 | Idearc, Inc. | 3,330 | |||||||||
42 | International Speedway Corp., Class A | 1,790 | |||||||||
214 | Interpublic Group of Cos., Inc.* | 2,031 | |||||||||
40 | Jarden Corp.* | 1,054 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
146 | Johnson Controls, Inc. | $ | 5,639 | ||||||||
102 | Jones Apparel Group, Inc. | 1,901 | |||||||||
92 | KB Home | 1,922 | |||||||||
212 | Leggett & Platt, Inc. | 4,363 | |||||||||
163 | Lennar Corp., Class A | 2,582 | |||||||||
225 | Liberty Global, Inc., Class A* | 9,139 | |||||||||
154 | Liberty Media Corp. - Capital, Class A* | 18,335 | |||||||||
291 | Liberty Media Corp. - Interactive, Class A* | 5,864 | |||||||||
116 | Liz Claiborne, Inc. | 2,910 | |||||||||
520 | Macy's, Inc. | 15,418 | |||||||||
242 | Mattel, Inc. | 4,835 | |||||||||
54 | McClatchy Co., Class A | 730 | |||||||||
1,130 | McDonald's Corp. | 66,071 | |||||||||
42 | MDC Holdings, Inc. | 1,486 | |||||||||
66 | Mohawk Industries, Inc.* | 5,309 | |||||||||
127 | New York Times Co. (The), Class A | 2,096 | |||||||||
160 | Newell Rubbermaid, Inc. | 4,285 | |||||||||
923 | News Corp., Class A | 19,448 | |||||||||
3 | NVR, Inc.* | 1,476 | |||||||||
48 | OfficeMax, Inc. | 1,197 | |||||||||
2 | Orient-Express Hotels Ltd. | 124 | |||||||||
67 | Penske Auto Group, Inc. | 1,340 | |||||||||
163 | Pulte Homes, Inc. | 1,666 | |||||||||
85 | R.H. Donnelley Corp.* | 3,776 | |||||||||
48 | RadioShack Corp. | 888 | |||||||||
18 | Regal Entertainment Group, Class A | 356 | |||||||||
159 | Royal Caribbean Cruises Ltd. | 6,449 | |||||||||
50 | Ryland Group, Inc. | 1,150 | |||||||||
23 | Saks, Inc.* | 474 | |||||||||
90 | Sears Holdings Corp.* | 9,496 | |||||||||
333 | Service Corp. International | 4,422 | |||||||||
69 | Snap-On, Inc. | 3,373 | |||||||||
68 | Stanley Works (The) | 3,546 | |||||||||
3 | Thor Industries, Inc. | 106 | |||||||||
83 | Time Warner Cable, Inc., Class A* | 2,160 | |||||||||
3,850 | Time Warner, Inc. | 66,451 | |||||||||
150 | Toll Brothers, Inc.* | 3,100 | |||||||||
100 | Tribune Co. | 3,104 | |||||||||
51 | TRW Automotive Holdings Corp.* | 1,145 | |||||||||
107 | VF Corp. | 8,003 | |||||||||
350 | Virgin Media, Inc. | 6,650 | |||||||||
1,327 | Walt Disney Co. (The) | 43,990 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
19 | Warner Music Group Corp. | $ | 143 | ||||||||
7 | Washington Post Co. (The), Class B | 5,645 | |||||||||
26 | Whirlpool Corp. | 2,105 | |||||||||
201 | Wyndham Worldwide Corp. | 5,863 | |||||||||
633,099 | |||||||||||
Consumer Staples — 8.0% | |||||||||||
83 | Alberto-Culver Co. | 2,122 | |||||||||
1,077 | Altria Group, Inc. | 83,532 | |||||||||
336 | Anheuser-Busch Cos., Inc. | 17,714 | |||||||||
780 | Archer-Daniels-Midland Co. | 28,353 | |||||||||
41 | Avon Products, Inc. | 1,683 | |||||||||
78 | BJ's Wholesale Club, Inc.* | 2,921 | |||||||||
27 | Brown-Forman Corp., Class B | 1,907 | |||||||||
144 | Bunge Ltd. | 16,177 | |||||||||
119 | Campbell Soup Co. | 4,370 | |||||||||
4 | Church & Dwight Co., Inc. | 224 | |||||||||
13 | Clorox Co. | 843 | |||||||||
938 | Coca-Cola Co. (The) | 58,250 | |||||||||
372 | Coca-Cola Enterprises, Inc. | 9,661 | |||||||||
47 | Colgate-Palmolive Co. | 3,764 | |||||||||
594 | ConAgra Foods, Inc. | 14,862 | |||||||||
228 | Constellation Brands, Inc., Class A* | 5,369 | |||||||||
89 | Corn Products International, Inc. | 3,500 | |||||||||
166 | Costco Wholesale Corp. | 11,188 | |||||||||
819 | CVS Caremark Corp. | 32,834 | |||||||||
145 | Dean Foods Co. | 3,616 | |||||||||
241 | Del Monte Foods Co. | 2,121 | |||||||||
19 | Energizer Holdings, Inc.* | 2,159 | |||||||||
355 | General Mills, Inc. | 21,353 | |||||||||
59 | Hershey Co. (The) | 2,355 | |||||||||
175 | HJ Heinz Co. | 8,278 | |||||||||
88 | Hormel Foods Corp. | 3,498 | |||||||||
68 | JM Smucker Co. (The) | 3,341 | |||||||||
92 | Kellogg Co. | 4,972 | |||||||||
282 | Kimberly-Clark Corp. | 19,686 | |||||||||
1,915 | Kraft Foods, Inc. | 66,163 | |||||||||
309 | Kroger Co. (The) | 8,884 | |||||||||
53 | Loews Corp. - Carolina Group | 4,714 | |||||||||
53 | McCormick & Co., Inc. (Non-Voting) | 2,025 | |||||||||
131 | Molson Coors Brewing Co., Class B | 7,053 | |||||||||
126 | Pepsi Bottling Group, Inc. | 5,376 | |||||||||
70 | PepsiAmericas, Inc. | 2,370 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
2,270 | Procter & Gamble Co. | $ | 167,980 | ||||||||
204 | Reynolds American, Inc. | 14,284 | |||||||||
813 | Rite Aid Corp.* | 3,024 | |||||||||
527 | Safeway, Inc. | 18,340 | |||||||||
418 | Sara Lee Corp. | 7,035 | |||||||||
131 | Smithfield Foods, Inc.* | 3,937 | |||||||||
250 | SUPERVALU, Inc. | 10,468 | |||||||||
315 | Tyson Foods, Inc., Class A | 4,697 | |||||||||
86 | UST, Inc. | 4,979 | |||||||||
766 | Wal-Mart Stores, Inc. | 36,691 | |||||||||
34 | WM. Wrigley Jr. Co. | 2,176 | |||||||||
740,849 | |||||||||||
Energy — 13.9% | |||||||||||
554 | Anadarko Petroleum Corp. | 31,356 | |||||||||
395 | Apache Corp. | 38,232 | |||||||||
230 | Chesapeake Energy Corp. | 8,705 | |||||||||
2,566 | Chevron Corp. | 225,218 | |||||||||
100 | Cimarex Energy Co. | 3,863 | |||||||||
1,952 | ConocoPhillips | 156,238 | |||||||||
19 | Continental Resources, Inc.* | 453 | |||||||||
532 | Devon Energy Corp. | 44,055 | |||||||||
836 | El Paso Corp. | 13,443 | |||||||||
13 | ENSCO International, Inc. | 700 | |||||||||
292 | EOG Resources, Inc. | 24,172 | |||||||||
5,353 | Exxon Mobil Corp. | 477,273 | |||||||||
94 | Forest Oil Corp.* | 4,426 | |||||||||
66 | Frontier Oil Corp. | 2,917 | |||||||||
22 | Helix Energy Solutions Group, Inc.* | 893 | |||||||||
123 | Helmerich & Payne, Inc. | 4,250 | |||||||||
332 | Hess Corp. | 23,645 | |||||||||
859 | Marathon Oil Corp. | 48,018 | |||||||||
224 | Murphy Oil Corp. | 16,020 | |||||||||
40 | Nabors Industries Ltd.* | 1,076 | |||||||||
155 | Newfield Exploration Co.* | 7,727 | |||||||||
175 | Noble Energy, Inc. | 12,607 | |||||||||
995 | Occidental Petroleum Corp. | 69,421 | |||||||||
37 | Overseas Shipholding Group, Inc. | 2,649 | |||||||||
187 | Patterson-UTI Energy, Inc. | 3,525 | |||||||||
147 | Pioneer Natural Resources Co. | 6,552 | |||||||||
133 | Plains Exploration & Production Co.* | 6,705 | |||||||||
52 | Pride International, Inc.* | 1,714 | |||||||||
37 | Rowan Cos., Inc. | 1,310 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell1000 Value (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
29 | SEACOR Holdings, Inc.* | $ | 2,627 | ||||||||
755 | Spectra Energy Corp. | 18,603 | |||||||||
75 | St. Mary Land & Exploration Co. | 2,947 | |||||||||
48 | Teekay Corp. | 2,700 | |||||||||
23 | Tidewater, Inc. | 1,124 | |||||||||
12 | Unit Corp.* | 537 | |||||||||
138 | Valero Energy Corp. | 8,980 | |||||||||
12 | W&T Offshore, Inc. | 317 | |||||||||
15 | Western Refining, Inc. | 434 | |||||||||
116 | Williams Cos., Inc. | 4,026 | |||||||||
1,279,458 | |||||||||||
Financials — 28.0% | |||||||||||
371 | ACE Ltd. | 22,197 | |||||||||
49 | Aflac, Inc. | 3,069 | |||||||||
6 | Alleghany Corp.* | 2,454 | |||||||||
182 | Allied Capital Corp. | 4,428 | |||||||||
72 | Allied World Assurance Holdings Ltd. | 3,332 | |||||||||
681 | Allstate Corp. (The) | 34,813 | �� | ||||||||
119 | AMB Property Corp. (REIT) | 7,278 | |||||||||
122 | AMBAC Financial Group, Inc. | 3,322 | |||||||||
224 | American Capital Strategies Ltd. | 8,425 | |||||||||
98 | American Financial Group, Inc. | 2,864 | |||||||||
2,489 | American International Group, Inc. | 144,686 | |||||||||
19 | American National Insurance | 2,271 | |||||||||
131 | AmeriCredit Corp.* | 1,503 | |||||||||
281 | Ameriprise Financial, Inc. | 16,492 | |||||||||
480 | Annaly Capital Management, Inc. (REIT) | 8,261 | |||||||||
350 | AON Corp. | 17,489 | |||||||||
110 | Apartment Investment & Management Co. (REIT) | 4,375 | |||||||||
57 | Arch Capital Group Ltd.* | 3,977 | |||||||||
90 | Arthur J. Gallagher & Co. | 2,365 | |||||||||
153 | Associated Banc-Corp. | 4,163 | |||||||||
145 | Assurant, Inc. | 9,487 | |||||||||
103 | Astoria Financial Corp. | 2,579 | |||||||||
96 | AvalonBay Communities, Inc. (REIT) | 9,546 | |||||||||
183 | Axis Capital Holdings Ltd. | 6,980 | |||||||||
98 | Bancorpsouth, Inc. | 2,397 | |||||||||
5,298 | Bank of America Corp. | 244,397 | |||||||||
40 | Bank of Hawaii Corp. | 2,083 | |||||||||
882 | Bank of New York Mellon Corp. (The) | 42,301 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
658 | BB&T Corp. | $ | 23,741 | ||||||||
142 | Bear Stearns Cos., Inc. (The) | 14,157 | |||||||||
33 | BlackRock, Inc. | 6,546 | |||||||||
26 | BOK Financial Corp. | 1,423 | |||||||||
122 | Boston Properties, Inc. (REIT) | 12,007 | |||||||||
104 | Brandywine Realty Trust (REIT) | 2,132 | |||||||||
60 | BRE Properties, Inc. (REIT) | 2,673 | |||||||||
68 | Camden Property Trust (REIT) | 3,577 | |||||||||
467 | Capital One Financial Corp. | 24,896 | |||||||||
69 | CapitalSource, Inc. (REIT) | 1,156 | |||||||||
8 | Capitol Federal Financial | 271 | |||||||||
78 | CBL & Associates Properties, Inc. (REIT) | 2,253 | |||||||||
479 | Chubb Corp. | 26,129 | |||||||||
205 | Cincinnati Financial Corp. | 8,196 | |||||||||
228 | CIT Group, Inc. | 6,065 | |||||||||
5,906 | Citigroup, Inc. | 196,670 | |||||||||
48 | City National Corp. | 3,092 | |||||||||
32 | CNA Financial Corp. | 1,134 | |||||||||
190 | Colonial BancGroup, Inc. (The) | 3,025 | |||||||||
56 | Colonial Properties Trust (REIT) | 1,371 | |||||||||
187 | Comerica, Inc. | �� | 8,561 | ||||||||
163 | Commerce Bancorp, Inc. | 6,491 | |||||||||
87 | Commerce Bancshares, Inc. | 3,950 | |||||||||
225 | Conseco, Inc.* | 2,889 | |||||||||
708 | Countrywide Financial Corp. | 7,661 | |||||||||
71 | Cullen/Frost Bankers, Inc. | 3,735 | |||||||||
149 | Developers Diversified Realty Corp. (REIT) | 6,617 | |||||||||
537 | Discover Financial Services | 9,328 | |||||||||
124 | Douglas Emmett, Inc. (REIT) | 2,977 | |||||||||
47 | Duke Realty Corp. (REIT) | 1,236 | |||||||||
318 | E*Trade Financial Corp.* | 1,463 | |||||||||
76 | East West Bancorp, Inc. | 2,048 | |||||||||
70 | Endurance Specialty Holdings Ltd. | 2,827 | |||||||||
324 | Equity Residential (REIT) | 12,056 | |||||||||
44 | Erie Indemnity Co., Class A | 2,277 | |||||||||
15 | Essex Property Trust, Inc. (REIT) | 1,556 | |||||||||
76 | Everest Re Group Ltd. | 7,975 | |||||||||
1,162 | Fannie Mae | 44,644 | |||||||||
32 | Federal Realty Investment Trust (REIT) | 2,662 | |||||||||
265 | Fidelity National Financial, Inc., Class A | 4,139 | |||||||||
657 | Fifth Third Bancorp | 19,651 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
110 | First American Corp. | $ | 3,760 | ||||||||
8 | First Citizens BancShares, Inc., Class A | 1,254 | |||||||||
150 | First Horizon National Corp. | 3,312 | |||||||||
480 | Freddie Mac | 16,834 | |||||||||
207 | Fulton Financial Corp. | 2,590 | |||||||||
115 | General Growth Properties, Inc. (REIT) | 5,341 | |||||||||
519 | Genworth Financial, Inc. | 13,619 | |||||||||
13 | GLG Partners, Inc.* | 179 | |||||||||
275 | Goldman Sachs Group, Inc. (The) | 62,326 | |||||||||
58 | Hanover Insurance Group, Inc. (The) | 2,616 | |||||||||
378 | Hartford Financial Services Group, Inc. | 36,031 | |||||||||
76 | HCC Insurance Holdings, Inc. | 2,336 | |||||||||
246 | HCP, Inc. (REIT) | 8,229 | |||||||||
85 | Health Care REIT, Inc. (REIT) | 3,809 | |||||||||
112 | Hospitality Properties Trust (REIT) | 4,092 | |||||||||
623 | Host Hotels & Resorts, Inc. (REIT) | 11,955 | |||||||||
269 | HRPT Properties Trust (REIT) | 2,227 | |||||||||
391 | Hudson City Bancorp, Inc. | 5,951 | |||||||||
436 | Huntington Bancshares, Inc. | 6,841 | |||||||||
96 | IndyMac Bancorp, Inc. | 917 | |||||||||
153 | iStar Financial, Inc. (REIT) | 4,478 | |||||||||
47 | Janus Capital Group, Inc. | 1,578 | |||||||||
149 | Jefferies Group, Inc. | 3,808 | |||||||||
4,078 | JPMorgan Chase & Co. | 186,038 | |||||||||
468 | Keycorp | 12,327 | |||||||||
256 | Kimco Realty Corp. (REIT) | 10,109 | |||||||||
92 | Legg Mason, Inc. | 7,021 | |||||||||
636 | Lehman Brothers Holdings, Inc. | 39,833 | |||||||||
196 | Leucadia National Corp. | 9,204 | |||||||||
110 | Liberty Property Trust (REIT) | 3,444 | |||||||||
323 | Lincoln National Corp. | 19,887 | |||||||||
520 | Loews Corp. | 24,851 | |||||||||
82 | M&T Bank Corp. | 7,459 | |||||||||
81 | Mack-Cali Realty Corp. (REIT) | 2,891 | |||||||||
12 | Markel Corp.* | 5,786 | |||||||||
621 | Marsh & McLennan Cos., Inc. | 15,599 | |||||||||
310 | Marshall & Ilsley Corp. | 9,756 | |||||||||
156 | MBIA, Inc. | 5,696 | |||||||||
32 | Mercury General Corp. | 1,660 | |||||||||
787 | Merrill Lynch & Co., Inc. | 47,173 | |||||||||
563 | MetLife, Inc. | 36,927 | |||||||||
54 | MF Global Ltd.* | 1,557 | |||||||||
99 | MGIC Investment Corp. | 2,328 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,186 | Morgan Stanley | $ | 62,526 | ||||||||
26 | Nasdaq Stock Market, Inc. (The)* | 1,127 | |||||||||
690 | National City Corp. | 13,634 | |||||||||
64 | Nationwide Financial Services | 2,865 | |||||||||
384 | New York Community Bancorp, Inc. | 7,146 | |||||||||
40 | Northern Trust Corp. | 3,240 | |||||||||
277 | Old Republic International Corp. | 4,158 | |||||||||
34 | OneBeacon Insurance Group Ltd. | 717 | |||||||||
53 | PartnerRe Ltd. | 4,376 | |||||||||
79 | People's United Financial, Inc. | 1,341 | |||||||||
16 | Philadelphia Consolidated Holding Co.* | 681 | |||||||||
194 | Plum Creek Timber Co., Inc. (REIT) | 8,996 | |||||||||
97 | PMI Group, Inc. (The) | 1,283 | |||||||||
415 | PNC Financial Services Group, Inc. | 30,382 | |||||||||
334 | Popular, Inc. | 3,210 | |||||||||
302 | Principal Financial Group, Inc. | 19,778 | |||||||||
834 | Progressive Corp. (The) | 15,346 | |||||||||
38 | Prologis (REIT) | 2,486 | |||||||||
83 | Protective Life Corp. | 3,435 | |||||||||
420 | Prudential Financial, Inc. | 39,539 | |||||||||
137 | Public Storage (REIT) | 10,596 | |||||||||
96 | Radian Group, Inc. | 1,089 | |||||||||
112 | Raymond James Financial, Inc. | 3,638 | |||||||||
87 | Rayonier, Inc. (REIT) | 4,035 | |||||||||
83 | Regency Centers Corp. (REIT) | 5,515 | |||||||||
841 | Regions Financial Corp. | 22,228 | |||||||||
35 | Reinsurance Group of America, Inc. | 1,894 | |||||||||
87 | RenaissanceRe Holdings Ltd. | 5,143 | |||||||||
113 | Safeco Corp. | 6,521 | |||||||||
118 | Simon Property Group, Inc. (REIT) | 11,617 | |||||||||
71 | SL Green Realty Corp. (REIT) | 7,377 | |||||||||
512 | Sovereign Bancorp, Inc. | 6,026 | |||||||||
59 | Stancorp Financial Group, Inc. | 3,073 | |||||||||
90 | State Street Corp. | 7,190 | |||||||||
4 | Student Loan Corp. (The) | 562 | |||||||||
426 | SunTrust Banks, Inc. | 29,867 | |||||||||
206 | Synovus Financial Corp. | 5,127 | |||||||||
29 | Taubman Centers, Inc. (REIT) | 1,552 | |||||||||
155 | TCF Financial Corp. | 3,009 | |||||||||
103 | TFS Financial Corp.* | 1,272 | |||||||||
156 | Thornburg Mortgage, Inc. (REIT) | 1,663 | |||||||||
114 | Torchmark Corp. | 7,031 | |||||||||
21 | Transatlantic Holdings, Inc. | 1,561 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell1000 Value (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
793 | Travelers Cos., Inc. (The) | $ | 42,116 | ||||||||
2,076 | U.S. Bancorp | 68,695 | |||||||||
57 | UnionBanCal Corp. | 3,077 | |||||||||
55 | Unitrin, Inc. | 2,544 | |||||||||
431 | Unum Group | 10,706 | |||||||||
144 | Valley National Bancorp | 2,822 | |||||||||
159 | Vornado Realty Trust (REIT) | 14,310 | |||||||||
2,373 | Wachovia Corp. | 102,039 | |||||||||
104 | Washington Federal, Inc. | 2,441 | |||||||||
1,053 | Washington Mutual, Inc. | 20,533 | |||||||||
64 | Webster Financial Corp. | 2,156 | |||||||||
4,056 | Wells Fargo & Co. | 131,536 | |||||||||
2 | Wesco Financial Corp. | 864 | |||||||||
11 | White Mountains Insurance Group Ltd. | 5,665 | |||||||||
80 | Whitney Holding Corp. | 2,192 | |||||||||
82 | Wilmington Trust Corp. | 2,929 | |||||||||
141 | WR Berkley Corp. | 4,312 | |||||||||
196 | XL Capital Ltd., Class A | 11,472 | |||||||||
130 | Zions Bancorporation | 7,094 | |||||||||
2,577,775 | |||||||||||
Health Care — 6.9% | |||||||||||
116 | Aetna, Inc. | 6,482 | |||||||||
108 | AmerisourceBergen Corp. | 4,900 | |||||||||
370 | Amgen, Inc.* | 20,442 | |||||||||
165 | Applera Corp. - Applied Biosystems Group | 5,636 | |||||||||
14 | Beckman Coulter, Inc. | 990 | |||||||||
278 | Biogen Idec, Inc.* | 20,605 | |||||||||
1,590 | Boston Scientific Corp.* | 20,082 | |||||||||
34 | Brookdale Senior Living, Inc. | 1,125 | |||||||||
53 | Charles River Laboratories International, Inc.* | 3,367 | |||||||||
104 | Community Health Systems, Inc.* | 3,476 | |||||||||
32 | Cooper Cos., Inc. (The) | 1,377 | |||||||||
12 | Coventry Health Care, Inc.* | 695 | |||||||||
592 | Covidien Ltd. | 23,745 | |||||||||
606 | Eli Lilly & Co. | 32,088 | |||||||||
289 | Health Management Associates, Inc., Class A | 1,968 | |||||||||
61 | Hillenbrand Industries, Inc. | 3,284 | |||||||||
25 | IMS Health, Inc. | 584 | |||||||||
35 | Invitrogen Corp.* | 3,395 | |||||||||
2,161 | Johnson & Johnson | 146,386 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
12 | Kinetic Concepts, Inc.* | $ | 704 | ||||||||
291 | King Pharmaceuticals, Inc.* | 3,082 | |||||||||
69 | LifePoint Hospitals, Inc.* | 2,183 | |||||||||
27 | McKesson Corp. | 1,802 | |||||||||
450 | Merck & Co., Inc. | 26,712 | |||||||||
171 | Millennium Pharmaceuticals, Inc.* | 2,521 | |||||||||
127 | Omnicare, Inc. | 3,236 | |||||||||
108 | PerkinElmer, Inc. | 2,946 | |||||||||
8,379 | Pfizer, Inc. | 199,085 | |||||||||
13 | Quest Diagnostics, Inc. | 716 | |||||||||
127 | Tenet Healthcare Corp.* | 700 | |||||||||
254 | Thermo Fisher Scientific, Inc.* | 14,641 | |||||||||
40 | Universal Health Services, Inc., Class B | 2,038 | |||||||||
52 | Watson Pharmaceuticals, Inc.* | 1,524 | |||||||||
375 | WellPoint, Inc.* | 31,579 | |||||||||
761 | Wyeth | 37,365 | |||||||||
631,461 | |||||||||||
Industrials — 9.8% | |||||||||||
55 | 3M Co. | 4,579 | |||||||||
37 | AGCO Corp.* | 2,551 | |||||||||
52 | Alexander & Baldwin, Inc. | 2,672 | |||||||||
5 | Alliant Techsystems, Inc.* | 584 | |||||||||
290 | Allied Waste Industries, Inc.* | 3,309 | |||||||||
23 | Armstrong World Industries, Inc.* | 982 | |||||||||
19 | Avery Dennison Corp. | 990 | |||||||||
78 | Avis Budget Group, Inc.* | 1,172 | |||||||||
24 | Burlington Northern Santa Fe Corp. | 2,004 | |||||||||
54 | Carlisle Cos., Inc. | 2,150 | |||||||||
38 | Cintas Corp. | 1,216 | |||||||||
12 | Con-way, Inc. | 507 | |||||||||
148 | Cooper Industries Ltd., Class A | 7,433 | |||||||||
5 | Copart, Inc.* | 187 | |||||||||
60 | Crane Co. | 2,696 | |||||||||
433 | CSX Corp. | 18,186 | |||||||||
256 | Deere & Co. | 43,981 | |||||||||
166 | Dover Corp. | 7,682 | |||||||||
46 | DRS Technologies, Inc. | 2,724 | |||||||||
154 | Eaton Corp. | 13,754 | |||||||||
160 | Emerson Electric Co. | 9,123 | |||||||||
59 | FedEx Corp. | 5,810 | |||||||||
7 | Flowserve Corp. | 659 | |||||||||
63 | Gardner Denver, Inc.* | 2,086 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
35 | GATX Corp. | $ | 1,296 | ||||||||
416 | General Dynamics Corp. | 36,932 | |||||||||
10,919 | General Electric Co. | 418,088 | |||||||||
133 | Hertz Global Holdings, Inc.* | 2,540 | |||||||||
134 | Honeywell International, Inc. | 7,587 | |||||||||
47 | Hubbell, Inc., Class B | 2,582 | |||||||||
150 | Illinois Tool Works, Inc. | 8,325 | |||||||||
305 | Ingersoll-Rand Co., Ltd., Class A | 15,750 | |||||||||
190 | ITT Corp. | 12,244 | |||||||||
36 | Kansas City Southern* | 1,239 | |||||||||
201 | KBR, Inc.* | 8,004 | |||||||||
20 | Kennametal, Inc. | 1,561 | |||||||||
99 | L-3 Communications Holdings, Inc. | 10,954 | |||||||||
56 | Lennox International, Inc. | 1,895 | |||||||||
16 | Lincoln Electric Holdings, Inc. | 1,116 | |||||||||
425 | Masco Corp. | 9,520 | |||||||||
231 | Norfolk Southern Corp. | 11,830 | |||||||||
386 | Northrop Grumman Corp. | 30,413 | |||||||||
105 | Northwest Airlines Corp.* | 1,909 | |||||||||
132 | Owens Corning, Inc.* | 2,905 | |||||||||
13 | Pall Corp. | 497 | |||||||||
208 | Parker Hannifin Corp. | 16,521 | |||||||||
119 | Pentair, Inc. | 4,036 | |||||||||
47 | Pitney Bowes, Inc. | 1,809 | |||||||||
263 | R.R. Donnelley & Sons Co. | 9,642 | |||||||||
257 | Raytheon Co. | 15,895 | |||||||||
21 | Republic Services, Inc. | 697 | |||||||||
69 | Ryder System, Inc. | 2,992 | |||||||||
8 | Shaw Group, Inc. (The)* | 507 | |||||||||
692 | Southwest Airlines Co. | 9,792 | |||||||||
15 | Spirit Aerosystems Holdings, Inc., Class A* | 524 | |||||||||
63 | SPX Corp. | 6,411 | |||||||||
21 | Steelcase, Inc. | 318 | |||||||||
47 | Teleflex, Inc. | 2,836 | |||||||||
113 | Timken Co. | 3,604 | |||||||||
12 | Trinity Industries, Inc. | 304 | |||||||||
592 | Tyco International Ltd. | 23,757 | |||||||||
56 | UAL Corp.* | 2,293 | |||||||||
124 | Union Pacific Corp. | 15,641 | |||||||||
102 | United Rentals, Inc.* | 2,374 | |||||||||
463 | United Technologies Corp. | 34,618 | |||||||||
75 | URS Corp.* | 4,312 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
97 | US Airways Group, Inc.* | $ | 2,015 | ||||||||
96 | USG Corp.* | 3,522 | |||||||||
271 | Waste Management, Inc. | 9,301 | |||||||||
13 | WW Grainger, Inc. | 1,148 | |||||||||
69 | YRC Worldwide, Inc.* | 1,222 | |||||||||
900,315 | |||||||||||
Information Technology — 3.1% | |||||||||||
140 | ADC Telecommunications, Inc.* | 2,318 | |||||||||
427 | Advanced Micro Devices, Inc.* | 4,167 | |||||||||
65 | Affiliated Computer Services, Inc., Class A* | 2,727 | |||||||||
67 | Arrow Electronics, Inc.* | 2,480 | |||||||||
536 | Atmel Corp.* | 2,353 | |||||||||
74 | Avnet, Inc.* | 2,553 | |||||||||
48 | AVX Corp. | 688 | |||||||||
185 | CA, Inc. | 4,531 | |||||||||
241 | Cadence Design Systems, Inc.* | 4,001 | |||||||||
21 | Checkfree Corp.* | 1,000 | |||||||||
207 | Computer Sciences Corp.* | 10,934 | |||||||||
68 | Compuware Corp.* | 562 | |||||||||
164 | Convergys Corp.* | 2,675 | |||||||||
76 | Cree, Inc.* | 1,872 | |||||||||
255 | Electronic Data Systems Corp. | 5,166 | |||||||||
62 | Fair Isaac Corp. | 2,292 | |||||||||
87 | Fairchild Semiconductor International, Inc.* | 1,380 | |||||||||
36 | Fidelity National Information Services, Inc. | 1,556 | |||||||||
7 | Genpact Ltd.* | 100 | |||||||||
43 | Hewitt Associates, Inc., Class A* | 1,612 | |||||||||
174 | Ingram Micro, Inc.* | 3,463 | |||||||||
157 | Integrated Device Technology, Inc.* | 1,904 | |||||||||
333 | International Business Machines Corp. | 35,025 | |||||||||
67 | International Rectifier Corp.* | 2,179 | |||||||||
74 | Intersil Corp., Class A | 1,846 | |||||||||
81 | Jabil Circuit, Inc. | 1,373 | |||||||||
111 | JDS Uniphase Corp.* | 1,494 | |||||||||
174 | Juniper Networks, Inc.* | 5,171 | |||||||||
52 | Lexmark International, Inc., Class A* | 1,814 | |||||||||
349 | LSI Corp.* | 1,937 | |||||||||
103 | Metavante Technologies, Inc.* | 2,346 | |||||||||
608 | Micron Technology, Inc.* | 5,059 | |||||||||
70 | Molex, Inc. | 1,929 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell1000 Value (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
2,763 | Motorola, Inc. | $ | 44,125 | ||||||||
188 | NCR Corp.* | 4,501 | |||||||||
362 | Novell, Inc.* | 2,541 | |||||||||
48 | Novellus Systems, Inc.* | 1,248 | |||||||||
18 | QLogic Corp.* | 243 | |||||||||
26 | Rambus, Inc.* | 504 | |||||||||
111 | SanDisk Corp.* | 4,156 | |||||||||
492 | Sanmina-SCI Corp.* | 871 | |||||||||
403 | Seagate Technology | 10,393 | |||||||||
794 | Sun Microsystems, Inc.* | 16,504 | |||||||||
920 | Symantec Corp.* | 16,376 | |||||||||
66 | Tech Data Corp.* | 2,482 | |||||||||
523 | Tellabs, Inc.* | 3,640 | |||||||||
188 | Teradata Corp.* | 4,880 | |||||||||
102 | Teradyne, Inc.* | 1,111 | |||||||||
592 | Tyco Electronics Ltd. | 22,135 | |||||||||
415 | Unisys Corp.* | 2,058 | |||||||||
183 | Vishay Intertechnology, Inc.* | 2,286 | |||||||||
8 | VMware, Inc., Class A* | 731 | |||||||||
186 | Western Digital Corp.* | 5,139 | |||||||||
53 | Western Union Co. (The) | 1,198 | |||||||||
1,119 | Xerox Corp.* | 18,889 | |||||||||
286,518 | |||||||||||
Materials — 3.9% | |||||||||||
137 | Air Products & Chemicals, Inc. | 13,569 | |||||||||
6 | Airgas, Inc. | 297 | |||||||||
1,038 | Alcoa, Inc. | 37,752 | |||||||||
67 | Ashland, Inc. | 3,299 | |||||||||
125 | Bemis Co., Inc. | 3,391 | |||||||||
23 | Cabot Corp. | 792 | |||||||||
26 | Carpenter Technology Corp. | 1,962 | |||||||||
54 | Celanese Corp., Class A | 2,143 | |||||||||
270 | Chemtura Corp. | 2,025 | |||||||||
143 | Commercial Metals Co. | 4,420 | |||||||||
50 | Cytec Industries, Inc. | 3,067 | |||||||||
279 | Domtar Corp.* | 2,120 | |||||||||
1,138 | Dow Chemical Co. (The) | 47,728 | |||||||||
100 | Eastman Chemical Co. | 6,421 | |||||||||
927 | EI Du Pont de Nemours & Co. | 42,781 | |||||||||
91 | FMC Corp. | 4,980 | |||||||||
80 | Freeport-McMoRan Copper & Gold, Inc. | 7,914 | |||||||||
108 | Huntsman Corp. | 2,739 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
24 | International Flavors & Fragrances, Inc. | $ | 1,203 | ||||||||
520 | International Paper Co. | 17,550 | |||||||||
124 | Louisiana-Pacific Corp. | 1,907 | |||||||||
61 | Lubrizol Corp. | 3,913 | |||||||||
277 | Lyondell Chemical Co. | 13,074 | |||||||||
220 | MeadWestvaco Corp. | 7,231 | |||||||||
105 | Mosaic Co. (The)* | 7,261 | |||||||||
296 | Newmont Mining Corp. | 14,708 | |||||||||
279 | Nucor Corp. | 16,520 | |||||||||
12 | Owens-Illinois, Inc.* | 539 | |||||||||
196 | PPG Industries, Inc. | 13,453 | |||||||||
70 | Reliance Steel & Aluminum Co. | 3,611 | |||||||||
76 | Rohm & Haas Co. | 4,132 | |||||||||
20 | RPM International, Inc. | 381 | |||||||||
43 | Scotts Miracle-Gro Co. (The), Class A | 1,587 | |||||||||
166 | Sealed Air Corp. | 3,879 | |||||||||
110 | Sigma-Aldrich Corp. | 5,792 | |||||||||
304 | Smurfit-Stone Container Corp.* | 3,347 | |||||||||
120 | Sonoco Products Co. | 3,646 | |||||||||
69 | Steel Dynamics, Inc. | 3,471 | |||||||||
126 | Temple-Inland, Inc. | 5,792 | |||||||||
142 | United States Steel Corp. | 13,873 | |||||||||
108 | Valspar Corp. | 2,434 | |||||||||
23 | Westlake Chemical Corp. | 455 | |||||||||
258 | Weyerhaeuser Co. | 18,881 | |||||||||
356,040 | |||||||||||
Telecommunication Services — 5.7% | |||||||||||
7,361 | AT&T, Inc. | 281,264 | |||||||||
131 | CenturyTel, Inc. | 5,585 | |||||||||
337 | Citizens Communications Co. | 4,374 | |||||||||
27 | Clearwire Corp., Class A* | 420 | |||||||||
51 | Crown Castle International Corp.* | 2,140 | |||||||||
180 | Embarq Corp. | 9,171 | |||||||||
1,921 | Qwest Communications International, Inc.* | 12,736 | |||||||||
3,358 | Sprint Nextel Corp. | 52,116 | |||||||||
68 | Telephone & Data Systems, Inc. | 4,233 | |||||||||
13 | U.S. Cellular Corp.* | 1,066 | |||||||||
3,466 | Verizon Communications, Inc. | 149,766 | |||||||||
255 | Windstream Corp. | 3,302 | |||||||||
526,173 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Utilities — 6.1% | |||||||||||
93 | AGL Resources, Inc. | $ | 3,448 | ||||||||
136 | Alliant Energy Corp. | 5,647 | |||||||||
247 | Ameren Corp. | 13,301 | |||||||||
476 | American Electric Power Co., Inc. | 22,691 | |||||||||
147 | Aqua America, Inc. | 3,255 | |||||||||
106 | Atmos Energy Corp. | 2,776 | |||||||||
268 | CMS Energy Corp. | 4,671 | |||||||||
323 | Consolidated Edison, Inc. | 15,649 | |||||||||
48 | Constellation Energy Group, Inc. | 4,810 | |||||||||
695 | Dominion Resources, Inc. | 32,825 | |||||||||
63 | DPL, Inc. | 1,908 | |||||||||
195 | DTE Energy Co. | 9,565 | |||||||||
1,504 | Duke Energy Corp. | 29,764 | |||||||||
338 | Dynegy, Inc., Class A* | 2,572 | |||||||||
389 | Edison International | 21,776 | |||||||||
86 | Energen Corp. | 5,482 | |||||||||
189 | Energy East Corp. | 5,224 | |||||||||
235 | Entergy Corp. | 28,092 | |||||||||
35 | Equitable Resources, Inc. | 1,850 | |||||||||
440 | Exelon Corp. | 35,671 | |||||||||
364 | FirstEnergy Corp. | 24,956 | |||||||||
485 | FPL Group, Inc. | 33,834 | |||||||||
102 | Great Plains Energy, Inc. | 3,027 | |||||||||
98 | Hawaiian Electric Industries, Inc. | 2,269 | |||||||||
90 | Integrys Energy Group, Inc. | 4,591 | |||||||||
217 | MDU Resources Group, Inc. | 5,922 | |||||||||
97 | Mirant Corp.* | 3,743 | |||||||||
100 | National Fuel Gas Co. | 4,765 | |||||||||
327 | NiSource, Inc. | 6,053 | |||||||||
185 | Northeast Utilities | 5,842 | |||||||||
56 | NRG Energy, Inc.* | 2,374 | |||||||||
127 | NSTAR | 4,445 | |||||||||
110 | OGE Energy Corp. | 3,916 | |||||||||
124 | Oneok, Inc. | 5,766 | |||||||||
231 | Pepco Holdings, Inc. | 6,491 | |||||||||
420 | PG&E Corp. | 19,433 | |||||||||
120 | Pinnacle West Capital Corp. | 5,143 | |||||||||
117 | PPL Corp. | 5,962 | |||||||||
308 | Progress Energy, Inc. | 15,036 | |||||||||
303 | Public Service Enterprise Group, Inc. | 29,009 | |||||||||
139 | Puget Energy, Inc. | 3,902 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
135 | Questar Corp. | $ | 7,216 | ||||||||
408 | Reliant Energy, Inc.* | 10,624 | |||||||||
139 | SCANA Corp. | 5,923 | |||||||||
315 | Sempra Energy | 19,725 | |||||||||
225 | Sierra Pacific Resources | 3,870 | |||||||||
897 | Southern Co. | 33,745 | |||||||||
128 | Southern Union Co. | 3,821 | |||||||||
250 | TECO Energy, Inc. | 4,330 | |||||||||
126 | UGI Corp. | 3,331 | |||||||||
91 | Vectren Corp. | 2,672 | |||||||||
139 | Wisconsin Energy Corp. | 6,650 | |||||||||
488 | Xcel Energy, Inc. | 11,278 | |||||||||
560,641 | |||||||||||
Total Common Stock (Cost $8,885,064) | 8,492,329 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 19.4% | |||||||||||
$ | 356,608 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $356,746 ** | 356,608 | ||||||||
410,175 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $410,331 *** | 410,175 | |||||||||
71,322 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $71,349 **** | 71,322 | |||||||||
950,954 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $951,315 ***** | 950,954 | |||||||||
Total Repurchase Agreements (Cost $1,789,059) | 1,789,059 | ||||||||||
Total Investments (Cost $10,674,123) — 111.7% | 10,281,388 | ||||||||||
Liabilities in excess of other assets — (11.7%) | (1,078,812 | ) | |||||||||
Net Assets — 100.0% | $ | 9,202,576 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell1000 Value (continued)
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $363,742. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $418,380. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $72,748. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $969,974. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 502,889 | |||||
Aggregate gross unrealized depreciation | (1,022,040 | ) | |||||
Net unrealized depreciation | $ | (519,151 | ) | ||||
Federal income tax cost of investments | $ | 10,800,539 |
Swap Agreements
Ultra Russell1000 Value had the following open swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on Russell 1000® Value Index, expiring 12/27/07 | $ | 10,126,379 | $ | (264,110 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell1000 Growth
Shares | Value | ||||||||||
Common Stocks (a) — 90.4% | |||||||||||
Consumer Discretionary — 10.7% | |||||||||||
230 | Abercrombie & Fitch Co. | $ | 18,869 | ||||||||
265 | Advance Auto Parts, Inc. | 9,529 | |||||||||
798 | Amazon.Com, Inc.* | 72,267 | |||||||||
487 | American Eagle Outfitters, Inc. | 11,147 | |||||||||
136 | AnnTaylor Stores Corp.* | 4,141 | |||||||||
379 | Apollo Group, Inc., Class A* | 29,001 | |||||||||
124 | Autoliv, Inc. | 7,242 | |||||||||
122 | Autozone, Inc.* | 13,619 | |||||||||
12 | Barnes & Noble, Inc. | 461 | |||||||||
727 | Bed Bath & Beyond, Inc.* | 22,864 | |||||||||
905 | Best Buy Co., Inc. | 46,200 | |||||||||
280 | Big Lots, Inc.* | 5,228 | |||||||||
85 | Black & Decker Corp. | 7,025 | |||||||||
32 | BorgWarner, Inc. | 3,092 | |||||||||
148 | Boyd Gaming Corp. | 5,731 | |||||||||
276 | Brinker International, Inc. | 6,356 | |||||||||
167 | Burger King Holdings, Inc. | 4,392 | |||||||||
191 | Cablevision Systems Corp.* | 5,163 | |||||||||
249 | Career Education Corp.* | 7,154 | |||||||||
567 | Carmax, Inc.* | 12,967 | |||||||||
476 | Carnival Corp. | 21,477 | |||||||||
16 | Centex Corp. | 334 | |||||||||
81 | Central European Media Enterprises Ltd.* | 8,887 | |||||||||
189 | Cheesecake Factory (The)* | 4,402 | |||||||||
462 | Chico's FAS, Inc.* | 5,225 | |||||||||
93 | Choice Hotels International, Inc. | 3,222 | |||||||||
193 | Circuit City Stores, Inc. | 1,249 | |||||||||
279 | Clear Channel Communications, Inc. | 10,016 | |||||||||
104 | Clear Channel Outdoor Holdings, Inc., Class A* | 2,835 | |||||||||
973 | Coach, Inc.* | 36,137 | |||||||||
162 | Coldwater Creek, Inc.* | 1,336 | |||||||||
4,749 | Comcast Corp., Class A* | 97,544 | |||||||||
210 | CROCS, Inc.* | 8,196 | |||||||||
136 | CTC Media, Inc.* | 3,272 | |||||||||
371 | Darden Restaurants, Inc. | 14,762 | |||||||||
212 | Dick's Sporting Goods, Inc.* | 6,627 | |||||||||
1,871 | DIRECTV Group, Inc. (The)* | 46,532 | |||||||||
406 | Discovery Holding Co., Class A* | 9,931 | |||||||||
256 | Dollar Tree Stores, Inc.* | 7,337 | |||||||||
156 | Dow Jones & Co., Inc. | 9,321 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
137 | DreamWorks Animation SKG, Inc., Class A* | $ | 3,603 | ||||||||
546 | EchoStar Communications Corp., Class A* | 23,533 | |||||||||
368 | Family Dollar Stores, Inc. | 8,666 | |||||||||
413 | GameStop Corp., Class A* | 23,727 | |||||||||
303 | Garmin Ltd. | 32,527 | |||||||||
374 | Gentex Corp. | 7,413 | |||||||||
64 | Getty Images, Inc.* | 1,866 | |||||||||
550 | Goodyear Tire & Rubber Co. (The)* | 15,812 | |||||||||
143 | Guess ?, Inc. | 6,711 | |||||||||
847 | H&R Block, Inc. | 16,669 | |||||||||
253 | Hanesbrands, Inc.* | 7,142 | |||||||||
633 | Harley-Davidson, Inc. | 30,397 | |||||||||
159 | Harman International Industries, Inc. | 11,702 | |||||||||
281 | Harrah's Entertainment, Inc. | 24,748 | |||||||||
92 | Harte-Hanks, Inc. | 1,546 | |||||||||
130 | Hasbro, Inc. | 3,610 | |||||||||
2,571 | Home Depot, Inc. | 73,428 | |||||||||
31 | IAC/InterActiveCorp* | 863 | |||||||||
872 | International Game Technology | 38,072 | |||||||||
759 | Interpublic Group of Cos., Inc.* | 7,203 | |||||||||
107 | ITT Educational Services, Inc.* | 12,106 | |||||||||
92 | Jarden Corp.* | 2,425 | |||||||||
592 | JC Penney Co., Inc. | 26,119 | |||||||||
133 | John Wiley & Sons, Inc., Class A | 5,606 | |||||||||
1,231 | Johnson Controls, Inc. | 47,541 | |||||||||
842 | Kohl's Corp.* | 41,494 | |||||||||
217 | Lamar Advertising Co., Class A | 11,286 | |||||||||
274 | Las Vegas Sands Corp.* | 31,072 | |||||||||
513 | Liberty Global, Inc., Class A* | 20,838 | |||||||||
956 | Liberty Media Corp. - Interactive, Class A* | 19,263 | |||||||||
19 | Liz Claiborne, Inc. | 477 | |||||||||
3,949 | Lowe's Cos., Inc. | 96,395 | |||||||||
835 | Ltd Brands, Inc. | 16,767 | |||||||||
863 | Marriott International, Inc., Class A | 32,362 | |||||||||
431 | Mattel, Inc. | 8,611 | |||||||||
648 | McDonald's Corp. | 37,889 | |||||||||
900 | McGraw-Hill Cos., Inc. (The) | 44,172 | |||||||||
126 | Meredith Corp. | 6,936 | |||||||||
310 | MGM Mirage* | 26,815 | |||||||||
95 | New York Times Co., (The), Class A | 1,567 | |||||||||
378 | Newell Rubbermaid, Inc. | 10,123 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell1000 Growth (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
3,951 | News Corp., Class A | $ | 83,248 | ||||||||
935 | Nike, Inc., Class B | 61,383 | |||||||||
641 | Nordstrom, Inc. | 21,499 | |||||||||
90 | NutriSystem, Inc.* | 2,263 | |||||||||
5 | NVR, Inc.* | 2,460 | |||||||||
299 | O'Reilly Automotive, Inc.* | 9,825 | |||||||||
721 | Office Depot, Inc.* | 12,358 | |||||||||
91 | OfficeMax, Inc. | 2,269 | |||||||||
868 | Omnicom Group, Inc. | 42,315 | |||||||||
105 | Orient-Express Hotels Ltd. | 6,501 | |||||||||
74 | Panera Bread Co., Class A* | 2,965 | |||||||||
193 | Penn National Gaming, Inc.* | 11,493 | |||||||||
357 | PetSmart, Inc. | 10,167 | |||||||||
147 | Phillips-Van Heusen | 6,236 | |||||||||
161 | Polo Ralph Lauren Corp. | 11,106 | |||||||||
129 | Pool Corp. | 2,750 | |||||||||
198 | Pulte Homes, Inc. | 2,024 | |||||||||
250 | RadioShack Corp. | 4,625 | |||||||||
166 | Regal Entertainment Group, Class A | 3,285 | |||||||||
364 | Ross Stores, Inc. | 9,602 | |||||||||
318 | Saks, Inc.* | 6,551 | |||||||||
170 | Scientific Games Corp.* | 5,506 | |||||||||
291 | Sherwin-Williams Co. (The) | 18,284 | |||||||||
3,835 | Sirius Satellite Radio, Inc.* | 14,688 | |||||||||
70 | Stanley Works (The) | 3,650 | |||||||||
1,876 | Staples, Inc. | 44,461 | |||||||||
1,943 | Starbucks Corp.* | 45,447 | |||||||||
528 | Starwood Hotels & Resorts Worldwide, Inc. | 28,343 | |||||||||
2,243 | Target Corp. | 134,715 | |||||||||
83 | Thor Industries, Inc. | 2,926 | |||||||||
358 | Tiffany & Co. | 16,622 | |||||||||
497 | Tim Hortons, Inc. | 19,100 | |||||||||
225 | Time Warner Cable, Inc., Class A* | 5,857 | |||||||||
1,423 | Time Warner, Inc. | 24,561 | |||||||||
1,193 | TJX Cos., Inc. | 35,003 | |||||||||
91 | Tractor Supply Co.* | 3,733 | |||||||||
297 | Urban Outfitters, Inc.* | 7,781 | |||||||||
1,598 | Viacom, Inc., Class B* | 67,148 | |||||||||
158 | WABCO Holdings, Inc. | 7,420 | |||||||||
2,282 | Walt Disney Co. (The) | 75,648 | |||||||||
52 | Warner Music Group Corp. | 393 | |||||||||
93 | Weight Watchers International, Inc. | 4,441 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
229 | Wendy's International, Inc. | $ | 6,419 | ||||||||
148 | Whirlpool Corp. | 11,982 | |||||||||
239 | Williams-Sonoma, Inc. | 6,957 | |||||||||
35 | Wyndham Worldwide Corp. | 1,021 | |||||||||
144 | Wynn Resorts Ltd. | 18,279 | |||||||||
749 | XM Satellite Radio Holdings, Inc., Class A* | 11,684 | |||||||||
1,374 | Yum! Brands, Inc. | 51,044 | |||||||||
2,418,230 | |||||||||||
Consumer Staples — 9.4% | |||||||||||
37 | Alberto-Culver Co. | 946 | |||||||||
3,150 | Altria Group, Inc. | 244,314 | |||||||||
1,256 | Anheuser-Busch Cos., Inc. | 66,216 | |||||||||
1,061 | Avon Products, Inc. | 43,554 | |||||||||
102 | Bare Escentuals, Inc.* | 2,147 | |||||||||
144 | Brown-Forman Corp., Class B | 10,172 | |||||||||
345 | Campbell Soup Co. | 12,668 | |||||||||
163 | Church & Dwight Co., Inc. | 9,148 | |||||||||
334 | Clorox Co. | 21,670 | |||||||||
3,999 | Coca-Cola Co. (The) | 248,338 | |||||||||
1,237 | Colgate-Palmolive Co. | 99,059 | |||||||||
806 | Costco Wholesale Corp. | 54,324 | |||||||||
2,072 | CVS Caremark Corp. | 83,066 | |||||||||
23 | Dean Foods Co. | 574 | |||||||||
106 | Energizer Holdings, Inc.* | 12,045 | |||||||||
287 | Estee Lauder Cos., Inc. (The) | 12,880 | |||||||||
68 | General Mills, Inc. | 4,090 | |||||||||
179 | Hansen Natural Corp.* | 7,770 | |||||||||
126 | Herbalife Ltd. | 5,276 | |||||||||
312 | Hershey Co. (The) | 12,452 | |||||||||
469 | HJ Heinz Co. | 22,184 | |||||||||
417 | Kellogg Co. | 22,535 | |||||||||
497 | Kimberly-Clark Corp. | 34,696 | |||||||||
1,185 | Kroger Co. (The) | 34,069 | |||||||||
169 | Loews Corp.- Carolina Group | 15,032 | |||||||||
227 | McCormick & Co., Inc./MD (Non-Voting) | 8,674 | |||||||||
145 | NBTY, Inc.* | 4,331 | |||||||||
93 | Pepsi Bottling Group, Inc. | 3,968 | |||||||||
4,273 | PepsiCo, Inc. | 329,790 | |||||||||
3,271 | Procter & Gamble Co. | 242,054 | |||||||||
1,008 | Sara Lee Corp. | 16,965 | |||||||||
1,621 | SYSCO Corp. | 52,699 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
232 | UST, Inc. | $ | 13,433 | ||||||||
4,642 | Wal-Mart Stores, Inc. | 222,352 | |||||||||
2,616 | Walgreen Co. | 95,719 | |||||||||
371 | Whole Foods Market, Inc. | 15,957 | |||||||||
553 | WM. Wrigley Jr. Co. | 35,392 | |||||||||
2,120,559 | |||||||||||
Energy — 7.4% | |||||||||||
374 | Arch Coal, Inc. | 14,160 | |||||||||
840 | Baker Hughes, Inc. | 67,427 | |||||||||
769 | BJ Services Co. | 18,902 | |||||||||
254 | Cabot Oil & Gas Corp. | 8,743 | |||||||||
289 | Cameron International Corp.* | 26,943 | |||||||||
111 | Cheniere Energy, Inc.* | 3,863 | |||||||||
705 | Chesapeake Energy Corp. | 26,684 | |||||||||
73 | CNX Gas Corp.* | 2,248 | |||||||||
478 | CONSOL Energy, Inc. | 28,336 | |||||||||
36 | Continental Resources, Inc./OK* | 857 | |||||||||
318 | Denbury Resources, Inc.* | 16,956 | |||||||||
179 | Diamond Offshore Drilling, Inc. | 20,841 | |||||||||
225 | Dresser-Rand Group, Inc.* | 8,010 | |||||||||
363 | ENSCO International, Inc. | 19,548 | |||||||||
3,014 | Exxon Mobil Corp. | 268,728 | |||||||||
341 | FMC Technologies, Inc.* | 18,953 | |||||||||
119 | Foundation Coal Holdings, Inc. | 5,407 | |||||||||
145 | Frontier Oil Corp. | 6,409 | |||||||||
127 | Frontline Ltd. | 5,912 | |||||||||
241 | Global Industries Ltd.* | 5,343 | |||||||||
334 | Grant Prideco, Inc.* | 16,065 | |||||||||
2,398 | Halliburton Co. | 87,791 | |||||||||
191 | Helix Energy Solutions Group, Inc.* | 7,753 | |||||||||
119 | Holly Corp. | 5,766 | |||||||||
213 | Massey Energy Co. | 7,231 | |||||||||
651 | Nabors Industries Ltd.* | 17,512 | |||||||||
932 | National Oilwell Varco, Inc.* | 63,516 | |||||||||
703 | Noble Corp. | 36,647 | |||||||||
64 | Noble Energy, Inc. | 4,611 | |||||||||
143 | Oceaneering International, Inc.* | 9,125 | |||||||||
70 | Patriot Coal Corp.* | 2,367 | |||||||||
695 | Peabody Energy Corp. | 38,670 | |||||||||
322 | Pride International, Inc.* | 10,616 | |||||||||
131 | Quicksilver Resources, Inc.* | 6,629 | |||||||||
388 | Range Resources Corp. | 15,784 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
207 | Rowan Cos., Inc. | $ | 7,328 | ||||||||
3,091 | Schlumberger Ltd. | 288,854 | |||||||||
526 | Smith International, Inc. | 32,991 | |||||||||
445 | Southwestern Energy Co.* | 22,148 | |||||||||
319 | Sunoco, Inc. | 21,405 | |||||||||
212 | Superior Energy Services* | 7,399 | |||||||||
358 | Tesoro Corp. | 17,606 | |||||||||
190 | Tetra Technologies, Inc.* | 3,004 | |||||||||
97 | Tidewater, Inc. | 4,742 | |||||||||
814 | Transocean, Inc. | 111,804 | |||||||||
95 | Unit Corp.* | 4,248 | |||||||||
1,136 | Valero Energy Corp. | 73,919 | |||||||||
46 | W&T Offshore, Inc. | 1,214 | |||||||||
885 | Weatherford International Ltd.* | 55,419 | |||||||||
37 | Western Refining, Inc. | 1,069 | |||||||||
1,315 | Williams Cos., Inc. | 45,644 | |||||||||
1,015 | XTO Energy, Inc. | 62,747 | |||||||||
1,665,894 | |||||||||||
Financials — 6.4% | |||||||||||
47 | ACE Ltd. | 2,812 | |||||||||
78 | Affiliated Managers Group, Inc.* | 9,691 | |||||||||
1,175 | Aflac, Inc. | 73,602 | |||||||||
2,716 | American Express Co. | 160,190 | |||||||||
412 | American International Group, Inc. | 23,950 | |||||||||
21 | AmeriCredit Corp.* | 241 | |||||||||
14 | Apartment Investment & Management Co. (REIT) | 557 | |||||||||
48 | Arthur J. Gallagher & Co. | 1,261 | |||||||||
44 | Bank of Hawaii Corp. | 2,291 | |||||||||
1,030 | Bank of New York Mellon Corp. (The) | 49,399 | |||||||||
95 | BlackRock, Inc. | 18,845 | |||||||||
294 | Brown & Brown, Inc. | 7,232 | |||||||||
218 | CapitalSource, Inc. (REIT) | 3,654 | |||||||||
40 | Capitol Federal Financial | 1,356 | |||||||||
512 | CB Richard Ellis Group, Inc., Class A* | 12,160 | |||||||||
2,460 | Charles Schwab Corp. (The) | 59,803 | |||||||||
143 | CME Group, Inc. | 94,180 | |||||||||
7 | CNA Financial Corp. | 248 | |||||||||
144 | Commerce Bancorp, Inc. | 5,734 | |||||||||
71 | Discover Financial Services | 1,233 | |||||||||
279 | Duke Realty Corp. (REIT) | 7,335 | |||||||||
421 | E*Trade Financial Corp.* | 1,937 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell1000 Growth (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
289 | Eaton Vance Corp. | $ | 12,647 | ||||||||
23 | Erie Indemnity Co., Class A | 1,190 | |||||||||
29 | Essex Property Trust, Inc. (REIT) | 3,008 | |||||||||
77 | Federal Realty Investment Trust (REIT) | 6,406 | |||||||||
229 | Federated Investors, Inc., Class B | 9,341 | |||||||||
160 | First Marblehead Corp. (The) | 4,802 | |||||||||
189 | Forest City Enterprises, Inc., Class A | 9,476 | |||||||||
435 | Franklin Resources, Inc. | 53,583 | |||||||||
680 | Freddie Mac | 23,848 | |||||||||
313 | General Growth Properties, Inc. (REIT) | 14,536 | |||||||||
110 | GLG Partners, Inc.* | 1,512 | |||||||||
469 | Goldman Sachs Group, Inc. (The) | 106,294 | |||||||||
7 | Hanover Insurance Group, Inc. (The) | 316 | |||||||||
127 | HCC Insurance Holdings, Inc. | 3,904 | |||||||||
26 | Health Care REIT, Inc. (REIT) | 1,165 | |||||||||
568 | Hudson City Bancorp, Inc. | 8,645 | |||||||||
185 | IntercontinentalExchange, Inc.* | 30,888 | |||||||||
116 | Investment Technology Group, Inc.* | 5,299 | |||||||||
357 | Janus Capital Group, Inc. | 11,984 | |||||||||
97 | Jones Lang LaSalle, Inc. | 8,155 | |||||||||
86 | Kilroy Realty Corp. (REIT) | 4,806 | |||||||||
135 | Lazard Ltd., Class A | 6,569 | |||||||||
142 | Legg Mason, Inc. | 10,836 | |||||||||
188 | Macerich Co. (The) (REIT) | 14,598 | |||||||||
577 | Merrill Lynch & Co., Inc. | 34,585 | |||||||||
138 | MF Global Ltd.* | 3,979 | |||||||||
561 | Moody's Corp. | 21,127 | |||||||||
158 | Morgan Stanley | 8,330 | |||||||||
236 | Nasdaq Stock Market, Inc. (The)* | 10,233 | |||||||||
488 | Northern Trust Corp. | 39,523 | |||||||||
242 | Nymex Holdings, Inc. | 30,141 | |||||||||
692 | NYSE Euronext | 59,927 | |||||||||
33 | PartnerRe Ltd. | 2,725 | |||||||||
394 | People's United Financial, Inc. | 6,686 | |||||||||
114 | Philadelphia Consolidated Holding Co.* | 4,854 | |||||||||
36 | Plum Creek Timber Co., Inc. (REIT) | 1,669 | |||||||||
39 | Principal Financial Group, Inc. | 2,554 | |||||||||
589 | Prologis (REIT) | 38,532 | |||||||||
293 | Prudential Financial, Inc. | 27,583 | |||||||||
25 | Public Storage (REIT) | 1,933 | |||||||||
12 | Rayonier, Inc. (REIT) | 557 | |||||||||
340 | SEI Investments Co. | 10,547 | |||||||||
319 | Simon Property Group, Inc. (REIT) | 31,406 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,079 | SLM Corp. | $ | 41,088 | ||||||||
195 | St. Joe Co. (The) | 5,548 | |||||||||
843 | State Street Corp. | 67,347 | |||||||||
274 | Synovus Financial Corp. | 6,820 | |||||||||
697 | T. Rowe Price Group, Inc. | 42,852 | |||||||||
78 | Taubman Centers, Inc. (REIT) | 4,175 | |||||||||
651 | TD Ameritrade Holding Corp.* | 12,167 | |||||||||
49 | TFS Financial Corp.* | 605 | |||||||||
25 | Transatlantic Holdings, Inc. | 1,859 | |||||||||
356 | UDR, Inc. (REIT) | 7,843 | |||||||||
350 | Ventas, Inc. (REIT) | 15,260 | |||||||||
202 | Weingarten Realty Investors (REIT) | 7,201 | |||||||||
114 | WR Berkley Corp. | 3,486 | |||||||||
57 | XL Capital Ltd., Class A | 3,336 | |||||||||
1,447,997 | |||||||||||
Health Care — 14.7% | |||||||||||
4,040 | Abbott Laboratories | 232,340 | |||||||||
17 | Abraxis Bioscience, Inc.* | 1,003 | |||||||||
157 | Advanced Medical Optics, Inc.* | 3,960 | |||||||||
1,087 | Aetna, Inc. | 60,742 | |||||||||
800 | Allergan, Inc. | 53,632 | |||||||||
201 | AmerisourceBergen Corp. | 9,119 | |||||||||
2,038 | Amgen, Inc.* | 112,600 | |||||||||
345 | Amylin Pharmaceuticals, Inc.* | 13,176 | |||||||||
67 | APP Pharmaceuticals, Inc.* | 787 | |||||||||
79 | Applera Corp.- Applied Biosystems Group | 2,699 | |||||||||
288 | Barr Pharmaceuticals, Inc.* | 15,466 | |||||||||
1,709 | Baxter International, Inc. | 102,318 | |||||||||
132 | Beckman Coulter, Inc. | 9,336 | |||||||||
643 | Becton Dickinson & Co. | 53,195 | |||||||||
144 | Biogen Idec, Inc.* | 10,673 | |||||||||
5,162 | Bristol-Myers Squibb Co. | 152,950 | |||||||||
24 | Brookdale Senior Living, Inc. | 794 | |||||||||
956 | Cardinal Health, Inc. | 57,886 | |||||||||
996 | Celgene Corp.* | 61,304 | |||||||||
174 | Cephalon, Inc.* | 13,036 | |||||||||
172 | Cerner Corp.* | 10,277 | |||||||||
60 | Charles River Laboratories International, Inc.* | 3,812 | |||||||||
755 | Cigna Corp. | 40,476 | |||||||||
22 | Community Health Systems, Inc.* | 735 | |||||||||
47 | Cooper Cos., Inc. (The) | 2,022 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
167 | Covance, Inc.* | $ | 14,584 | ||||||||
383 | Coventry Health Care, Inc.* | 22,168 | |||||||||
271 | CR Bard, Inc. | 22,908 | |||||||||
276 | DaVita, Inc.* | 17,101 | |||||||||
398 | Dentsply International, Inc. | 17,026 | |||||||||
151 | Edwards Lifesciences Corp.* | 7,467 | |||||||||
1,274 | Eli Lilly & Co. | 67,458 | |||||||||
351 | Endo Pharmaceuticals Holdings, Inc.* | 9,621 | |||||||||
577 | Express Scripts, Inc.* | 39,092 | |||||||||
839 | Forest Laboratories, Inc.* | 32,343 | |||||||||
138 | Gen-Probe, Inc.* | 9,231 | |||||||||
1,221 | Genentech, Inc.* | 93,101 | |||||||||
693 | Genzyme Corp.* | 51,926 | |||||||||
2,449 | Gilead Sciences, Inc.* | 113,976 | |||||||||
294 | Health Net, Inc.* | 14,283 | |||||||||
233 | Henry Schein, Inc.* | 13,782 | |||||||||
28 | Hillenbrand Industries, Inc. | 1,508 | |||||||||
476 | HLTH Corp.* | 6,659 | |||||||||
411 | Hospira, Inc.* | 17,796 | |||||||||
441 | Humana, Inc.* | 33,970 | |||||||||
163 | Idexx Laboratories, Inc.* | 9,862 | |||||||||
157 | ImClone Systems, Inc.* | 7,079 | |||||||||
460 | IMS Health, Inc. | 10,741 | |||||||||
98 | Intuitive Surgical, Inc.* | 32,113 | |||||||||
46 | Invitrogen Corp.* | 4,462 | |||||||||
2,849 | Johnson & Johnson | 192,991 | |||||||||
114 | Kinetic Concepts, Inc.* | 6,685 | |||||||||
308 | Laboratory Corp. of America Holdings* | 22,382 | |||||||||
220 | Lincare Holdings, Inc.* | 7,522 | |||||||||
719 | McKesson Corp. | 47,979 | |||||||||
735 | Medco Health Solutions, Inc.* | 73,493 | |||||||||
3,014 | Medtronic, Inc. | 153,262 | |||||||||
4,696 | Merck & Co., Inc. | 278,755 | |||||||||
465 | Millennium Pharmaceuticals, Inc.* | 6,854 | |||||||||
142 | Millipore Corp.* | 11,627 | |||||||||
793 | Mylan, Inc. | 11,403 | |||||||||
39 | Omnicare, Inc. | 994 | |||||||||
365 | Patterson Cos., Inc.* | 11,746 | |||||||||
306 | PDL BioPharma, Inc.* | 5,419 | |||||||||
127 | Pediatrix Medical Group, Inc.* | 8,212 | |||||||||
79 | PerkinElmer, Inc. | 2,155 | |||||||||
271 | Pharmaceutical Product Development, Inc. | 11,474 | |||||||||
380 | Quest Diagnostics, Inc. | 20,923 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
204 | Resmed, Inc.* | $ | 9,343 | ||||||||
193 | Respironics, Inc.* | 9,507 | |||||||||
4,248 | Schering-Plough Corp. | 132,962 | |||||||||
279 | Sepracor, Inc.* | 7,402 | |||||||||
145 | Sierra Health Services, Inc.* | 6,054 | |||||||||
887 | St. Jude Medical, Inc.* | 35,258 | |||||||||
796 | Stryker Corp. | 57,813 | |||||||||
103 | Techne Corp.* | 6,710 | |||||||||
960 | Tenet Healthcare Corp.* | 5,290 | |||||||||
550 | Thermo Fisher Scientific, Inc.* | 31,702 | |||||||||
3,515 | UnitedHealth Group, Inc. | 193,325 | |||||||||
33 | Universal Health Services, Inc., Class B | 1,681 | |||||||||
334 | Varian Medical Systems, Inc.* | 16,687 | |||||||||
220 | VCA Antech, Inc.* | 9,027 | |||||||||
344 | Vertex Pharmaceuticals, Inc.* | 8,734 | |||||||||
238 | Warner Chilcott Ltd., Class A* | 4,344 | |||||||||
265 | Waters Corp.* | 20,681 | |||||||||
156 | Watson Pharmaceuticals, Inc.* | 4,572 | |||||||||
108 | WellCare Health Plans, Inc.* | 4,202 | |||||||||
676 | WellPoint, Inc.* | 56,926 | |||||||||
1,856 | Wyeth | 91,130 | |||||||||
621 | Zimmer Holdings, Inc.* | 40,197 | |||||||||
3,322,018 | |||||||||||
Industrials — 11.7% | |||||||||||
1,768 | 3M Co. | 147,204 | |||||||||
157 | AGCO Corp.* | 10,824 | |||||||||
76 | Aircastle Ltd. | 2,008 | |||||||||
75 | Alliant Techsystems, Inc.* | 8,762 | |||||||||
114 | Allied Waste Industries, Inc.* | 1,301 | |||||||||
280 | Ametek, Inc. | 12,320 | |||||||||
631 | AMR Corp.* | 13,365 | |||||||||
239 | Avery Dennison Corp. | 12,454 | |||||||||
95 | Avis Budget Group, Inc.* | 1,428 | |||||||||
242 | BE Aerospace, Inc.* | 11,374 | |||||||||
2,065 | Boeing Co. | 191,095 | |||||||||
114 | Brink's Co. (The) | 7,294 | |||||||||
881 | Burlington Northern Santa Fe Corp. | 73,581 | |||||||||
44 | Carlisle Cos., Inc. | 1,752 | |||||||||
1,680 | Caterpillar, Inc. | 120,792 | |||||||||
444 | CH Robinson Worldwide, Inc. | 22,888 | |||||||||
188 | ChoicePoint, Inc.* | 7,116 | |||||||||
271 | Cintas Corp. | 8,669 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell1000 Growth (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
93 | Con-way, Inc. | $ | 3,932 | ||||||||
255 | Continental Airlines, Inc., Class B* | 7,178 | |||||||||
155 | Cooper Industries Ltd., Class A | 7,784 | |||||||||
46 | Copa Holdings SA, Class A | 1,662 | |||||||||
167 | Copart, Inc.* | 6,239 | |||||||||
93 | Corporate Executive Board Co. | 6,239 | |||||||||
322 | Corrections Corp. of America* | 9,824 | |||||||||
315 | Covanta Holding Corp.* | 8,502 | |||||||||
196 | CSX Corp. | 8,232 | |||||||||
274 | Cummins, Inc. | 32,031 | |||||||||
645 | Danaher Corp. | 55,999 | |||||||||
33 | Deere & Co. | 5,669 | |||||||||
706 | Delta Air Lines, Inc.* | 13,951 | |||||||||
208 | Donaldson Co., Inc. | 9,730 | |||||||||
173 | Dover Corp. | 8,006 | |||||||||
6 | DRS Technologies, Inc. | 355 | |||||||||
156 | Dun & Bradstreet Corp. | 13,920 | |||||||||
45 | Eaton Corp. | 4,019 | |||||||||
1,733 | Emerson Electric Co. | 98,816 | |||||||||
346 | Equifax, Inc. | 12,882 | |||||||||
559 | Expeditors International Washington, Inc. | 26,228 | |||||||||
332 | Fastenal Co. | 13,160 | |||||||||
677 | FedEx Corp. | 66,664 | |||||||||
94 | First Solar, Inc.* | 22,292 | |||||||||
135 | Flowserve Corp. | 12,702 | |||||||||
231 | Fluor Corp. | 33,996 | |||||||||
185 | Foster Wheeler Ltd.* | 27,565 | |||||||||
49 | GATX Corp. | 1,814 | |||||||||
137 | General Cable Corp.* | 10,190 | |||||||||
148 | General Dynamics Corp. | 13,139 | |||||||||
2,995 | General Electric Co. | 114,679 | |||||||||
328 | Goodrich Corp. | 23,383 | |||||||||
165 | Graco, Inc. | 6,145 | |||||||||
221 | Harsco Corp. | 13,275 | |||||||||
548 | Hertz Global Holdings, Inc.* | 10,467 | |||||||||
126 | HNI Corp. | 4,603 | |||||||||
1,751 | Honeywell International, Inc. | 99,142 | |||||||||
52 | Hubbell, Inc., Class B | 2,856 | |||||||||
213 | IDEX Corp. | 7,604 | |||||||||
971 | Illinois Tool Works, Inc. | 53,890 | |||||||||
44 | Ingersoll-Rand Co., Ltd., Class A | 2,272 | |||||||||
60 | ITT Corp. | 3,866 | |||||||||
313 | Jacobs Engineering Group, Inc.* | 26,220 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
230 | JB Hunt Transport Services, Inc. | $ | 6,047 | ||||||||
285 | Joy Global, Inc. | 16,530 | |||||||||
121 | Kansas City Southern* | 4,166 | |||||||||
59 | Kennametal, Inc. | 4,605 | |||||||||
140 | Kirby Corp.* | 6,730 | |||||||||
110 | L-3 Communications Holdings, Inc. | 12,172 | |||||||||
146 | Landstar System, Inc. | 5,808 | |||||||||
19 | Lennox International, Inc. | 643 | |||||||||
77 | Lincoln Electric Holdings, Inc. | 5,372 | |||||||||
923 | Lockheed Martin Corp. | 102,148 | |||||||||
327 | Manitowoc Co., Inc. (The) | 14,339 | |||||||||
222 | Manpower, Inc. | 13,564 | |||||||||
57 | Masco Corp. | 1,277 | |||||||||
584 | McDermott International, Inc.* | 30,543 | |||||||||
330 | Monster Worldwide, Inc.* | 11,144 | |||||||||
121 | MSC Industrial Direct Co. | 5,230 | |||||||||
524 | Norfolk Southern Corp. | 26,834 | |||||||||
57 | Northrop Grumman Corp. | 4,491 | |||||||||
458 | Northwest Airlines Corp.* | 8,326 | |||||||||
194 | Oshkosh Truck Corp. | 9,329 | |||||||||
977 | Paccar, Inc. | 49,446 | |||||||||
295 | Pall Corp. | 11,284 | |||||||||
471 | Pitney Bowes, Inc. | 18,134 | |||||||||
361 | Precision Castparts Corp. | 53,190 | |||||||||
431 | Quanta Services, Inc.* | 11,801 | |||||||||
601 | Raytheon Co. | 37,172 | |||||||||
390 | Republic Services, Inc. | 12,936 | |||||||||
385 | Robert Half International, Inc. | 10,380 | |||||||||
391 | Rockwell Automation, Inc. | 26,545 | |||||||||
439 | Rockwell Collins, Inc. | 31,661 | |||||||||
232 | Roper Industries, Inc. | 14,720 | |||||||||
194 | Shaw Group, Inc. (The)* | 12,303 | |||||||||
404 | Southwest Airlines Co. | 5,717 | |||||||||
151 | Spirit Aerosystems Holdings, Inc., Class A* | 5,277 | |||||||||
171 | Steelcase, Inc. | 2,587 | |||||||||
230 | Stericycle, Inc.* | 13,535 | |||||||||
65 | Sunpower Corp., Class A* | 8,089 | |||||||||
270 | Terex Corp.* | 17,402 | |||||||||
654 | Textron, Inc. | 45,159 | |||||||||
153 | Thomas & Betts Corp.* | 8,317 | |||||||||
106 | Toro Co. | 5,899 | |||||||||
473 | Trane, Inc. | 17,364 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
184 | Trinity Industries, Inc. | $ | 4,657 | ||||||||
180 | UAL Corp.* | 7,369 | |||||||||
434 | Union Pacific Corp. | 54,745 | |||||||||
1,761 | United Parcel Service, Inc., Class B | 129,750 | |||||||||
1,591 | United Technologies Corp. | 118,959 | |||||||||
45 | URS Corp.* | 2,587 | |||||||||
260 | UTi Worldwide, Inc. | 6,170 | |||||||||
761 | Waste Management, Inc. | 26,118 | |||||||||
120 | WESCO International, Inc.* | 4,858 | |||||||||
148 | WW Grainger, Inc. | 13,068 | |||||||||
2,641,846 | |||||||||||
Information Technology — 25.1% | |||||||||||
1,557 | Accenture Ltd., Class A | 53,810 | |||||||||
743 | Activision, Inc.* | 16,457 | |||||||||
166 | Acxiom Corp. | 2,045 | |||||||||
1,542 | Adobe Systems, Inc.* | 64,980 | |||||||||
644 | Advanced Micro Devices, Inc.* | 6,285 | |||||||||
101 | Affiliated Computer Services, Inc., Class A* | 4,238 | |||||||||
1,059 | Agilent Technologies, Inc.* | 40,062 | |||||||||
433 | Akamai Technologies, Inc.* | 16,480 | |||||||||
206 | Alliance Data Systems Corp.* | 16,006 | |||||||||
881 | Altera Corp. | 16,545 | |||||||||
519 | Amdocs Ltd.* | 17,174 | |||||||||
469 | Amphenol Corp., Class A | 20,331 | |||||||||
858 | Analog Devices, Inc. | 26,409 | |||||||||
2,269 | Apple, Inc.* | 413,457 | |||||||||
3,625 | Applied Materials, Inc. | 68,259 | |||||||||
179 | Arrow Electronics, Inc.* | 6,625 | |||||||||
605 | Autodesk, Inc.* | 28,489 | |||||||||
1,451 | Automatic Data Processing, Inc. | 65,382 | |||||||||
230 | Avnet, Inc.* | 7,935 | |||||||||
26 | AVX Corp. | 373 | |||||||||
1,028 | BEA Systems, Inc.* | 16,273 | |||||||||
526 | BMC Software, Inc.* | 17,400 | |||||||||
1,229 | Broadcom Corp., Class A* | 32,863 | |||||||||
365 | Broadridge Financial Solutions, Inc. | 8,311 | |||||||||
1,051 | Brocade Communications Systems, Inc.* | 7,662 | |||||||||
675 | CA, Inc. | 16,531 | |||||||||
202 | Cadence Design Systems, Inc.* | 3,353 | |||||||||
164 | Checkfree Corp.* | 7,806 | |||||||||
224 | Ciena Corp.* | 9,852 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
15,925 | Cisco Systems, Inc.* | $ | 446,219 | ||||||||
498 | Citrix Systems, Inc.* | 18,416 | |||||||||
754 | Cognizant Technology Solutions Corp., Class A* | 23,449 | |||||||||
161 | CommScope, Inc.* | 6,521 | |||||||||
641 | Compuware Corp.* | 5,295 | |||||||||
4,125 | Corning, Inc. | 100,196 | |||||||||
55 | Cree, Inc.* | 1,355 | |||||||||
418 | Cypress Semiconductor Corp.* | 13,886 | |||||||||
5,958 | Dell, Inc.* | 146,209 | |||||||||
173 | Diebold, Inc. | 5,875 | |||||||||
103 | Dolby Laboratories, Inc., Class A* | 5,175 | |||||||||
142 | DST Systems, Inc.* | 12,035 | |||||||||
2,998 | eBay, Inc.* | 100,523 | |||||||||
817 | Electronic Arts, Inc.* | 45,907 | |||||||||
774 | Electronic Data Systems Corp. | 15,681 | |||||||||
5,504 | EMC Corp.* | 106,062 | |||||||||
219 | F5 Networks, Inc.* | 5,786 | |||||||||
113 | Factset Research Systems, Inc. | 7,083 | |||||||||
15 | Fair Isaac Corp. | 554 | |||||||||
134 | Fairchild Semiconductor International, Inc.* | 2,125 | |||||||||
426 | Fidelity National Information Services, Inc. | 18,412 | |||||||||
441 | Fiserv, Inc.* | 22,637 | |||||||||
78 | Genpact Ltd.* | 1,115 | |||||||||
212 | Global Payments, Inc. | 9,163 | |||||||||
601 | Google, Inc., Class A* | 416,493 | |||||||||
352 | Harris Corp. | 22,095 | |||||||||
156 | Hewitt Associates, Inc., Class A* | 5,850 | |||||||||
7,020 | Hewlett-Packard Co. | 359,143 | |||||||||
174 | Integrated Device Technology, Inc.* | 2,111 | |||||||||
15,239 | Intel Corp. | 397,433 | |||||||||
2,852 | International Business Machines Corp. | 299,973 | |||||||||
43 | International Rectifier Corp.* | 1,398 | |||||||||
194 | Intersil Corp., Class A | 4,838 | |||||||||
883 | Intuit, Inc.* | 25,890 | |||||||||
464 | Iron Mountain, Inc.* | 16,927 | |||||||||
303 | Jabil Circuit, Inc. | 5,136 | |||||||||
296 | JDS Uniphase Corp.* | 3,984 | |||||||||
967 | Juniper Networks, Inc.* | 28,739 | |||||||||
503 | Kla-Tencor Corp. | 24,184 | |||||||||
324 | Lam Research Corp.* | 14,855 | |||||||||
135 | Lexmark International, Inc., Class A* | 4,709 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell1000 Growth (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
582 | Linear Technology Corp. | $ | 17,728 | ||||||||
1,112 | LSI Corp.* | 6,172 | |||||||||
1,239 | Marvell Technology Group Ltd.* | 18,511 | |||||||||
209 | Mastercard, Inc., Class A | 41,936 | |||||||||
418 | McAfee, Inc.* | 16,281 | |||||||||
589 | MEMC Electronic Materials, Inc.* | 45,695 | |||||||||
99 | Mettler Toledo International, Inc.* | 11,520 | |||||||||
573 | Microchip Technology, Inc. | 16,497 | |||||||||
647 | Micron Technology, Inc.* | 5,383 | |||||||||
21,530 | Microsoft Corp. | 723,408 | |||||||||
206 | Molex, Inc. | 5,677 | |||||||||
219 | MoneyGram International, Inc. | 3,381 | |||||||||
151 | National Instruments Corp. | 5,039 | |||||||||
708 | National Semiconductor Corp. | 16,185 | |||||||||
256 | NAVTEQ Corp.* | 19,172 | |||||||||
59 | NCR Corp.* | 1,412 | |||||||||
973 | Network Appliance, Inc.* | 24,043 | |||||||||
199 | NeuStar, Inc., Class A* | 6,322 | |||||||||
114 | Novell, Inc.* | 800 | |||||||||
198 | Novellus Systems, Inc.* | 5,150 | |||||||||
1,428 | Nvidia Corp.* | 45,039 | |||||||||
10,113 | Oracle Corp.* | 204,080 | |||||||||
890 | Paychex, Inc. | 34,710 | |||||||||
321 | QLogic Corp.* | 4,340 | |||||||||
4,372 | Qualcomm, Inc. | 178,290 | |||||||||
212 | Rambus, Inc.* | 4,111 | |||||||||
507 | Red Hat, Inc.* | 10,150 | |||||||||
51 | Riverbed Technology, Inc.* | 1,442 | |||||||||
249 | Salesforce.com, Inc.* | 14,126 | |||||||||
356 | SanDisk Corp.* | 13,329 | |||||||||
309 | Sanmina-SCI Corp.* | 547 | |||||||||
540 | Seagate Technology | 13,927 | |||||||||
144 | Silicon Laboratories, Inc.* | 5,348 | |||||||||
598 | Sun Microsystems, Inc.* | 12,421 | |||||||||
340 | Symantec Corp.* | 6,052 | |||||||||
380 | Synopsys, Inc.* | 9,352 | |||||||||
59 | Teradata Corp.* | 1,532 | |||||||||
230 | Teradyne, Inc.* | 2,505 | |||||||||
3,761 | Texas Instruments, Inc. | 118,735 | |||||||||
98 | Total System Services, Inc. | 2,748 | |||||||||
313 | Trimble Navigation Ltd.* | 11,603 | |||||||||
206 | Varian Semiconductor Equipment Associates, Inc.* | 8,551 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
163 | VeriFone Holdings, Inc.* | $ | 7,829 | ||||||||
580 | VeriSign, Inc.* | 23,722 | |||||||||
82 | Vishay Intertechnology, Inc.* | 1,024 | |||||||||
82 | VMware, Inc., Class A* | 7,492 | |||||||||
20 | WebMD Health Corp., Class A* | 853 | |||||||||
173 | Western Digital Corp.* | 4,780 | |||||||||
1,911 | Western Union Co. (The) | 43,189 | |||||||||
781 | Xilinx, Inc. | 17,104 | |||||||||
3,172 | Yahoo!, Inc.* | 85,041 | |||||||||
181 | Zebra Technologies Corp.* | 6,981 | |||||||||
5,656,095 | |||||||||||
Materials — 3.0% | |||||||||||
268 | Air Products & Chemicals, Inc. | 26,543 | |||||||||
193 | Airgas, Inc. | 9,550 | |||||||||
292 | AK Steel Holding Corp.* | 13,014 | |||||||||
209 | Albemarle Corp. | 9,225 | |||||||||
268 | Allegheny Technologies, Inc. | 26,197 | |||||||||
268 | Ball Corp. | 12,395 | |||||||||
128 | Cabot Corp. | 4,406 | |||||||||
72 | Carpenter Technology Corp. | 5,432 | |||||||||
215 | Celanese Corp., Class A | 8,531 | |||||||||
40 | Chemtura Corp. | 300 | |||||||||
108 | Cleveland-Cliffs, Inc. | 9,742 | |||||||||
429 | Crown Holdings, Inc.* | 11,008 | |||||||||
604 | Domtar Corp.* | 4,590 | |||||||||
116 | Eagle Materials, Inc. | 4,523 | |||||||||
458 | Ecolab, Inc. | 21,938 | |||||||||
385 | EI Du Pont de Nemours & Co. | 17,768 | |||||||||
824 | Freeport-McMoRan Copper & Gold, Inc. | 81,518 | |||||||||
158 | International Flavors & Fragrances, Inc. | 7,922 | |||||||||
48 | Lubrizol Corp. | 3,079 | |||||||||
112 | Martin Marietta Materials, Inc. | 15,070 | |||||||||
1,428 | Monsanto Co. | 141,900 | |||||||||
174 | Mosaic Co. (The)* | 12,032 | |||||||||
379 | Nalco Holding Co. | 9,081 | |||||||||
465 | Newmont Mining Corp. | 23,106 | |||||||||
178 | Nucor Corp. | 10,539 | |||||||||
380 | Owens-Illinois, Inc.* | 17,058 | |||||||||
243 | Packaging Corp. of America | 6,874 | |||||||||
342 | Pactiv Corp.* | 8,687 | |||||||||
836 | Praxair, Inc. | 71,378 | |||||||||
17 | Reliance Steel & Aluminum Co. | 877 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
195 | Rohm & Haas Co. | $ | 10,602 | ||||||||
273 | RPM International, Inc. | 5,201 | |||||||||
21 | Scotts Miracle-Gro Co. (The), Class A | 775 | |||||||||
58 | Sealed Air Corp. | 1,355 | |||||||||
104 | Sigma-Aldrich Corp. | 5,476 | |||||||||
192 | Southern Copper Corp. | 21,245 | |||||||||
76 | Steel Dynamics, Inc. | 3,824 | |||||||||
179 | Titanium Metals Corp.* | 5,311 | |||||||||
32 | Valspar Corp. | 721 | |||||||||
275 | Vulcan Materials Co. | 24,398 | |||||||||
673,191 | |||||||||||
Telecommunication Services — 0.7% | |||||||||||
1,096 | American Tower Corp., Class A* | 49,912 | |||||||||
158 | Citizens Communications Co. | 2,051 | |||||||||
497 | Crown Castle International Corp.* | 20,849 | |||||||||
134 | Leap Wireless International, Inc.* | 4,651 | |||||||||
4,013 | Level 3 Communications, Inc.* | 13,484 | |||||||||
151 | MetroPCS Communications, Inc.* | 2,582 | |||||||||
454 | NII Holdings, Inc.* | 25,043 | |||||||||
270 | SBA Communications Corp., Class A* | 10,109 | |||||||||
121 | Telephone & Data Systems, Inc. | 7,532 | |||||||||
15 | U.S. Cellular Corp.* | 1,230 | |||||||||
691 | Windstream Corp. | 8,948 | |||||||||
146,391 | |||||||||||
Utilities — 1.3% | |||||||||||
1,751 | AES Corp. (The)* | 38,259 | |||||||||
435 | Allegheny Energy, Inc. | 26,426 | |||||||||
24 | Aqua America, Inc. | 531 | |||||||||
841 | Centerpoint Energy, Inc. | 15,012 | |||||||||
367 | Constellation Energy Group, Inc. | 36,777 | |||||||||
160 | DPL, Inc. | 4,845 | |||||||||
143 | Dynegy, Inc., Class A* | 1,088 | |||||||||
242 | Equitable Resources, Inc. | 12,792 | |||||||||
797 | Exelon Corp. | 64,613 | |||||||||
460 | Mirant Corp.* | 17,751 | |||||||||
512 | NRG Energy, Inc.* | 21,704 | |||||||||
755 | PPL Corp. | 38,475 | |||||||||
155 | Questar Corp. | 8,285 | |||||||||
85 | Sierra Pacific Resources | 1,462 | |||||||||
288,020 | |||||||||||
Total Common Stock (Cost $19,747,996) | 20,380,241 |
Principal Amount | Value | ||||||||||
Repurchase Agreements — 14.0% | |||||||||||
$ | 630,639 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $630,883 ** | $ | 630,639 | |||||||
725,370 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $725,645 *** | 725,370 | |||||||||
126,128 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $126,176 **** | 126,128 | |||||||||
1,681,704 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,682,342 ***** | 1,681,704 | |||||||||
Total Repurchase Agreements (Cost $3,163,841) | 3,163,841 | ||||||||||
Total Investments (Cost $22,911,837) — 104.4% | 23,544,082 | ||||||||||
Liabilities in excess of other assets — (4.4%) | (982,840 | ) | |||||||||
Net Assets — 100.0% | $ | 22,561,242 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $643,254. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $739,880. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell1000 Growth (continued)
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $128,651. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $1,715,338. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost
of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,542,322 | |||||
Aggregate gross unrealized depreciation | (935,296 | ) | |||||
Net unrealized appreciation | $ | 607,026 | |||||
Federal income tax cost of investments | $ | 22,937,056 |
Swap Agreements
Ultra Russell1000 Growth had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Russell 1000® Growth Index, expiring 12/27/07 | $ | 8,516,205 | $ | (379,776 | ) | ||||||
Equity Index Swap Agreement based on the Russell 1000® Growth Index, expiring 12/27/07 | 17,000,000 | (533,186 | ) | ||||||||
$ | (912,962 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell MidCap Value
Shares | Value | ||||||||||
Common Stocks (a) — 90.1% | |||||||||||
Consumer Discretionary — 11.8% | |||||||||||
54 | AnnTaylor Stores Corp.* | $ | 1,644 | ||||||||
135 | Autoliv, Inc. | 7,884 | |||||||||
573 | AutoNation, Inc.* | 9,455 | |||||||||
195 | Barnes & Noble, Inc. | 7,498 | |||||||||
125 | Black & Decker Corp. | 10,331 | |||||||||
191 | BorgWarner, Inc. | 18,453 | |||||||||
375 | Brunswick Corp. | 7,646 | |||||||||
614 | Cablevision Systems Corp.* | 16,596 | |||||||||
473 | Centex Corp. | 9,867 | |||||||||
13 | Central European Media Enterprises Ltd.* | 1,426 | |||||||||
403 | Circuit City Stores, Inc. | 2,607 | |||||||||
254 | Dillard's, Inc., Class A | 5,179 | |||||||||
521 | Discovery Holding Co., Class A* | 12,744 | |||||||||
1,305 | DR Horton, Inc. | 15,621 | |||||||||
57 | DreamWorks Animation SKG, Inc., Class A* | 1,499 | |||||||||
1,195 | Eastman Kodak Co. | 28,059 | |||||||||
374 | EW Scripps Co., Class A | 16,250 | |||||||||
788 | Expedia, Inc.* | 25,689 | |||||||||
645 | Foot Locker, Inc. | 8,417 | |||||||||
8,397 | Ford Motor Co.* | 63,062 | |||||||||
634 | Fortune Brands, Inc. | 48,596 | |||||||||
975 | Gannett Co., Inc. | 35,831 | |||||||||
2,490 | Gap, Inc. (The) | 50,796 | |||||||||
708 | Genuine Parts Co. | 34,019 | |||||||||
106 | Getty Images, Inc.* | 3,090 | |||||||||
330 | Harrah's Entertainment, Inc. | 29,063 | |||||||||
63 | Harte-Hanks, Inc. | 1,058 | |||||||||
405 | Hasbro, Inc. | 11,247 | |||||||||
103 | Hearst-Argyle Television, Inc. | 2,017 | |||||||||
677 | IAC/InterActiveCorp* | 18,841 | |||||||||
610 | Idearc, Inc. | 11,541 | |||||||||
144 | International Speedway Corp., Class A | 6,136 | |||||||||
746 | Interpublic Group of Cos., Inc.* | 7,080 | |||||||||
138 | Jarden Corp.* | 3,638 | |||||||||
354 | Jones Apparel Group, Inc. | 6,599 | |||||||||
320 | KB Home | 6,685 | |||||||||
736 | Leggett & Platt, Inc. | 15,147 | |||||||||
564 | Lennar Corp., Class A | 8,934 | |||||||||
783 | Liberty Global, Inc., Class A* | 31,805 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
536 | Liberty Media Corp. - Capital, Class A* | $ | 63,816 | ||||||||
1,013 | Liberty Media Corp. - Interactive, Class A* | 20,412 | |||||||||
405 | Liz Claiborne, Inc. | 10,161 | |||||||||
841 | Mattel, Inc. | 16,803 | |||||||||
188 | McClatchy Co., Class A | 2,540 | |||||||||
145 | MDC Holdings, Inc. | 5,132 | |||||||||
229 | Mohawk Industries, Inc.* | 18,421 | |||||||||
444 | New York Times Co., (The), Class A | 7,326 | |||||||||
559 | Newell Rubbermaid, Inc. | 14,970 | |||||||||
10 | NVR, Inc.* | 4,920 | |||||||||
169 | OfficeMax, Inc. | 4,213 | |||||||||
9 | Orient-Express Hotels Ltd. | 557 | |||||||||
232 | Penske Automotive Group, Inc. | 4,640 | |||||||||
566 | Pulte Homes, Inc. | 5,785 | |||||||||
295 | R.H. Donnelley Corp.* | 13,104 | |||||||||
168 | RadioShack Corp. | 3,108 | |||||||||
61 | Regal Entertainment Group, Class A | 1,207 | |||||||||
553 | Royal Caribbean Cruises Ltd. | 22,430 | |||||||||
175 | Ryland Group, Inc. | 4,025 | |||||||||
82 | Saks, Inc.* | 1,689 | |||||||||
1,157 | Service Corp. International | 15,365 | |||||||||
241 | Snap-On, Inc. | 11,780 | |||||||||
235 | Stanley Works (The) | 12,255 | |||||||||
12 | Thor Industries, Inc. | 423 | |||||||||
523 | Toll Brothers, Inc.* | 10,810 | |||||||||
346 | Tribune Co. | 10,740 | |||||||||
176 | TRW Automotive Holdings Corp.* | 3,951 | |||||||||
371 | VF Corp. | 27,747 | |||||||||
1,217 | Virgin Media, Inc. | 23,123 | |||||||||
67 | Warner Music Group Corp. | 506 | |||||||||
24 | Washington Post Co. (The), Class B | 19,356 | |||||||||
93 | Whirlpool Corp. | 7,529 | |||||||||
701 | Wyndham Worldwide Corp. | 20,448 | |||||||||
991,342 | |||||||||||
Consumer Staples — 6.8% | |||||||||||
289 | Alberto-Culver Co. | 7,387 | |||||||||
142 | Avon Products, Inc. | 5,829 | |||||||||
271 | BJ's Wholesale Club, Inc.* | 10,149 | |||||||||
96 | Brown-Forman Corp., Class B | 6,781 | |||||||||
501 | Bunge Ltd. | 56,282 | |||||||||
414 | Campbell Soup Co. | 15,202 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell MidCap Value (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
16 | Church & Dwight Co., Inc. | $ | 898 | ||||||||
46 | Clorox Co. | 2,985 | |||||||||
1,294 | Coca-Cola Enterprises, Inc. | 33,605 | |||||||||
2,069 | ConAgra Foods, Inc. | 51,766 | |||||||||
796 | Constellation Brands, Inc., Class A* | 18,746 | |||||||||
309 | Corn Products International, Inc. | 12,153 | |||||||||
504 | Dean Foods Co. | 12,570 | |||||||||
839 | Del Monte Foods Co. | 7,383 | |||||||||
66 | Energizer Holdings, Inc.* | 7,500 | |||||||||
206 | Hershey Co. (The) | 8,221 | |||||||||
606 | HJ Heinz Co. | 28,664 | |||||||||
307 | Hormel Foods Corp. | 12,203 | |||||||||
235 | JM Smucker Co. (The) | 11,546 | |||||||||
183 | Loews Corp.- Carolina Group | 16,278 | |||||||||
183 | McCormick & Co., Inc. (Non-Voting) | 6,992 | |||||||||
455 | Molson Coors Brewing Co., Class B | 24,497 | |||||||||
438 | Pepsi Bottling Group, Inc. | 18,690 | |||||||||
245 | PepsiAmericas, Inc. | 8,293 | |||||||||
2,827 | Rite Aid Corp.* | 10,516 | |||||||||
1,834 | Safeway, Inc. | 63,823 | |||||||||
1,455 | Sara Lee Corp. | 24,488 | |||||||||
453 | Smithfield Foods, Inc.* | 13,613 | |||||||||
873 | SUPERVALU, Inc. | 36,553 | |||||||||
1,097 | Tyson Foods, Inc., Class A | 16,356 | |||||||||
298 | UST, Inc. | 17,254 | |||||||||
119 | WM. Wrigley Jr. Co. | 7,616 | |||||||||
574,839 | |||||||||||
Energy — 6.5% | |||||||||||
798 | Chesapeake Energy Corp. | 30,204 | |||||||||
346 | Cimarex Energy Co. | 13,366 | |||||||||
65 | Continental Resources, Inc.* | 1,548 | |||||||||
2,908 | El Paso Corp. | 46,761 | |||||||||
45 | ENSCO International, Inc. | 2,423 | |||||||||
328 | Forest Oil Corp.* | 15,442 | |||||||||
227 | Frontier Oil Corp. | 10,034 | |||||||||
77 | Helix Energy Solutions Group, Inc.* | 3,126 | |||||||||
429 | Helmerich & Payne, Inc. | 14,822 | |||||||||
1,153 | Hess Corp. | 82,117 | |||||||||
781 | Murphy Oil Corp. | 55,857 | |||||||||
138 | Nabors Industries Ltd.* | 3,712 | |||||||||
540 | Newfield Exploration Co.* | 26,919 | |||||||||
609 | Noble Energy, Inc. | 43,872 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
130 | Overseas Shipholding Group, Inc. | $ | 9,308 | ||||||||
651 | Patterson-UTI Energy, Inc. | 12,271 | |||||||||
513 | Pioneer Natural Resources Co. | 22,865 | |||||||||
463 | Plains Exploration & Production Co.* | 23,340 | |||||||||
178 | Pride International, Inc.* | 5,869 | |||||||||
131 | Rowan Cos., Inc. | 4,637 | |||||||||
100 | SEACOR Holdings, Inc.* | 9,057 | |||||||||
2,624 | Spectra Energy Corp. | 64,655 | |||||||||
261 | St. Mary Land & Exploration Co. | 10,257 | |||||||||
168 | Teekay Corp. | 9,450 | |||||||||
80 | Tidewater, Inc. | 3,911 | |||||||||
42 | Unit Corp.* | 1,878 | |||||||||
43 | W&T Offshore, Inc. | 1,135 | |||||||||
54 | Western Refining, Inc. | 1,561 | |||||||||
405 | Williams Cos., Inc. | 14,058 | |||||||||
544,455 | |||||||||||
Financials — 26.4% | |||||||||||
21 | Alleghany Corp.* | 8,589 | |||||||||
632 | Allied Capital Corp. | 15,377 | |||||||||
251 | Allied World Assurance Holdings Ltd. | 11,616 | |||||||||
414 | AMB Property Corp. (REIT) | 25,320 | |||||||||
423 | AMBAC Financial Group, Inc. | 11,518 | |||||||||
781 | American Capital Strategies Ltd. | 29,373 | |||||||||
342 | American Financial Group, Inc. | 9,993 | |||||||||
65 | American National Insurance | 7,771 | |||||||||
456 | AmeriCredit Corp.* | 5,230 | |||||||||
977 | Ameriprise Financial, Inc. | 57,340 | |||||||||
1,669 | Annaly Capital Management, Inc. (REIT) | 28,724 | |||||||||
1,219 | AON Corp. | 60,913 | |||||||||
382 | Apartment Investment & Management Co. (REIT) | 15,192 | |||||||||
198 | Arch Capital Group Ltd.* | 13,816 | |||||||||
314 | Arthur J. Gallagher & Co. | 8,252 | |||||||||
530 | Associated Banc-Corp. | 14,421 | |||||||||
503 | Assurant, Inc. | 32,911 | |||||||||
361 | Astoria Financial Corp. | 9,039 | |||||||||
331 | AvalonBay Communities, Inc. (REIT) | 32,915 | |||||||||
639 | Axis Capital Holdings Ltd. | 24,371 | |||||||||
341 | Bancorpsouth, Inc. | 8,341 | |||||||||
136 | Bank of Hawaii Corp. | 7,082 | |||||||||
114 | BlackRock, Inc. | 22,614 | |||||||||
92 | BOK Financial Corp. | 5,036 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
426 | Boston Properties, Inc. (REIT) | $ | 41,927 | ||||||||
362 | Brandywine Realty Trust (REIT) | 7,421 | |||||||||
211 | BRE Properties, Inc. (REIT) | 9,400 | |||||||||
236 | Camden Property Trust (REIT) | 12,416 | |||||||||
239 | CapitalSource, Inc. (REIT) | 4,006 | |||||||||
28 | Capitol Federal Financial | 949 | |||||||||
273 | CBL & Associates Properties, Inc. (REIT) | 7,884 | |||||||||
713 | Cincinnati Financial Corp. | 28,506 | |||||||||
797 | CIT Group, Inc. | 21,200 | |||||||||
170 | City National Corp. | 10,951 | |||||||||
113 | CNA Financial Corp. | 4,005 | |||||||||
660 | Colonial BancGroup, Inc. (The) | 10,507 | |||||||||
193 | Colonial Properties Trust (REIT) | 4,727 | |||||||||
648 | Comerica, Inc. | 29,665 | |||||||||
567 | Commerce Bancorp, Inc. | 22,578 | |||||||||
304 | Commerce Bancshares, Inc. | 13,798 | |||||||||
783 | Conseco, Inc.* | 10,054 | |||||||||
249 | Cullen/Frost Bankers, Inc. | 13,100 | |||||||||
519 | Developers Diversified Realty Corp. (REIT) | 23,049 | |||||||||
430 | Douglas Emmett, Inc. (REIT) | 10,324 | |||||||||
163 | Duke Realty Corp. (REIT) | 4,285 | |||||||||
1,106 | E*Trade Financial Corp.* | 5,088 | |||||||||
262 | East West Bancorp, Inc. | 7,061 | |||||||||
244 | Endurance Specialty Holdings Ltd. | 9,855 | |||||||||
1,126 | Equity Residential (REIT) | 41,898 | |||||||||
151 | Erie Indemnity Co., Class A | 7,813 | |||||||||
55 | Essex Property Trust, Inc. (REIT) | 5,706 | |||||||||
262 | Everest Re Group Ltd. | 27,492 | |||||||||
113 | Federal Realty Investment Trust (REIT) | 9,400 | |||||||||
921 | Fidelity National Financial, Inc., Class A | 14,386 | |||||||||
381 | First American Corp. | 13,023 | |||||||||
25 | First Citizens BancShares, Inc., Class A | 3,917 | |||||||||
522 | First Horizon National Corp. | 11,526 | |||||||||
719 | Fulton Financial Corp. | 8,995 | |||||||||
403 | General Growth Properties, Inc. (REIT) | 18,715 | |||||||||
1,806 | Genworth Financial, Inc. | 47,389 | |||||||||
45 | GLG Partners, Inc.* | 619 | |||||||||
203 | Hanover Insurance Group, Inc. (The) | 9,155 | |||||||||
264 | HCC Insurance Holdings, Inc. | 8,115 | |||||||||
856 | HCP, Inc. (REIT) | 28,633 | |||||||||
293 | Health Care REIT, Inc. (REIT) | 13,129 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
390 | Hospitality Properties Trust (REIT) | $ | 14,251 | ||||||||
2,168 | Host Hotels & Resorts, Inc. (REIT) | 41,604 | |||||||||
936 | HRPT Properties Trust (REIT) | 7,750 | |||||||||
1,361 | Hudson City Bancorp, Inc. | 20,714 | |||||||||
1,517 | Huntington Bancshares, Inc. | 23,802 | |||||||||
334 | IndyMac Bancorp, Inc. | 3,190 | |||||||||
532 | iStar Financial, Inc. (REIT) | 15,572 | |||||||||
164 | Janus Capital Group, Inc. | 5,506 | |||||||||
521 | Jefferies Group, Inc. | 13,317 | |||||||||
1,629 | Keycorp | 42,908 | |||||||||
892 | Kimco Realty Corp. (REIT) | 35,225 | |||||||||
322 | Legg Mason, Inc. | 24,572 | |||||||||
681 | Leucadia National Corp. | 31,980 | |||||||||
382 | Liberty Property Trust (REIT) | 11,960 | |||||||||
285 | M&T Bank Corp. | 25,924 | |||||||||
282 | Mack-Cali Realty Corp. (REIT) | 10,065 | |||||||||
41 | Markel Corp.* | 19,768 | |||||||||
1,076 | Marshall & Ilsley Corp. | 33,862 | |||||||||
543 | MBIA, Inc. | 19,825 | |||||||||
110 | Mercury General Corp. | 5,708 | |||||||||
186 | MF Global Ltd.* | 5,362 | |||||||||
345 | MGIC Investment Corp. | 8,114 | |||||||||
94 | Nasdaq Stock Market, Inc. (The)* | 4,076 | |||||||||
220 | Nationwide Financial Services | 9,847 | |||||||||
1,335 | New York Community Bancorp, Inc. | 24,844 | |||||||||
139 | Northern Trust Corp. | 11,258 | |||||||||
961 | Old Republic International Corp. | 14,425 | |||||||||
118 | OneBeacon Insurance Group Ltd. | 2,490 | |||||||||
184 | PartnerRe Ltd. | 15,193 | |||||||||
277 | People's United Financial, Inc. | 4,701 | |||||||||
56 | Philadelphia Consolidated Holding Co.* | 2,384 | |||||||||
677 | Plum Creek Timber Co., Inc. (REIT) | 31,393 | |||||||||
337 | PMI Group, Inc. (The) | 4,459 | |||||||||
1,160 | Popular, Inc. | 11,148 | |||||||||
1,050 | Principal Financial Group, Inc. | 68,765 | |||||||||
133 | Prologis (REIT) | 8,701 | |||||||||
291 | Protective Life Corp. | 12,042 | |||||||||
478 | Public Storage (REIT) | 36,969 | |||||||||
333 | Radian Group, Inc. | 3,776 | |||||||||
391 | Raymond James Financial, Inc. | 12,700 | |||||||||
302 | Rayonier, Inc. (REIT) | 14,007 | |||||||||
289 | Regency Centers Corp. (REIT) | 19,201 | |||||||||
122 | Reinsurance Group of America, Inc. | 6,601 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell MidCap Value (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
300 | RenaissanceRe Holdings Ltd. | $ | 17,733 | ||||||||
393 | Safeco Corp. | 22,680 | |||||||||
247 | SL Green Realty Corp. (REIT) | 25,663 | |||||||||
1,781 | Sovereign Bancorp, Inc. | 20,962 | |||||||||
206 | StanCorp Financial Group, Inc. | 10,731 | |||||||||
17 | Student Loan Corp. (The) | 2,389 | |||||||||
717 | Synovus Financial Corp. | 17,846 | |||||||||
100 | Taubman Centers, Inc. (REIT) | 5,353 | |||||||||
537 | TCF Financial Corp. | 10,423 | |||||||||
360 | TFS Financial Corp.* | 4,446 | |||||||||
543 | Thornburg Mortgage, Inc. (REIT) | 5,788 | |||||||||
397 | Torchmark Corp. | 24,487 | |||||||||
72 | Transatlantic Holdings, Inc. | 5,353 | |||||||||
199 | UnionBanCal Corp. | 10,744 | |||||||||
190 | Unitrin, Inc. | 8,789 | |||||||||
1,498 | Unum Group | 37,210 | |||||||||
500 | Valley National Bancorp | 9,800 | |||||||||
554 | Vornado Realty Trust (REIT) | 49,860 | |||||||||
363 | Washington Federal, Inc. | 8,520 | |||||||||
222 | Webster Financial Corp. | 7,479 | |||||||||
6 | Wesco Financial Corp. | 2,592 | |||||||||
38 | White Mountains Insurance Group Ltd. | 19,570 | |||||||||
281 | Whitney Holding Corp. | 7,699 | |||||||||
285 | Wilmington Trust Corp. | 10,180 | |||||||||
489 | WR Berkley Corp. | 14,954 | |||||||||
682 | XL Capital Ltd., Class A | 39,917 | |||||||||
449 | Zions Bancorporation | 24,502 | |||||||||
2,214,050 | |||||||||||
Health Care — 2.1% | |||||||||||
376 | AmerisourceBergen Corp. | 17,059 | |||||||||
574 | Applera Corp.- Applied Biosystems Group | 19,608 | |||||||||
48 | Beckman Coulter, Inc. | 3,395 | |||||||||
118 | Brookdale Senior Living, Inc. | 3,906 | |||||||||
184 | Charles River Laboratories International, Inc.* | 11,690 | |||||||||
363 | Community Health Systems, Inc.* | 12,132 | |||||||||
111 | Cooper Cos., Inc. (The) | 4,776 | |||||||||
42 | Coventry Health Care, Inc.* | 2,431 | |||||||||
1,006 | Health Management Associates, Inc., Class A | 6,851 | |||||||||
212 | Hillenbrand Industries, Inc. | 11,414 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
87 | IMS Health, Inc. | $ | 2,031 | ||||||||
121 | Invitrogen Corp.* | 11,738 | |||||||||
40 | Kinetic Concepts, Inc.* | 2,346 | |||||||||
1,012 | King Pharmaceuticals, Inc.* | 10,717 | |||||||||
240 | LifePoint Hospitals, Inc.* | 7,594 | |||||||||
597 | Millennium Pharmaceuticals, Inc.* | 8,800 | |||||||||
444 | Omnicare, Inc. | 11,313 | |||||||||
373 | PerkinElmer, Inc. | 10,175 | |||||||||
47 | Quest Diagnostics, Inc. | 2,588 | |||||||||
444 | Tenet Healthcare Corp.* | 2,446 | |||||||||
137 | Universal Health Services, Inc., Class B | 6,980 | |||||||||
178 | Watson Pharmaceuticals, Inc.* | 5,217 | |||||||||
175,207 | |||||||||||
Industrials — 9.2% | |||||||||||
131 | AGCO Corp.* | 9,031 | |||||||||
178 | Alexander & Baldwin, Inc. | 9,146 | |||||||||
19 | Alliant Techsystems, Inc.* | 2,220 | |||||||||
1,007 | Allied Waste Industries, Inc.* | 11,490 | |||||||||
81 | Armstrong World Industries, Inc.* | 3,459 | |||||||||
65 | Avery Dennison Corp. | 3,387 | |||||||||
273 | Avis Budget Group, Inc.* | 4,103 | |||||||||
188 | Carlisle Cos., Inc. | 7,484 | |||||||||
135 | Cintas Corp. | 4,319 | |||||||||
42 | Con-way, Inc. | 1,776 | |||||||||
515 | Cooper Industries Ltd., Class A | 25,863 | |||||||||
19 | Copart, Inc.* | 710 | |||||||||
212 | Crane Co. | 9,527 | |||||||||
1,505 | CSX Corp. | 63,210 | |||||||||
576 | Dover Corp. | 26,657 | |||||||||
160 | DRS Technologies, Inc. | 9,474 | |||||||||
537 | Eaton Corp. | 47,960 | |||||||||
24 | Flowserve Corp. | 2,258 | |||||||||
220 | Gardner Denver, Inc.* | 7,284 | |||||||||
121 | GATX Corp. | 4,481 | |||||||||
463 | Hertz Global Holdings, Inc.* | 8,843 | |||||||||
165 | Hubbell, Inc., Class B | 9,063 | |||||||||
1,061 | Ingersoll-Rand Co., Ltd., Class A | 54,790 | |||||||||
660 | ITT Corp. | 42,530 | |||||||||
127 | Kansas City Southern* | 4,373 | |||||||||
701 | KBR, Inc.* | 27,914 | |||||||||
68 | Kennametal, Inc. | 5,307 | |||||||||
345 | L-3 Communications Holdings, Inc. | 38,174 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
194 | Lennox International, Inc. | $ | 6,565 | ||||||||
56 | Lincoln Electric Holdings, Inc. | 3,907 | |||||||||
1,478 | Masco Corp. | 33,107 | |||||||||
368 | Northwest Airlines Corp.* | 6,690 | |||||||||
458 | Owens Corning, Inc.* | 10,081 | |||||||||
44 | Pall Corp. | 1,683 | |||||||||
722 | Parker Hannifin Corp. | 57,349 | |||||||||
414 | Pentair, Inc. | 14,043 | |||||||||
166 | Pitney Bowes, Inc. | 6,391 | |||||||||
914 | R.R. Donnelley & Sons Co. | 33,507 | |||||||||
73 | Republic Services, Inc. | 2,421 | |||||||||
241 | Ryder System, Inc. | 10,450 | |||||||||
29 | Shaw Group, Inc. (The)* | 1,839 | |||||||||
2,408 | Southwest Airlines Co. | 34,073 | |||||||||
53 | Spirit Aerosystems Holdings, Inc., Class A* | 1,852 | |||||||||
218 | SPX Corp. | 22,184 | |||||||||
71 | Steelcase, Inc. | 1,074 | |||||||||
163 | Teleflex, Inc. | 9,834 | |||||||||
394 | Timken Co. | 12,565 | |||||||||
42 | Trinity Industries, Inc. | 1,063 | |||||||||
195 | UAL Corp.* | 7,983 | |||||||||
356 | United Rentals, Inc.* | 8,284 | |||||||||
259 | URS Corp.* | 14,890 | |||||||||
338 | US Airways Group, Inc.* | 7,020 | |||||||||
333 | USG Corp.* | 12,218 | |||||||||
46 | WW Grainger, Inc. | 4,062 | |||||||||
239 | YRC Worldwide, Inc.* | 4,233 | |||||||||
774,201 | |||||||||||
Information Technology — 6.2% | |||||||||||
487 | ADC Telecommunications, Inc.* | 8,065 | |||||||||
1,487 | Advanced Micro Devices, Inc.* | 14,513 | |||||||||
224 | Affiliated Computer Services, Inc., Class A* | 9,399 | |||||||||
232 | Arrow Electronics, Inc.* | 8,586 | |||||||||
1,865 | Atmel Corp.* | 8,187 | |||||||||
256 | Avnet, Inc.* | 8,832 | |||||||||
168 | AVX Corp. | 2,407 | |||||||||
641 | CA, Inc. | 15,698 | |||||||||
837 | Cadence Design Systems, Inc.* | 13,894 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
71 | Checkfree Corp.* | $ | 3,380 | ||||||||
719 | Computer Sciences Corp.* | 37,978 | |||||||||
236 | Compuware Corp.* | 1,949 | |||||||||
569 | Convergys Corp.* | 9,280 | |||||||||
263 | Cree, Inc.* | 6,478 | |||||||||
888 | Electronic Data Systems Corp. | 17,991 | |||||||||
215 | Fair Isaac Corp. | 7,946 | |||||||||
302 | Fairchild Semiconductor International, Inc.* | 4,790 | |||||||||
126 | Fidelity National Information Services, Inc. | 5,446 | |||||||||
23 | Genpact Ltd.* | 329 | |||||||||
148 | Hewitt Associates, Inc., Class A* | 5,550 | |||||||||
603 | Ingram Micro, Inc.* | 12,000 | |||||||||
546 | Integrated Device Technology, Inc.* | 6,623 | |||||||||
233 | International Rectifier Corp.* | 7,577 | |||||||||
254 | Intersil Corp., Class A | 6,335 | |||||||||
283 | Jabil Circuit, Inc. | 4,797 | |||||||||
386 | JDS Uniphase Corp.* | 5,196 | |||||||||
604 | Juniper Networks, Inc.* | 17,951 | |||||||||
179 | Lexmark International, Inc., Class A* | 6,243 | |||||||||
1,213 | LSI Corp.* | 6,732 | |||||||||
359 | Metavante Technologies, Inc.* | 8,178 | |||||||||
2,117 | Micron Technology, Inc.* | 17,613 | |||||||||
246 | Molex, Inc. | 6,780 | |||||||||
654 | NCR Corp.* | 15,657 | |||||||||
1,260 | Novell, Inc.* | 8,845 | |||||||||
168 | Novellus Systems, Inc.* | 4,370 | |||||||||
60 | QLogic Corp.* | 811 | |||||||||
91 | Rambus, Inc.* | 1,764 | |||||||||
385 | SanDisk Corp.* | 14,414 | |||||||||
1,712 | Sanmina-SCI Corp.* | 3,030 | |||||||||
1,402 | Seagate Technology | 36,158 | |||||||||
228 | Tech Data Corp.* | 8,575 | |||||||||
1,818 | Tellabs, Inc.* | 12,653 | |||||||||
654 | Teradata Corp.* | 16,978 | |||||||||
357 | Teradyne, Inc.* | 3,888 | |||||||||
1,444 | Unisys Corp.* | 7,162 | |||||||||
638 | Vishay Intertechnology, Inc.* | 7,969 | |||||||||
647 | Western Digital Corp.* | 17,877 | |||||||||
3,893 | Xerox Corp.* | 65,714 | |||||||||
522,588 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell MidCap Value (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Materials — 6.3% | |||||||||||
476 | Air Products & Chemicals, Inc. | $ | 47,143 | ||||||||
21 | Airgas, Inc. | 1,039 | |||||||||
233 | Ashland, Inc. | 11,473 | |||||||||
434 | Bemis Co., Inc. | 11,774 | |||||||||
79 | Cabot Corp. | 2,719 | |||||||||
91 | Carpenter Technology Corp. | 6,866 | |||||||||
189 | Celanese Corp., Class A | 7,499 | |||||||||
939 | Chemtura Corp. | 7,042 | |||||||||
495 | Commercial Metals Co. | 15,300 | |||||||||
175 | Cytec Industries, Inc. | 10,734 | |||||||||
971 | Domtar Corp.* | 7,380 | |||||||||
349 | Eastman Chemical Co. | 22,409 | |||||||||
318 | FMC Corp. | 17,401 | |||||||||
375 | Huntsman Corp. | 9,510 | |||||||||
86 | International Flavors & Fragrances, Inc. | 4,312 | |||||||||
433 | Louisiana-Pacific Corp. | 6,660 | |||||||||
212 | Lubrizol Corp. | 13,598 | |||||||||
961 | Lyondell Chemical Co. | 45,359 | |||||||||
766 | MeadWestvaco Corp. | 25,178 | |||||||||
367 | Mosaic Co. (The)* | 25,378 | |||||||||
40 | Owens-Illinois, Inc.* | 1,796 | |||||||||
682 | PPG Industries, Inc. | 46,812 | |||||||||
246 | Reliance Steel & Aluminum Co. | 12,691 | |||||||||
262 | Rohm & Haas Co. | 14,245 | |||||||||
70 | RPM International, Inc. | 1,333 | |||||||||
147 | Scotts Miracle-Gro Co. (The), Class A | 5,426 | |||||||||
578 | Sealed Air Corp. | 13,508 | |||||||||
381 | Sigma-Aldrich Corp. | 20,060 | |||||||||
1,059 | Smurfit-Stone Container Corp.* | 11,660 | |||||||||
415 | Sonoco Products Co. | 12,608 | |||||||||
241 | Steel Dynamics, Inc. | 12,125 | |||||||||
439 | Temple-Inland, Inc. | 20,181 | |||||||||
491 | United States Steel Corp. | 47,971 | |||||||||
376 | Valspar Corp. | 8,475 | |||||||||
80 | Westlake Chemical Corp. | 1,582 | |||||||||
529,247 | |||||||||||
Telecommunication Services — 1.8% | |||||||||||
455 | CenturyTel, Inc. | 19,397 | |||||||||
1,172 | Citizens Communications Co. | 15,212 | |||||||||
96 | Clearwire Corp., Class A* | 1,495 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
175 | Crown Castle International Corp.* | $ | 7,341 | ||||||||
627 | Embarq Corp. | 31,946 | |||||||||
6,682 | Qwest Communications International, Inc.* | 44,302 | |||||||||
235 | Telephone & Data Systems, Inc. | 14,629 | |||||||||
47 | U.S. Cellular Corp.* | 3,854 | |||||||||
888 | Windstream Corp. | 11,499 | |||||||||
149,675 | |||||||||||
Utilities — 13.0% | |||||||||||
323 | AGL Resources, Inc. | 11,977 | |||||||||
472 | Alliant Energy Corp. | 19,597 | |||||||||
860 | Ameren Corp. | 46,311 | |||||||||
1,656 | American Electric Power Co., Inc. | 78,941 | |||||||||
513 | Aqua America, Inc. | 11,358 | |||||||||
369 | Atmos Energy Corp. | 9,664 | |||||||||
932 | CMS Energy Corp. | 16,245 | |||||||||
1,124 | Consolidated Edison, Inc. | 54,458 | |||||||||
168 | Constellation Energy Group, Inc. | 16,835 | |||||||||
218 | DPL, Inc. | 6,601 | |||||||||
680 | DTE Energy Co. | 33,354 | |||||||||
1,177 | Dynegy, Inc., Class A* | 8,957 | |||||||||
1,353 | Edison International | 75,741 | |||||||||
298 | Energen Corp. | 18,995 | |||||||||
656 | Energy East Corp. | 18,132 | |||||||||
121 | Equitable Resources, Inc. | 6,396 | |||||||||
357 | Great Plains Energy, Inc. | 10,596 | |||||||||
340 | Hawaiian Electric Industries, Inc. | 7,871 | |||||||||
314 | Integrys Energy Group, Inc. | 16,017 | |||||||||
755 | MDU Resources Group, Inc. | 20,604 | |||||||||
335 | Mirant Corp.* | 12,928 | |||||||||
347 | National Fuel Gas Co. | 16,535 | |||||||||
1,138 | NiSource, Inc. | 21,064 | |||||||||
642 | Northeast Utilities | 20,274 | |||||||||
196 | NRG Energy, Inc.* | 8,308 | |||||||||
444 | NSTAR | 15,540 | |||||||||
381 | OGE Energy Corp. | 13,564 | |||||||||
431 | Oneok, Inc. | 20,041 | |||||||||
802 | Pepco Holdings, Inc. | 22,536 | |||||||||
1,460 | PG&E Corp. | 67,554 | |||||||||
416 | Pinnacle West Capital Corp. | 17,830 | |||||||||
407 | PPL Corp. | 20,741 | |||||||||
1,071 | Progress Energy, Inc. | 52,286 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
485 | Puget Energy, Inc. | $ | 13,614 | ||||||||
471 | Questar Corp. | 25,175 | |||||||||
1,419 | Reliant Energy, Inc.* | 36,951 | |||||||||
485 | SCANA Corp. | 20,666 | |||||||||
1,096 | Sempra Energy | 68,632 | |||||||||
785 | Sierra Pacific Resources | 13,502 | |||||||||
446 | Southern Union Co. | 13,313 | |||||||||
871 | TECO Energy, Inc. | 15,086 | |||||||||
441 | UGI Corp. | 11,660 | |||||||||
318 | Vectren Corp. | 9,336 | |||||||||
486 | Wisconsin Energy Corp. | 23,250 | |||||||||
1,698 | Xcel Energy, Inc. | 39,241 | |||||||||
1,088,277 | |||||||||||
Total Common Stock (Cost $8,196,307) | 7,563,881 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 14.6% | |||||||||||
$ | 244,611 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $244,706 ** | 244,611 | ||||||||
281,355 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $281,462 *** | 281,355 | |||||||||
48,922 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $48,941 **** | 48,922 | |||||||||
652,296 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $652,543 ***** | 652,296 | |||||||||
Total Repurchase Agreements (Cost $1,227,184) | 1,227,184 | ||||||||||
Total Investments (Cost $9,423,491) — 104.7% | 8,791,065 | ||||||||||
Liabilities in excess of other assets — (4.7%) | (391,277 | ) | |||||||||
Net Assets — 100.0% | $ | 8,399,788 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $249,504. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $286,983. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $49,901. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $665,342. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 387,014 | |||||
Aggregate gross unrealized depreciation | (1,282,072 | ) | |||||
Net unrealized depreciation | $ | (895,058 | ) | ||||
Federal income tax cost of investments | $ | 9,686,123 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell MidCap Value (continued)
Swap Agreements
Ultra Russell MidCap Value had the following open swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Russell MidCap® Value Index, expiring 12/27/07 | $ | 9,492,599 | $ | (337,207 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell MidCap Growth
Shares | Value | ||||||||||
Common Stocks (a) — 88.5% | |||||||||||
Consumer Discretionary — 15.4% | |||||||||||
504 | Abercrombie & Fitch Co. | $ | 41,348 | ||||||||
579 | Advance Auto Parts, Inc. | 20,821 | |||||||||
1066 | American Eagle Outfitters, Inc. | 24,401 | |||||||||
297 | AnnTaylor Stores Corp.* | 9,044 | |||||||||
830 | Apollo Group, Inc., Class A* | 63,512 | |||||||||
270 | Autoliv, Inc. | 15,768 | |||||||||
266 | Autozone, Inc.* | 29,694 | |||||||||
26 | Barnes & Noble, Inc. | 1,000 | |||||||||
1590 | Bed Bath & Beyond, Inc.* | 50,005 | |||||||||
613 | Big Lots, Inc.* | 11,445 | |||||||||
186 | Black & Decker Corp. | 15,373 | |||||||||
70 | BorgWarner, Inc. | 6,763 | |||||||||
323 | Boyd Gaming Corp. | 12,507 | |||||||||
603 | Brinker International, Inc. | 13,887 | |||||||||
365 | Burger King Holdings, Inc. | 9,599 | |||||||||
418 | Cablevision Systems Corp.* | 11,299 | |||||||||
545 | Career Education Corp.* | 15,658 | |||||||||
1241 | Carmax, Inc.* | 28,382 | |||||||||
35 | Centex Corp. | 730 | |||||||||
178 | Central European Media Enterprises Ltd.* | 19,528 | |||||||||
413 | Cheesecake Factory (The)* | 9,619 | |||||||||
1010 | Chico's FAS, Inc.* | 11,423 | |||||||||
204 | Choice Hotels International, Inc. | 7,069 | |||||||||
423 | Circuit City Stores, Inc. | 2,737 | |||||||||
228 | Clear Channel Outdoor Holdings, Inc., Class A* | 6,215 | |||||||||
2,130 | Coach, Inc.* | 79,108 | |||||||||
354 | Coldwater Creek, Inc.* | 2,920 | |||||||||
459 | CROCS, Inc.* | 17,915 | |||||||||
298 | CTC Media, Inc.* | 7,170 | |||||||||
811 | Darden Restaurants, Inc. | 32,270 | |||||||||
464 | Dick's Sporting Goods, Inc.* | 14,505 | |||||||||
888 | Discovery Holding Co., Class A* | 21,720 | |||||||||
560 | Dollar Tree Stores, Inc.* | 16,050 | |||||||||
342 | Dow Jones & Co., Inc. | 20,434 | |||||||||
300 | DreamWorks Animation SKG, Inc., Class A* | 7,890 | |||||||||
1195 | EchoStar Communications Corp., Class A* | 51,504 | |||||||||
806 | Family Dollar Stores, Inc. | 18,981 | |||||||||
903 | GameStop Corp., Class A* | 51,877 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
663 | Garmin Ltd. | $ | 71,173 | ||||||||
819 | Gentex Corp. | 16,233 | |||||||||
139 | Getty Images, Inc.* | 4,052 | |||||||||
1203 | Goodyear Tire & Rubber Co. (The)* | 34,586 | |||||||||
312 | Guess ?, Inc. | 14,642 | |||||||||
1,853 | H&R Block, Inc. | 36,467 | |||||||||
553 | Hanesbrands, Inc.* | 15,611 | |||||||||
1386 | Harley-Davidson, Inc. | 66,556 | |||||||||
347 | Harman International Industries, Inc. | 25,539 | |||||||||
615 | Harrah's Entertainment, Inc. | 54,163 | |||||||||
201 | Harte-Hanks, Inc. | 3,377 | |||||||||
284 | Hasbro, Inc. | 7,887 | |||||||||
67 | IAC/InterActiveCorp* | 1,865 | |||||||||
1908 | International Game Technology | 83,303 | |||||||||
1,660 | Interpublic Group of Cos., Inc.* | 15,753 | |||||||||
234 | ITT Educational Services, Inc.* | 26,475 | |||||||||
202 | Jarden Corp.* | 5,325 | |||||||||
1296 | JC Penney Co., Inc. | 57,179 | |||||||||
291 | John Wiley & Sons, Inc., Class A | 12,266 | |||||||||
475 | Lamar Advertising Co., Class A | 24,705 | |||||||||
1121 | Liberty Global, Inc., Class A* | 45,535 | |||||||||
2091 | Liberty Media Corp. - Interactive, Class A* | 42,134 | |||||||||
41 | Liz Claiborne, Inc. | 1,029 | |||||||||
1,827 | Ltd Brands, Inc. | 36,686 | |||||||||
943 | Mattel, Inc. | 18,841 | |||||||||
276 | Meredith Corp. | 15,194 | |||||||||
207 | New York Times Co., (The), Class A | 3,415 | |||||||||
827 | Newell Rubbermaid, Inc. | 22,147 | |||||||||
1401 | Nordstrom, Inc. | 46,989 | |||||||||
197 | NutriSystem, Inc.* | 4,955 | |||||||||
10 | NVR, Inc.* | 4,920 | |||||||||
655 | O'Reilly Automotive, Inc.* | 21,523 | |||||||||
1577 | Office Depot, Inc.* | 27,030 | |||||||||
198 | OfficeMax, Inc. | 4,936 | |||||||||
230 | Orient-Express Hotels Ltd. | 14,239 | |||||||||
163 | Panera Bread Co., Class A* | 6,531 | |||||||||
421 | Penn National Gaming, Inc.* | 25,071 | |||||||||
780 | PetSmart, Inc. | 22,214 | |||||||||
321 | Phillips-Van Heusen | 13,617 | |||||||||
351 | Polo Ralph Lauren Corp. | 24,212 | |||||||||
283 | Pool Corp. | 6,034 | |||||||||
432 | Pulte Homes, Inc. | 4,415 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell MidCap Growth (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
546 | RadioShack Corp. | $ | 10,101 | ||||||||
364 | Regal Entertainment Group, Class A | 7,204 | |||||||||
797 | Ross Stores, Inc. | 21,025 | |||||||||
695 | Saks, Inc.* | 14,317 | |||||||||
372 | Scientific Games Corp.* | 12,049 | |||||||||
637 | Sherwin-Williams Co. (The) | 40,023 | |||||||||
8390 | Sirius Satellite Radio, Inc.* | 32,134 | |||||||||
154 | Stanley Works (The) | 8,031 | |||||||||
1155 | Starwood Hotels & Resorts Worldwide, Inc. | 62,000 | |||||||||
181 | Thor Industries, Inc. | 6,380 | |||||||||
782 | Tiffany & Co. | 36,308 | |||||||||
1087 | Tim Hortons, Inc. | 41,773 | |||||||||
2609 | TJX Cos., Inc. | 76,548 | |||||||||
198 | Tractor Supply Co.* | 8,122 | |||||||||
650 | Urban Outfitters, Inc.* | 17,030 | |||||||||
345 | WABCO Holdings, Inc. | 16,201 | |||||||||
114 | Warner Music Group Corp. | 861 | |||||||||
203 | Weight Watchers International, Inc. | 9,693 | |||||||||
501 | Wendy's International, Inc. | 14,043 | |||||||||
324 | Whirlpool Corp. | 26,231 | |||||||||
522 | Williams-Sonoma, Inc. | 15,195 | |||||||||
77 | Wyndham Worldwide Corp. | 2,246 | |||||||||
315 | Wynn Resorts Ltd. | 39,986 | |||||||||
1639 | XM Satellite Radio Holdings, Inc., Class A* | 25,568 | |||||||||
3006 | Yum! Brands, Inc. | 111,673 | |||||||||
2,423,737 | |||||||||||
Consumer Staples — 4.0% | |||||||||||
81 | Alberto-Culver Co. | 2,070 | |||||||||
2,322 | Avon Products, Inc. | 95,318 | |||||||||
223 | Bare Escentuals, Inc.* | 4,694 | |||||||||
314 | Brown-Forman Corp., Class B | 22,181 | |||||||||
755 | Campbell Soup Co. | 27,724 | |||||||||
356 | Church & Dwight Co., Inc. | 19,979 | |||||||||
730 | Clorox Co. | 47,362 | |||||||||
49 | Dean Foods Co. | 1,222 | |||||||||
233 | Energizer Holdings, Inc.* | 26,476 | |||||||||
627 | Estee Lauder Cos., Inc. (The) | 28,140 | |||||||||
391 | Hansen Natural Corp.* | 16,973 | |||||||||
275 | Herbalife Ltd. | 11,514 | |||||||||
682 | Hershey Co. (The) | 27,219 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1027 | HJ Heinz Co. | $ | 48,577 | ||||||||
369 | Loews Corp.- Carolina Group | 32,823 | |||||||||
497 | McCormick & Co., Inc. (Non-Voting) | 18,990 | |||||||||
317 | NBTY, Inc.* | 9,469 | |||||||||
203 | Pepsi Bottling Group, Inc. | 8,662 | |||||||||
2,205 | Sara Lee Corp. | 37,110 | |||||||||
507 | UST, Inc. | 29,355 | |||||||||
811 | Whole Foods Market, Inc. | 34,881 | |||||||||
1210 | WM. Wrigley Jr. Co. | 77,440 | |||||||||
628,179 | |||||||||||
Energy — 9.8% | |||||||||||
818 | Arch Coal, Inc. | 30,969 | |||||||||
1,683 | BJ Services Co. | 41,368 | |||||||||
556 | Cabot Oil & Gas Corp. | 19,137 | |||||||||
632 | Cameron International Corp.* | 58,921 | |||||||||
244 | Cheniere Energy, Inc.* | 8,491 | |||||||||
1541 | Chesapeake Energy Corp. | 58,327 | |||||||||
160 | CNX Gas Corp.* | 4,928 | |||||||||
1045 | CONSOL Energy, Inc. | 61,948 | |||||||||
79 | Continental Resources, Inc.* | 1,882 | |||||||||
695 | Denbury Resources, Inc.* | 37,057 | |||||||||
391 | Diamond Offshore Drilling, Inc. | 45,524 | |||||||||
493 | Dresser-Rand Group, Inc.* | 17,551 | |||||||||
793 | ENSCO International, Inc. | 42,703 | |||||||||
745 | FMC Technologies, Inc.* | 41,407 | |||||||||
259 | Foundation Coal Holdings, Inc. | 11,769 | |||||||||
318 | Frontier Oil Corp. | 14,056 | |||||||||
278 | Frontline Ltd. | 12,941 | |||||||||
528 | Global Industries Ltd.* | 11,706 | |||||||||
731 | Grant Prideco, Inc.* | 35,161 | |||||||||
418 | Helix Energy Solutions Group, Inc.* | 16,967 | |||||||||
259 | Holly Corp. | 12,548 | |||||||||
465 | Massey Energy Co. | 15,787 | |||||||||
1424 | Nabors Industries Ltd.* | 38,306 | |||||||||
2038 | National Oilwell Varco, Inc.* | 138,890 | |||||||||
1538 | Noble Corp. | 80,176 | |||||||||
139 | Noble Energy, Inc. | 10,013 | |||||||||
313 | Oceaneering International, Inc.* | 19,972 | |||||||||
152 | Patriot Coal Corp.* | 5,139 | |||||||||
1520 | Peabody Energy Corp. | 84,573 | |||||||||
705 | Pride International, Inc.* | 23,244 | |||||||||
288 | Quicksilver Resources, Inc.* | 14,573 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
849 | Range Resources Corp. | $ | 34,537 | ||||||||
453 | Rowan Cos., Inc. | 16,036 | |||||||||
1150 | Smith International, Inc. | 72,128 | |||||||||
975 | Southwestern Energy Co.* | 48,526 | |||||||||
697 | Sunoco, Inc. | 46,769 | |||||||||
463 | Superior Energy Services* | 16,159 | |||||||||
784 | Tesoro Corp. | 38,557 | |||||||||
417 | Tetra Technologies, Inc.* | 6,593 | |||||||||
212 | Tidewater, Inc. | 10,365 | |||||||||
208 | Unit Corp.* | 9,302 | |||||||||
101 | W&T Offshore, Inc. | 2,666 | |||||||||
1936 | Weatherford International Ltd.* | 121,232 | |||||||||
81 | Western Refining, Inc. | 2,341 | |||||||||
2876 | Williams Cos., Inc. | 99,826 | |||||||||
1,541,071 | |||||||||||
Financials — 7.1% | |||||||||||
171 | Affiliated Managers Group, Inc.* | 21,247 | |||||||||
46 | AmeriCredit Corp.* | 528 | |||||||||
30 | Apartment Investment & Management Co. (REIT) | 1,193 | |||||||||
105 | Arthur J. Gallagher & Co. | 2,759 | |||||||||
96 | Bank of Hawaii Corp. | 4,999 | |||||||||
209 | BlackRock, Inc. | 41,459 | |||||||||
642 | Brown & Brown, Inc. | 15,793 | |||||||||
478 | CapitalSource, Inc. (REIT) | 8,011 | |||||||||
87 | Capitol Federal Financial | 2,948 | |||||||||
1121 | CB Richard Ellis Group, Inc., Class A* | 26,624 | |||||||||
16 | CNA Financial Corp. | 567 | |||||||||
315 | Commerce Bancorp, Inc. | 12,543 | |||||||||
611 | Duke Realty Corp. (REIT) | 16,063 | |||||||||
921 | E*Trade Financial Corp.* | 4,237 | |||||||||
633 | Eaton Vance Corp. | 27,700 | |||||||||
51 | Erie Indemnity Co., Class A | 2,639 | |||||||||
64 | Essex Property Trust, Inc. (REIT) | 6,639 | |||||||||
168 | Federal Realty Investment Trust (REIT) | 13,976 | |||||||||
500 | Federated Investors, Inc., Class B | 20,395 | |||||||||
351 | First Marblehead Corp. (The) | 10,534 | |||||||||
414 | Forest City Enterprises, Inc., Class A | 20,758 | |||||||||
685 | General Growth Properties, Inc. (REIT) | 31,811 | |||||||||
240 | GLG Partners, Inc.* | 3,300 | |||||||||
15 | Hanover Insurance Group, Inc. (The) | 677 | |||||||||
278 | HCC Insurance Holdings, Inc. | 8,546 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
58 | Health Care REIT, Inc. (REIT) | $ | 2,599 | ||||||||
1243 | Hudson City Bancorp, Inc. | 18,919 | |||||||||
404 | IntercontinentalExchange, Inc.* | 67,452 | |||||||||
254 | Investment Technology Group, Inc.* | 11,603 | |||||||||
780 | Janus Capital Group, Inc. | 26,185 | |||||||||
211 | Jones Lang LaSalle, Inc. | 17,739 | |||||||||
188 | Kilroy Realty Corp. (REIT) | 10,507 | |||||||||
296 | Lazard Ltd., Class A | 14,403 | |||||||||
312 | Legg Mason, Inc. | 23,809 | |||||||||
411 | Macerich Co. (The) (REIT) | 31,914 | |||||||||
302 | MF Global Ltd.* | 8,707 | |||||||||
517 | Nasdaq Stock Market, Inc. (The)* | 22,417 | |||||||||
1068 | Northern Trust Corp. | 86,497 | |||||||||
528 | Nymex Holdings, Inc. | 65,762 | |||||||||
72 | PartnerRe Ltd. | 5,945 | |||||||||
863 | People's United Financial, Inc. | 14,645 | |||||||||
250 | Philadelphia Consolidated Holding Co.* | 10,645 | |||||||||
79 | Plum Creek Timber Co., Inc. (REIT) | 3,663 | |||||||||
86 | Principal Financial Group, Inc. | 5,632 | |||||||||
1288 | Prologis (REIT) | 84,261 | |||||||||
55 | Public Storage (REIT) | 4,254 | |||||||||
27 | Rayonier, Inc. (REIT) | 1,252 | |||||||||
743 | SEI Investments Co. | 23,048 | |||||||||
427 | St. Joe Co. (The) | 12,148 | |||||||||
600 | Synovus Financial Corp. | 14,934 | |||||||||
1524 | T. Rowe Price Group, Inc. | 93,696 | |||||||||
170 | Taubman Centers, Inc. (REIT) | 9,100 | |||||||||
1425 | TD Ameritrade Holding Corp.* | 26,633 | |||||||||
108 | TFS Financial Corp.* | 1,334 | |||||||||
55 | Transatlantic Holdings, Inc. | 4,089 | |||||||||
780 | UDR, Inc. (REIT) | 17,183 | |||||||||
765 | Ventas, Inc. (REIT) | 33,354 | |||||||||
441 | Weingarten Realty Investors (REIT) | 15,722 | |||||||||
248 | WR Berkley Corp. | 7,584 | |||||||||
125 | XL Capital Ltd., Class A | 7,316 | |||||||||
1,110,897 | |||||||||||
Health Care — 11.1% | |||||||||||
37 | Abraxis Bioscience, Inc.* | 2,183 | |||||||||
344 | Advanced Medical Optics, Inc.* | 8,676 | |||||||||
1,751 | Allergan, Inc. | 117,387 | |||||||||
439 | AmerisourceBergen Corp. | 19,917 | |||||||||
755 | Amylin Pharmaceuticals, Inc.* | 28,833 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell MidCap Growth (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
147 | APP Pharmaceuticals, Inc.* | $ | 1,727 | ||||||||
172 | Applera Corp. - Applied Biosystems Group | 5,876 | |||||||||
630 | Barr Pharmaceuticals, Inc.* | 33,831 | |||||||||
289 | Beckman Coulter, Inc. | 20,441 | |||||||||
53 | Brookdale Senior Living, Inc. | 1,754 | |||||||||
380 | Cephalon, Inc.* | 28,470 | |||||||||
377 | Cerner Corp.* | 22,526 | |||||||||
132 | Charles River Laboratories International, Inc.* | 8,386 | |||||||||
1651 | Cigna Corp. | 88,510 | |||||||||
47 | Community Health Systems, Inc.* | 1,571 | |||||||||
103 | Cooper Cos., Inc. (The) | 4,432 | |||||||||
365 | Covance, Inc.* | 31,875 | |||||||||
839 | Coventry Health Care, Inc.* | 48,561 | |||||||||
594 | CR Bard, Inc. | 50,211 | |||||||||
604 | DaVita, Inc.* | 37,424 | |||||||||
872 | Dentsply International, Inc. | 37,304 | |||||||||
331 | Edwards Lifesciences Corp.* | 16,368 | |||||||||
768 | Endo Pharmaceuticals Holdings, Inc.* | 21,051 | |||||||||
1262 | Express Scripts, Inc.* | 85,500 | |||||||||
1836 | Forest Laboratories, Inc.* | 70,778 | |||||||||
301 | Gen-Probe, Inc.* | 20,134 | |||||||||
644 | Health Net, Inc.* | 31,286 | |||||||||
510 | Henry Schein, Inc.* | 30,166 | |||||||||
61 | Hillenbrand Industries, Inc. | 3,284 | |||||||||
1041 | HLTH Corp.* | 14,564 | |||||||||
899 | Hospira, Inc.* | 38,927 | |||||||||
964 | Humana, Inc.* | 74,257 | |||||||||
356 | Idexx Laboratories, Inc.* | 21,538 | |||||||||
343 | ImClone Systems, Inc.* | 15,466 | |||||||||
1006 | IMS Health, Inc. | 23,490 | |||||||||
215 | Intuitive Surgical, Inc.* | 70,451 | |||||||||
101 | Invitrogen Corp.* | 9,798 | |||||||||
250 | Kinetic Concepts, Inc.* | 14,660 | |||||||||
675 | Laboratory Corp. of America Holdings* | 49,052 | |||||||||
481 | Lincare Holdings, Inc.* | 16,445 | |||||||||
1017 | Millennium Pharmaceuticals, Inc.* | 14,991 | |||||||||
310 | Millipore Corp.* | 25,383 | |||||||||
1735 | Mylan, Inc. | 24,949 | |||||||||
84 | Omnicare, Inc. | 2,140 | |||||||||
798 | Patterson Cos., Inc.* | 25,680 | |||||||||
669 | PDL BioPharma, Inc.* | 11,848 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
278 | Pediatrix Medical Group, Inc.* | $ | 17,975 | ||||||||
172 | PerkinElmer, Inc. | 4,692 | |||||||||
594 | Pharmaceutical Product Development, Inc. | 25,150 | |||||||||
831 | Quest Diagnostics, Inc. | 45,755 | |||||||||
447 | Resmed, Inc.* | 20,473 | |||||||||
423 | Respironics, Inc.* | 20,837 | |||||||||
611 | Sepracor, Inc.* | 16,210 | |||||||||
318 | Sierra Health Services, Inc.* | 13,277 | |||||||||
1941 | St. Jude Medical, Inc.* | 77,155 | |||||||||
226 | Techne Corp.* | 14,724 | |||||||||
2101 | Tenet Healthcare Corp.* | 11,577 | |||||||||
72 | Universal Health Services, Inc., Class B | 3,668 | |||||||||
731 | Varian Medical Systems, Inc.* | 36,521 | |||||||||
482 | VCA Antech, Inc.* | 19,776 | |||||||||
752 | Vertex Pharmaceuticals, Inc.* | 19,093 | |||||||||
520 | Warner Chilcott Ltd., Class A* | 9,490 | |||||||||
579 | Waters Corp.* | 45,185 | |||||||||
342 | Watson Pharmaceuticals, Inc.* | 10,024 | |||||||||
237 | WellCare Health Plans, Inc.* | 9,222 | |||||||||
1,752,905 | |||||||||||
Industrials — 14.6% | |||||||||||
343 | AGCO Corp.* | 23,646 | |||||||||
166 | Aircastle Ltd. | 4,386 | |||||||||
164 | Alliant Techsystems, Inc.* | 19,160 | |||||||||
249 | Allied Waste Industries, Inc.* | 2,841 | |||||||||
612 | Ametek, Inc. | 26,928 | |||||||||
1381 | AMR Corp.* | 29,250 | |||||||||
522 | Avery Dennison Corp. | 27,201 | |||||||||
208 | Avis Budget Group, Inc.* | 3,126 | |||||||||
529 | BE Aerospace, Inc.* | 24,863 | |||||||||
250 | Brink's Co. (The) | 15,995 | |||||||||
97 | Carlisle Cos., Inc. | 3,862 | |||||||||
971 | CH Robinson Worldwide, Inc. | 50,055 | |||||||||
410 | ChoicePoint, Inc.* | 15,519 | |||||||||
592 | Cintas Corp. | 18,938 | |||||||||
204 | Con-way, Inc. | 8,625 | |||||||||
557 | Continental Airlines, Inc., Class B* | 15,680 | |||||||||
338 | Cooper Industries Ltd., Class A | 16,974 | |||||||||
100 | Copa Holdings SA, Class A | 3,613 | |||||||||
366 | Copart, Inc.* | 13,674 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
203 | Corporate Executive Board Co. | $ | 13,619 | ||||||||
705 | Corrections Corp. of America* | 21,510 | |||||||||
689 | Covanta Holding Corp.* | 18,596 | |||||||||
429 | CSX Corp. | 18,018 | |||||||||
598 | Cummins, Inc. | 69,906 | |||||||||
1544 | Delta Air Lines, Inc.* | 30,509 | |||||||||
455 | Donaldson Co., Inc. | 21,285 | |||||||||
378 | Dover Corp. | 17,494 | |||||||||
13 | DRS Technologies, Inc. | 770 | |||||||||
341 | Dun & Bradstreet Corp. | 30,427 | |||||||||
99 | Eaton Corp. | 8,842 | |||||||||
757 | Equifax, Inc. | 28,183 | |||||||||
1223 | Expeditors International Washington, Inc. | 57,383 | |||||||||
726 | Fastenal Co. | 28,779 | |||||||||
205 | First Solar, Inc.* | 48,616 | |||||||||
294 | Flowserve Corp. | 27,662 | |||||||||
506 | Fluor Corp. | 74,468 | |||||||||
404 | Foster Wheeler Ltd.* | 60,196 | |||||||||
107 | GATX Corp. | 3,962 | |||||||||
300 | General Cable Corp.* | 22,314 | |||||||||
718 | Goodrich Corp. | 51,186 | |||||||||
361 | Graco, Inc. | 13,444 | |||||||||
483 | Harsco Corp. | 29,014 | |||||||||
1200 | Hertz Global Holdings, Inc.* | 22,920 | |||||||||
275 | HNI Corp. | 10,046 | |||||||||
115 | Hubbell, Inc., Class B | 6,317 | |||||||||
466 | IDEX Corp. | 16,636 | |||||||||
97 | Ingersoll-Rand Co., Ltd., Class A | 5,009 | |||||||||
130 | ITT Corp. | 8,377 | |||||||||
684 | Jacobs Engineering Group, Inc.* | 57,299 | |||||||||
502 | JB Hunt Transport Services, Inc. | 13,198 | |||||||||
623 | Joy Global, Inc. | 36,134 | |||||||||
265 | Kansas City Southern* | 9,124 | |||||||||
129 | Kennametal, Inc. | 10,068 | |||||||||
306 | Kirby Corp.* | 14,709 | |||||||||
241 | L-3 Communications Holdings, Inc. | 26,667 | |||||||||
319 | Landstar System, Inc. | 12,690 | |||||||||
43 | Lennox International, Inc. | 1,455 | |||||||||
168 | Lincoln Electric Holdings, Inc. | 11,721 | |||||||||
716 | Manitowoc Co., Inc. (The) | 31,397 | |||||||||
485 | Manpower, Inc. | 29,634 | |||||||||
126 | Masco Corp. | 2,822 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1277 | McDermott International, Inc.* | $ | 66,787 | ||||||||
722 | Monster Worldwide, Inc.* | 24,382 | |||||||||
264 | MSC Industrial Direct Co. | 11,410 | |||||||||
1001 | Northwest Airlines Corp.* | 18,198 | |||||||||
425 | Oshkosh Truck Corp. | 20,438 | |||||||||
644 | Pall Corp. | 24,633 | |||||||||
1031 | Pitney Bowes, Inc. | 39,694 | |||||||||
790 | Precision Castparts Corp. | 116,399 | |||||||||
944 | Quanta Services, Inc.* | 25,847 | |||||||||
853 | Republic Services, Inc. | 28,294 | |||||||||
843 | Robert Half International, Inc. | 22,727 | |||||||||
856 | Rockwell Automation, Inc. | 58,114 | |||||||||
960 | Rockwell Collins, Inc. | 69,235 | |||||||||
507 | Roper Industries, Inc. | 32,169 | |||||||||
424 | Shaw Group, Inc. (The)* | 26,890 | |||||||||
885 | Southwest Airlines Co. | 12,523 | |||||||||
331 | Spirit Aerosystems Holdings, Inc., Class A* | 11,568 | |||||||||
373 | Steelcase, Inc. | 5,643 | |||||||||
503 | Stericycle, Inc.* | 29,602 | |||||||||
142 | Sunpower Corp., Class A* | 17,670 | |||||||||
592 | Terex Corp.* | 38,154 | |||||||||
1430 | Textron, Inc. | 98,741 | |||||||||
334 | Thomas & Betts Corp.* | 18,156 | |||||||||
231 | Toro Co. | 12,855 | |||||||||
1036 | Trane, Inc. | 38,032 | |||||||||
403 | Trinity Industries, Inc. | 10,200 | |||||||||
393 | UAL Corp.* | 16,089 | |||||||||
97 | URS Corp.* | 5,577 | |||||||||
568 | UTi Worldwide, Inc. | 13,479 | |||||||||
262 | WESCO International, Inc.* | 10,606 | |||||||||
323 | WW Grainger, Inc. | 28,521 | |||||||||
2,299,375 | |||||||||||
Information Technology — 17.2% | |||||||||||
1,626 | Activision, Inc.* | 36,016 | |||||||||
364 | Acxiom Corp. | 4,484 | |||||||||
1410 | Advanced Micro Devices, Inc.* | 13,762 | |||||||||
222 | Affiliated Computer Services, Inc., Class A* | 9,315 | |||||||||
2,316 | Agilent Technologies, Inc.* | 87,614 | |||||||||
946 | Akamai Technologies, Inc.* | 36,005 | |||||||||
452 | Alliance Data Systems Corp.* | 35,120 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell MidCap Growth (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,927 | Altera Corp. | $ | 36,189 | ||||||||
1134 | Amdocs Ltd.* | 37,524 | |||||||||
1027 | Amphenol Corp., Class A | 44,520 | |||||||||
1,877 | Analog Devices, Inc. | 57,774 | |||||||||
393 | Arrow Electronics, Inc.* | 14,545 | |||||||||
1324 | Autodesk, Inc.* | 62,347 | |||||||||
503 | Avnet, Inc.* | 17,353 | |||||||||
56 | AVX Corp. | 802 | |||||||||
2249 | BEA Systems, Inc.* | 35,602 | |||||||||
1,151 | BMC Software, Inc.* | 38,075 | |||||||||
2688 | Broadcom Corp., Class A* | 71,877 | |||||||||
799 | Broadridge Financial Solutions, Inc. | 18,193 | |||||||||
2299 | Brocade Communications Systems, Inc.* | 16,760 | |||||||||
1,477 | CA, Inc. | 36,172 | |||||||||
441 | Cadence Design Systems, Inc.* | 7,321 | |||||||||
358 | Checkfree Corp.* | 17,041 | |||||||||
490 | Ciena Corp.* | 21,550 | |||||||||
1089 | Citrix Systems, Inc.* | 40,271 | |||||||||
1650 | Cognizant Technology Solutions Corp., Class A* | 51,315 | |||||||||
351 | CommScope, Inc.* | 14,215 | |||||||||
1401 | Compuware Corp.* | 11,572 | |||||||||
120 | Cree, Inc.* | 2,956 | |||||||||
913 | Cypress Semiconductor Corp.* | 30,330 | |||||||||
378 | Diebold, Inc. | 12,837 | |||||||||
226 | Dolby Laboratories, Inc., Class A* | 11,354 | |||||||||
310 | DST Systems, Inc.* | 26,272 | |||||||||
1787 | Electronic Arts, Inc.* | 100,411 | |||||||||
1694 | Electronic Data Systems Corp. | 34,320 | |||||||||
479 | F5 Networks, Inc.* | 12,655 | |||||||||
246 | Factset Research Systems, Inc. | 15,419 | |||||||||
33 | Fair Isaac Corp. | 1,220 | |||||||||
293 | Fairchild Semiconductor International, Inc.* | 4,647 | |||||||||
931 | Fidelity National Information Services, Inc. | 40,238 | |||||||||
965 | Fiserv, Inc.* | 49,533 | |||||||||
171 | Genpact Ltd.* | 2,445 | |||||||||
463 | Global Payments, Inc. | 20,011 | |||||||||
771 | Harris Corp. | 48,396 | |||||||||
341 | Hewitt Associates, Inc., Class A* | 12,787 | |||||||||
381 | Integrated Device Technology, Inc.* | 4,621 | |||||||||
94 | International Rectifier Corp.* | 3,057 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
424 | Intersil Corp., Class A | $ | 10,575 | ||||||||
1932 | Intuit, Inc.* | 56,646 | |||||||||
1016 | Iron Mountain, Inc.* | 37,064 | |||||||||
662 | Jabil Circuit, Inc. | 11,221 | |||||||||
647 | JDS Uniphase Corp.* | 8,709 | |||||||||
2115 | Juniper Networks, Inc.* | 62,858 | |||||||||
1100 | Kla-Tencor Corp. | 52,888 | |||||||||
709 | Lam Research Corp.* | 32,508 | |||||||||
295 | Lexmark International, Inc., Class A* | 10,290 | |||||||||
1274 | Linear Technology Corp. | 38,806 | |||||||||
2432 | LSI Corp.* | 13,498 | |||||||||
2710 | Marvell Technology Group Ltd.* | 40,487 | |||||||||
457 | Mastercard, Inc., Class A | 91,697 | |||||||||
915 | McAfee, Inc.* | 35,639 | |||||||||
1288 | MEMC Electronic Materials, Inc.* | 99,923 | |||||||||
217 | Mettler Toledo International, Inc.* | 25,250 | |||||||||
1253 | Microchip Technology, Inc. | 36,074 | |||||||||
1415 | Micron Technology, Inc.* | 11,773 | |||||||||
450 | Molex, Inc. | 12,402 | |||||||||
479 | MoneyGram International, Inc. | 7,396 | |||||||||
330 | National Instruments Corp. | 11,012 | |||||||||
1550 | National Semiconductor Corp. | 35,433 | |||||||||
561 | NAVTEQ Corp.* | 42,013 | |||||||||
129 | NCR Corp.* | 3,088 | |||||||||
2129 | Network Appliance, Inc.* | 52,608 | |||||||||
435 | NeuStar, Inc., Class A* | 13,820 | |||||||||
249 | Novell, Inc.* | 1,748 | |||||||||
434 | Novellus Systems, Inc.* | 11,288 | |||||||||
3124 | Nvidia Corp.* | 98,531 | |||||||||
1946 | Paychex, Inc. | 75,894 | |||||||||
703 | QLogic Corp.* | 9,505 | |||||||||
463 | Rambus, Inc.* | 8,978 | |||||||||
1109 | Red Hat, Inc.* | 22,202 | |||||||||
112 | Riverbed Technology, Inc.* | 3,167 | |||||||||
545 | Salesforce.com, Inc.* | 30,918 | |||||||||
778 | SanDisk Corp.* | 29,128 | |||||||||
675 | Sanmina-SCI Corp.* | 1,195 | |||||||||
1182 | Seagate Technology | 30,484 | |||||||||
314 | Silicon Laboratories, Inc.* | 11,662 | |||||||||
831 | Synopsys, Inc.* | 20,451 | |||||||||
129 | Teradata Corp.* | 3,349 | |||||||||
503 | Teradyne, Inc.* | 5,478 | |||||||||
214 | Total System Services, Inc. | 6,001 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
685 | Trimble Navigation, Ltd.* | $ | 25,393 | ||||||||
451 | Varian Semiconductor Equipment Associates, Inc.* | 18,721 | |||||||||
357 | VeriFone Holdings, Inc.* | 17,147 | |||||||||
1268 | VeriSign, Inc.* | 51,861 | |||||||||
179 | Vishay Intertechnology, Inc.* | 2,236 | |||||||||
44 | WebMD Health Corp., Class A* | 1,877 | |||||||||
379 | Western Digital Corp.* | 10,472 | |||||||||
1709 | Xilinx, Inc. | 37,427 | |||||||||
396 | Zebra Technologies Corp.* | 15,274 | |||||||||
2,710,908 | |||||||||||
Materials — 4.2% | |||||||||||
585 | Air Products & Chemicals, Inc. | 57,938 | |||||||||
423 | Airgas, Inc. | 20,930 | |||||||||
639 | AK Steel Holding Corp.* | 28,480 | |||||||||
458 | Albemarle Corp. | 20,216 | |||||||||
586 | Allegheny Technologies, Inc. | 57,282 | |||||||||
586 | Ball Corp. | 27,103 | |||||||||
280 | Cabot Corp. | 9,638 | |||||||||
157 | Carpenter Technology Corp. | 11,846 | |||||||||
470 | Celanese Corp., Class A | 18,650 | |||||||||
87 | Chemtura Corp. | 653 | |||||||||
235 | Cleveland-Cliffs, Inc. | 21,197 | |||||||||
938 | Crown Holdings, Inc.* | 24,069 | |||||||||
1320 | Domtar Corp.* | 10,032 | |||||||||
255 | Eagle Materials, Inc. | 9,942 | |||||||||
1003 | Ecolab, Inc. | 48,044 | |||||||||
346 | International Flavors & Fragrances, Inc. | 17,348 | |||||||||
104 | Lubrizol Corp. | 6,671 | |||||||||
245 | Martin Marietta Materials, Inc. | 32,965 | |||||||||
381 | Mosaic Co. (The)* | 26,346 | |||||||||
828 | Nalco Holding Co. | 19,839 | |||||||||
832 | Owens-Illinois, Inc.* | 37,348 | |||||||||
531 | Packaging Corp. of America | 15,022 | |||||||||
748 | Pactiv Corp.* | 18,999 | |||||||||
38 | �� | Reliance Steel & Aluminum Co. | 1,960 | ||||||||
427 | Rohm & Haas Co. | 23,216 | |||||||||
597 | RPM International, Inc. | 11,373 | |||||||||
47 | Scotts Miracle-Gro Co. (The), Class A | 1,735 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
128 | Sealed Air Corp. | $ | 2,991 | ||||||||
228 | Sigma-Aldrich Corp. | 12,004 | |||||||||
167 | Steel Dynamics, Inc. | 8,402 | |||||||||
391 | Titanium Metals Corp.* | 11,601 | |||||||||
69 | Valspar Corp. | 1,555 | |||||||||
600 | Vulcan Materials Co. | 53,246 | |||||||||
668,641 | |||||||||||
Telecommunication Services — 2.0% | |||||||||||
2,398 | American Tower Corp., Class A* | 109,205 | |||||||||
346 | Citizens Communications Co. | 4,491 | |||||||||
1088 | Crown Castle International Corp.* | 45,642 | |||||||||
293 | Leap Wireless International, Inc.* | 10,170 | |||||||||
8,779 | Level 3 Communications, Inc.* | 29,497 | |||||||||
330 | MetroPCS Communications, Inc.* | 5,643 | |||||||||
992 | NII Holdings, Inc.* | 54,719 | |||||||||
590 | SBA Communications Corp., Class A* | 22,090 | |||||||||
264 | Telephone & Data Systems, Inc. | 16,434 | |||||||||
32 | U.S. Cellular Corp.* | 2,624 | |||||||||
1512 | Windstream Corp. | 19,580 | |||||||||
320,095 | |||||||||||
Utilities — 3.1% | |||||||||||
3,831 | AES Corp. (The)* | 83,707 | |||||||||
951 | Allegheny Energy, Inc. | 57,773 | |||||||||
52 | Aqua America, Inc. | 1,151 | |||||||||
1,841 | Centerpoint Energy, Inc. | 32,862 | |||||||||
803 | Constellation Energy Group, Inc. | 80,469 | |||||||||
349 | DPL, Inc. | 10,568 | |||||||||
312 | Dynegy, Inc., Class A* | 2,374 | |||||||||
530 | Equitable Resources, Inc. | 28,016 | |||||||||
1006 | Mirant Corp.* | 38,822 | |||||||||
1119 | NRG Energy, Inc.* | 47,434 | |||||||||
1,652 | PPL Corp. | 84,186 | |||||||||
338 | Questar Corp. | 18,066 | |||||||||
185 | Sierra Pacific Resources | 3,182 | |||||||||
488,610 | |||||||||||
Total Common Stock (Cost $13,637,418) | 13,944,418 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell MidCap Growth (continued)
Principal Amount | Value | ||||||||||
Repurchase Agreements — 16.0% | |||||||||||
$ | 503,136 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $503,331 ** | $ | 503,136 | |||||||
578,715 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $578,934 *** | 578,715 | |||||||||
100,627 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $100,665 **** | 100,627 | |||||||||
1,341,696 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $1,342,205 ***** | 1,341,696 | |||||||||
Total Repurchase Agreements (Cost $2,524,174) | 2,524,174 | ||||||||||
Total Investments (Cost $16,161,592) — 104.5% | 16,468,592 | ||||||||||
Liabilities in excess of other assets — (4.5)% | (716,127 | ) | |||||||||
Net Assets — 100.0% | $ | 15,752,465 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $513,201. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17, which had a total value of $590,291. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $102,640. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $1,368,531. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust.
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,331,367 | |||||
Aggregate gross unrealized depreciation | (1,056,658 | ) | |||||
Net unrealized appreciation | $ | 274,709 | |||||
Federal income tax cost of investments | $ | 16,193,883 |
Swap Agreements
Ultra Russell MidCap Growth had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Russell MidCap® Growth Index, expiring 12/27/07 | $ | 6,214,532 | $ | (301,389 | ) | ||||||
Equity Index Swap Agreement based on the Russell MidCap® Growth Index, expiring 12/27/07 | 12,000,000 | (431,559 | ) | ||||||||
$ | (732,948 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell 2000 Value
Shares | Value | ||||||||||
Common Stocks (a) — 92.6% | |||||||||||
Consumer Discretionary — 10.7% | |||||||||||
231 | 99 Cents Only Stores* | $ | 1,862 | ||||||||
35 | A.C. Moore Arts & Crafts, Inc.* | 555 | |||||||||
202 | Aaron Rents, Inc. | 4,062 | |||||||||
125 | AFC Enterprises* | 1,364 | |||||||||
244 | Aftermarket Technology Corp.* | 6,812 | |||||||||
63 | Ambassadors International, Inc. | 757 | |||||||||
499 | American Axle & Manufacturing Holdings, Inc. | 11,537 | |||||||||
618 | American Greetings Corp., Class A | 14,375 | |||||||||
161 | Ameristar Casinos, Inc. | 5,054 | |||||||||
134 | Arctic Cat, Inc. | 1,430 | |||||||||
796 | ArvinMeritor, Inc. | 8,048 | |||||||||
286 | Asbury Automotive Group, Inc. | 4,788 | |||||||||
187 | Audiovox Corp.* | 2,388 | |||||||||
64 | Avatar Holdings, Inc.* | 2,788 | |||||||||
436 | Beazer Homes USA, Inc. | 3,702 | |||||||||
944 | Belo Corp., Class A | 15,633 | |||||||||
15 | Benihana, Inc., Class A* | 210 | |||||||||
2,142 | Blockbuster, Inc., Class A* | 7,647 | |||||||||
237 | Bluegreen Corp.* | 1,702 | |||||||||
246 | Blyth, Inc. | 4,839 | |||||||||
399 | Bob Evans Farms, Inc. | 12,305 | |||||||||
78 | Bon-Ton Stores, Inc. (The) | 911 | |||||||||
166 | Books-A-Million, Inc. | 2,007 | |||||||||
653 | Borders Group, Inc. | 8,169 | |||||||||
126 | Brookfield Homes Corp. | 2,124 | |||||||||
262 | Brown Shoe Co., Inc. | 4,446 | |||||||||
328 | Building Materials Holding Corp. | 1,876 | |||||||||
377 | Cabela's, Inc.* | 6,236 | |||||||||
38 | Cache, Inc.* | 509 | |||||||||
739 | Callaway Golf Co. | 12,607 | |||||||||
141 | Carmike Cinemas, Inc. | 1,664 | |||||||||
34 | Casual Male Retail Group, Inc.* | 211 | |||||||||
248 | Cato Corp. (The), Class A | 3,735 | |||||||||
109 | CBRL Group, Inc. | 3,647 | |||||||||
156 | CEC Entertainment, Inc.* | 4,446 | |||||||||
134 | Champion Enterprises, Inc.* | 1,209 | |||||||||
1,380 | Charming Shoppes, Inc.* | 7,631 | |||||||||
4,558 | Charter Communications, Inc., Class A* | 6,017 | |||||||||
23 | Cherokee, Inc. | 725 | |||||||||
105 | Churchill Downs, Inc. | 5,510 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
169 | Cinemark Holdings, Inc. | $ | 2,821 | ||||||||
1,288 | Citadel Broadcasting Corp. | 2,962 | |||||||||
35 | CKX, Inc.* | 425 | |||||||||
223 | Coinstar, Inc.* | 5,827 | |||||||||
403 | Collective Brands, Inc.* | 6,178 | |||||||||
120 | Columbia Sportswear Co. | 5,761 | |||||||||
127 | Conn's, Inc.* | 2,299 | |||||||||
688 | Cooper Tire & Rubber Co. | 10,581 | |||||||||
102 | Core-Mark Holding Co., Inc.* | 2,737 | |||||||||
371 | Cox Radio, Inc., Class A* | 4,370 | |||||||||
81 | Crown Media Holdings, Inc., Class A* | 589 | |||||||||
461 | CSK Auto Corp.* | 4,495 | |||||||||
87 | CSS Industries, Inc. | 3,443 | |||||||||
169 | Cumulus Media, Inc., Class A* | 1,421 | |||||||||
166 | DG FastChannel, Inc.* | 3,247 | |||||||||
56 | Dolan Media Co.* | 1,484 | |||||||||
489 | Domino's Pizza, Inc. | 6,778 | |||||||||
120 | Dress Barn, Inc.* | 1,697 | |||||||||
340 | Eddie Bauer Holdings, Inc.* | 2,275 | |||||||||
336 | Emmis Communications Corp., Class A* | 1,448 | |||||||||
365 | Entercom Communications Corp., Class A | 5,946 | |||||||||
418 | Entravision Communications Corp., Class A* | 3,127 | |||||||||
269 | Ethan Allen Interiors, Inc. | 7,683 | |||||||||
832 | Exide Technologies* | 5,849 | |||||||||
474 | Finish Line, Class A | 1,777 | |||||||||
70 | Fisher Communications, Inc.* | 2,851 | |||||||||
447 | Fred's, Inc., Class A | 4,658 | |||||||||
213 | FTD Group, Inc. | 2,854 | |||||||||
539 | Furniture Brands International, Inc. | 5,460 | |||||||||
9 | G-lII Apparel Group Ltd.* | 129 | |||||||||
47 | Gaiam, Inc., Class A* | 1,107 | |||||||||
26 | Gander Mountain Co.* | 126 | |||||||||
249 | GateHouse Media, Inc. | 2,042 | |||||||||
259 | Gaylord Entertainment Co.* | 10,894 | |||||||||
237 | Gemstar-TV Guide International, Inc.* | 1,398 | |||||||||
42 | Genesco, Inc.* | 1,302 | |||||||||
467 | Gray Television, Inc. | 3,974 | |||||||||
342 | Great Wolf Resorts, Inc.* | 3,700 | |||||||||
254 | Group 1 Automotive, Inc. | 6,827 | |||||||||
263 | Harris Interactive, Inc.* | 1,102 | |||||||||
221 | Haverty Furniture Cos., Inc. | 1,878 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell 2000 Value (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
338 | Helen of Troy Ltd.* | $ | 6,128 | ||||||||
76 | hhgregg, Inc.* | 1,068 | |||||||||
339 | Home Solutions of America, Inc.* | 359 | |||||||||
124 | Hooker Furniture Corp. | 2,086 | |||||||||
244 | HOT Topic, Inc.* | 1,540 | |||||||||
418 | Hovnanian Enterprises, Inc., Class A* | 3,160 | |||||||||
110 | Ihop Corp. | 5,581 | |||||||||
260 | Interactive Data Corp. | 8,120 | |||||||||
137 | INVESTools, Inc.* | 2,117 | |||||||||
161 | Isle of Capri Casinos, Inc.* | 2,814 | |||||||||
318 | Jack in the Box, Inc.* | 9,524 | |||||||||
58 | Jackson Hewitt Tax Service, Inc. | 1,870 | |||||||||
314 | Jakks Pacific, Inc.* | 7,925 | |||||||||
580 | Jamba, Inc.* | 1,984 | |||||||||
252 | Jo-Ann Stores, Inc.* | 4,148 | |||||||||
487 | Journal Communications, Inc., Class A | 4,432 | |||||||||
195 | K-Swiss, Inc., Class A | 3,539 | |||||||||
290 | Kellwood Co. | 4,347 | |||||||||
111 | Kenneth Cole Productions, Inc., Class A | 2,093 | |||||||||
143 | Kimball International, Inc., Class B | 1,908 | |||||||||
141 | Knology, Inc.* | 1,895 | |||||||||
573 | La-Z-Boy, Inc. | 3,129 | |||||||||
97 | Lakes Entertainment, Inc.* | 644 | |||||||||
139 | Landry's Restaurants, Inc. | 3,283 | |||||||||
384 | Leapfrog Enterprises, Inc.* | 2,573 | |||||||||
570 | Lear Corp.* | 16,781 | |||||||||
514 | Lee Enterprises, Inc. | 7,196 | |||||||||
150 | Libbey, Inc. | 2,326 | |||||||||
91 | Lifetime Brands, Inc. | 1,167 | |||||||||
304 | Lin TV Corp., Class A* | 3,411 | |||||||||
14 | Lincoln Educational Services Corp.* | 194 | |||||||||
177 | Lithia Motors, Inc., Class A | 2,761 | |||||||||
757 | Live Nation, Inc.* | 10,159 | |||||||||
73 | Lodgenet Entertainment Corp.* | 1,402 | |||||||||
209 | Lodgian, Inc.* | 2,395 | |||||||||
61 | Lululemon Athletica, Inc.* | 2,237 | |||||||||
135 | M/I Homes, Inc. | 1,354 | |||||||||
449 | Magna Entertainment Corp., Class A* | 656 | |||||||||
99 | Maidenform Brands, Inc.* | 1,294 | |||||||||
152 | Marcus Corp. | 2,739 | |||||||||
111 | Marine Products Corp. | 817 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
182 | MarineMax, Inc.* | $ | 2,976 | ||||||||
182 | Marvel Entertainment, Inc.* | 5,041 | |||||||||
11 | McCormick & Schmick's Seafood Restaurants, Inc.* | 161 | |||||||||
247 | Media General, Inc., Class A | 6,118 | |||||||||
605 | Mediacom Communications Corp., Class A* | 2,729 | |||||||||
292 | Meritage Homes Corp.* | 3,992 | |||||||||
362 | Modine Manufacturing Co. | 7,363 | |||||||||
334 | Monaco Coach Corp. | 3,016 | |||||||||
25 | Monro Muffler, Inc. | 527 | |||||||||
70 | Morton's Restaurant Group, Inc.* | 804 | |||||||||
192 | Movado Group, Inc. | 5,318 | |||||||||
257 | Multimedia Games, Inc.* | 2,041 | |||||||||
50 | National Presto Industries, Inc. | 2,708 | |||||||||
220 | Nautilus, Inc. | 1,265 | |||||||||
85 | Nexstar Broadcasting Group, Inc., Class A* | 771 | |||||||||
248 | O'Charleys, Inc. | 3,698 | |||||||||
146 | Orbitz Worldwide, Inc.* | 1,168 | |||||||||
172 | Oxford Industries, Inc. | 4,260 | |||||||||
145 | Pacific Sunwear of California* | 2,375 | |||||||||
109 | Palm Harbor Homes, Inc.* | 1,229 | |||||||||
91 | Papa John's International, Inc.* | 2,143 | |||||||||
365 | PEP Boys-Manny Moe & Jack | 3,989 | |||||||||
127 | Perry Ellis International, Inc.* | 2,047 | |||||||||
985 | Pier 1 Imports, Inc.* | 4,058 | |||||||||
308 | Pinnacle Entertainment, Inc.* | 8,455 | |||||||||
246 | Playboy Enterprises, Inc., Class B* | 2,315 | |||||||||
63 | Polaris Industries, Inc. | 2,870 | |||||||||
492 | Primedia, Inc. | 4,034 | |||||||||
960 | Quiksilver, Inc.* | 10,176 | |||||||||
853 | Radio One, Inc., Class D* | 1,740 | |||||||||
211 | RC2 Corp.* | 6,136 | |||||||||
341 | RCN Corp.* | 4,951 | |||||||||
494 | Regis Corp. | 14,519 | |||||||||
785 | Rent-A-Center, Inc.* | 11,116 | |||||||||
52 | Riviera Holdings Corp.* | 1,420 | |||||||||
118 | Ruby Tuesday, Inc. | 1,547 | |||||||||
185 | Russ Berrie & Co., Inc.* | 3,071 | |||||||||
102 | Salem Communications Corp., Class A | 816 | |||||||||
55 | Sauer-Danfoss, Inc. | 1,336 | |||||||||
343 | Scholastic Corp.* | 12,087 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
153 | Sealy Corp. | $ | 1,995 | ||||||||
69 | Shoe Carnival, Inc.* | 803 | |||||||||
289 | Sinclair Broadcast Group, Inc., Class A | 2,991 | |||||||||
787 | Six Flags, Inc.* | 1,842 | |||||||||
76 | Skyline Corp. | 2,576 | |||||||||
346 | Sonic Automotive, Inc., Class A | 7,996 | |||||||||
309 | Source Interlink Cos., Inc.* | 621 | |||||||||
218 | Spanish Broadcasting System, Inc., Class A* | 419 | |||||||||
155 | Speedway Motorsports, Inc. | 5,231 | |||||||||
484 | Stage Stores, Inc. | 8,189 | |||||||||
176 | Standard Motor Products, Inc. | 1,304 | |||||||||
722 | Standard-Pacific Corp. | 2,498 | |||||||||
317 | Steak N Shake Co. (The)* | 3,668 | |||||||||
259 | Stein Mart, Inc. | 1,404 | |||||||||
45 | Steiner Leisure Ltd.* | 1,921 | |||||||||
90 | Steinway Musical Instruments | 2,542 | |||||||||
115 | Steven Madden Ltd.* | 2,614 | |||||||||
1,059 | Stewart Enterprises, Inc., Class A | 8,684 | |||||||||
158 | Stoneridge, Inc.* | 1,315 | |||||||||
329 | Sun-Times Media Group, Inc.* | 329 | |||||||||
255 | Superior Industries International, Inc. | 4,723 | |||||||||
77 | Syms Corp. | 1,247 | |||||||||
47 | Syntax-Brillian Corp.* | 137 | |||||||||
49 | Systemax, Inc. | 968 | |||||||||
258 | Talbots, Inc. | 4,002 | |||||||||
155 | Tarragon Corp.* | 263 | |||||||||
399 | Tenneco, Inc.* | 11,806 | |||||||||
335 | Timberland Co., Class A* | 5,454 | |||||||||
13 | Town Sports International Holdings, Inc.* | 131 | |||||||||
347 | Trump Entertainment Resorts, Inc.* | 1,794 | |||||||||
335 | Tuesday Morning Corp. | 2,492 | |||||||||
346 | Tupperware Brands Corp. | 12,068 | |||||||||
160 | Unifirst Corp. | 5,979 | |||||||||
272 | Valassis Communications, Inc.* | 3,354 | |||||||||
54 | ValueVision Media, Inc., Class A* | 355 | |||||||||
703 | Visteon Corp.* | 3,093 | |||||||||
251 | Warnaco Group, Inc. (The)* | 9,262 | |||||||||
344 | WCI Communities, Inc.* | 1,156 | |||||||||
165 | West Marine, Inc.* | 1,457 | |||||||||
88 | Westwood One, Inc. | 168 | |||||||||
83 | Weyco Group, Inc. | 2,273 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
25 | Winnebago Industries | $ | 538 | ||||||||
280 | Wolverine World Wide, Inc. | 6,936 | |||||||||
546 | Zale Corp.* | 9,768 | |||||||||
778,968 | |||||||||||
Consumer Staples — 3.5% | |||||||||||
174 | Andersons, Inc. (The) | 7,381 | |||||||||
14 | Boston Beer Co., Inc., Class A* | 465 | |||||||||
131 | Cal-Maine Foods, Inc. | 3,227 | |||||||||
563 | Casey's General Stores, Inc. | 16,327 | |||||||||
58 | Central European Distribution Corp.* | 2,900 | |||||||||
779 | Central Garden and Pet Co., Class A* | 4,090 | |||||||||
20 | Chattem, Inc.* | 1,418 | |||||||||
473 | Chiquita Brands International, Inc.* | 9,077 | |||||||||
272 | Elizabeth Arden, Inc.* | 6,536 | |||||||||
75 | Farmer Bros. Co. | 1,724 | |||||||||
495 | Flowers Foods, Inc. | 11,499 | |||||||||
342 | Fresh Del Monte Produce, Inc.* | 10,575 | |||||||||
175 | Great Atlantic & Pacific Tea Co.* | 5,259 | |||||||||
443 | Hain Celestial Group, Inc.* | 14,654 | |||||||||
131 | Imperial Sugar Co. | 2,989 | |||||||||
20 | Ingles Markets, Inc., Class A | 476 | |||||||||
14 | Inter Parfums, Inc. | 256 | |||||||||
51 | J&J Snack Foods Corp. | 1,651 | |||||||||
22 | Lancaster Colony Corp. | 847 | |||||||||
249 | Lance, Inc. | 5,164 | |||||||||
20 | Longs Drug Stores Corp. | 1,058 | |||||||||
31 | Maui Land & Pineapple Co., Inc.* | 873 | |||||||||
101 | MGP Ingredients, Inc. | 830 | |||||||||
82 | Nash Finch Co. | 2,927 | |||||||||
188 | Nu Skin Enterprises, Inc., Class A | 3,326 | |||||||||
153 | Pantry, Inc. (The)* | 4,405 | |||||||||
394 | Performance Food Group Co.* | 10,910 | |||||||||
451 | Pilgrim's Pride Corp. | 11,762 | |||||||||
378 | Prestige Brands Holdings, Inc.* | 3,171 | |||||||||
102 | Pricesmart, Inc. | 3,043 | |||||||||
213 | Ralcorp Holdings, Inc.* | 13,076 | |||||||||
133 | Reddy Ice Holdings, Inc. | 3,470 | |||||||||
2,193 | Revlon, Inc., Class A* | 2,456 | |||||||||
458 | Ruddick Corp. | 16,392 | |||||||||
74 | Sanderson Farms, Inc. | 2,298 | |||||||||
4 | Seaboard Corp. | 6,036 | |||||||||
156 | Spartan Stores, Inc. | 3,510 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell 2000 Value (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
436 | Spectrum Brands, Inc.* | $ | 2,254 | ||||||||
36 | Tiens Biotech Group USA, Inc.* | 103 | |||||||||
305 | Tootsie Roll Industries, Inc. | 7,515 | |||||||||
348 | TreeHouse Foods, Inc.* | 8,202 | |||||||||
301 | Universal Corp. | 16,158 | |||||||||
127 | Vector Group Ltd. | 2,797 | |||||||||
34 | Village Super Market, Class A | 1,822 | |||||||||
119 | WD-40 Co. | 4,721 | |||||||||
138 | Weis Markets, Inc. | 5,647 | |||||||||
361 | Winn-Dixie Stores, Inc.* | 6,827 | |||||||||
252,104 | |||||||||||
Energy — 5.4% | |||||||||||
280 | Allis-Chalmers Energy, Inc.* | 4,242 | |||||||||
129 | Aventine Renewable Energy Holdings, Inc.* | 1,271 | |||||||||
123 | Basic Energy Services, Inc.* | 2,399 | |||||||||
265 | Berry Petroleum Co., Class A | 10,960 | |||||||||
72 | Bill Barrett Corp.* | 2,779 | |||||||||
27 | Bois d'Arc Energy, Inc.* | 529 | |||||||||
509 | Brigham Exploration Co.* | 3,517 | |||||||||
226 | Bristow Group, Inc.* | 12,430 | |||||||||
290 | Bronco Drilling Co., Inc.* | 4,164 | |||||||||
231 | Callon Petroleum Co.* | 3,453 | |||||||||
62 | Clayton Williams Energy, Inc.* | 1,783 | |||||||||
129 | Comstock Resources, Inc.* | 4,321 | |||||||||
48 | Concho Resources, Inc.* | 905 | |||||||||
7 | Dawson Geophysical Co.* | 469 | |||||||||
57 | Delek U.S. Holdings, Inc. | 1,051 | |||||||||
317 | Edge Petroleum Corp.* | 1,870 | |||||||||
593 | Encore Acquisition Co.* | 19,302 | |||||||||
315 | Energy Partners Ltd.* | 3,900 | |||||||||
602 | Evergreen Energy, Inc.* | 2,209 | |||||||||
688 | EXCO Resources, Inc.* | 9,618 | |||||||||
673 | Exterran Holdings, Inc.* | 53,867 | |||||||||
319 | General Maritime Corp. | 8,517 | |||||||||
202 | GeoMet, Inc.* | 982 | |||||||||
303 | Golar LNG Ltd. | 6,451 | |||||||||
1,899 | Grey Wolf, Inc.* | 9,647 | |||||||||
11 | Gulf Island Fabrication, Inc. | 350 | |||||||||
255 | Gulfmark Offshore, Inc.* | 11,332 | |||||||||
389 | Harvest Natural Resources, Inc.* | 5,069 | |||||||||
364 | Horizon Offshore, Inc.* | 6,166 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
256 | Hornbeck Offshore Services, Inc.* | $ | 10,540 | ||||||||
653 | International Coal Group, Inc.* | 3,272 | |||||||||
112 | Kayne Anderson Energy Development Co. | 2,592 | |||||||||
10 | Knightsbridge Tankers Ltd. | 252 | |||||||||
452 | Mariner Energy, Inc.* | 9,799 | |||||||||
242 | McMoRan Exploration Co.* | 2,846 | |||||||||
997 | Meridian Resource Corp.* | 1,735 | |||||||||
138 | Newpark Resources* | 742 | |||||||||
334 | Nordic American Tanker Shipping | 11,426 | |||||||||
549 | Oil States International, Inc.* | 17,409 | |||||||||
1,395 | Oilsands Quest, Inc.* | 6,277 | |||||||||
140 | Pacific Ethanol, Inc.* | 855 | |||||||||
251 | Parker Drilling Co.* | 1,795 | |||||||||
229 | Penn Virginia Corp. | 9,531 | |||||||||
915 | PetroHawk Energy Corp.* | 14,914 | |||||||||
143 | Petroleum Development Corp.* | 7,246 | |||||||||
74 | PHI, Inc. (Non-Voting)* | 2,360 | |||||||||
554 | Pioneer Drilling Co.* | 6,598 | |||||||||
54 | Rex Energy Corp.* | 534 | |||||||||
260 | Rosetta Resources, Inc.* | 4,758 | |||||||||
313 | Stone Energy Corp.* | 14,148 | |||||||||
185 | Sulphco, Inc.* | 981 | |||||||||
42 | Superior Offshore International, Inc.* | 259 | |||||||||
46 | Superior Well Services, Inc.* | 892 | |||||||||
333 | Swift Energy Co.* | 13,490 | |||||||||
4 | T-3 Energy Services, Inc.* | 202 | |||||||||
169 | Toreador Resources Corp.* | 1,102 | |||||||||
133 | Trico Marine Services, Inc.* | 4,704 | |||||||||
154 | Union Drilling, Inc.* | 1,956 | |||||||||
308 | Uranium Resources, Inc.* | 3,653 | |||||||||
55 | US BioEnergy Corp.* | 499 | |||||||||
1,198 | USEC, Inc.* | 9,836 | |||||||||
659 | Vaalco Energy, Inc.* | 2,873 | |||||||||
56 | VeraSun Energy Corp.* | 661 | |||||||||
33 | Warren Resources, Inc.* | 421 | |||||||||
469 | Whiting Petroleum Corp.* | 24,726 | |||||||||
76 | World Fuel Services Corp. | 2,405 | |||||||||
391,842 | |||||||||||
Financials — 30.4% | |||||||||||
154 | 1st Source Corp. | 3,102 | |||||||||
91 | Abington Bancorp, Inc. | 806 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
85 | ACA Capital Holdings, Inc.* | $ | 70 | ||||||||
59 | Advance America Cash Advance Centers, Inc. | 538 | |||||||||
214 | Advanta Corp., Class B | 2,142 | |||||||||
86 | Agree Realty Corp. (REIT) | 2,584 | |||||||||
190 | Alabama National Bancorporation | 14,685 | |||||||||
275 | Aldabra 2 Acquisition Corp.* | 2,621 | |||||||||
680 | Alesco Financial, Inc. (REIT) | 2,530 | |||||||||
177 | Alexandria Real Estate Equities, Inc. (REIT) | 17,387 | |||||||||
365 | Alfa Corp. | 7,888 | |||||||||
275 | Alternative Asset Management Acquisition Corp.* | 2,519 | |||||||||
258 | Amcore Financial, Inc. | 6,063 | |||||||||
302 | American Campus Communities, Inc. (REIT) | 7,810 | |||||||||
634 | American Equity Investment Life Holding Co. | 5,712 | |||||||||
1,453 | American Financial Realty Trust (REIT) | 11,726 | |||||||||
101 | American Physicians Capital, Inc. | 4,238 | |||||||||
192 | AmericanWest Bancorp | 3,485 | |||||||||
151 | Ameris Bancorp | 2,541 | |||||||||
210 | Amerisafe, Inc.* | 3,205 | |||||||||
228 | Ampal American Israel, Class A* | 1,484 | |||||||||
69 | Amtrust Financial Services, Inc. | 876 | |||||||||
218 | Anchor Bancorp Wisconsin, Inc. | 5,542 | |||||||||
715 | Anthracite Capital, Inc. (REIT) | 5,463 | |||||||||
509 | Anworth Mortgage Asset Corp. (REIT) | 3,573 | |||||||||
1,331 | Apollo Investment Corp. | 23,572 | |||||||||
151 | Arbor Realty Trust, Inc. (REIT) | 2,582 | |||||||||
775 | Ares Capital Corp. | 11,671 | |||||||||
327 | Argo Group International Holdings Ltd.* | 12,920 | |||||||||
1,181 | Ashford Hospitality Trust, Inc. (REIT) | 9,141 | |||||||||
983 | Aspen Insurance Holdings Ltd. | 28,310 | |||||||||
166 | Asset Acceptance Capital Corp. | 1,876 | |||||||||
756 | Assured Guaranty Ltd. | 17,063 | |||||||||
42 | Asta Funding, Inc. | 1,519 | |||||||||
91 | Baldwin & Lyons, Inc., Class B | 2,452 | |||||||||
89 | Bancfirst Corp. | 4,162 | |||||||||
303 | Banco Latinoamericano de Exportaciones S.A., Class E | 5,412 | |||||||||
120 | Bancorp, Inc.* | 1,939 | |||||||||
617 | Bank Mutual Corp. | 6,244 | |||||||||
28 | Bank of the Ozarks, Inc. | 815 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
466 | BankAtlantic Bancorp, Inc., Class A | $ | 1,794 | ||||||||
258 | BankFinancial Corp. | 4,079 | |||||||||
356 | BankUnited Financial Corp., Class A | 2,841 | |||||||||
173 | Banner Corp. | 5,183 | |||||||||
370 | Beneficial Mutual Bancorp, Inc.* | 3,607 | |||||||||
119 | Berkshire Hills Bancorp, Inc. | 2,888 | |||||||||
730 | BioMed Realty Trust, Inc. (REIT) | 16,483 | |||||||||
79 | BlackRock Kelso Capital Corp. | 1,128 | |||||||||
413 | Boston Private Financial Holdings, Inc. | 11,374 | |||||||||
703 | Brookline Bancorp, Inc. | 7,206 | |||||||||
78 | BRT Realty Trust (REIT) | 1,178 | |||||||||
223 | Calamos Asset Management, Inc., Class A | 6,603 | |||||||||
142 | Capital City Bank Group, Inc. | 4,122 | |||||||||
107 | Capital Corp. of the West | 2,011 | |||||||||
34 | Capital Southwest Corp. | 4,088 | |||||||||
152 | Capital Trust, Inc., Class A (REIT) | 4,676 | |||||||||
159 | Capitol Bancorp Ltd. | 3,186 | |||||||||
485 | CapLease, Inc. (REIT) | 4,268 | |||||||||
225 | Cascade Bancorp | 3,901 | |||||||||
18 | Cash America International, Inc. | 648 | |||||||||
88 | Castlepoint Holdings Ltd. | 1,035 | |||||||||
571 | Cathay General Bancorp | 16,548 | |||||||||
325 | CBRE Realty Finance, Inc. (REIT) | 2,308 | |||||||||
493 | Cedar Shopping Centers, Inc. (REIT) | 5,768 | |||||||||
616 | Centennial Bank Holdings, Inc.* | 3,111 | |||||||||
112 | Center Financial Corp. | 1,378 | |||||||||
253 | Centerline Holding Co. | 3,059 | |||||||||
343 | Central Pacific Financial Corp. | 6,932 | |||||||||
277 | Chemical Financial Corp. | 6,953 | |||||||||
514 | Chittenden Corp. | 18,005 | |||||||||
358 | Citizens, Inc./Texas* | 2,348 | |||||||||
844 | Citizens Republic Bancorp, Inc. | 12,002 | |||||||||
136 | City Bank | 2,829 | |||||||||
191 | City Holding Co. | 6,872 | |||||||||
111 | Clayton Holdings, Inc.* | 436 | |||||||||
133 | Clifton Savings Bancorp, Inc. | 1,410 | |||||||||
184 | CNA Surety Corp.* | 3,796 | |||||||||
101 | CoBiz Financial, Inc. | 1,650 | |||||||||
200 | Columbia Banking System, Inc. | 6,162 | |||||||||
545 | Commerce Group, Inc. | 19,593 | |||||||||
116 | Community Bancorp* | 2,091 | |||||||||
336 | Community Bank System, Inc. | 6,777 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell 2000 Value (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
277 | Community Banks, Inc. | $ | 8,155 | ||||||||
170 | Community Trust Bancorp, Inc. | 4,802 | |||||||||
236 | Compass Diversified Holdings | 3,514 | |||||||||
91 | CompuCredit Corp.* | 1,179 | |||||||||
392 | Corporate Office Properties Trust SBI MD (REIT) | 14,159 | |||||||||
434 | Corus Bankshares, Inc. | 4,119 | |||||||||
176 | Cowen Group, Inc.* | 1,888 | |||||||||
283 | Crawford & Co., Class B* | 1,132 | |||||||||
279 | Crystal River Capital, Inc. (REIT) | 3,942 | |||||||||
740 | CVB Financial Corp. | 8,229 | |||||||||
29 | Darwin Professional Underwriters, Inc.* | 667 | |||||||||
1,878 | DCT Industrial Trust, Inc. (REIT) | 18,949 | |||||||||
577 | Deerfield Triarc Capital Corp. (REIT) | 4,333 | |||||||||
484 | Delphi Financial Group, Inc. | 18,605 | |||||||||
184 | Delta Financial Corp. | 339 | |||||||||
1,054 | DiamondRock Hospitality Co. (REIT) | 18,255 | |||||||||
275 | Dime Community Bancshares | 3,732 | |||||||||
148 | Donegal Group, Inc., Class A | 2,500 | |||||||||
235 | Downey Financial Corp. | 9,778 | |||||||||
50 | EastGroup Properties, Inc. (REIT) | 2,307 | |||||||||
312 | Education Realty Trust, Inc. (REIT) | 3,741 | |||||||||
67 | EMC Insurance Group, Inc. | 1,631 | |||||||||
553 | Employers Holdings, Inc. | 9,838 | |||||||||
151 | Encore Capital Group, Inc.* | 1,551 | |||||||||
249 | Energy Infrastructure Acquisition Corp.* | 2,507 | |||||||||
32 | Enterprise Financial Services Corp. | 734 | |||||||||
313 | Entertainment Properties Trust (REIT) | 16,680 | |||||||||
406 | Equity One, Inc. (REIT) | 9,610 | |||||||||
96 | Evercore Partners, Inc., Class A | 2,013 | |||||||||
718 | Extra Space Storage, Inc. (REIT) | 10,239 | |||||||||
160 | FBL Financial Group, Inc., Class A | 5,931 | |||||||||
245 | FBR Capital Markets Corp.* | 2,467 | |||||||||
115 | Federal Agricultural Mortgage Corp., Class C | 3,129 | |||||||||
300 | Financial Federal Corp. | 6,627 | |||||||||
191 | First Acceptance Corp.* | 772 | |||||||||
134 | First Bancorp/NC | 2,561 | |||||||||
1,032 | First Bancorp/Puerto Rico | 6,749 | |||||||||
264 | First Busey Corp. | 5,515 | |||||||||
392 | First Charter Corp. | 11,807 | |||||||||
825 | First Commonwealth Financial Corp. | 9,603 | |||||||||
289 | First Community Bancorp, Inc./CA | 13,002 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
112 | First Community Bancshares, Inc./VA | $ | 3,596 | ||||||||
370 | First Financial Bancorp | 4,248 | |||||||||
218 | First Financial Bankshares, Inc. | 8,502 | |||||||||
147 | First Financial Corp./IN | 4,172 | |||||||||
133 | First Financial Holdings, Inc. | 3,646 | |||||||||
138 | First Indiana Corp. | 4,395 | |||||||||
198 | First Industrial Realty Trust, Inc. (REIT) | 7,231 | |||||||||
204 | First Merchants Corp. | 4,425 | |||||||||
62 | First Mercury Financial Corp.* | 1,316 | |||||||||
555 | First Midwest Bancorp, Inc./IL | 18,148 | |||||||||
1,130 | First Niagara Financial Group, Inc. | 14,046 | |||||||||
194 | First Place Financial Corp./OH | 2,801 | |||||||||
270 | First Potomac Realty Trust (REIT) | 5,092 | |||||||||
93 | First Regional Bancorp/CA* | 2,050 | |||||||||
228 | First State Bancorporation/NM | 3,333 | |||||||||
152 | FirstFed Financial Corp.* | 5,323 | |||||||||
897 | FirstMerit Corp. | 18,487 | |||||||||
496 | Flagstar Bancorp, Inc. | 3,125 | |||||||||
153 | Flagstone Reinsurance Holdings Ltd. | 2,165 | |||||||||
235 | Flushing Financial Corp. | 3,774 | |||||||||
673 | FNB Corp./PA | 10,438 | |||||||||
102 | Fpic Insurance Group, Inc.* | 4,358 | |||||||||
283 | Franklin Bank Corp./TX* | 1,203 | |||||||||
664 | Franklin Street Properties Corp. (REIT) | 10,989 | |||||||||
756 | Fremont General Corp. | 1,898 | |||||||||
1,565 | Friedman Billings Ramsey Group, Inc., Class A (REIT) | 4,679 | |||||||||
408 | Frontier Financial Corp. | 7,817 | |||||||||
46 | GAMCO Investors, Inc. | 2,452 | |||||||||
588 | Glacier Bancorp, Inc. | 11,707 | |||||||||
159 | Gladstone Capital Corp. | 3,115 | |||||||||
350 | GMH Communities Trust (REIT) | 2,044 | |||||||||
278 | Gramercy Capital Corp./ New York (REIT) | 6,611 | |||||||||
116 | Great Southern Bancorp, Inc. | 2,579 | |||||||||
127 | Green Bankshares, Inc. | 3,793 | |||||||||
106 | Greenlight Capital Re Ltd., Class A* | 2,303 | |||||||||
51 | Hallmark Financial Services* | 763 | |||||||||
298 | Hancock Holding Co. | 11,685 | |||||||||
453 | Hanmi Financial Corp. | 4,344 | |||||||||
165 | Harleysville Group, Inc. | 5,775 | |||||||||
323 | Harleysville National Corp. | 4,958 | |||||||||
565 | Healthcare Realty Trust, Inc. (REIT) | 14,368 | |||||||||
142 | Heartland Financial USA, Inc. | 2,839 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
361 | Hercules Technology Growth Capital, Inc. | $ | 4,263 | ||||||||
149 | Heritage Commerce Corp. | 2,652 | |||||||||
455 | Hersha Hospitality Trust (REIT) | 4,632 | |||||||||
183 | HFF, Inc., Class A* | 1,250 | |||||||||
186 | Highwoods Properties, Inc. (REIT) | 5,902 | |||||||||
384 | Hilb Rogal & Hobbs Co. | 16,416 | |||||||||
529 | Hilltop Holdings, Inc.* | 5,734 | |||||||||
128 | Home Bancshares, Inc./Conway, AR | 2,564 | |||||||||
85 | Home Properties, Inc. (REIT) | 3,841 | |||||||||
482 | Horace Mann Educators Corp. | 9,428 | |||||||||
137 | Horizon Financial Corp. | 2,358 | |||||||||
129 | IBERIABANK Corp. | 6,244 | |||||||||
849 | IMPAC Mortgage Holdings, Inc. (REIT) | 518 | |||||||||
61 | Imperial Capital Bancorp, Inc. | 1,391 | |||||||||
70 | Independence Holding Co. | 949 | |||||||||
252 | Independent Bank Corp./MI | 2,409 | |||||||||
158 | Independent Bank Corp./ Rockland, MA | 4,573 | |||||||||
182 | Infinity Property & Casualty Corp. | 7,114 | |||||||||
215 | Information Services Group, Inc.* | 1,447 | |||||||||
529 | Inland Real Estate Corp. (REIT) | 7,734 | |||||||||
232 | Integra Bank Corp. | 3,728 | |||||||||
248 | Interactive Brokers Group, Inc.* | 7,291 | |||||||||
571 | International Bancshares Corp. | 12,585 | |||||||||
569 | Investors Bancorp, Inc.* | 8,347 | |||||||||
538 | Investors Real Estate Trust (REIT) | 5,412 | |||||||||
674 | IPC Holdings Ltd. | 19,923 | |||||||||
210 | Irwin Financial Corp. | 1,707 | |||||||||
61 | James River Group, Inc. | 2,086 | |||||||||
140 | JER Investors Trust, Inc. (REIT) | 1,369 | |||||||||
4 | K-Fed Bancorp | 49 | |||||||||
52 | Kansas City Life Insurance Co. | 2,344 | |||||||||
307 | KBW, Inc.* | 8,105 | |||||||||
239 | Kearny Financial Corp. | 3,026 | |||||||||
218 | Kite Realty Group Trust (REIT) | 3,412 | |||||||||
308 | KNBT Bancorp, Inc. | 4,885 | |||||||||
637 | Knight Capital Group, Inc., Class A* | 8,504 | |||||||||
159 | Kohlberg Capital Corp. | 1,668 | |||||||||
593 | LaBranche & Co., Inc.* | 3,149 | |||||||||
224 | Lakeland Bancorp, Inc. | 2,578 | |||||||||
136 | Lakeland Financial Corp. | 2,576 | |||||||||
174 | LandAmerica Financial Group, Inc. | 4,580 | |||||||||
447 | LaSalle Hotel Properties (REIT) | 16,628 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
738 | Lexington Realty Trust (REIT) | $ | 13,055 | ||||||||
264 | LTC Properties, Inc. (REIT) | 6,215 | |||||||||
483 | Luminent Mortgage Capital, Inc. (REIT) | 497 | |||||||||
173 | Macatawa Bank Corp. | 1,727 | |||||||||
238 | Maguire Properties, Inc. (REIT) | 6,017 | |||||||||
209 | MainSource Financial Group, Inc. | 3,148 | |||||||||
422 | Marathon Acquisition Corp.* | 3,338 | |||||||||
673 | Max Capital Group Ltd. | 19,053 | |||||||||
407 | MB Financial, Inc. | 12,902 | |||||||||
697 | MCG Capital Corp. | 7,876 | |||||||||
357 | Meadowbrook Insurance Group, Inc.* | 3,281 | |||||||||
553 | Medical Properties Trust, Inc. (REIT) | 6,205 | |||||||||
510 | Meruelo Maddux Properties, Inc.* | 2,142 | |||||||||
1,360 | MFA Mortgage Investments, Inc. (REIT) | 11,941 | |||||||||
110 | Midland Co. (The) | 7,036 | |||||||||
246 | Midwest Banc Holdings, Inc. | 3,100 | |||||||||
219 | Mission West Properties (REIT) | 2,243 | |||||||||
1,147 | Montpelier Re Holdings Ltd. | 19,866 | |||||||||
271 | MVC Capital, Inc. | 4,355 | |||||||||
249 | Nara Bancorp, Inc. | 3,322 | |||||||||
42 | NASB Financial, Inc. | 1,258 | |||||||||
138 | National Financial Partners Corp. | 6,265 | |||||||||
242 | National Health Investors, Inc. (REIT) | 6,878 | |||||||||
44 | National Interstate Corp. | 1,449 | |||||||||
547 | National Penn Bancshares, Inc. | 8,593 | |||||||||
798 | National Retail Properties, Inc. (REIT) | 19,543 | |||||||||
25 | National Western Life Insurance Co., Class A | 5,024 | |||||||||
111 | Nationwide Health Properties, Inc. (REIT) | 3,472 | |||||||||
146 | Navigators Group, Inc.* | 8,570 | |||||||||
360 | NBT Bancorp, Inc. | 8,975 | |||||||||
180 | Nelnet, Inc., Class A | 2,482 | |||||||||
659 | NewAlliance Bancshares, Inc. | 8,501 | |||||||||
463 | Newcastle Investment Corp. (REIT) | 6,024 | |||||||||
77 | NewStar Financial, Inc.* | 707 | |||||||||
195 | NGP Capital Resources Co. | 2,861 | |||||||||
684 | NorthStar Realty Finance Corp. (REIT) | 6,272 | |||||||||
204 | Northwest Bancorp, Inc. | 5,659 | |||||||||
106 | Novastar Financial, Inc. (REIT) | 209 | |||||||||
274 | NTR Acquisition Co.* | 2,628 | |||||||||
65 | NYMAGIC, Inc. | 1,448 | |||||||||
396 | Ocwen Financial Corp.* | 2,218 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell 2000 Value (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
316 | Odyssey Re Holdings Corp. | $ | 12,179 | ||||||||
741 | Old National Bancorp/IN | 11,841 | |||||||||
135 | Old Second Bancorp, Inc. | 3,576 | |||||||||
141 | Omega Financial Corp. | 4,364 | |||||||||
231 | Oriental Financial Group | 3,114 | |||||||||
75 | Oritani Financial Corp.* | 968 | |||||||||
524 | Pacific Capital Bancorp | 10,768 | |||||||||
135 | Park National Corp. | 10,202 | |||||||||
177 | Parkway Properties, Inc. (REIT) | 7,004 | |||||||||
486 | Partners Trust Financial Group, Inc. | 6,196 | |||||||||
230 | Patriot Capital Funding, Inc. | 2,466 | |||||||||
62 | PennantPark Investment Corp. | 712 | |||||||||
358 | Pennsylvania Real Estate Investment Trust (REIT) | 12,362 | |||||||||
9 | Penson Worldwide, Inc.* | 138 | |||||||||
117 | Peoples Bancorp, Inc./OH | 2,830 | |||||||||
252 | PFF Bancorp, Inc. | 2,369 | |||||||||
1,273 | Phoenix Cos., Inc. (The) | 15,301 | |||||||||
170 | Pico Holdings, Inc.* | 6,543 | |||||||||
78 | Pinnacle Financial Partners, Inc.* | 2,272 | |||||||||
195 | Piper Jaffray Cos.* | 9,032 | |||||||||
668 | Platinum Underwriters Holdings Ltd. | 24,262 | |||||||||
364 | PMA Capital Corp., Class A* | 3,181 | |||||||||
405 | Post Properties, Inc. (REIT) | 14,706 | |||||||||
435 | Potlatch Corp. (REIT) | 19,971 | |||||||||
88 | Preferred Bank/California | 2,352 | |||||||||
241 | Presidential Life Corp. | 4,155 | |||||||||
405 | Primus Guaranty Ltd.* | 2,588 | |||||||||
77 | PrivateBancorp, Inc. | 2,357 | |||||||||
372 | ProAssurance Corp.* | 20,400 | |||||||||
262 | Prospect Capital Corp. | 3,673 | |||||||||
396 | Prosperity Bancshares, Inc. | 12,727 | |||||||||
360 | Provident Bankshares Corp. | 8,442 | |||||||||
689 | Provident Financial Services, Inc. | 10,239 | |||||||||
473 | Provident New York Bancorp | 5,771 | |||||||||
20 | QC Holdings, Inc. | 278 | |||||||||
112 | Quadra Realty Trust, Inc. (REIT) | 810 | |||||||||
706 | RAIT Financial Trust (REIT) | 6,107 | |||||||||
203 | RAM Holdings Ltd.* | 1,177 | |||||||||
74 | Ramco-Gershenson Properties Trust (REIT) | 1,872 | |||||||||
1,127 | Realty Income Corp. (REIT) | 32,119 | |||||||||
236 | Redwood Trust, Inc. (REIT) | 7,205 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
236 | Renasant Corp. | $ | 4,604 | ||||||||
106 | Republic Bancorp, Inc.,/Kentucky, Class A | 1,723 | |||||||||
147 | Resource America, Inc., Class A | 2,384 | |||||||||
246 | Resource Capital Corp. (REIT) | 2,349 | |||||||||
235 | RLI Corp. | 14,013 | |||||||||
99 | Rockville Financial, Inc. | 1,353 | |||||||||
113 | Roma Financial Corp. | 1,814 | |||||||||
61 | Royal Bancshares of Pennsylvania | 730 | |||||||||
277 | S & T Bancorp, Inc. | 8,872 | |||||||||
181 | Safety Insurance Group, Inc. | 6,608 | |||||||||
207 | Sanders Morris Harris Group, Inc. | 2,014 | |||||||||
176 | Sandy Spring Bancorp, Inc. | 5,167 | |||||||||
49 | Santander BanCorp. | 479 | |||||||||
102 | SCBT Financial Corp. | 3,162 | |||||||||
758 | Scottish Re Group Ltd.* | 872 | |||||||||
232 | SeaBright Insurance Holdings, Inc.* | 3,598 | |||||||||
165 | Seacoast Banking Corp. of Florida | 2,071 | |||||||||
182 | Security Bank Corp./Georgia | 2,051 | |||||||||
266 | Security Capital Assurance Ltd. | 1,883 | |||||||||
612 | Selective Insurance Group | 14,437 | |||||||||
933 | Senior Housing Properties Trust (REIT) | 20,610 | |||||||||
17 | Signature Bank/New York* | 630 | |||||||||
158 | Simmons First National Corp., Class A | 4,122 | |||||||||
827 | South Financial Group, Inc. (The) | 14,820 | |||||||||
115 | Southside Bancshares, Inc. | 2,202 | |||||||||
159 | Southwest Bancorp, Inc./OK | 2,854 | |||||||||
242 | Sovran Self Storage, Inc. (REIT) | 10,578 | |||||||||
210 | Star Maritime Acquisition Corp.* | 3,112 | |||||||||
161 | State Auto Financial Corp. | 4,489 | |||||||||
208 | Sterling Bancorp/NY | 2,779 | |||||||||
830 | Sterling Bancshares, Inc./TX | 10,242 | |||||||||
294 | Sterling Financial Corp./PA | 5,042 | |||||||||
572 | Sterling Financial Corp./WA | 10,256 | |||||||||
192 | Stewart Information Services Corp. | 5,197 | |||||||||
829 | Strategic Hotels & Resorts, Inc. (REIT) | 15,179 | |||||||||
55 | Stratus Properties, Inc.* | 1,727 | |||||||||
19 | Suffolk Bancorp | 586 | |||||||||
175 | Sun Bancorp, Inc./NJ* | 2,949 | |||||||||
697 | Sunstone Hotel Investors, Inc. (REIT) | 16,170 | |||||||||
218 | Superior Bancorp* | 1,306 | |||||||||
949 | Susquehanna Bancshares, Inc. | 18,876 | |||||||||
310 | SVB Financial Group* | 15,959 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
218 | SWS Group, Inc. | $ | 2,956 | ||||||||
137 | SY Bancorp, Inc. | 3,241 | |||||||||
65 | Taylor Capital Group, Inc. | 1,439 | |||||||||
238 | Technology Investment Capital Corp. | 2,487 | |||||||||
230 | Texas Capital Bancshares, Inc.* | 4,848 | |||||||||
241 | Thomas Weisel Partners Group, Inc.* | 3,311 | |||||||||
201 | TierOne Corp. | 4,703 | |||||||||
73 | Tompkins Financial Corp. | 3,106 | |||||||||
128 | Triad Guaranty, Inc.* | 1,102 | |||||||||
156 | Trico Bancshares | 3,309 | |||||||||
546 | Trustmark Corp. | 13,901 | |||||||||
517 | U-Store-It Trust (REIT) | 5,196 | |||||||||
1,114 | UCBH Holdings, Inc. | 17,913 | |||||||||
345 | UMB Financial Corp. | 12,979 | |||||||||
683 | Umpqua Holdings Corp. | 11,024 | |||||||||
149 | Union Bankshares Corp./VA | 3,086 | |||||||||
275 | United America Indemnity Ltd., Class A* | 5,445 | |||||||||
401 | United Bankshares, Inc. | 12,463 | |||||||||
464 | United Community Banks, Inc./GA | 8,797 | |||||||||
299 | United Community Financial Corp./OH | 1,695 | |||||||||
244 | United Fire & Casualty Co. | 7,520 | |||||||||
88 | Universal Health Realty Income Trust (REIT) | 2,895 | |||||||||
145 | Univest Corp. of Pennsylvania | 3,089 | |||||||||
236 | Urstadt Biddle Properties, Inc., Class A (REIT) | 3,984 | |||||||||
126 | USB Holding Co., Inc. | 2,656 | |||||||||
157 | Validus Holdings Ltd.* | 3,909 | |||||||||
129 | ViewPoint Financial Group | 2,300 | |||||||||
27 | Virginia Commerce Bancorp* | 338 | |||||||||
1,273 | W Holding Co., Inc. | 1,489 | |||||||||
153 | Waddell & Reed Financial, Inc. | 5,230 | |||||||||
127 | Washington Trust Bancorp, Inc. | 3,156 | |||||||||
100 | Wauwatosa Holdings, Inc.* | 1,334 | |||||||||
233 | WesBanco, Inc. | 5,587 | |||||||||
175 | West Coast Bancorp/OR | 3,493 | |||||||||
247 | Westamerica Bancorporation | 11,611 | |||||||||
80 | Western Alliance Bancorp* | 1,765 | |||||||||
115 | Westfield Financial, Inc. | 1,111 | |||||||||
170 | Wilshire Bancorp, Inc. | 1,584 | |||||||||
564 | Winthrop Realty Trust (REIT) | 3,012 | |||||||||
269 | Wintrust Financial Corp. | 9,501 | |||||||||
133 | WP Stewart & Co., Ltd. | 757 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
70 | WSFS Financial Corp. | $ | 3,912 | ||||||||
413 | Zenith National Insurance Corp. | 17,358 | |||||||||
2,209,295 | |||||||||||
Health Care — 5.4% | |||||||||||
163 | Albany Molecular Research, Inc.* | 2,153 | |||||||||
115 | Alliance Imaging, Inc.* | 1,098 | |||||||||
484 | Alpharma, Inc., Class A* | 10,164 | |||||||||
17 | Amedisys, Inc.* | 725 | |||||||||
9 | American Dental Partners, Inc.* | 179 | |||||||||
588 | AMERIGROUP Corp.* | 20,210 | |||||||||
8 | Amicus Therapeutics, Inc.* | 122 | |||||||||
341 | Amsurg Corp.* | 8,818 | |||||||||
148 | Analogic Corp. | 7,965 | |||||||||
129 | Angiodynamics, Inc.* | 2,504 | |||||||||
53 | Animal Health International, Inc.* | 636 | |||||||||
879 | Applera Corp.- Celera Group* | 13,290 | |||||||||
287 | Apria Healthcare Group, Inc.* | 6,219 | |||||||||
805 | Arena Pharmaceuticals, Inc.* | 7,044 | |||||||||
323 | Ariad Pharmaceuticals, Inc.* | 1,454 | |||||||||
478 | Assisted Living Concepts, Inc., Class A* | 3,289 | |||||||||
101 | Bentley Pharmaceuticals, Inc.* | 1,272 | |||||||||
83 | Bionovo, Inc.* | 156 | |||||||||
208 | Bio-Rad Laboratories, Inc., Class A* | 20,989 | |||||||||
100 | Bradley Pharmaceuticals, Inc.* | 1,969 | |||||||||
320 | Cambrex Corp. | 2,477 | |||||||||
128 | Cantel Medical Corp.* | 2,264 | |||||||||
191 | Capital Senior Living Corp.* | 1,568 | |||||||||
148 | Centene Corp.* | 3,700 | |||||||||
19 | Chemed Corp. | 1,029 | |||||||||
30 | Computer Programs & Systems, Inc. | 668 | |||||||||
316 | Conmed Corp.* | 7,862 | |||||||||
329 | Cross Country Healthcare, Inc.* | 4,790 | |||||||||
106 | Cytokinetics, Inc.* | 515 | |||||||||
143 | Datascope Corp. | 5,232 | |||||||||
66 | Emergent Biosolutions, Inc.* | 369 | |||||||||
63 | Emeritus Corp.* | 1,588 | |||||||||
69 | Enzon Pharmaceuticals, Inc.* | 653 | |||||||||
213 | Gentiva Health Services, Inc.* | 3,847 | |||||||||
31 | Greatbatch, Inc.* | 638 | |||||||||
22 | Haemonetics Corp.* | 1,276 | |||||||||
20 | Hansen Medical, Inc.* | 590 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell 2000 Value (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
878 | Healthsouth Corp.* | $ | 17,411 | ||||||||
201 | Healthspring, Inc.* | 3,799 | |||||||||
47 | ICU Medical, Inc.* | 1,745 | |||||||||
91 | Immunomedics, Inc.* | 206 | |||||||||
378 | Incyte Corp.* | 3,243 | |||||||||
61 | Indevus Pharmaceuticals, Inc.* | 457 | |||||||||
17 | Insulet Corp.* | 467 | |||||||||
47 | InterMune, Inc.* | 763 | |||||||||
321 | Invacare Corp. | 8,346 | |||||||||
453 | Inverness Medical Innovations, Inc.* | 26,582 | |||||||||
471 | Isis Pharmaceuticals, Inc.* | 8,332 | |||||||||
6 | Jazz Pharmaceuticals, Inc.* | 93 | |||||||||
34 | Kensey Nash Corp.* | 917 | |||||||||
320 | Kindred Healthcare, Inc.* | 7,862 | |||||||||
48 | Landauer, Inc. | 2,410 | |||||||||
367 | Magellan Health Services, Inc.* | 16,680 | |||||||||
589 | MannKind Corp.* | 5,537 | |||||||||
360 | Martek Biosciences Corp.* | 9,310 | |||||||||
19 | Masimo Corp.* | 702 | |||||||||
47 | Matria Healthcare, Inc.* | 1,068 | |||||||||
272 | Maxygen, Inc.* | 2,059 | |||||||||
78 | Medcath Corp.* | 1,983 | |||||||||
25 | Medical Action Industries, Inc.* | 500 | |||||||||
264 | Merit Medical Systems, Inc.* | 3,836 | |||||||||
5 | Molecular Insight Pharmaceuticals, Inc.* | 44 | |||||||||
152 | Molina Healthcare, Inc.* | 5,698 | |||||||||
149 | Momenta Pharmaceuticals, Inc.* | 796 | |||||||||
390 | Nabi Biopharmaceuticals* | 1,287 | |||||||||
28 | National Healthcare Corp. | 1,375 | |||||||||
200 | Neurocrine Biosciences, Inc.* | 2,604 | |||||||||
350 | Odyssey HealthCare, Inc.* | 3,500 | |||||||||
11 | Orexigen Therapeutics, Inc.* | 145 | |||||||||
76 | Orthofix International N.V.* | 4,439 | |||||||||
371 | Owens & Minor, Inc. | 14,569 | |||||||||
39 | Par Pharmaceutical Cos., Inc.* | 750 | |||||||||
406 | Perrigo Co. | 12,545 | |||||||||
108 | PharmaNet Development Group, Inc.* | 4,266 | |||||||||
220 | PharMerica Corp.* | 3,241 | |||||||||
74 | PRA International* | 2,242 | |||||||||
31 | Providence Service Corp. (The)* | 867 | |||||||||
195 | RehabCare Group, Inc.* | 4,504 | |||||||||
272 | Res-Care, Inc.* | 6,196 | |||||||||
45 | Rigel Pharmaceuticals, Inc.* | 322 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
58 | Salix Pharmaceuticals Ltd.* | $ | 659 | ||||||||
61 | Sciele Pharma, Inc.* | 1,362 | |||||||||
6 | Sirtris Pharmaceuticals, Inc.* | 97 | |||||||||
116 | Skilled Healthcare Group, Inc.* | 1,757 | |||||||||
392 | STERIS Corp. | 10,960 | |||||||||
7 | Sucampo Pharmaceuticals, Inc., Class A* | 93 | |||||||||
74 | Sunrise Senior Living, Inc.* | 2,323 | |||||||||
358 | Symmetry Medical, Inc.* | 6,029 | |||||||||
41 | Telik, Inc.* | 137 | |||||||||
16 | TomoTherapy, Inc.* | 298 | |||||||||
418 | Universal American Financial Corp.* | 9,965 | |||||||||
143 | Varian, Inc.* | 10,017 | |||||||||
90 | Viropharma, Inc.* | 805 | |||||||||
10 | Vital Images, Inc.* | 180 | |||||||||
11 | Vital Signs, Inc. | 582 | |||||||||
21 | Wright Medical Group, Inc.* | 567 | |||||||||
207 | XOMA Ltd.* | 745 | |||||||||
56 | Zoll Medical Corp.* | 1,304 | |||||||||
390,900 | |||||||||||
Industrials — 11.9% | |||||||||||
28 | AAR Corp.* | 925 | |||||||||
447 | ABM Industries, Inc. | 9,119 | |||||||||
654 | ABX Air, Inc.* | 2,910 | |||||||||
444 | ACCO Brands Corp.* | 7,419 | |||||||||
263 | Accuride Corp.* | 1,996 | |||||||||
76 | Actuant Corp., Class A | 2,407 | |||||||||
140 | Acuity Brands, Inc. | 5,529 | |||||||||
108 | Aecom Technology Corp.* | 2,872 | |||||||||
451 | Alaska Air Group, Inc.* | 11,424 | |||||||||
327 | Albany International Corp. | 12,645 | |||||||||
112 | Amerco, Inc.* | 7,333 | |||||||||
13 | American Ecology Corp. | 289 | |||||||||
121 | American Woodmark Corp. | 2,344 | |||||||||
93 | Ameron International Corp. | 9,838 | |||||||||
74 | Ampco-Pittsburgh Corp. | 2,606 | |||||||||
12 | Amrep Corp. | 397 | |||||||||
229 | AO Smith Corp. | 8,104 | |||||||||
397 | Applied Industrial Technologies, Inc. | 11,993 | |||||||||
89 | Argon ST, Inc.* | 1,622 | |||||||||
252 | Arkansas Best Corp. | 5,746 | |||||||||
92 | ASV, Inc.* | 1,073 | |||||||||
149 | Atlas Air Worldwide Holdings, Inc.* | 7,845 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
24 | Badger Meter, Inc. | $ | 936 | ||||||||
47 | Barnes Group, Inc. | 1,455 | |||||||||
27 | Barrett Business Services, Inc. | 442 | |||||||||
45 | Beacon Roofing Supply, Inc.* | 414 | |||||||||
424 | Blount International, Inc.* | 5,203 | |||||||||
128 | BlueLinx Holdings, Inc. | 525 | |||||||||
308 | Bowne & Co., Inc. | 5,563 | |||||||||
562 | Brady Corp., Class A | 22,497 | |||||||||
552 | Briggs & Stratton Corp. | 12,586 | |||||||||
158 | Builders FirstSource, Inc.* | 1,093 | |||||||||
107 | Cascade Corp. | 6,455 | |||||||||
254 | Casella Waste Systems, Inc.* | 3,802 | |||||||||
381 | CBIZ, Inc.* | 3,520 | |||||||||
113 | CDI Corp. | 3,014 | |||||||||
89 | Ceradyne, Inc.* | 4,400 | |||||||||
54 | Chart Industries, Inc.* | 1,501 | |||||||||
183 | CIRCOR International, Inc. | 7,940 | |||||||||
288 | Clarcor, Inc. | 10,256 | |||||||||
93 | Columbus McKinnon Corp./NY* | 2,894 | |||||||||
407 | Comfort Systems USA, Inc. | 4,782 | |||||||||
239 | Commercial Vehicle Group, Inc.* | 3,186 | |||||||||
14 | Compx International, Inc. | 197 | |||||||||
16 | Consolidated Graphics, Inc.* | 828 | |||||||||
119 | Cornell Cos., Inc.* | 2,799 | |||||||||
32 | Courier Corp. | 1,052 | |||||||||
14 | CRA International, Inc.* | 648 | |||||||||
62 | Cubic Corp. | 2,448 | |||||||||
261 | Curtiss-Wright Corp. | 14,078 | |||||||||
579 | Deluxe Corp. | 18,291 | |||||||||
239 | Dollar Thrifty Automotive Group* | 6,200 | |||||||||
241 | DynCorp International, Inc., Class A* | 5,037 | |||||||||
381 | Eagle Bulk Shipping, Inc. | 10,897 | |||||||||
183 | EDO Corp. | 10,215 | |||||||||
193 | Electro Rent Corp. | 2,640 | |||||||||
711 | EMCOR Group, Inc.* | 18,941 | |||||||||
260 | Encore Wire Corp. | 4,446 | |||||||||
239 | EnerSys* | 5,562 | |||||||||
285 | Ennis, Inc. | 5,233 | |||||||||
239 | EnPro Industries, Inc.* | 7,313 | |||||||||
261 | Esterline Technologies Corp.* | 13,629 | |||||||||
44 | Exponent, Inc.* | 1,225 | |||||||||
554 | ExpressJet Holdings, Inc.* | 1,385 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
535 | Federal Signal Corp. | $ | 6,153 | ||||||||
30 | First Advantage Corp., Class A* | 546 | |||||||||
75 | Forward Air Corp. | 2,428 | |||||||||
128 | FreightCar America, Inc. | 4,348 | |||||||||
240 | G&K Services, Inc., Class A | 9,761 | |||||||||
117 | Gehl Co.* | 1,897 | |||||||||
211 | Genco Shipping & Trading Ltd. | 13,356 | |||||||||
164 | Genesee & Wyoming, Inc.* | 4,297 | |||||||||
57 | GeoEye, Inc.* | 1,808 | |||||||||
279 | Gibraltar Industries, Inc. | 3,900 | |||||||||
77 | Goodman Global, Inc.* | 1,821 | |||||||||
1,163 | GrafTech International Ltd.* | 18,689 | |||||||||
171 | Granite Construction, Inc. | 7,014 | |||||||||
18 | Great Lakes Dredge & Dock Corp. | 160 | |||||||||
178 | Greenbrier Cos., Inc. | 3,948 | |||||||||
333 | Griffon Corp.* | 4,302 | |||||||||
124 | Hardinge, Inc. | 1,955 | |||||||||
433 | Heartland Express, Inc. | 6,292 | |||||||||
12 | Heidrick & Struggles International, Inc. | 435 | |||||||||
36 | ICT Group, Inc.* | 399 | |||||||||
1,199 | IKON Office Solutions, Inc. | 15,143 | |||||||||
304 | Insituform Technologies, Inc.* | 3,949 | |||||||||
109 | Insteel Industries, Inc. | 1,239 | |||||||||
76 | Integrated Electrical Services, Inc.* | 1,427 | |||||||||
185 | Interline Brands, Inc.* | 4,427 | |||||||||
1,717 | JetBlue Airways Corp.* | 12,019 | |||||||||
147 | Kadant, Inc.* | 4,331 | |||||||||
180 | Kaman Corp. | 5,742 | |||||||||
56 | Kaydon Corp. | 2,834 | |||||||||
204 | Kelly Services, Inc., Class A | 3,886 | |||||||||
77 | Kforce, Inc.* | 835 | |||||||||
97 | Korn/Ferry International* | 1,671 | |||||||||
10 | L.B. Foster Co., Class A* | 458 | |||||||||
100 | Ladish Co., Inc.* | 4,416 | |||||||||
47 | Lawson Products | 1,590 | |||||||||
157 | LECG Corp.* | 2,490 | |||||||||
79 | Lindsay Corp. | 4,181 | |||||||||
205 | LSI Industries, Inc. | 4,235 | |||||||||
170 | Marten Transport Ltd.* | 1,863 | |||||||||
82 | Miller Industries, Inc.* | 1,068 | |||||||||
196 | Mine Safety Appliances Co. | 9,606 | |||||||||
81 | Mobile Mini, Inc.* | 1,557 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell 2000 Value (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
317 | Moog, Inc., Class A* | $ | 14,290 | ||||||||
78 | MTC Technologies, Inc.* | 1,275 | |||||||||
413 | Mueller Industries, Inc. | 12,485 | |||||||||
1,280 | Mueller Water Products, Inc., Class A | 13,402 | |||||||||
10 | Multi-Color Corp. | 239 | |||||||||
65 | NACCO Industries, Inc., Class A | 6,591 | |||||||||
160 | Navigant Consulting, Inc.* | 2,077 | |||||||||
192 | NCI Building Systems, Inc.* | 6,591 | |||||||||
90 | Nordson Corp. | 4,752 | |||||||||
100 | Northwest Pipe Co.* | 3,327 | |||||||||
39 | Nuco2, Inc.* | 1,076 | |||||||||
22 | Old Dominion Freight Line, Inc.* | 496 | |||||||||
308 | On Assignment, Inc.* | 1,968 | |||||||||
102 | Orbital Sciences Corp.* | 2,454 | |||||||||
264 | Pacer International, Inc. | 3,633 | |||||||||
89 | Park-Ohio Holdings Corp.* | 2,095 | |||||||||
18 | Patriot Transportation Holding, Inc.* | 1,690 | |||||||||
128 | PeopleSupport, Inc.* | 1,798 | |||||||||
69 | Perini Corp.* | 3,670 | |||||||||
82 | PGT, Inc.* | 453 | |||||||||
597 | PHH Corp.* | 13,230 | |||||||||
46 | Pike Electric Corp.* | 731 | |||||||||
104 | Polypore International, Inc.* | 1,811 | |||||||||
30 | Powell Industries, Inc.* | 1,226 | |||||||||
783 | Power-One, Inc.* | 3,657 | |||||||||
28 | Preformed Line Products Co. | 1,508 | |||||||||
13 | Protection One, Inc.* | 152 | |||||||||
356 | Regal-Beloit Corp. | 16,761 | |||||||||
376 | Republic Airways Holdings, Inc.* | 7,550 | |||||||||
157 | Robbins & Myers, Inc. | 10,755 | |||||||||
105 | RSC Holdings, Inc.* | 1,289 | |||||||||
370 | Rush Enterprises, Inc., Class A* | 5,831 | |||||||||
132 | Saia, Inc.* | 1,721 | |||||||||
147 | Schawk, Inc. | 2,112 | |||||||||
190 | School Specialty, Inc.* | 6,781 | |||||||||
81 | Sequa Corp., Class A* | 14,171 | |||||||||
217 | Simpson Manufacturing Co., Inc. | 5,774 | |||||||||
679 | Skywest, Inc. | 17,865 | |||||||||
314 | Spherion Corp.* | 2,443 | |||||||||
23 | Standard Parking Corp.* | 1,067 | |||||||||
154 | Standard Register Co. (The) | 1,859 | |||||||||
139 | Standex International Corp. | 2,652 | |||||||||
228 | Superior Essex, Inc.* | 5,531 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
163 | TAL International Group, Inc. | $ | 3,692 | ||||||||
54 | TBS International Ltd., Class A* | 2,358 | |||||||||
173 | Tecumseh Products Co., Class A* | 4,112 | |||||||||
60 | Teledyne Technologies, Inc.* | 3,253 | |||||||||
91 | Tennant Co. | 3,989 | |||||||||
261 | Tetra Tech, Inc.* | 5,408 | |||||||||
333 | Tredegar Corp. | 4,815 | |||||||||
117 | Trex Co., Inc.* | 806 | |||||||||
157 | Trimas Corp.* | 1,743 | |||||||||
143 | Triumph Group, Inc. | 11,620 | |||||||||
242 | UAP Holding Corp. | 7,238 | |||||||||
111 | Ultrapetrol Bahamas Ltd.* | 1,928 | |||||||||
102 | United Stationers, Inc.* | 5,167 | |||||||||
186 | Universal Forest Products, Inc. | 5,321 | |||||||||
36 | Universal Truckload Services, Inc.* | 628 | |||||||||
235 | Viad Corp. | 7,287 | |||||||||
158 | Volt Information Sciences, Inc.* | 2,010 | |||||||||
340 | Wabash National Corp. | 2,349 | |||||||||
218 | Waste Connections, Inc.* | 6,939 | |||||||||
217 | Waste Services, Inc.* | 2,005 | |||||||||
18 | Watsco, Inc. | 653 | |||||||||
362 | Watson Wyatt Worldwide, Inc., Class A | 16,670 | |||||||||
350 | Watts Water Technologies, Inc., Class A | 10,241 | |||||||||
519 | Werner Enterprises, Inc. | 9,108 | |||||||||
117 | Xerium Technologies, Inc. | 696 | |||||||||
865,315 | |||||||||||
Information Technology — 12.1% | |||||||||||
4,340 | 3Com Corp.* | 18,705 | |||||||||
291 | Actel Corp.* | 3,189 | |||||||||
1,320 | Adaptec, Inc.* | 4,422 | |||||||||
317 | Adtran, Inc. | 6,876 | |||||||||
294 | Agilysys, Inc. | 4,084 | |||||||||
42 | Airvana, Inc.* | 265 | |||||||||
168 | Anaren, Inc.* | 2,587 | |||||||||
1,737 | Andrew Corp.* | 25,464 | |||||||||
58 | Anixter International, Inc.* | 3,741 | |||||||||
1,952 | Applied Micro Circuits Corp.* | 4,900 | |||||||||
874 | Ariba, Inc.* | 10,374 | |||||||||
84 | Arris Group, Inc.* | 876 | |||||||||
37 | Aruba Networks, Inc.* | 516 | |||||||||
353 | AsiaInfo Holdings, Inc.* | 4,165 | |||||||||
56 | Asyst Technologies, Inc.* | 193 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
52 | ATMI, Inc.* | $ | 1,565 | ||||||||
30 | AuthenTec, Inc.* | 513 | |||||||||
461 | Avid Technology, Inc.* | 12,230 | |||||||||
563 | Avocent Corp.* | 14,019 | |||||||||
1,134 | Axcelis Technologies, Inc.* | 5,375 | |||||||||
2,248 | BearingPoint, Inc.* | 8,205 | |||||||||
133 | Bel Fuse, Inc., Class B | 3,979 | |||||||||
653 | Benchmark Electronics, Inc.* | 11,721 | |||||||||
194 | Black Box Corp. | 7,139 | |||||||||
77 | Blackbaud, Inc. | 2,191 | |||||||||
19 | BladeLogic, Inc.* | 465 | |||||||||
811 | Borland Software Corp.* | 2,620 | |||||||||
242 | Bottomline Technologies, Inc.* | 3,049 | |||||||||
59 | Brightpoint, Inc.* | 980 | |||||||||
710 | Brooks Automation, Inc.* | 9,535 | |||||||||
51 | Cabot Microelectronics Corp.* | 1,907 | |||||||||
316 | CACI International, Inc., Class A* | 14,343 | |||||||||
26 | Cavium Networks, Inc.* | 667 | |||||||||
440 | �� | Checkpoint Systems, Inc.* | 10,454 | ||||||||
605 | Ciber, Inc.* | 4,126 | |||||||||
433 | Cirrus Logic, Inc.* | 2,468 | |||||||||
543 | CMGI, Inc.* | 5,631 | |||||||||
103 | Cognex Corp. | 2,088 | |||||||||
235 | Coherent, Inc.* | 6,761 | |||||||||
138 | Cohu, Inc. | 2,160 | |||||||||
20 | comScore, Inc.* | 649 | |||||||||
20 | Comverge, Inc.* | 630 | |||||||||
4,021 | Conexant Systems, Inc.* | 4,463 | |||||||||
170 | Cray, Inc.* | 991 | |||||||||
1,128 | Credence Systems Corp.* | 2,312 | |||||||||
240 | CSG Systems International, Inc.* | 3,977 | |||||||||
400 | CTS Corp. | 4,228 | |||||||||
82 | Cymer, Inc.* | 3,368 | |||||||||
58 | Data Domain, Inc.* | 1,495 | |||||||||
70 | Dice Holdings, Inc.* | 692 | |||||||||
241 | Digi International, Inc.* | 3,707 | |||||||||
178 | Ditech Networks, Inc.* | 575 | |||||||||
342 | DSP Group, Inc.* | 4,627 | |||||||||
237 | Dycom Industries, Inc.* | 6,669 | |||||||||
9 | Eagle Test Systems, Inc.* | 99 | |||||||||
1,375 | Earthlink, Inc.* | 9,336 | |||||||||
326 | Electro Scientific Industries, Inc.* | 6,601 | |||||||||
634 | Electronics for Imaging* | 14,544 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
85 | EMS Technologies, Inc.* | $ | 2,474 | ||||||||
386 | Emulex Corp.* | 6,465 | |||||||||
9 | EnerNOC, Inc.* | 412 | |||||||||
1,112 | Entegris, Inc.* | 9,630 | |||||||||
217 | eSpeed, Inc., Class A* | 2,192 | |||||||||
256 | Exar Corp.* | 2,353 | |||||||||
109 | Excel Technology, Inc.* | 2,940 | |||||||||
50 | ExlService Holdings, Inc.* | 1,199 | |||||||||
1,247 | Extreme Networks* | 4,539 | |||||||||
9 | Forrester Research, Inc.* | 236 | |||||||||
211 | Foundry Networks, Inc.* | 3,720 | |||||||||
315 | Genesis Microchip, Inc.* | 1,588 | |||||||||
258 | Gerber Scientific, Inc.* | 2,451 | |||||||||
167 | Gevity HR, Inc. | 710 | |||||||||
27 | Global Cash Access Holdings, Inc.* | 94 | |||||||||
65 | HSW International, Inc.* | 345 | |||||||||
290 | Hutchinson Technology, Inc.* | 7,630 | |||||||||
252 | Hypercom Corp.* | 1,348 | |||||||||
173 | i2 Technologies, Inc.* | 2,799 | |||||||||
392 | Imation Corp. | 7,867 | |||||||||
336 | Immersion Corp.* | 4,412 | |||||||||
76 | Infinera Corp.* | 1,658 | |||||||||
179 | Infospace, Inc. | 3,188 | |||||||||
240 | infoUSA, Inc. | 2,071 | |||||||||
539 | Insight Enterprises, Inc.* | 10,678 | |||||||||
30 | Integral Systems, Inc. | 748 | |||||||||
431 | Internet Capital Group, Inc.* | 4,814 | |||||||||
90 | Interwoven, Inc.* | 1,105 | |||||||||
265 | Ipass, Inc.* | 1,158 | |||||||||
148 | Ixia* | 1,529 | |||||||||
120 | IXYS Corp.* | 928 | |||||||||
198 | JDA Software Group, Inc.* | 4,146 | |||||||||
936 | Kemet Corp.* | 5,803 | |||||||||
175 | Keynote Systems, Inc.* | 2,408 | |||||||||
54 | Kulicke & Soffa Industries, Inc.* | 382 | |||||||||
308 | L-1 Identity Solutions, Inc.* | 5,723 | |||||||||
1,280 | Lattice Semiconductor Corp.* | 4,301 | |||||||||
1,376 | Lawson Software, Inc.* | 13,375 | |||||||||
62 | Limelight Networks, Inc.* | 493 | |||||||||
101 | Lionbridge Technologies* | 307 | |||||||||
171 | Littelfuse, Inc.* | 5,703 | |||||||||
128 | Loral Space & Communications, Inc.* | 4,383 | |||||||||
51 | Manhattan Associates, Inc.* | 1,384 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell 2000 Value (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
180 | Mantech International Corp., Class A* | $ | 6,964 | ||||||||
69 | Marchex, Inc., Class B | 849 | |||||||||
78 | MasTec, Inc.* | 789 | |||||||||
86 | Mattson Technology, Inc.* | 709 | |||||||||
223 | MAXIMUS, Inc. | 8,697 | |||||||||
96 | Measurement Specialties, Inc.* | 2,363 | |||||||||
390 | Mentor Graphics Corp.* | 4,247 | |||||||||
54 | Mercadolibre, Inc.* | 2,290 | |||||||||
248 | Mercury Computer Systems, Inc.* | 3,636 | |||||||||
408 | Methode Electronics, Inc. | 4,916 | |||||||||
15 | MicroStrategy, Inc.* | 1,513 | |||||||||
533 | MKS Instruments, Inc.* | 9,685 | |||||||||
37 | Monotype Imaging Holdings, Inc.* | 592 | |||||||||
1,031 | MPS Group, Inc.* | 11,444 | |||||||||
1,765 | MRV Communications, Inc.* | 3,954 | |||||||||
489 | MSC.Software Corp.* | 6,460 | |||||||||
76 | MTS Systems Corp. | 3,115 | |||||||||
51 | Multi-Fineline Electronix, Inc.* | 932 | |||||||||
243 | Ness Technologies, Inc.* | 2,287 | |||||||||
34 | Netezza Corp.* | 451 | |||||||||
390 | Newport Corp.* | 5,171 | |||||||||
331 | Nextwave Wireless, Inc.* | 1,989 | |||||||||
449 | Omnivision Technologies, Inc.* | 8,360 | |||||||||
391 | OpenTV Corp., Class A* | 465 | |||||||||
923 | Openwave Systems, Inc. | 2,538 | |||||||||
142 | Oplink Communications, Inc.* | 2,293 | |||||||||
90 | Optium Corp.* | 756 | |||||||||
90 | OSI Systems, Inc.* | 2,231 | |||||||||
66 | Packeteer, Inc.* | 446 | |||||||||
1,154 | Palm, Inc. | 8,043 | |||||||||
696 | Parametric Technology Corp.* | 11,623 | |||||||||
225 | Park Electrochemical Corp. | 6,626 | |||||||||
81 | PC Connection, Inc.* | 1,036 | |||||||||
122 | PDF Solutions, Inc.* | 967 | |||||||||
134 | Pegasystems, Inc. | 1,659 | |||||||||
202 | Pericom Semiconductor Corp.* | 3,347 | |||||||||
974 | Perot Systems Corp., Class A* | 12,808 | |||||||||
466 | Photronics, Inc.* | 4,795 | |||||||||
536 | Plantronics, Inc. | 14,392 | |||||||||
204 | Plexus Corp.* | 6,071 | |||||||||
169 | PMC - Sierra, Inc.* | 1,186 | |||||||||
1,453 | Powerwave Technologies, Inc.* | 6,015 | |||||||||
26 | PROS Holdings, Inc.* | 447 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
51 | QAD, Inc. | $ | 434 | ||||||||
2,186 | Quantum Corp.* | 6,930 | |||||||||
92 | Quest Software, Inc.* | 1,488 | |||||||||
288 | Rackable Systems, Inc.* | 3,067 | |||||||||
197 | Radisys Corp.* | 3,061 | |||||||||
1,073 | RealNetworks, Inc.* | 6,620 | |||||||||
1,147 | RF Micro Devices, Inc.* | 6,630 | |||||||||
20 | Rimage Corp.* | 499 | |||||||||
18 | Rofin-Sinar Technologies, Inc.* | 1,639 | |||||||||
197 | Rogers Corp.* | 8,680 | |||||||||
158 | Rudolph Technologies, Inc.* | 1,888 | |||||||||
576 | S1 Corp.* | 4,274 | |||||||||
1,349 | Safeguard Scientifics, Inc.* | 2,658 | |||||||||
1,429 | SAIC, Inc.* | 28,494 | |||||||||
92 | SAVVIS, Inc.* | 2,948 | |||||||||
30 | Scansource, Inc.* | 1,058 | |||||||||
192 | Seachange International, Inc.* | 1,448 | |||||||||
482 | Secure Computing Corp.* | 4,372 | |||||||||
202 | Semitool, Inc.* | 1,866 | |||||||||
133 | Semtech Corp.* | 2,030 | |||||||||
40 | ShoreTel, Inc.* | 621 | |||||||||
146 | SI International, Inc.* | 3,790 | |||||||||
68 | Silicon Graphics, Inc.* | 1,157 | |||||||||
91 | Silicon Image, Inc.* | 428 | |||||||||
1,013 | Silicon Storage Technology, Inc.* | 2,877 | |||||||||
1,543 | Skyworks Solutions, Inc.* | 14,010 | |||||||||
88 | Solera Holdings, Inc.* | 2,025 | |||||||||
183 | Sonic Solutions, Inc.* | 1,817 | |||||||||
535 | SonicWALL, Inc.* | 5,414 | |||||||||
1,003 | Spansion, Inc., Class A* | 5,356 | |||||||||
197 | SRA International, Inc., Class A* | 5,386 | |||||||||
168 | Standard Microsystems Corp.* | 5,925 | |||||||||
58 | Starent Networks Corp.* | 1,212 | |||||||||
243 | STEC, Inc.* | 2,265 | |||||||||
912 | Sybase, Inc.* | 23,384 | |||||||||
1,270 | Sycamore Networks, Inc.* | 4,889 | |||||||||
257 | Symmetricom, Inc.* | 1,108 | |||||||||
182 | SYNNEX Corp.* | 3,760 | |||||||||
96 | Take-Two Interactive Software, Inc.* | 1,438 | |||||||||
286 | Technitrol, Inc. | 7,656 | |||||||||
26 | TechTarget, Inc.* | 355 | |||||||||
679 | Tekelec* | 8,352 | |||||||||
2,125 | TIBCO Software, Inc.* | 16,639 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
270 | TNS, Inc. | $ | 4,244 | ||||||||
1,552 | TriQuint Semiconductor, Inc.* | 9,203 | |||||||||
415 | TTM Technologies, Inc.* | 5,017 | |||||||||
187 | Ultra Clean Holdings* | 2,687 | |||||||||
123 | Ultratech, Inc.* | 1,474 | |||||||||
537 | United Online, Inc. | 8,076 | |||||||||
110 | Universal Display Corp.* | 1,822 | |||||||||
641 | Utstarcom, Inc.* | 1,859 | |||||||||
300 | Veeco Instruments, Inc.* | 5,034 | |||||||||
137 | Vignette Corp.* | 2,107 | |||||||||
15 | Virtusa Corp.* | 265 | |||||||||
37 | Wright Express Corp.* | 1,404 | |||||||||
240 | X-Rite, Inc.* | 2,983 | |||||||||
373 | Zoran Corp.* | 8,139 | |||||||||
182 | Zygo Corp.* | 2,055 | |||||||||
880,674 | |||||||||||
Materials — 6.5% | |||||||||||
604 | AbitibiBowater, Inc. | 13,563 | |||||||||
102 | AM Castle & Co. | 2,560 | |||||||||
199 | AMCOL International Corp. | 7,558 | |||||||||
711 | Aptargroup, Inc. | 30,011 | |||||||||
271 | Arch Chemicals, Inc. | 11,152 | |||||||||
424 | Buckeye Technologies, Inc.* | 6,055 | |||||||||
448 | Calgon Carbon Corp.* | 6,523 | |||||||||
148 | Century Aluminum Co.* | 8,486 | |||||||||
557 | CF Industries Holdings, Inc. | 50,676 | |||||||||
222 | Chesapeake Corp. | 1,354 | |||||||||
97 | Claymont Steel Holdings, Inc.* | 2,083 | |||||||||
1,497 | Coeur d'Alene Mines Corp.* | 6,242 | |||||||||
359 | Compass Minerals International, Inc. | 13,182 | |||||||||
135 | Esmark, Inc.* | 2,619 | |||||||||
484 | Ferro Corp. | 10,256 | |||||||||
384 | Georgia Gulf Corp. | 2,857 | |||||||||
502 | Glatfelter | 7,545 | |||||||||
677 | HB Fuller Co. | 17,121 | |||||||||
440 | Headwaters, Inc.* | 5,280 | |||||||||
685 | Hercules, Inc. | 13,296 | |||||||||
30 | Horsehead Holding Corp.* | 499 | |||||||||
118 | Innophos Holdings, Inc. | 1,689 | |||||||||
268 | Innospec, Inc. | 4,706 | |||||||||
89 | Koppers Holdings, Inc. | 3,421 | |||||||||
355 | Mercer International, Inc.* | 2,812 | |||||||||
263 | Metal Management, Inc. | 12,103 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
213 | Minerals Technologies, Inc. | $ | 14,250 | ||||||||
52 | Neenah Paper, Inc. | 1,569 | |||||||||
126 | NewMarket Corp. | 6,761 | |||||||||
80 | NL Industries, Inc. | 807 | |||||||||
822 | Olin Corp. | 17,213 | |||||||||
97 | Olympic Steel, Inc. | 2,536 | |||||||||
332 | OM Group, Inc.* | 18,688 | |||||||||
1,037 | PolyOne Corp.* | 6,502 | |||||||||
414 | Quanex Corp. | 20,717 | |||||||||
392 | Rock-Tenn Co., Class A | 10,341 | |||||||||
391 | Rockwood Holdings, Inc.* | 13,169 | |||||||||
180 | Royal Gold, Inc. | 5,170 | |||||||||
244 | Schnitzer Steel Industries, Inc. | 15,230 | |||||||||
301 | Schulman A, Inc. | 6,490 | |||||||||
175 | Schweitzer-Mauduit International, Inc. | 4,672 | |||||||||
524 | Sensient Technologies Corp. | 14,499 | |||||||||
127 | Silgan Holdings, Inc. | 6,811 | |||||||||
357 | Spartech Corp. | 4,877 | |||||||||
69 | Stepan Co. | 2,107 | |||||||||
438 | Stillwater Mining Co.* | 4,249 | |||||||||
169 | Symyx Technologies* | 1,295 | |||||||||
180 | Texas Industries, Inc. | 12,488 | |||||||||
462 | Tronox, Inc., Class B | 3,742 | |||||||||
234 | U.S. Concrete, Inc.* | 880 | |||||||||
34 | Universal Stainless & Alloy* | 1,049 | |||||||||
496 | Wausau Paper Corp. | 4,677 | |||||||||
771 | Worthington Industries, Inc. | 16,337 | |||||||||
484 | WR Grace & Co.* | 13,073 | |||||||||
70 | Zep, Inc.* | 919 | |||||||||
474,767 | |||||||||||
Telecommunication Services — 1.4% | |||||||||||
476 | Alaska Communications Systems Group, Inc. | 7,140 | |||||||||
105 | Atlantic Tele-Network, Inc. | 4,005 | |||||||||
2,762 | Cincinnati Bell, Inc.* | 13,147 | |||||||||
96 | Consolidated Communications Holdings, Inc. | 1,544 | |||||||||
346 | Fairpoint Communications, Inc. | 5,162 | |||||||||
1,148 | FiberTower Corp.* | 2,617 | |||||||||
520 | General Communication, Inc., Class A* | 4,607 | |||||||||
229 | Global Crossing Ltd.* | 4,198 | |||||||||
101 | Golden Telecom, Inc.* | 10,247 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell 2000 Value (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
24 | Hungarian Telephone & Cable Corp.* | $ | 419 | ||||||||
661 | ICO Global Communications Holdings Ltd.* | 2,604 | |||||||||
552 | IDT Corp., Class B | 4,477 | |||||||||
354 | Iowa Telecommunications Services, Inc. | 6,032 | |||||||||
49 | iPCS, Inc. | 1,695 | |||||||||
22 | North Pittsburgh Systems, Inc. | 520 | |||||||||
479 | PAETEC Holding Corp.* | 5,125 | |||||||||
608 | Premiere Global Services, Inc.* | 8,378 | |||||||||
78 | Rural Cellular Corp., Class A* | 3,437 | |||||||||
238 | Shenandoah Telecom Co. | 5,871 | |||||||||
161 | SureWest Communications | 2,916 | |||||||||
304 | Syniverse Holdings, Inc.* | 4,749 | |||||||||
121 | Time Warner Telecom, Inc., Class A* | 2,714 | |||||||||
257 | USA Mobility, Inc.* | 3,390 | |||||||||
380 | Vonage Holdings Corp.* | 802 | |||||||||
105,796 | |||||||||||
Utilities — 5.3% | |||||||||||
286 | Allete, Inc. | 11,715 | |||||||||
190 | American States Water Co. | 7,914 | |||||||||
4,179 | Aquila, Inc.* | 16,549 | |||||||||
588 | Avista Corp. | 12,571 | |||||||||
420 | Black Hills Corp. | 17,497 | |||||||||
218 | California Water Service Group | 8,517 | |||||||||
114 | Central Vermont Public Service Corp. | 3,153 | |||||||||
176 | CH Energy Group, Inc. | 7,800 | |||||||||
666 | Cleco Corp. | 18,608 | |||||||||
511 | El Paso Electric Co.* | 13,138 | |||||||||
339 | Empire District Electric Co. (The) | 7,811 | |||||||||
57 | EnergySouth, Inc. | 3,151 | |||||||||
491 | Idacorp, Inc. | 17,264 | |||||||||
241 | Laclede Group, Inc. (The) | 8,293 | |||||||||
237 | MGE Energy, Inc. | 8,312 | |||||||||
312 | New Jersey Resources Corp. | 15,740 | |||||||||
502 | Nicor, Inc. | 21,154 | |||||||||
301 | Northwest Natural Gas Co. | 14,439 | |||||||||
400 | NorthWestern Corp. | 11,140 | |||||||||
332 | Otter Tail Corp. | 11,125 | |||||||||
832 | Piedmont Natural Gas Co. | 21,665 | |||||||||
855 | PNM Resources, Inc. | 18,964 | |||||||||
340 | Portland General Electric Co. | 9,102 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
160 | SJW Corp. | $ | 5,354 | ||||||||
329 | South Jersey Industries, Inc. | 12,140 | |||||||||
470 | Southwest Gas Corp. | 13,592 | |||||||||
268 | Southwest Water Co. | 3,211 | |||||||||
281 | UIL Holdings Corp. | 10,065 | |||||||||
393 | Unisource Energy Corp. | 12,155 | |||||||||
1,115 | Westar Energy, Inc. | 28,890 | |||||||||
549 | WGL Holdings, Inc. | 18,139 | |||||||||
389,168 | |||||||||||
Total Common Stock (Cost $7,739,050) | 6,738,829 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 13.8% | |||||||||||
$ | 199,769 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $199,846 ** | 199,769 | ||||||||
229,778 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $229,865 *** | 229,778 | |||||||||
39,954 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/3/07, total to be received $39,969 **** | 39,954 | |||||||||
532,718 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/3/07, total to be received $532,920 ***** | 532,718 | |||||||||
Total Repurchase Agreements (Cost $1,002,219) | 1,002,219 | ||||||||||
Total Investments (Cost $8,741,269) — 106.4% | 7,741,048 | ||||||||||
Liabilities in excess of other assets — (6.4%) | (466,662 | ) | |||||||||
Net Assets — 100.0% | $ | 7,274,386 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
See accompanying notes to the financial statements.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22 which had a total value of $203,766. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to 6.25%, due 4/10/08 to 8/15/17 which had a total value of $234,374. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30 which had a total value of $40,753. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38 which had a total value of $543,373. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 306,604 | |||||
Aggregate gross unrealized depreciation | (1,641,389 | ) | |||||
Net unrealized depreciation | $ | (1,334,785 | ) | ||||
Federal income tax cost of investments | $ | 9,075,833 |
Swap Agreements
Ultra Russell2000 Value had the following open swap agreement as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on the Russell 2000® Value Index, expiring 12/27/07 | $ | 8,108,477 | $ | (365,866 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 Growth
Shares | Value | ||||||||||
Common Stocks (a) — 90.7% | |||||||||||
Consumer Discretionary — 14.5% | |||||||||||
316 | 1-800-FLOWERS.COM, Inc., Class A* | $ | 3,309 | ||||||||
342 | 99 Cents Only Stores* | 2,757 | |||||||||
223 | A.C. Moore Arts & Crafts, Inc.* | 3,539 | |||||||||
367 | Aaron Rents, Inc. | 7,380 | |||||||||
1,013 | Aeropostale, Inc.* | 25,882 | |||||||||
216 | AFC Enterprises* | 2,357 | |||||||||
205 | Ambassadors Group, Inc. | 3,760 | |||||||||
43 | Ambassadors International, Inc. | 517 | |||||||||
282 | Amerigon, Inc.* | 5,155 | |||||||||
142 | Ameristar Casinos, Inc. | 4,457 | |||||||||
369 | Arbitron, Inc. | 14,705 | |||||||||
696 | Bally Technologies, Inc.* | 29,023 | |||||||||
331 | Bebe Stores, Inc. | 4,469 | |||||||||
144 | Benihana, Inc., Class A* | 2,016 | |||||||||
296 | Big 5 Sporting Goods Corp. | 4,863 | |||||||||
222 | BJ's Restaurants, Inc.* | 3,949 | |||||||||
175 | Blue Nile, Inc.* | 12,917 | |||||||||
44 | Blyth, Inc. | 865 | |||||||||
42 | Bon-Ton Stores, Inc. (The) | 491 | |||||||||
342 | Bright Horizons Family Solutions, Inc.* | 12,924 | |||||||||
268 | Brown Shoe Co., Inc. | 4,548 | |||||||||
183 | Buckle, Inc. (The) | 6,462 | |||||||||
200 | Buffalo Wild Wings, Inc.* | 5,782 | |||||||||
205 | Build-A-Bear Workshop, Inc.* | 3,233 | |||||||||
67 | Cabela's, Inc.* | 1,108 | |||||||||
116 | Cache, Inc.* | 1,553 | |||||||||
380 | California Pizza Kitchen, Inc.* | 6,046 | |||||||||
140 | Capella Education Co.* | 9,859 | |||||||||
130 | Carrols Restaurant Group, Inc.* | 1,387 | |||||||||
763 | Carter's, Inc.* | 17,114 | |||||||||
432 | Casual Male Retail Group, Inc.* | 2,678 | |||||||||
100 | Cato Corp. (The), Class A | 1,506 | |||||||||
194 | CBRL Group, Inc. | 6,491 | |||||||||
156 | CEC Entertainment, Inc.* | 4,446 | |||||||||
846 | Champion Enterprises, Inc.* | 7,631 | |||||||||
331 | Charlotte Russe Holding, Inc.* | 5,448 | |||||||||
71 | Cherokee, Inc. | 2,237 | |||||||||
294 | Childrens Place Retail Stores, Inc. (The)* | 8,367 | |||||||||
428 | Chipotle Mexican Grill, Inc., Class B* | 49,443 | |||||||||
473 | Christopher & Banks Corp. | 7,625 | |||||||||
168 | Cinemark Holdings, Inc. | 2,804 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
871 | Citadel Broadcasting Corp. | $ | 2,003 | ||||||||
181 | Citi Trends, Inc.* | 2,796 | |||||||||
748 | CKE Restaurants, Inc. | 10,936 | |||||||||
454 | CKX, Inc.* | 5,507 | |||||||||
102 | Coinstar, Inc.* | 2,665 | |||||||||
381 | Collective Brands, Inc.* | 5,841 | |||||||||
41 | Columbia Sportswear Co. | 1,968 | |||||||||
10 | Conn's, Inc.* | 181 | |||||||||
1,132 | Corinthian Colleges, Inc.* | 19,765 | |||||||||
68 | CPI Corp. | 1,888 | |||||||||
116 | Crown Media Holdings, Inc., Class A* | 843 | |||||||||
34 | CSK Auto Corp.* | 332 | |||||||||
172 | Cumulus Media, Inc., Class A* | 1,447 | |||||||||
167 | Deckers Outdoor Corp.* | 24,076 | |||||||||
1,224 | Denny's Corp.* | 5,018 | |||||||||
783 | DeVry, Inc. | 43,049 | |||||||||
80 | Dolan Media Co.* | 2,120 | |||||||||
204 | Dover Downs Gaming & Entertainment, Inc. | 2,254 | |||||||||
474 | Dress Barn, Inc.* | 6,702 | |||||||||
237 | Drew Industries, Inc.* | 6,475 | |||||||||
212 | DSW, Inc., Class A* | 4,768 | |||||||||
414 | Entravision Communications Corp., Class A* | 3,097 | |||||||||
31 | Ethan Allen Interiors, Inc. | 885 | |||||||||
837 | Fleetwood Enterprises, Inc.* | 4,578 | |||||||||
570 | Fossil, Inc.* | 24,704 | |||||||||
159 | G-lII Apparel Group Ltd.* | 2,285 | |||||||||
171 | Gaiam, Inc., Class A* | 4,027 | |||||||||
36 | Gander Mountain Co.* | 175 | |||||||||
231 | Gaylord Entertainment Co.* | 9,716 | |||||||||
2,993 | Gemstar-TV Guide International, Inc.* | 17,659 | |||||||||
248 | Genesco, Inc.* | 7,688 | |||||||||
205 | Global Sources Ltd.* | 6,238 | |||||||||
261 | GSI Commerce, Inc.* | 6,817 | |||||||||
402 | Gymboree Corp.* | 13,411 | |||||||||
380 | Harris Interactive, Inc.* | 1,592 | |||||||||
1,306 | Hayes Lemmerz International, Inc.* | 5,394 | |||||||||
84 | Heelys, Inc.* | 512 | |||||||||
34 | hhgregg, Inc.* | 478 | |||||||||
413 | Hibbett Sports, Inc.* | 8,846 | |||||||||
117 | Home Solutions of America, Inc.* | 124 | |||||||||
293 | HOT Topic, Inc.* | 1,849 | |||||||||
662 | Iconix Brand Group, Inc.* | 15,087 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
99 | Ihop Corp. | $ | 5,023 | ||||||||
166 | Interactive Data Corp. | 5,184 | |||||||||
523 | INVESTools, Inc.* | 8,080 | |||||||||
201 | iRobot Corp.* | 3,220 | |||||||||
21 | Isle of Capri Casinos, Inc.* | 367 | |||||||||
509 | J. Crew Group, Inc.* | 24,457 | |||||||||
446 | Jack in the Box, Inc.* | 13,358 | |||||||||
324 | Jackson Hewitt Tax Service, Inc. | 10,449 | |||||||||
31 | Jo-Ann Stores, Inc.* | 510 | |||||||||
236 | JOS. A. Bank Clothiers, Inc.* | 6,110 | |||||||||
110 | K-Swiss, Inc., Class A | 1,997 | |||||||||
177 | Kimball International, Inc., Class B | 2,361 | |||||||||
175 | Knology, Inc.* | 2,352 | |||||||||
845 | Krispy Kreme Doughnuts, Inc.* | 2,256 | |||||||||
120 | Lakes Entertainment, Inc.* | 797 | |||||||||
334 | Lear Corp.* | 9,833 | |||||||||
12 | Libbey, Inc. | 186 | |||||||||
437 | Life Time Fitness, Inc.* | 23,738 | |||||||||
28 | Lifetime Brands, Inc. | 359 | |||||||||
44 | Lincoln Educational Services Corp.* | 611 | |||||||||
72 | Live Nation, Inc.* | 966 | |||||||||
735 | LKQ Corp.* | 29,187 | |||||||||
211 | Lodgenet Entertainment Corp.* | 4,051 | |||||||||
93 | Lululemon Athletica, Inc.* | 3,410 | |||||||||
184 | Maidenform Brands, Inc.* | 2,405 | |||||||||
99 | Marcus Corp. | 1,784 | |||||||||
24 | Marine Products Corp. | 177 | |||||||||
347 | Martha Stewart Living Omnimedia, Class A* | 3,522 | |||||||||
435 | Marvel Entertainment, Inc.* | 12,049 | |||||||||
413 | Matthews International Corp., Class A | 18,230 | |||||||||
179 | McCormick & Schmick's Seafood Restaurants, Inc.* | 2,624 | |||||||||
708 | Men's Wearhouse, Inc. | 24,440 | |||||||||
193 | Midas, Inc.* | 3,161 | |||||||||
157 | Monarch Casino & Resort, Inc.* | 4,016 | |||||||||
201 | Monro Muffler, Inc. | 4,235 | |||||||||
289 | Morgans Hotel Group Co.* | 5,344 | |||||||||
161 | Morningstar, Inc.* | 13,097 | |||||||||
57 | Morton's Restaurant Group, Inc.* | 654 | |||||||||
268 | MTR Gaming Group, Inc.* | 1,855 | |||||||||
549 | National CineMedia, Inc. | 15,196 | |||||||||
154 | Nautilus, Inc. | 886 | |||||||||
614 | NetFlix, Inc.* | 14,183 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
284 | New York & Co., Inc.* | $ | 2,093 | ||||||||
597 | NexCen Brands, Inc.* | 2,687 | |||||||||
39 | Nexstar Broadcasting Group, Inc., Class A* | 354 | |||||||||
153 | Noble International Ltd. | 2,497 | |||||||||
273 | Orbitz Worldwide, Inc.* | 2,184 | |||||||||
215 | Overstock.com, Inc.* | 4,982 | |||||||||
748 | Pacific Sunwear of California* | 12,252 | |||||||||
174 | Papa John's International, Inc.* | 4,098 | |||||||||
178 | Peet's Coffee & Tea, Inc.* | 4,756 | |||||||||
93 | PEP Boys-Manny Moe & Jack | 1,016 | |||||||||
279 | PetMed Express, Inc.* | 3,554 | |||||||||
337 | PF Chang's China Bistro, Inc.* | 8,624 | |||||||||
420 | Pinnacle Entertainment, Inc.* | 11,529 | |||||||||
393 | Polaris Industries, Inc. | 17,905 | |||||||||
118 | Pre-Paid Legal Services, Inc.* | 5,901 | |||||||||
382 | Premier Exhibitions, Inc.* | 4,156 | |||||||||
495 | priceline.com, Inc.* | 56,331 | |||||||||
500 | Quiksilver, Inc.* | 5,300 | |||||||||
406 | Raser Technologies, Inc.* | 5,063 | |||||||||
218 | Red Robin Gourmet Burgers, Inc.* | 8,624 | |||||||||
361 | Retail Ventures, Inc.* | 2,505 | |||||||||
72 | Riviera Holdings Corp.* | 1,966 | |||||||||
571 | Ruby Tuesday, Inc. | 7,486 | |||||||||
248 | Ruth's Chris Steak House* | 3,001 | |||||||||
1,223 | Sally Beauty Holdings, Inc.* | 11,142 | |||||||||
79 | Sauer-Danfoss, Inc. | 1,920 | |||||||||
405 | Sealy Corp. | 5,281 | |||||||||
612 | Select Comfort Corp.* | 6,512 | |||||||||
34 | Shoe Carnival, Inc.* | 396 | |||||||||
460 | Shuffle Master, Inc.* | 6,150 | |||||||||
191 | Shutterfly, Inc.* | 5,442 | |||||||||
304 | Sinclair Broadcast Group, Inc., Class A | 3,146 | |||||||||
266 | Skechers U.S.A., Inc., Class A* | 6,025 | |||||||||
387 | Smith & Wesson Holding Corp.* | 3,855 | |||||||||
794 | Sonic Corp.* | 19,374 | |||||||||
863 | Sotheby's | 32,319 | |||||||||
87 | Source Interlink Cos., Inc.* | 175 | |||||||||
271 | Spanish Broadcasting System, Inc., Class A* | 520 | |||||||||
421 | Spartan Motors, Inc. | 4,202 | |||||||||
215 | Stamps.com, Inc.* | 2,731 | |||||||||
51 | Stein Mart, Inc. | 276 | |||||||||
158 | �� | Steiner Leisure Ltd.* | 6,747 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 Growth (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
133 | Steven Madden Ltd.* | $ | 3,023 | ||||||||
190 | Strayer Education, Inc. | 34,363 | |||||||||
296 | Sturm Ruger & Co., Inc.* | 2,738 | |||||||||
467 | Sun-Times Media Group, Inc.* | 467 | |||||||||
694 | Syntax-Brillian Corp.* | 2,020 | |||||||||
81 | Systemax, Inc. | 1,600 | |||||||||
982 | Tempur-Pedic International, Inc. | 29,156 | |||||||||
137 | Tenneco, Inc.* | 4,054 | |||||||||
688 | Texas Roadhouse, Inc., Class A* | 8,662 | |||||||||
224 | Timberland Co., Class A* | 3,647 | |||||||||
1,273 | Tivo, Inc.* | 9,535 | |||||||||
197 | Town Sports International Holdings, Inc.* | 1,990 | |||||||||
823 | Triarc Cos., Inc., Class B | 6,921 | |||||||||
182 | True Religion Apparel, Inc.* | 3,170 | |||||||||
397 | Tupperware Brands Corp. | 13,847 | |||||||||
323 | Tween Brands, Inc.* | 8,133 | |||||||||
323 | Under Armour, Inc., Class A* | 16,047 | |||||||||
188 | Universal Electronics, Inc.* | 6,947 | |||||||||
307 | Universal Technical Institute, Inc.* | 5,412 | |||||||||
410 | Vail Resorts, Inc.* | 22,759 | |||||||||
307 | Valassis Communications, Inc.* | 3,785 | |||||||||
18 | Value Line, Inc. | 744 | |||||||||
337 | ValueVision Media, Inc., Class A* | 2,217 | |||||||||
871 | Visteon Corp.* | 3,832 | |||||||||
191 | Volcom, Inc.* | 5,151 | |||||||||
311 | Warnaco Group, Inc. (The)* | 11,476 | |||||||||
824 | Westwood One, Inc. | 1,574 | |||||||||
1,102 | Wet Seal, Inc. (The), Class A* | 2,347 | |||||||||
357 | Winnebago Industries | 7,683 | |||||||||
531 | WMS Industries, Inc.* | 17,735 | |||||||||
384 | Wolverine World Wide, Inc. | 9,512 | |||||||||
295 | World Wrestling Entertainment, Inc., Class A | 4,649 | |||||||||
225 | Zumiez, Inc.* | 6,255 | |||||||||
1,430,147 | |||||||||||
Consumer Staples — 2.1% | |||||||||||
47 | Alico, Inc. | 2,086 | |||||||||
1,250 | Alliance One International, Inc.* | 5,162 | |||||||||
89 | American Dairy, Inc.* | 1,491 | |||||||||
698 | American Oriental Bioengineering, Inc.* | 8,167 | |||||||||
15 | Arden Group, Inc. | 2,160 | |||||||||
101 | Boston Beer Co., Inc., Class A* | 3,352 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
11 | Cal-Maine Foods, Inc. | $ | 271 | ||||||||
394 | Central European Distribution Corp.* | 19,700 | |||||||||
198 | Chattem, Inc.* | 14,040 | |||||||||
78 | Coca-Cola Bottling Co. Consolidated | 4,426 | |||||||||
1,056 | Darling International, Inc.* | 10,824 | |||||||||
423 | Flowers Foods, Inc. | 9,826 | |||||||||
52 | Great Atlantic & Pacific Tea Co.* | 1,563 | |||||||||
225 | Green Mountain Coffee Roasters, Inc.* | 7,339 | |||||||||
139 | Ingles Markets, Inc., Class A | 3,307 | |||||||||
96 | Inter Parfums, Inc. | 1,754 | |||||||||
124 | J&J Snack Foods Corp. | 4,015 | |||||||||
338 | Jones Soda Co.* | 2,231 | |||||||||
267 | Lancaster Colony Corp. | 10,285 | |||||||||
114 | Lance, Inc. | 2,364 | |||||||||
407 | Longs Drug Stores Corp. | 21,538 | |||||||||
204 | Mannatech, Inc. | 1,287 | |||||||||
21 | Maui Land & Pineapple Co., Inc.* | 591 | |||||||||
11 | MGP Ingredients, Inc. | 90 | |||||||||
79 | Nash Finch Co. | 2,820 | |||||||||
134 | National Beverage Corp. | 992 | |||||||||
436 | Nu Skin Enterprises, Inc., Class A | 7,713 | |||||||||
120 | Pantry, Inc. (The)* | 3,455 | |||||||||
419 | Pathmark Stores, Inc.* | 5,405 | |||||||||
56 | Pricesmart, Inc. | 1,670 | |||||||||
86 | Ralcorp Holdings, Inc.* | 5,280 | |||||||||
130 | Reddy Ice Holdings, Inc. | 3,392 | |||||||||
135 | Sanderson Farms, Inc. | 4,193 | |||||||||
101 | Spartan Stores, Inc. | 2,273 | |||||||||
56 | Synutra International, Inc.* | 2,093 | |||||||||
4 | Tiens Biotech Group USA, Inc.* | 11 | |||||||||
109 | Tootsie Roll Industries, Inc. | 2,686 | |||||||||
559 | United Natural Foods, Inc.* | 16,373 | |||||||||
110 | USANA Health Sciences, Inc.* | 4,585 | |||||||||
257 | Vector Group Ltd. | 5,659 | |||||||||
91 | WD-40 Co. | 3,610 | |||||||||
24 | Winn-Dixie Stores, Inc.* | 454 | |||||||||
210,533 | |||||||||||
Energy — 6.1% | |||||||||||
169 | Alon USA Energy, Inc. | 4,702 | |||||||||
856 | Alpha Natural Resources, Inc.* | 24,054 | |||||||||
119 | APCO Argentina, Inc. | 3,190 | |||||||||
398 | Arena Resources, Inc.* | 14,961 | |||||||||
173 | Arlington Tankers Ltd. | 3,713 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
299 | Atlas America, Inc. | $ | 16,977 | ||||||||
279 | ATP Oil & Gas Corp.* | 12,438 | |||||||||
358 | Atwood Oceanics, Inc.* | 31,235 | |||||||||
242 | Aventine Renewable Energy Holdings, Inc.* | 2,384 | |||||||||
390 | Basic Energy Services, Inc.* | 7,605 | |||||||||
206 | Berry Petroleum Co., Class A | 8,520 | |||||||||
319 | Bill Barrett Corp.* | 12,313 | |||||||||
206 | Bois d'Arc Energy, Inc.* | 4,038 | |||||||||
675 | BPZ Resources, Inc.* | 7,695 | |||||||||
292 | Cal Dive International, Inc.* | 3,624 | |||||||||
265 | CARBO Ceramics, Inc. | 10,521 | |||||||||
319 | Carrizo Oil & Gas, Inc.* | 15,456 | |||||||||
130 | Clean Energy Fuels Corp.* | 1,940 | |||||||||
558 | Complete Production Services, Inc.* | 9,888 | |||||||||
429 | Comstock Resources, Inc.* | 14,372 | |||||||||
245 | Concho Resources, Inc.* | 4,621 | |||||||||
171 | Contango Oil & Gas Co.* | 8,071 | |||||||||
482 | Crosstex Energy, Inc. | 17,304 | |||||||||
92 | Dawson Geophysical Co.* | 6,166 | |||||||||
87 | Delek U.S. Holdings, Inc. | 1,604 | |||||||||
858 | Delta Petroleum Corp.* | 13,187 | |||||||||
278 | Double Hull Tankers, Inc. | 3,686 | |||||||||
348 | Dril-Quip, Inc.* | 19,634 | |||||||||
219 | ENGlobal Corp.* | 2,367 | |||||||||
388 | Evergreen Energy, Inc.* | 1,424 | |||||||||
494 | FX Energy, Inc.* | 3,675 | |||||||||
421 | GeoGlobal Resources, Inc.* | 1,314 | |||||||||
89 | Geokinetics, Inc.* | 1,938 | |||||||||
151 | GMX Resources, Inc.* | 4,830 | |||||||||
101 | Golar LNG Ltd. | 2,150 | |||||||||
203 | Goodrich Petroleum Corp.* | 4,959 | |||||||||
191 | Grey Wolf, Inc.* | 970 | |||||||||
127 | Gulf Island Fabrication, Inc. | 4,040 | |||||||||
258 | Gulfport Energy Corp.* | 5,372 | |||||||||
1,085 | Hercules Offshore, Inc.* | 27,136 | |||||||||
895 | International Coal Group, Inc.* | 4,484 | |||||||||
929 | ION Geophysical Corp.* | 14,334 | |||||||||
211 | Knightsbridge Tankers Ltd. | 5,319 | |||||||||
197 | Lufkin Industries, Inc. | 10,246 | |||||||||
609 | Mariner Energy, Inc.* | 13,203 | |||||||||
84 | Markwest Hydrocarbon, Inc. | 5,149 | |||||||||
347 | Matrix Service Co.* | 9,053 | |||||||||
275 | McMoRan Exploration Co.* | 3,234 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
241 | NATCO Group, Inc.* | $ | 11,457 | ||||||||
1,012 | Newpark Resources* | 5,445 | |||||||||
410 | Nova Biosource Fuels, Inc.* | 652 | |||||||||
52 | OYO Geospace Corp.* | 5,444 | |||||||||
301 | Pacific Ethanol, Inc.* | 1,839 | |||||||||
493 | Parallel Petroleum Corp.* | 9,441 | |||||||||
1,164 | Parker Drilling Co.* | 8,323 | |||||||||
223 | Penn Virginia Corp. | 9,281 | |||||||||
1,143 | PetroHawk Energy Corp.* | 18,631 | |||||||||
27 | Petroleum Development Corp.* | 1,368 | |||||||||
543 | Petroquest Energy, Inc.* | 7,216 | |||||||||
91 | PHI, Inc. (Non-Voting)* | 2,902 | |||||||||
2,126 | Rentech, Inc.* | 4,422 | |||||||||
62 | Rex Energy Corp.* | 613 | |||||||||
358 | Rosetta Resources, Inc.* | 6,551 | |||||||||
421 | RPC, Inc. | 4,673 | |||||||||
412 | Ship Finance International Ltd. | 10,494 | |||||||||
363 | Sulphco, Inc.* | 1,924 | |||||||||
83 | Superior Offshore International, Inc.* | 512 | |||||||||
151 | Superior Well Services, Inc.* | 2,928 | |||||||||
75 | T-3 Energy Services, Inc.* | 3,781 | |||||||||
440 | TXCO Resources, Inc.* | 5,302 | |||||||||
320 | Uranium Resources, Inc.* | 3,795 | |||||||||
112 | US BioEnergy Corp.* | 1,016 | |||||||||
186 | Venoco, Inc.* | 3,396 | |||||||||
454 | VeraSun Energy Corp.* | 5,362 | |||||||||
532 | Verenium Corp.* | 1,942 | |||||||||
397 | W-H Energy Services, Inc.* | 20,049 | |||||||||
721 | Warren Resources, Inc.* | 9,200 | |||||||||
484 | Willbros Group, Inc.* | 18,135 | |||||||||
284 | World Fuel Services Corp. | 8,986 | |||||||||
604,176 | |||||||||||
Financials — 7.5% | |||||||||||
30 | Abington Bancorp, Inc. | 266 | |||||||||
420 | Acadia Realty Trust (REIT) | 11,084 | |||||||||
803 | Advance America Cash Advance Centers, Inc. | 7,323 | |||||||||
234 | Advanta Corp., Class B | 2,342 | |||||||||
219 | Aldabra 2 Acquisition Corp.* | 2,087 | |||||||||
26 | Alexander's, Inc. (REIT)* | 10,131 | |||||||||
209 | Alexandria Real Estate Equities, Inc. (REIT) | 20,530 | |||||||||
219 | Alternative Asset Management Acquisition Corp.* | 2,006 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 Growth (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
254 | Amtrust Financial Services, Inc. | $ | 3,226 | ||||||||
192 | Associated Estates Realty Corp. (REIT) | 2,394 | |||||||||
98 | Asta Funding, Inc. | 3,544 | |||||||||
127 | Bank of the Ozarks, Inc. | 3,694 | |||||||||
43 | Beneficial Mutual Bancorp, Inc.* | 419 | |||||||||
38 | BlackRock Kelso Capital Corp. | 543 | |||||||||
18 | Calamos Asset Management, Inc., Class A | 533 | |||||||||
30 | Cascade Bancorp | 520 | |||||||||
367 | Cash America International, Inc. | 13,205 | |||||||||
369 | Centerline Holding Co. | 4,461 | |||||||||
33 | Citizens, Inc.* | 217 | |||||||||
19 | City Bank | 395 | |||||||||
26 | Clayton Holdings, Inc.* | 102 | |||||||||
123 | CoBiz Financial, Inc. | 2,010 | |||||||||
228 | Cohen & Steers, Inc. | 6,468 | |||||||||
159 | CompuCredit Corp.* | 2,061 | |||||||||
75 | Consolidated-Tomoka Land Co. | 4,733 | |||||||||
51 | Corporate Office Properties Trust SBI MD (REIT) | 1,842 | |||||||||
529 | Cousins Properties, Inc. (REIT) | 12,574 | |||||||||
67 | Credit Acceptance Corp.* | 1,278 | |||||||||
67 | Darwin Professional Underwriters, Inc.* | 1,541 | |||||||||
737 | Digital Realty Trust, Inc. (REIT) | 28,124 | |||||||||
210 | Dollar Financial Corp.* | 6,275 | |||||||||
252 | EastGroup Properties, Inc. (REIT) | 11,625 | |||||||||
174 | eHealth, Inc.* | 5,392 | |||||||||
34 | Encore Capital Group, Inc.* | 349 | |||||||||
91 | Enstar Group Ltd.* | 9,874 | |||||||||
97 | Enterprise Financial Services Corp. | 2,224 | |||||||||
114 | Epoch Holding Corp. | 1,595 | |||||||||
263 | Equity Lifestyle Properties, Inc. (REIT) | 12,201 | |||||||||
8 | Evercore Partners, Inc., Class A | 168 | |||||||||
484 | Ezcorp, Inc., Class A* | 6,079 | |||||||||
119 | FBR Capital Markets Corp.* | 1,198 | |||||||||
115 | FCStone Group, Inc.* | 4,854 | |||||||||
815 | FelCor Lodging Trust, Inc. (REIT) | 14,271 | |||||||||
30 | First Busey Corp. | 627 | |||||||||
325 | First Cash Financial Services, Inc.* | 5,525 | |||||||||
16 | First Financial Bankshares, Inc. | 624 | |||||||||
361 | First Industrial Realty Trust, Inc. (REIT) | 13,184 | |||||||||
89 | First Mercury Financial Corp.* | 1,889 | |||||||||
111 | First South Bancorp, Inc. | 2,676 | |||||||||
33 | Frontier Financial Corp. | 632 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
19 | GAMCO Investors, Inc. | $ | 1,013 | ||||||||
226 | Getty Realty Corp. (REIT) | 6,129 | |||||||||
209 | GFI Group, Inc.* | 20,352 | |||||||||
485 | Glimcher Realty Trust (REIT) | 9,414 | |||||||||
234 | Greenhill & Co., Inc. | 16,916 | |||||||||
15 | Greenlight Capital Re Ltd., Class A* | 326 | |||||||||
206 | Grubb & Ellis Co.* | 1,063 | |||||||||
23 | Harleysville National Corp. | 353 | |||||||||
525 | Highwoods Properties, Inc. (REIT) | 16,658 | |||||||||
31 | Hilb Rogal & Hobbs Co. | 1,325 | |||||||||
335 | Home Properties, Inc. (REIT) | 15,139 | |||||||||
171 | Information Services Group, Inc.* | 1,151 | |||||||||
140 | Inland Real Estate Corp. (REIT) | 2,047 | |||||||||
233 | Interactive Brokers Group, Inc.* | 6,850 | |||||||||
508 | International Securities Exchange Holdings, Inc. | 34,133 | |||||||||
4 | James River Group, Inc. | 137 | |||||||||
174 | JER Investors Trust, Inc. (REIT) | 1,702 | |||||||||
59 | K-Fed Bancorp | 717 | |||||||||
23 | KBW, Inc.* | 607 | |||||||||
17 | Kite Realty Group Trust (REIT) | 266 | |||||||||
523 | Knight Capital Group, Inc., Class A* | 6,982 | |||||||||
1,280 | Ladenburg Thalmann Financial Services, Inc.* | 2,470 | |||||||||
211 | Maguire Properties, Inc. (REIT) | 5,334 | |||||||||
406 | MarketAxess Holdings, Inc.* | 5,830 | |||||||||
332 | Mid-America Apartment Communities, Inc. (REIT) | 16,032 | |||||||||
330 | National Financial Partners Corp. | 14,982 | |||||||||
20 | National Health Investors, Inc. (REIT) | 568 | |||||||||
18 | National Interstate Corp. | 593 | |||||||||
1,035 | Nationwide Health Properties, Inc. (REIT) | 32,375 | |||||||||
18 | Nelnet, Inc., Class A | 248 | |||||||||
710 | NewAlliance Bancshares, Inc. | 9,159 | |||||||||
90 | NewStar Financial, Inc.* | 826 | |||||||||
878 | Omega Healthcare Investors, Inc. (REIT) | 14,197 | |||||||||
571 | optionsXpress Holdings, Inc. | 17,364 | |||||||||
71 | Oritani Financial Corp.* | 916 | |||||||||
189 | PennantPark Investment Corp. | 2,172 | |||||||||
179 | Penson Worldwide, Inc.* | 2,744 | |||||||||
112 | Pinnacle Financial Partners, Inc.* | 3,263 | |||||||||
197 | Portfolio Recovery Associates, Inc. | 7,935 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
96 | Post Properties, Inc. (REIT) | $ | 3,486 | ||||||||
17 | Preferred Bank | 454 | |||||||||
114 | Primus Guaranty Ltd.* | 728 | |||||||||
156 | PrivateBancorp, Inc. | 4,775 | |||||||||
208 | PS Business Parks, Inc. (REIT) | 11,222 | |||||||||
80 | QC Holdings, Inc. | 1,111 | |||||||||
86 | Quadra Realty Trust, Inc. (REIT) | 622 | |||||||||
156 | Ramco-Gershenson Properties (REIT) | 3,947 | |||||||||
140 | Saul Centers, Inc. (REIT) | 7,993 | |||||||||
99 | Sierra Bancorp | 2,471 | |||||||||
368 | Signature Bank* | 13,634 | |||||||||
15 | Southside Bancshares, Inc. | 287 | |||||||||
195 | Stifel Financial Corp.* | 9,077 | |||||||||
109 | Suffolk Bancorp | 3,364 | |||||||||
209 | Sun Communities, Inc. (REIT) | 5,116 | |||||||||
271 | Superior Bancorp* | 1,623 | |||||||||
84 | SVB Financial Group* | 4,324 | |||||||||
36 | SWS Group, Inc. | 488 | |||||||||
409 | Tanger Factory Outlet Centers (REIT) | 17,223 | |||||||||
144 | Tejon Ranch Co.* | 5,566 | |||||||||
37 | Texas Capital Bancshares, Inc.* | 780 | |||||||||
310 | Thomas Properties Group, Inc. | 3,230 | |||||||||
260 | Tower Group, Inc. | 8,429 | |||||||||
379 | TradeStation Group, Inc.* | 4,521 | |||||||||
981 | Trustco Bank Corp. NY | 10,428 | |||||||||
154 | U.S. Global Investors, Inc., Class A | 2,536 | |||||||||
31 | United Bankshares, Inc. | 964 | |||||||||
107 | United Security Bancshares | 1,664 | |||||||||
51 | Universal Health Realty Income Trust (REIT) | 1,678 | |||||||||
23 | Validus Holdings Ltd.* | 573 | |||||||||
193 | Virginia Commerce Bancorp* | 2,418 | |||||||||
917 | Waddell & Reed Financial, Inc. | 31,343 | |||||||||
588 | Washington Real Estate Investment Trust (REIT) | 18,840 | |||||||||
10 | Wauwatosa Holdings, Inc.* | 133 | |||||||||
103 | Westamerica Bancorporation | 4,842 | |||||||||
123 | Western Alliance Bancorp* | 2,713 | |||||||||
32 | Wilshire Bancorp, Inc. | 298 | |||||||||
229 | World Acceptance Corp.* | 7,230 | |||||||||
130 | WP Stewart & Co., Ltd. | 740 | |||||||||
732,074 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Health Care — 19.3% | |||||||||||
273 | Abaxis, Inc.* | $ | 9,055 | ||||||||
378 | Abiomed, Inc.* | 4,857 | |||||||||
405 | Acadia Pharmaceuticals, Inc.* | 4,593 | |||||||||
215 | Accuray, Inc.* | 3,571 | |||||||||
326 | Acorda Therapeutics, Inc.* | 6,099 | |||||||||
465 | Adams Respiratory Therapeutics, Inc.* | 20,060 | |||||||||
56 | Affymax, Inc.* | 1,426 | |||||||||
896 | Affymetrix, Inc.* | 18,682 | |||||||||
136 | Air Methods Corp.* | 7,160 | |||||||||
719 | Akorn, Inc.* | 5,493 | |||||||||
128 | Albany Molecular Research, Inc.* | 1,691 | |||||||||
476 | Alexion Pharmaceuticals, Inc.* | 34,615 | |||||||||
265 | Alexza Pharmaceuticals, Inc.* | 2,321 | |||||||||
773 | Align Technology, Inc.* | 13,056 | |||||||||
1,314 | Alkermes, Inc.* | 18,738 | |||||||||
199 | Alliance Imaging, Inc.* | 1,900 | |||||||||
546 | Allos Therapeutics, Inc.* | 3,773 | |||||||||
723 | Allscripts Healthcare Solutions, Inc.* | 12,790 | |||||||||
457 | Alnylam Pharmaceuticals, Inc.* | 14,907 | |||||||||
277 | Altus Pharmaceuticals, Inc.* | 2,933 | |||||||||
219 | AMAG Pharmaceuticals, Inc.* | 12,621 | |||||||||
319 | Amedisys, Inc.* | 13,609 | |||||||||
154 | American Dental Partners, Inc.* | 3,069 | |||||||||
941 | American Medical Systems Holdings, Inc.* | 12,863 | |||||||||
56 | Amicus Therapeutics, Inc.* | 857 | |||||||||
453 | AMN Healthcare Services, Inc.* | 7,647 | |||||||||
123 | Angiodynamics, Inc.* | 2,387 | |||||||||
92 | Animal Health International, Inc.* | 1,104 | |||||||||
234 | Apria Healthcare Group, Inc.* | 5,071 | |||||||||
519 | Ariad Pharmaceuticals, Inc.* | 2,336 | |||||||||
509 | Arqule, Inc.* | 3,303 | |||||||||
614 | Array Biopharma, Inc.* | 6,797 | |||||||||
359 | Arthrocare Corp.* | 19,433 | |||||||||
202 | Aspect Medical Systems, Inc.* | 3,002 | |||||||||
227 | Assisted Living Concepts, Inc., Class A* | 1,562 | |||||||||
408 | Auxilium Pharmaceuticals, Inc.* | 11,444 | |||||||||
399 | Beijing Med-Pharm Corp.* | 4,038 | |||||||||
131 | Bentley Pharmaceuticals, Inc.* | 1,649 | |||||||||
145 | Bio-Reference Labs, Inc.* | 4,853 | |||||||||
65 | Biodel, Inc.* | 1,142 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 Growth (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,252 | BioMarin Pharmaceutical, Inc.* | $ | 34,430 | ||||||||
140 | BioMimetic Therapeutics, Inc.* | 1,707 | |||||||||
590 | Bionovo, Inc.* | 1,109 | |||||||||
49 | Bradley Pharmaceuticals, Inc.* | 965 | |||||||||
849 | Bruker BioSciences Corp.* | 7,887 | |||||||||
211 | Cadence Pharmaceuticals, Inc.* | 2,840 | |||||||||
79 | Capital Senior Living Corp.* | 649 | |||||||||
139 | Caraco Pharmaceutical Laboratories Ltd.* | 2,052 | |||||||||
1,020 | Cell Genesys, Inc.* | 2,377 | |||||||||
397 | Centene Corp.* | 9,925 | |||||||||
720 | Cepheid, Inc.* | 15,574 | |||||||||
290 | Chemed Corp. | 15,704 | |||||||||
83 | Computer Programs & Systems, Inc. | 1,848 | |||||||||
384 | Conceptus, Inc.* | 7,715 | |||||||||
99 | Corvel Corp.* | 2,302 | |||||||||
34 | Cross Country Healthcare, Inc.* | 495 | |||||||||
322 | CryoLife, Inc.* | 2,312 | |||||||||
723 | Cubist Pharmaceuticals, Inc.* | 15,357 | |||||||||
166 | Cutera, Inc.* | 2,513 | |||||||||
776 | CV Therapeutics, Inc.* | 6,767 | |||||||||
290 | Cyberonics, Inc.* | 3,956 | |||||||||
105 | Cynosure, Inc., Class A* | 3,117 | |||||||||
483 | Cypress Bioscience, Inc.* | 5,893 | |||||||||
325 | Cytokinetics, Inc.* | 1,580 | |||||||||
1,134 | CytRx Corp.* | 3,788 | |||||||||
1,091 | Dendreon Corp.* | 5,455 | |||||||||
249 | Dionex Corp.* | 21,033 | |||||||||
1,105 | Discovery Laboratories, Inc.* | 3,227 | |||||||||
968 | Durect Corp.* | 5,614 | |||||||||
597 | Eclipsys Corp.* | 13,850 | |||||||||
121 | Emergency Medical Services Corp.* | 3,722 | |||||||||
85 | Emeritus Corp.* | 2,142 | |||||||||
890 | Encysive Pharmaceuticals, Inc.* | 596 | |||||||||
406 | Enzo Biochem, Inc.* | 4,450 | |||||||||
494 | Enzon Pharmaceuticals, Inc.* | 4,673 | |||||||||
512 | eResearchTechnology, Inc.* | 6,072 | |||||||||
605 | ev3, Inc.* | 8,857 | |||||||||
1,362 | Exelixis, Inc.* | 11,890 | |||||||||
178 | Genomic Health, Inc.* | 4,311 | |||||||||
111 | Gentiva Health Services, Inc.* | 2,005 | |||||||||
866 | GenVec, Inc.* | 1,593 | |||||||||
952 | Geron Corp.* | 6,159 | |||||||||
255 | Greatbatch, Inc.* | 5,248 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
220 | GTx, Inc.* | $ | 3,161 | ||||||||
321 | Haemonetics Corp.* | 18,621 | |||||||||
841 | Halozyme Therapeutics, Inc.* | 7,132 | |||||||||
101 | Hansen Medical, Inc.* | 2,978 | |||||||||
404 | HealthExtras, Inc.* | 10,734 | |||||||||
390 | Healthspring, Inc.* | 7,371 | |||||||||
458 | Healthways, Inc.* | 26,733 | |||||||||
274 | HMS Holdings Corp.* | 8,508 | |||||||||
1,598 | Hologic, Inc.* | 106,091 | |||||||||
1,754 | Human Genome Sciences, Inc.* | 18,259 | |||||||||
486 | Hythiam, Inc.* | 1,570 | |||||||||
268 | I-Flow Corp.* | 4,468 | |||||||||
113 | ICU Medical, Inc.* | 4,195 | |||||||||
325 | Idenix Pharmaceuticals, Inc.* | 777 | |||||||||
700 | Illumina, Inc.* | 40,453 | |||||||||
900 | Immucor, Inc.* | 29,853 | |||||||||
652 | Immunomedics, Inc.* | 1,474 | |||||||||
655 | Incyte Corp.* | 5,620 | |||||||||
725 | Indevus Pharmaceuticals, Inc.* | 5,430 | |||||||||
83 | Insulet Corp.* | 2,279 | |||||||||
235 | Integra LifeSciences Holdings Corp.* | 9,741 | |||||||||
336 | InterMune, Inc.* | 5,457 | |||||||||
407 | inVentiv Health, Inc.* | 11,876 | |||||||||
349 | Inverness Medical Innovations, Inc.* | 20,479 | |||||||||
584 | Isis Pharmaceuticals, Inc.* | 10,331 | |||||||||
555 | Javelin Pharmaceuticals, Inc.* | 2,309 | |||||||||
71 | Jazz Pharmaceuticals, Inc.* | 1,101 | |||||||||
166 | Kendle International, Inc.* | 7,166 | |||||||||
115 | Kensey Nash Corp.* | 3,100 | |||||||||
569 | Keryx Biopharmaceuticals, Inc.* | 5,235 | |||||||||
556 | Kosan Biosciences, Inc.* | 2,652 | |||||||||
462 | KV Pharmaceutical Co., Class A* | 13,028 | |||||||||
64 | Landauer, Inc. | 3,213 | |||||||||
249 | LCA-Vision, Inc. | 4,049 | |||||||||
190 | LHC Group, Inc.* | 4,864 | |||||||||
443 | Lifecell Corp.* | 17,964 | |||||||||
1,112 | Ligand Pharmaceuticals, Inc., Class B | 5,460 | |||||||||
468 | Luminex Corp.* | 7,493 | |||||||||
81 | Magellan Health Services, Inc.* | 3,681 | |||||||||
157 | Masimo Corp.* | 5,803 | |||||||||
224 | Matria Healthcare, Inc.* | 5,089 | |||||||||
1,645 | Medarex, Inc.* | 20,892 | |||||||||
41 | Medcath Corp.* | 1,042 | |||||||||
153 | Medical Action Industries, Inc.* | 3,062 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
676 | Medicines Co. (The)* | $ | 11,952 | ||||||||
730 | Medicis Pharmaceutical Corp., Class A | 19,637 | |||||||||
279 | Medivation, Inc.* | 3,794 | |||||||||
442 | Mentor Corp. | 16,615 | |||||||||
519 | Meridian Bioscience, Inc. | 16,011 | |||||||||
49 | Merit Medical Systems, Inc.* | 712 | |||||||||
189 | Metabolix, Inc.* | 4,067 | |||||||||
1,042 | MGI Pharma, Inc.* | 36,064 | |||||||||
196 | Micrus Endovascular Corp.* | 3,589 | |||||||||
615 | Minrad International, Inc.* | 1,667 | |||||||||
60 | Molecular Insight Pharmaceuticals, Inc.* | 527 | |||||||||
136 | Momenta Pharmaceuticals, Inc.* | 726 | |||||||||
111 | MWI Veterinary Supply, Inc.* | 4,671 | |||||||||
562 | Myriad Genetics, Inc.* | 27,088 | |||||||||
336 | Nabi Biopharmaceuticals* | 1,109 | |||||||||
333 | Nastech Pharmaceutical Co., Inc.* | 1,265 | |||||||||
58 | National Healthcare Corp. | 2,848 | |||||||||
282 | Natus Medical, Inc.* | 4,757 | |||||||||
1,198 | Nektar Therapeutics* | 7,991 | |||||||||
262 | Neurocrine Biosciences, Inc.* | 3,411 | |||||||||
413 | Neurogen Corp.* | 1,363 | |||||||||
275 | Nighthawk Radiology Holdings, Inc.* | 5,814 | |||||||||
255 | Northstar Neuroscience, Inc.* | 2,354 | |||||||||
93 | Novacea, Inc.* | 265 | |||||||||
324 | Noven Pharmaceuticals, Inc.* | 5,129 | |||||||||
451 | NuVasive, Inc.* | 19,199 | |||||||||
264 | NxStage Medical, Inc.* | 3,395 | |||||||||
70 | Obagi Medical Products, Inc.* | 1,288 | |||||||||
32 | Odyssey HealthCare, Inc.* | 320 | |||||||||
439 | Omnicell, Inc.* | 11,576 | |||||||||
179 | Omrix Biopharmaceuticals, Inc.* | 5,977 | |||||||||
715 | Onyx Pharmaceuticals, Inc.* | 38,996 | |||||||||
603 | OraSure Technologies, Inc.* | 5,716 | |||||||||
82 | Orexigen Therapeutics, Inc.* | 1,080 | |||||||||
127 | Orthofix International N.V.* | 7,418 | |||||||||
753 | OSI Pharmaceuticals, Inc.* | 35,112 | |||||||||
178 | Osiris Therapeutics, Inc.* | 1,988 | |||||||||
94 | Owens & Minor, Inc. | 3,691 | |||||||||
470 | Pain Therapeutics, Inc.* | 4,930 | |||||||||
240 | Palomar Medical Technologies, Inc.* | 4,210 | |||||||||
396 | Par Pharmaceutical Cos., Inc.* | 7,619 | |||||||||
364 | Parexel International Corp.* | 16,107 | |||||||||
304 | Penwest Pharmaceuticals Co.* | 1,851 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
528 | Perrigo Co. | $ | 16,315 | ||||||||
118 | PharmaNet Development Group, Inc.* | 4,661 | |||||||||
95 | PharMerica Corp.* | 1,399 | |||||||||
340 | Pharmion Corp.* | 21,706 | |||||||||
537 | Phase Forward, Inc.* | 13,103 | |||||||||
304 | Poniard Pharmaceuticals, Inc.* | 1,368 | |||||||||
333 | Pozen, Inc.* | 3,473 | |||||||||
172 | PRA International* | 5,212 | |||||||||
334 | Progenics Pharmaceuticals, Inc.* | 6,480 | |||||||||
30 | Protalix BioTherapeutics, Inc.* | 110 | |||||||||
115 | Providence Service Corp. (The)* | 3,218 | |||||||||
878 | PSS World Medical, Inc.* | 16,840 | |||||||||
709 | Psychiatric Solutions, Inc.* | 25,900 | |||||||||
375 | Quidel Corp.* | 7,088 | |||||||||
170 | Radiation Therapy Services, Inc.* | 5,302 | |||||||||
389 | Regeneration Technologies, Inc.* | 3,454 | |||||||||
832 | Regeneron Pharmaceuticals, Inc.* | 18,121 | |||||||||
342 | Rigel Pharmaceuticals, Inc.* | 2,449 | |||||||||
548 | Salix Pharmaceuticals Ltd.* | 6,225 | |||||||||
663 | Santarus, Inc.* | 1,684 | |||||||||
694 | Savient Pharmaceuticals, Inc.* | 9,758 | |||||||||
389 | Sciele Pharma, Inc.* | 8,682 | |||||||||
637 | Seattle Genetics, Inc.* | 7,001 | |||||||||
396 | Senomyx, Inc.* | 2,772 | |||||||||
219 | Sirona Dental Systems, Inc.* | 5,926 | |||||||||
72 | Sirtris Pharmaceuticals, Inc.* | 1,158 | |||||||||
157 | Skilled Healthcare Group, Inc.* | 2,379 | |||||||||
133 | Somaxon Pharmaceuticals, Inc.* | 773 | |||||||||
345 | Sonic Innovations, Inc.* | 2,874 | |||||||||
217 | SonoSite, Inc.* | 7,209 | |||||||||
407 | Spectranetics Corp.* | 6,174 | |||||||||
342 | Stereotaxis, Inc.* | 4,614 | |||||||||
392 | STERIS Corp. | 10,960 | |||||||||
48 | Sucampo Pharmaceuticals, Inc., Class A* | 636 | |||||||||
561 | Sun Healthcare Group, Inc.* | 9,307 | |||||||||
498 | Sunrise Senior Living, Inc.* | 15,632 | |||||||||
697 | SuperGen, Inc.* | 2,948 | |||||||||
198 | SurModics, Inc.* | 10,225 | |||||||||
42 | Symmetry Medical, Inc.* | 707 | |||||||||
65 | Synta Pharmaceuticals Corp.* | 484 | |||||||||
637 | Telik, Inc.* | 2,134 | |||||||||
431 | Tercica, Inc.* | 2,862 | |||||||||
695 | Thoratec Corp.* | 13,615 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 Growth (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
135 | TomoTherapy, Inc.* | $ | 2,511 | ||||||||
591 | Trizetto Group* | 9,119 | |||||||||
113 | Trubion Pharmaceuticals, Inc.* | 1,129 | |||||||||
272 | United Therapeutics Corp.* | 27,222 | |||||||||
148 | Universal American Financial Corp.* | 3,528 | |||||||||
1,241 | Valeant Pharmaceuticals International* | 14,334 | |||||||||
347 | Vanda Pharmaceuticals, Inc.* | 3,120 | |||||||||
233 | Varian, Inc.* | 16,322 | |||||||||
351 | Ventana Medical Systems, Inc.* | 31,176 | |||||||||
807 | Viropharma, Inc.* | 7,215 | |||||||||
201 | Visicu, Inc.* | 1,684 | |||||||||
211 | Vital Images, Inc.* | 3,806 | |||||||||
129 | Vital Signs, Inc. | 6,825 | |||||||||
762 | Vivus, Inc.* | 4,313 | |||||||||
377 | Volcano Corp.* | 5,508 | |||||||||
431 | West Pharmaceutical Services, Inc. | 16,193 | |||||||||
438 | Wright Medical Group, Inc.* | 11,817 | |||||||||
282 | XenoPort, Inc.* | 14,830 | |||||||||
1,478 | XOMA Ltd.* | 5,321 | |||||||||
200 | Zoll Medical Corp.* | 4,656 | |||||||||
508 | Zymogenetics, Inc.* | 7,457 | |||||||||
1,895,983 | |||||||||||
Industrials — 14.9% | |||||||||||
230 | 3D Systems Corp.* | 4,041 | |||||||||
181 | AAON, Inc. | 3,444 | |||||||||
455 | AAR Corp.* | 15,024 | |||||||||
42 | ABM Industries, Inc. | 857 | |||||||||
185 | ACCO Brands Corp.* | 3,091 | |||||||||
627 | Actuant Corp., Class A | 19,857 | |||||||||
404 | Acuity Brands, Inc. | 15,954 | |||||||||
306 | Administaff, Inc. | 10,000 | |||||||||
236 | Advisory Board Co. (The)* | 15,342 | |||||||||
434 | Aecom Technology Corp.* | 11,540 | |||||||||
91 | Aerovironment, Inc.* | 2,192 | |||||||||
1,195 | Airtran Holdings, Inc.* | 10,146 | |||||||||
69 | Allegiant Travel Co.* | 2,443 | |||||||||
150 | Altra Holdings, Inc.* | 2,404 | |||||||||
655 | American Commercial Lines, Inc.* | 11,390 | |||||||||
197 | American Ecology Corp. | 4,381 | |||||||||
128 | American Railcar Industries, Inc. | 1,969 | |||||||||
389 | American Reprographics Co.* | 6,022 | |||||||||
120 | American Science & Engineering, Inc. | 6,942 | |||||||||
530 | American Superconductor Corp.* | 12,794 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
10 | Ameron International Corp. | $ | 1,058 | ||||||||
8 | Ampco-Pittsburgh Corp. | 282 | |||||||||
8 | Amrep Corp. | 264 | |||||||||
376 | Apogee Enterprises, Inc. | 8,355 | |||||||||
97 | Applied Industrial Technologies, Inc. | 2,930 | |||||||||
66 | Argon ST, Inc.* | 1,203 | |||||||||
442 | Arrowhead Research Corp.* | 1,803 | |||||||||
246 | Astec Industries, Inc.* | 9,240 | |||||||||
158 | ASV, Inc.* | 1,842 | |||||||||
152 | AZZ, Inc.* | 4,071 | |||||||||
157 | Badger Meter, Inc. | 6,123 | |||||||||
598 | Baldor Electric Co. | 20,182 | |||||||||
547 | Barnes Group, Inc. | 16,935 | |||||||||
65 | Barrett Business Services, Inc. | 1,065 | |||||||||
526 | Beacon Roofing Supply, Inc.* | 4,844 | |||||||||
589 | Belden, Inc. | 27,123 | |||||||||
488 | Bucyrus International, Inc. | 42,802 | |||||||||
15 | Builders FirstSource, Inc.* | 104 | |||||||||
29 | Cascade Corp. | 1,750 | |||||||||
174 | CBIZ, Inc.* | 1,608 | |||||||||
36 | CDI Corp. | 960 | |||||||||
307 | Celadon Group, Inc.* | 2,395 | |||||||||
701 | Cenveo, Inc.* | 14,413 | |||||||||
252 | Ceradyne, Inc.* | 12,459 | |||||||||
115 | Chart Industries, Inc.* | 3,197 | |||||||||
333 | Clarcor, Inc. | 11,858 | |||||||||
217 | Clean Harbors, Inc.* | 11,662 | |||||||||
110 | Coleman Cable, Inc.* | 1,143 | |||||||||
137 | Columbus McKinnon Corp.* | 4,263 | |||||||||
58 | Comfort Systems USA, Inc. | 682 | |||||||||
229 | COMSYS IT Partners, Inc.* | 3,057 | |||||||||
103 | Consolidated Graphics, Inc.* | 5,328 | |||||||||
251 | CoStar Group, Inc.* | 12,096 | |||||||||
99 | Courier Corp. | 3,254 | |||||||||
127 | CRA International, Inc.* | 5,875 | |||||||||
130 | Cubic Corp. | 5,132 | |||||||||
273 | Curtiss-Wright Corp. | 14,726 | |||||||||
369 | Diamond Management & Technology Consultants, Inc. | 2,742 | |||||||||
139 | Dynamex, Inc.* | 3,818 | |||||||||
158 | Dynamic Materials Corp. | 10,028 | |||||||||
43 | DynCorp International, Inc., Class A* | 899 | |||||||||
164 | Eagle Bulk Shipping, Inc. | 4,690 | |||||||||
16 | EDO Corp. | 893 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
517 | Energy Conversion Devices, Inc.* | $ | 13,375 | ||||||||
339 | ESCO Technologies, Inc.* | 12,536 | |||||||||
76 | Esterline Technologies Corp.* | 3,969 | |||||||||
1,117 | Evergreen Solar, Inc.* | 14,711 | |||||||||
143 | Exponent, Inc.* | 3,983 | |||||||||
59 | ExpressJet Holdings, Inc.* | 148 | |||||||||
62 | First Advantage Corp., Class A* | 1,128 | |||||||||
487 | Flow International Corp.* | 3,847 | |||||||||
889 | Force Protection, Inc.* | 9,610 | |||||||||
306 | Forward Air Corp. | 9,905 | |||||||||
252 | Franklin Electric Co., Inc. | 9,818 | |||||||||
10 | FreightCar America, Inc. | 340 | |||||||||
619 | FTI Consulting, Inc.* | 35,283 | |||||||||
226 | Fuel Tech, Inc.* | 5,517 | |||||||||
866 | FuelCell Energy, Inc.* | 7,855 | |||||||||
15 | Genco Shipping & Trading Ltd. | 949 | |||||||||
733 | GenCorp, Inc.* | 8,869 | |||||||||
216 | Genesee & Wyoming, Inc.* | 5,659 | |||||||||
372 | Genlyte Group, Inc.* | 35,061 | |||||||||
659 | Geo Group, Inc. (The)* | 16,778 | |||||||||
161 | GeoEye, Inc.* | 5,107 | |||||||||
401 | Goodman Global, Inc.* | 9,484 | |||||||||
150 | Gorman-Rupp Co. (The) | 5,917 | |||||||||
271 | Granite Construction, Inc. | 11,116 | |||||||||
133 | Great Lakes Dredge & Dock Corp. | 1,185 | |||||||||
232 | H&E Equipment Services, Inc.* | 4,007 | |||||||||
543 | Healthcare Services Group | 11,892 | |||||||||
250 | Heartland Express, Inc. | 3,632 | |||||||||
334 | Heico Corp. | 16,453 | |||||||||
221 | Heidrick & Struggles International, Inc. | 8,016 | |||||||||
830 | Herman Miller, Inc. | 22,783 | |||||||||
1,232 | Hexcel Corp.* | 31,379 | |||||||||
439 | Horizon Lines, Inc., Class A | 8,740 | |||||||||
205 | Houston Wire & Cable Co. | 3,036 | |||||||||
507 | HUB Group, Inc., Class A* | 13,223 | |||||||||
330 | Hudson Highland Group, Inc.* | 2,940 | |||||||||
73 | Hurco Cos., Inc.* | 3,013 | |||||||||
244 | Huron Consulting Group, Inc.* | 17,878 | |||||||||
63 | ICT Group, Inc.* | 698 | |||||||||
411 | IHS, Inc., Class A* | 28,828 | |||||||||
310 | II-VI, Inc.* | 10,397 | |||||||||
304 | Innerworkings, Inc.* | 4,818 | |||||||||
165 | Innovative Solutions & Support, Inc.* | 2,348 | |||||||||
111 | Insteel Industries, Inc. | 1,262 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
86 | Integrated Electrical Services, Inc.* | $ | 1,614 | ||||||||
715 | Interface, Inc., Class A | 12,470 | |||||||||
145 | Interline Brands, Inc.* | 3,470 | |||||||||
417 | Ionatron, Inc.* | 1,443 | |||||||||
322 | JetBlue Airways Corp.* | 2,254 | |||||||||
10 | Kadant, Inc.* | 295 | |||||||||
107 | Kaman Corp. | 3,413 | |||||||||
304 | Kaydon Corp. | 15,385 | |||||||||
66 | Kelly Services, Inc., Class A | 1,257 | |||||||||
330 | Kenexa Corp.* | 6,392 | |||||||||
333 | Kforce, Inc.* | 3,613 | |||||||||
747 | Knight Transportation, Inc. | 11,354 | |||||||||
649 | Knoll, Inc. | 11,345 | |||||||||
509 | Korn/Ferry International* | 8,770 | |||||||||
126 | L.B. Foster Co., Class A* | 5,772 | |||||||||
574 | Labor Ready, Inc.* | 8,639 | |||||||||
73 | Ladish Co., Inc.* | 3,224 | |||||||||
218 | Layne Christensen Co.* | 12,415 | |||||||||
146 | LECG Corp.* | 2,316 | |||||||||
59 | Lindsay Corp. | 3,122 | |||||||||
158 | M&F Worldwide Corp.* | 8,116 | |||||||||
329 | McGrath Rentcorp | 8,748 | |||||||||
299 | Medis Technologies Ltd.* | 3,818 | |||||||||
94 | Michael Baker Corp.* | 3,283 | |||||||||
179 | Middleby Corp.* | 13,584 | |||||||||
321 | Midwest Air Group, Inc.* | 5,001 | |||||||||
34 | Miller Industries, Inc.* | 443 | |||||||||
138 | Mine Safety Appliances Co. | 6,763 | |||||||||
374 | Mobile Mini, Inc.* | 7,188 | |||||||||
124 | Moog, Inc., Class A* | 5,590 | |||||||||
32 | MTC Technologies, Inc.* | 523 | |||||||||
95 | Multi-Color Corp. | 2,270 | |||||||||
432 | Navigant Consulting, Inc.* | 5,607 | |||||||||
38 | NCI Building Systems, Inc.* | 1,305 | |||||||||
334 | Nordson Corp. | 17,635 | |||||||||
155 | Nuco2, Inc.* | 4,275 | |||||||||
537 | Odyssey Marine Exploration, Inc.* | 3,023 | |||||||||
362 | Old Dominion Freight Line, Inc.* | 8,156 | |||||||||
98 | On Assignment, Inc.* | 626 | |||||||||
656 | Orbital Sciences Corp.* | 15,783 | |||||||||
142 | Pacer International, Inc. | 1,954 | |||||||||
158 | PeopleSupport, Inc.* | 2,220 | |||||||||
268 | Perini Corp.* | 14,255 | |||||||||
40 | PGT, Inc.* | 221 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 Growth (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
178 | Pike Electric Corp.* | $ | 2,830 | ||||||||
241 | Pinnacle Airlines Corp.* | 3,919 | |||||||||
75 | Polypore International, Inc.* | 1,306 | |||||||||
70 | Powell Industries, Inc.* | 2,859 | |||||||||
70 | Protection One, Inc.* | 817 | |||||||||
209 | Raven Industries, Inc. | 7,259 | |||||||||
277 | RBC Bearings, Inc.* | 10,188 | |||||||||
640 | Resources Connection, Inc. | 13,197 | |||||||||
370 | Rollins, Inc. | 10,893 | |||||||||
149 | RSC Holdings, Inc.* | 1,830 | |||||||||
20 | Saia, Inc.* | 261 | |||||||||
21 | Schawk, Inc. | 302 | |||||||||
54 | School Specialty, Inc.* | 1,927 | |||||||||
227 | Simpson Manufacturing Co., Inc. | 6,040 | |||||||||
368 | Spherion Corp.* | 2,863 | |||||||||
37 | Standard Parking Corp.* | 1,716 | |||||||||
52 | Standard Register Co. (The) | 628 | |||||||||
104 | Stanley, Inc.* | 3,567 | |||||||||
146 | Sun Hydraulics Corp. | 4,241 | |||||||||
24 | TAL International Group, Inc. | 544 | |||||||||
811 | Taser International, Inc.* | 11,362 | |||||||||
207 | Team, Inc.* | 6,185 | |||||||||
386 | Teledyne Technologies, Inc.* | 20,929 | |||||||||
546 | TeleTech Holdings, Inc.* | 11,308 | |||||||||
114 | Tennant Co. | 4,997 | |||||||||
453 | Tetra Tech, Inc.* | 9,386 | |||||||||
315 | Titan International, Inc. | 8,650 | |||||||||
123 | TransDigm Group, Inc.* | 5,865 | |||||||||
19 | Trex Co., Inc.* | 131 | |||||||||
47 | Triumph Group, Inc. | 3,819 | |||||||||
257 | TurboChef Technologies, Inc.* | 3,822 | |||||||||
60 | Twin Disc, Inc. | 3,728 | |||||||||
389 | UAP Holding Corp. | 11,635 | |||||||||
69 | Ultrapetrol Bahamas Ltd.* | 1,199 | |||||||||
207 | United Stationers, Inc.* | 10,487 | |||||||||
35 | Universal Truckload Services, Inc.* | 611 | |||||||||
243 | Valmont Industries, Inc. | 19,073 | |||||||||
254 | Vicor Corp. | 3,668 | |||||||||
636 | Wabtec Corp. | 21,586 | |||||||||
680 | Walter Industries, Inc. | 23,589 | |||||||||
642 | Waste Connections, Inc.* | 20,435 | |||||||||
66 | Waste Industries USA, Inc. | 2,231 | |||||||||
278 | Watsco, Inc. | 10,077 | |||||||||
135 | Watson Wyatt Worldwide, Inc., Class A | 6,217 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
392 | Woodward Governor Co. | $ | 26,868 | ||||||||
121 | Xerium Technologies, Inc. | 720 | |||||||||
1,461,195 | |||||||||||
Information Technology — 21.1% | |||||||||||
391 | Acacia Research - Acacia Technologies* | 3,605 | |||||||||
485 | ACI Worldwide, Inc.* | 11,073 | |||||||||
289 | Acme Packet, Inc.* | 3,555 | |||||||||
791 | Actuate Corp.* | 5,988 | |||||||||
398 | Adtran, Inc. | 8,633 | |||||||||
498 | Advanced Analogic Technologies, Inc.* | 5,363 | |||||||||
468 | Advanced Energy Industries, Inc.* | 6,791 | |||||||||
227 | Advent Software, Inc.* | 11,522 | |||||||||
62 | Airvana, Inc.* | 392 | |||||||||
873 | AMIS Holdings, Inc.* | 6,696 | |||||||||
1,367 | Amkor Technology, Inc.* | 11,264 | |||||||||
769 | Anadigics, Inc.* | 8,467 | |||||||||
11 | Anaren, Inc.* | 169 | |||||||||
335 | Anixter International, Inc.* | 21,607 | |||||||||
222 | Ansoft Corp.* | 6,440 | |||||||||
1,013 | Ansys, Inc.* | 39,365 | |||||||||
1,413 | Applied Micro Circuits Corp.* | 3,547 | |||||||||
1,326 | Arris Group, Inc.* | 13,830 | |||||||||
1,671 | Art Technology Group, Inc.* | 6,985 | |||||||||
66 | Aruba Networks, Inc.* | 920 | |||||||||
1,151 | Aspen Technology, Inc.* | 19,521 | |||||||||
578 | Asyst Technologies, Inc.* | 1,988 | |||||||||
722 | Atheros Communications, Inc.* | 21,292 | |||||||||
390 | ATMI, Inc.* | 11,735 | |||||||||
67 | AuthenTec, Inc.* | 1,146 | |||||||||
2,541 | Avanex Corp.* | 3,811 | |||||||||
147 | Bankrate, Inc.* | 5,754 | |||||||||
184 | Benchmark Electronics, Inc.* | 3,303 | |||||||||
161 | BigBand Networks, Inc.* | 964 | |||||||||
483 | Blackbaud, Inc. | 13,746 | |||||||||
373 | Blackboard, Inc.* | 14,547 | |||||||||
53 | BladeLogic, Inc.* | 1,296 | |||||||||
364 | Blue Coat Systems, Inc.* | 13,180 | |||||||||
595 | Brightpoint, Inc.* | 9,883 | |||||||||
88 | Brooks Automation, Inc.* | 1,182 | |||||||||
648 | C-COR, Inc.* | 7,957 | |||||||||
251 | Cabot Microelectronics Corp.* | 9,387 | |||||||||
33 | CACI International, Inc., Class A* | 1,498 | |||||||||
91 | Cass Information Systems, Inc. | 3,404 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
58 | Cavium Networks, Inc.* | $ | 1,488 | ||||||||
428 | Chordiant Software, Inc.* | 4,293 | |||||||||
645 | Cirrus Logic, Inc.* | 3,676 | |||||||||
1,976 | CNET Networks, Inc.* | 14,978 | |||||||||
569 | Cogent, Inc.* | 6,316 | |||||||||
457 | Cognex Corp. | 9,263 | |||||||||
135 | Coherent, Inc.* | 3,884 | |||||||||
136 | Cohu, Inc. | 2,128 | |||||||||
464 | Commvault Systems, Inc.* | 10,333 | |||||||||
55 | comScore, Inc.* | 1,785 | |||||||||
257 | Comtech Group, Inc.* | 4,559 | |||||||||
302 | Comtech Telecommunications Corp.* | 14,997 | |||||||||
54 | Comverge, Inc.* | 1,700 | |||||||||
559 | Concur Technologies, Inc.* | 20,996 | |||||||||
1,698 | Conexant Systems, Inc.* | 1,885 | |||||||||
94 | CPI International, Inc.* | 1,578 | |||||||||
225 | Cray, Inc.* | 1,312 | |||||||||
204 | CSG Systems International, Inc.* | 3,380 | |||||||||
837 | Cybersource Corp.* | 12,229 | |||||||||
321 | Cymer, Inc.* | 13,183 | |||||||||
415 | Daktronics, Inc. | 9,682 | |||||||||
50 | Data Domain, Inc.* | 1,289 | |||||||||
467 | DealerTrack Holdings, Inc.* | 19,866 | |||||||||
140 | Dice Holdings, Inc.* | 1,383 | |||||||||
48 | Digi International, Inc.* | 738 | |||||||||
540 | Digital River, Inc.* | 20,882 | |||||||||
389 | Diodes, Inc.* | 11,444 | |||||||||
129 | Ditech Networks, Inc.* | 417 | |||||||||
303 | DivX, Inc.* | 5,130 | |||||||||
110 | Double-Take Software, Inc.* | 2,728 | |||||||||
22 | DSP Group, Inc.* | 298 | |||||||||
238 | DTS, Inc.* | 5,890 | |||||||||
256 | Dycom Industries, Inc.* | 7,204 | |||||||||
149 | Eagle Test Systems, Inc.* | 1,632 | |||||||||
391 | Echelon Corp.* | 6,565 | |||||||||
101 | EMS Technologies, Inc.* | 2,940 | |||||||||
662 | Emulex Corp.* | 11,088 | |||||||||
43 | EnerNOC, Inc.* | 1,968 | |||||||||
210 | Entegris, Inc.* | 1,819 | |||||||||
759 | Epicor Software Corp.* | 8,212 | |||||||||
339 | EPIQ Systems, Inc.* | 5,905 | |||||||||
470 | Equinix, Inc.* | 48,932 | |||||||||
599 | Euronet Worldwide, Inc.* | 19,623 | |||||||||
268 | Exar Corp.* | 2,463 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
31 | Excel Technology, Inc.* | $ | 836 | ||||||||
236 | ExlService Holdings, Inc.* | 5,657 | |||||||||
87 | Extreme Networks* | 317 | |||||||||
418 | FalconStor Software, Inc.* | 5,062 | |||||||||
217 | FARO Technologies, Inc.* | 5,863 | |||||||||
512 | FEI Co.* | 12,754 | |||||||||
3,500 | Finisar Corp.* | 5,950 | |||||||||
866 | Flir Systems, Inc.* | 59,520 | |||||||||
624 | Formfactor, Inc.* | 23,675 | |||||||||
187 | Forrester Research, Inc.* | 4,896 | |||||||||
1,656 | Foundry Networks, Inc.* | 29,195 | |||||||||
901 | Gartner, Inc.* | 17,020 | |||||||||
115 | Genesis Microchip, Inc.* | 580 | |||||||||
124 | Gevity HR, Inc. | 527 | |||||||||
546 | Global Cash Access Holdings, Inc.* | 1,900 | |||||||||
97 | Glu Mobile, Inc.* | 530 | |||||||||
284 | Greenfield Online, Inc.* | 4,271 | |||||||||
43 | Guidance Software, Inc.* | 529 | |||||||||
1,037 | Harmonic, Inc.* | 10,754 | |||||||||
330 | Harris Stratex Networks, Inc., Class A* | 5,683 | |||||||||
213 | Heartland Payment Systems, Inc. | 6,876 | |||||||||
214 | Hittite Microwave Corp.* | 9,243 | |||||||||
95 | HSW International, Inc.* | 503 | |||||||||
84 | Hughes Communications, Inc.* | 4,465 | |||||||||
400 | Hypercom Corp.* | 2,140 | |||||||||
433 | iBasis, Inc. | 2,291 | |||||||||
285 | iGate Corp.* | 2,411 | |||||||||
161 | Imergent, Inc. | 1,990 | |||||||||
134 | Infinera Corp.* | 2,923 | |||||||||
1,143 | Informatica Corp.* | 19,602 | |||||||||
222 | Infospace, Inc. | 3,954 | |||||||||
144 | infoUSA, Inc. | 1,243 | |||||||||
88 | Integral Systems, Inc. | 2,194 | |||||||||
170 | Interactive Intelligence, Inc.* | 4,434 | |||||||||
613 | InterDigital, Inc.* | 11,034 | |||||||||
792 | Intermec, Inc.* | 17,004 | |||||||||
639 | Internap Network Services Corp.* | 6,358 | |||||||||
507 | InterVoice, Inc.* | 4,958 | |||||||||
464 | Interwoven, Inc.* | 5,698 | |||||||||
280 | Intevac, Inc.* | 4,396 | |||||||||
349 | Ipass, Inc.* | 1,525 | |||||||||
131 | IPG Photonics Corp.* | 2,666 | |||||||||
111 | Isilon Systems, Inc.* | 627 | |||||||||
392 | Itron, Inc.* | 30,400 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 Growth (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
399 | Ixia* | $ | 4,122 | ||||||||
198 | IXYS Corp.* | 1,531 | |||||||||
645 | j2 Global Communications, Inc.* | 15,686 | |||||||||
1,029 | Jack Henry & Associates, Inc. | 27,536 | |||||||||
103 | JDA Software Group, Inc.* | 2,157 | |||||||||
361 | Knot, Inc. (The)* | 4,765 | |||||||||
642 | Kulicke & Soffa Industries, Inc.* | 4,545 | |||||||||
413 | L-1 Identity Solutions, Inc.* | 7,673 | |||||||||
169 | Limelight Networks, Inc.* | 1,344 | |||||||||
673 | Lionbridge Technologies* | 2,046 | |||||||||
139 | Liquidity Services, Inc.* | 1,660 | |||||||||
90 | Littelfuse, Inc.* | 3,001 | |||||||||
528 | LivePerson, Inc.* | 2,640 | |||||||||
245 | LoJack Corp.* | 4,290 | |||||||||
354 | LoopNet, Inc.* | 5,437 | |||||||||
812 | LTX Corp.* | 1,949 | |||||||||
693 | Macrovision Corp.* | 17,270 | |||||||||
531 | Magma Design Automation, Inc.* | 7,094 | |||||||||
274 | Manhattan Associates, Inc.* | 7,434 | |||||||||
44 | Mantech International Corp., Class A* | 1,702 | |||||||||
285 | Marchex, Inc., Class B | 3,508 | |||||||||
463 | MasTec, Inc.* | 4,681 | |||||||||
588 | Mattson Technology, Inc.* | 4,845 | |||||||||
24 | MAXIMUS, Inc. | 936 | |||||||||
74 | Measurement Specialties, Inc.* | 1,821 | |||||||||
714 | Mentor Graphics Corp.* | 7,775 | |||||||||
147 | Mercadolibre, Inc.* | 6,234 | |||||||||
726 | Micrel, Inc. | 6,476 | |||||||||
529 | Micros Systems, Inc.* | 38,162 | |||||||||
996 | Microsemi Corp.* | 22,788 | |||||||||
107 | MicroStrategy, Inc.* | 10,791 | |||||||||
700 | Microtune, Inc.* | 3,640 | |||||||||
302 | Midway Games, Inc.* | 734 | |||||||||
567 | MIPS Technologies, Inc.* | 3,221 | |||||||||
36 | MKS Instruments, Inc.* | 654 | |||||||||
310 | Monolithic Power Systems, Inc.* | 5,915 | |||||||||
101 | Monotype Imaging Holdings, Inc.* | 1,615 | |||||||||
1,363 | Move, Inc.* | 3,203 | |||||||||
131 | MPS Group, Inc.* | 1,454 | |||||||||
142 | MTS Systems Corp. | 5,821 | |||||||||
50 | Multi-Fineline Electronix, Inc.* | 913 | |||||||||
162 | Ness Technologies, Inc.* | 1,524 | |||||||||
546 | Net 1 UEPS Technologies, Inc.* | 16,904 | |||||||||
93 | Netezza Corp.* | 1,232 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
452 | Netgear, Inc.* | $ | 15,318 | ||||||||
215 | Netlogic Microsystems, Inc.* | 6,289 | |||||||||
344 | Network Equipment Technologies, Inc.* | 4,279 | |||||||||
512 | NIC, Inc. | 3,994 | |||||||||
421 | Novatel Wireless, Inc.* | 6,542 | |||||||||
1,721 | Nuance Communications, Inc.* | 34,730 | |||||||||
448 | Omniture, Inc.* | 12,728 | |||||||||
192 | Omnivision Technologies, Inc.* | 3,575 | |||||||||
3,171 | ON Semiconductor Corp.* | 29,141 | |||||||||
2,087 | On2 Technologies, Inc.* | 1,565 | |||||||||
377 | Online Resources Corp.* | 3,544 | |||||||||
766 | OpenTV Corp., Class A* | 912 | |||||||||
125 | Oplink Communications, Inc.* | 2,019 | |||||||||
244 | OpNext, Inc.* | 1,976 | |||||||||
54 | Optium Corp.* | 454 | |||||||||
343 | Orbcomm, Inc.* | 2,672 | |||||||||
92 | OSI Systems, Inc.* | 2,281 | |||||||||
393 | Packeteer, Inc.* | 2,657 | |||||||||
686 | Parametric Technology Corp.* | 11,456 | |||||||||
26 | PC Connection, Inc.* | 333 | |||||||||
153 | PDF Solutions, Inc.* | 1,213 | |||||||||
18 | Pegasystems, Inc. | 223 | |||||||||
383 | Perficient, Inc.* | 6,423 | |||||||||
103 | Pericom Semiconductor Corp.* | 1,707 | |||||||||
366 | Plexus Corp.* | 10,892 | |||||||||
375 | PLX Technology, Inc.* | 3,690 | |||||||||
2,593 | PMC - Sierra, Inc.* | 18,203 | |||||||||
1,198 | Polycom, Inc.* | 29,075 | |||||||||
536 | Progress Software Corp.* | 16,954 | |||||||||
72 | PROS Holdings, Inc.* | 1,238 | |||||||||
129 | QAD, Inc. | 1,098 | |||||||||
222 | Quality Systems, Inc. | 6,569 | |||||||||
784 | Quest Software, Inc.* | 12,677 | |||||||||
37 | Rackable Systems, Inc.* | 394 | |||||||||
343 | Radiant Systems, Inc.* | 5,478 | |||||||||
56 | Radisys Corp.* | 870 | |||||||||
111 | Renaissance Learning, Inc. | 1,445 | |||||||||
2,111 | RF Micro Devices, Inc.* | 12,204 | |||||||||
236 | RightNow Technologies, Inc.* | 4,283 | |||||||||
108 | Rimage Corp.* | 2,692 | |||||||||
182 | Rofin-Sinar Technologies, Inc.* | 16,569 | |||||||||
195 | Rudolph Technologies, Inc.* | 2,330 | |||||||||
1,065 | Sapient Corp.* | 7,711 | |||||||||
251 | SAVVIS, Inc.* | 8,042 |
See accompanying notes to the financial statements.
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
302 | Scansource, Inc.* | $ | 10,655 | ||||||||
160 | Seachange International, Inc.* | 1,206 | |||||||||
44 | Secure Computing Corp.* | 399 | |||||||||
53 | Semitool, Inc.* | 490 | |||||||||
665 | Semtech Corp.* | 10,148 | |||||||||
71 | ShoreTel, Inc.* | 1,102 | |||||||||
367 | Sigma Designs, Inc.* | 23,862 | |||||||||
5 | Silicon Graphics, Inc.* | 85 | |||||||||
1,040 | Silicon Image, Inc.* | 4,888 | |||||||||
784 | SiRF Technology Holdings, Inc.* | 18,887 | |||||||||
282 | Skyworks Solutions, Inc.* | 2,561 | |||||||||
655 | Smart Modular Technologies WWH, Inc.* | 5,502 | |||||||||
387 | Smith Micro Software, Inc.* | 3,100 | |||||||||
359 | Sohu.com, Inc.* | 20,599 | |||||||||
240 | Solera Holdings, Inc.* | 5,522 | |||||||||
77 | Sonic Solutions, Inc.* | 765 | |||||||||
218 | SonicWALL, Inc.* | 2,206 | |||||||||
3,492 | Sonus Networks, Inc.* | 22,977 | |||||||||
87 | Sourcefire, Inc.* | 706 | |||||||||
883 | SourceForge, Inc.* | 2,040 | |||||||||
240 | SPSS, Inc.* | 8,674 | |||||||||
309 | SRA International, Inc., Class A* | 8,448 | |||||||||
102 | Standard Microsystems Corp.* | 3,598 | |||||||||
102 | Starent Networks Corp.* | 2,132 | |||||||||
138 | STEC, Inc.* | 1,286 | |||||||||
269 | Stratasys, Inc.* | 6,722 | |||||||||
121 | Super Micro Computer, Inc.* | 999 | |||||||||
149 | Supertex, Inc.* | 5,059 | |||||||||
167 | Switch & Data Facilities Co., Inc.* | 3,171 | |||||||||
125 | Sybase, Inc.* | 3,205 | |||||||||
920 | Sycamore Networks, Inc.* | 3,542 | |||||||||
430 | SYKES Enterprises, Inc.* | 7,938 | |||||||||
305 | Symmetricom, Inc.* | 1,315 | |||||||||
335 | Synaptics, Inc.* | 18,606 | |||||||||
241 | Synchronoss Technologies, Inc.* | 7,934 | |||||||||
164 | Syntel, Inc. | 5,909 | |||||||||
840 | Take-Two Interactive Software, Inc.* | 12,583 | |||||||||
216 | Taleo Corp., Class A* | 6,098 | |||||||||
198 | Technitrol, Inc. | 5,300 | |||||||||
70 | TechTarget, Inc.* | 956 | |||||||||
195 | Techwell, Inc.* | 2,381 | |||||||||
662 | Terremark Worldwide, Inc.* | 3,714 | |||||||||
626 | Tessera Technologies, Inc.* | 24,176 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
285 | TheStreet.com, Inc. | $ | 3,505 | ||||||||
874 | THQ, Inc.* | 21,369 | |||||||||
92 | Travelzoo, Inc.* | 1,405 | |||||||||
746 | Trident Microsystems, Inc.* | 4,685 | |||||||||
66 | TTM Technologies, Inc.* | 798 | |||||||||
509 | Tyler Technologies, Inc.* | 7,665 | |||||||||
322 | Ultimate Software Group, Inc.* | 10,520 | |||||||||
29 | Ultra Clean Holdings* | 417 | |||||||||
159 | Ultratech, Inc.* | 1,905 | |||||||||
128 | Unica Corp.* | 1,152 | |||||||||
243 | United Online, Inc. | 3,655 | |||||||||
224 | Universal Display Corp.* | 3,709 | |||||||||
637 | Utstarcom, Inc.* | 1,847 | |||||||||
1,304 | Valueclick, Inc.* | 30,827 | |||||||||
342 | Vasco Data Security International, Inc.* | 7,674 | |||||||||
55 | Veeco Instruments, Inc.* | 923 | |||||||||
118 | Veraz Networks, Inc.* | 559 | |||||||||
317 | Viasat, Inc.* | 10,572 | |||||||||
188 | Vignette Corp.* | 2,891 | |||||||||
40 | Virtusa Corp.* | 707 | |||||||||
564 | VistaPrint Ltd.* | 25,042 | |||||||||
267 | Visual Sciences, Inc.* | 4,224 | |||||||||
169 | Vocus, Inc.* | 5,307 | |||||||||
278 | Volterra Semiconductor Corp.* | 3,442 | |||||||||
588 | Websense, Inc.* | 9,608 | |||||||||
975 | Wind River Systems, Inc.* | 9,955 | |||||||||
478 | Wright Express Corp.* | 18,140 | |||||||||
99 | X-Rite, Inc.* | 1,231 | |||||||||
211 | Zoran Corp.* | 4,604 | |||||||||
2,075,279 | |||||||||||
Materials — 3.5% | |||||||||||
73 | AEP Industries, Inc.* | 2,497 | |||||||||
65 | AM Castle & Co. | 1,632 | |||||||||
102 | AMCOL International Corp. | 3,874 | |||||||||
238 | American Vanguard Corp. | 3,891 | |||||||||
766 | Apex Silver Mines Ltd.* | 13,060 | |||||||||
71 | Aptargroup, Inc. | 2,997 | |||||||||
233 | Balchem Corp. | 4,982 | |||||||||
265 | Brush Engineered Materials, Inc.* | 11,853 | |||||||||
209 | Century Aluminum Co.* | 11,984 | |||||||||
72 | CF Industries Holdings, Inc. | 6,551 | |||||||||
1,885 | Coeur d'Alene Mines Corp.* | 7,860 | |||||||||
137 | Deltic Timber Corp. | 6,597 |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2007 (Unaudited)
Ultra Russell2000 Growth (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
11 | Esmark, Inc.* | $ | 213 | ||||||||
237 | Flotek Industries, Inc.* | 8,736 | |||||||||
634 | General Moly, Inc.* | 6,758 | |||||||||
113 | GenTek, Inc.* | 3,390 | |||||||||
898 | Graphic Packaging Corp.* | 3,682 | |||||||||
434 | Greif, Inc., Class A | 25,636 | |||||||||
152 | Haynes International, Inc.* | 12,846 | |||||||||
1,571 | Hecla Mining Co.* | 18,428 | |||||||||
720 | Hercules, Inc. | 13,975 | |||||||||
38 | Horsehead Holding Corp.* | 632 | |||||||||
133 | Innophos Holdings, Inc. | 1,903 | |||||||||
197 | Kaiser Aluminum Corp. | 14,015 | |||||||||
125 | Koppers Holdings, Inc. | 4,805 | |||||||||
31 | Kronos Worldwide, Inc. | 515 | |||||||||
284 | Landec Corp.* | 3,732 | |||||||||
203 | LSB Industries, Inc.* | 4,604 | |||||||||
26 | Metal Management, Inc. | 1,197 | |||||||||
366 | Myers Industries, Inc. | 7,305 | |||||||||
133 | Neenah Paper, Inc. | 4,014 | |||||||||
39 | NewMarket Corp. | 2,093 | |||||||||
122 | Royal Gold, Inc. | 3,504 | |||||||||
301 | RTI International Metals, Inc.* | 22,105 | |||||||||
374 | ShengdaTech, Inc.* | 3,059 | |||||||||
175 | Silgan Holdings, Inc. | 9,385 | |||||||||
33 | Stillwater Mining Co.* | 320 | |||||||||
236 | Symyx Technologies* | 1,808 | |||||||||
1,213 | Terra Industries, Inc.* | 45,827 | |||||||||
146 | Texas Industries, Inc. | 10,130 | |||||||||
170 | U.S. Concrete, Inc.* | 639 | |||||||||
673 | U.S. Gold Corp.* | 2,308 | |||||||||
47 | Universal Stainless & Alloy* | 1,450 | |||||||||
88 | Valhi, Inc. | 1,612 | |||||||||
349 | W.R. Grace & Co.* | 9,427 | |||||||||
202 | Zep, Inc.* | 2,652 | |||||||||
326 | Zoltek Cos., Inc.* | 13,894 | |||||||||
344,377 | |||||||||||
Telecommunication Services — 1.2% | |||||||||||
270 | Cbeyond, Inc.* | 11,170 | |||||||||
312 | Centennial Communications Corp.* | 2,777 | |||||||||
653 | Cogent Communications Group, Inc.* | 13,569 | |||||||||
146 | Consolidated Communications Holdings, Inc. | 2,348 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
55 | Fairpoint Communications, Inc. | $ | 821 | ||||||||
92 | General Communication, Inc., Class A* | 815 | |||||||||
197 | Global Crossing Ltd.* | 3,611 | |||||||||
253 | Globalstar, Inc.* | 2,295 | |||||||||
87 | Golden Telecom, Inc.* | 8,827 | |||||||||
19 | Hungarian Telephone & Cable Corp.* | 332 | |||||||||
570 | ICO Global Communications Holdings Ltd.* | 2,246 | |||||||||
164 | iPCS, Inc. | 5,674 | |||||||||
170 | North Pittsburgh Systems, Inc. | 4,015 | |||||||||
363 | NTELOS Holdings Corp. | 9,630 | |||||||||
413 | PAETEC Holding Corp.* | 4,419 | |||||||||
95 | Premiere Global Services, Inc.* | 1,309 | |||||||||
68 | Rural Cellular Corp., Class A* | 2,996 | |||||||||
26 | Shenandoah Telecom Co. | 642 | |||||||||
1,749 | Time Warner Telecom, Inc., Class A* | 39,230 | |||||||||
400 | Vonage Holdings Corp.* | 844 | |||||||||
117,570 | |||||||||||
Utilities — 0.5% | |||||||||||
155 | Cadiz, Inc.* | 3,079 | |||||||||
188 | Consolidated Water Co., Inc. | 5,730 | |||||||||
26 | EnergySouth, Inc. | 1,437 | |||||||||
555 | ITC Holdings Corp. | 28,327 | |||||||||
179 | Ormat Technologies, Inc. | 9,040 | |||||||||
11 | SJW Corp. | 368 | |||||||||
47,981 | |||||||||||
Total Common Stock Cost ($8,990,781) | 8,919,315 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 16.8% | |||||||||||
$ | 329,842 | Credit Suisse First Boston Corp., 4.64%, dated 11/30/07, due 12/03/07, total to be received $329,970 ** | 329,842 | ||||||||
379,389 | Credit Suisse First Boston Corp., 4.55%, dated 11/30/07, due 12/03/07, total to be received $379,533 *** | 379,389 | |||||||||
65,969 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $65,994 **** | 65,969 |
See accompanying notes to the financial statements.
Principal Amount | Value | ||||||||||
Repurchase Agreements (continued) | |||||||||||
$ | 879,580 | UBS Warburg LLC, 4.55%, dated 11/30/07, due 12/03/07, total to be received $879,914 *****. | $ | 879,580 | |||||||
Total Repurchase Agreements (Cost $1,654,780) | 1,654,780 | ||||||||||
Total Investments (Cost $10,645,561) — 107.5% | 10,574,095 | ||||||||||
Liabilities in excess of other assets — (7.5%) | (734,892 | ) | |||||||||
Net Assets — 100.0% | $ | 9,839,203 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
* Non-income producing security.
** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/2/08 to 6/8/17; Federal Home Loan Mortgage Corp., 0% to 5.76%, due 12/7/07 to 11/23/35; Federal National Mortgage Association, 0% to 6.30%, due 2/27/08 to 6/13/22, which had a total value of $336,441. The investment in the repurchase agreement was through participation in a pooled account.
*** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 5.25%, due 5/16/08 to 10/19/16; Federal Home Loan Mortgage Corp., 0% to 4.00%, due 1/2/08 to 9/22/09; Federal National Mortgage Association, 0% to
6.25%, due 4/10/08 to 8/15/17, which had a total value of $386,978. The investment in the repurchase agreement was through participation in a pooled account.
**** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Mortgage Corp., 0% due 2/11/08 to 4/21/08; Federal National Mortgage Association, 0% to 6.23%, due 5/30/08 to 5/15/30, which had a total value of $67,288. The investment in the repurchase agreement was through participation in a pooled account.
***** Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Schedule of Portfolio Investments as follows: Federal Home Loan Bank, 0% to 6.00%, due 1/11/08 to 7/21/25; Federal Home Loan Mortgage Corp., 0% to 6.10%, due 2/11/08 to 3/6/37; Federal National Mortgage Association, 0% to 6.21%, due 1/7/08 to 8/6/38, which had a total value of $897,171. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2007, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost
of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation | $ | 1,091,592 | |||||
Aggregate gross unrealized depreciation | (1,208,702 | ) | |||||
Net unrealized depreciation | $ | (117,110 | ) | ||||
Federal income tax cost of investments | $ | 10,691,205 |
Swap Agreements
Ultra Russell2000 Growth had the following open swap agreements as of November 30, 2007:
Notional Amount at Value | Unrealized Depreciation | ||||||||||
Equity Index Swap Agreement based on Russell 2000® Growth Index, expiring 12/27/07 | $ | 3,306,402 | $ | (239,238 | ) | ||||||
Equity Index Swap Agreement based on Russell 2000® Growth Index, expiring 12/27/07 | 8,000,000 | (401,183 | ) | ||||||||
$ | (640,421 | ) |
See accompanying notes to the financial statements.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company nnd Affiliated Purchasers.
Not Applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Registrant did not have in place procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
Item 11. Controls and Procedures.
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
(b) There were no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s first fiscal half year covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) |
| Not Applicable – See Item 2 above. |
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(a)(2) |
| Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 to be filed with Form N-CSR are attached hereto. |
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(a)(3) |
| Not applicable. |
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(b) |
| Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto. |
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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.
ProShares Trust
By: |
| |
| /s/ Louis M. Mayberg |
|
| Louis M. Mayberg | |
| President | |
| February 4, 2008 |
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/ Louis M. Mayberg |
|
| Louis M. Mayberg | |
| President | |
| February 4, 2008 |
By: |
| |
| /s/ Simon D. Collier |
|
| Simon D. Collier | |
| Treasurer | |
| February 4, 2008 |