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) | |||||||||
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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, 2008 |
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Item 1. Reports To Stockholders.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
ProShares Ultra
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 Telecommunications
ULTRA Utilities
Semiannual Report
ProShares Trust
ProShares Short
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
Short/UltraShort Sector
SHORT Financials
SHORT Oil & Gas
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 Telecommunications
ULTRASHORT Utilities
Short/UltraShort International
SHORT MSCI EAFE
SHORT MSCI Emerging Markets
ULTRASHORT MSCI EAFE
ULTRASHORT MSCI Emerging Markets
ULTRASHORT MSCI Japan
ULTRASHORT FTSE/Xinhua China 25
UltraShort Government Agency
ULTRASHORT 7-10 Year Treasury
ULTRASHORT 20+ Year Treasury
NOVEMBER 30, 2008
Table of Contents
1 | Shareholder Letter | ||||||
2 | Allocation of Portfolio Holdings and Index Composition | ||||||
37 | Expense Examples | ||||||
43 | Premium and Discount Information | ||||||
Schedule of Portfolio Investments | |||||||
66 | ULTRA QQQ® | ||||||
70 | ULTRA Dow30SM | ||||||
73 | ULTRA S&P500® | ||||||
77 | ULTRA MidCap400 | ||||||
81 | ULTRA SmallCap600 | ||||||
85 | ULTRA Russell2000 | ||||||
89 | ULTRA Russell1000 Value | ||||||
92 | ULTRA Russell1000 Growth | ||||||
95 | ULTRA Russell MidCap Value | ||||||
98 | ULTRA Russell MidCap Growth | ||||||
101 | ULTRA Russell2000 Value | ||||||
104 | ULTRA Russell2000 Growth | ||||||
108 | ULTRA Basic Materials | ||||||
111 | ULTRA Consumer Goods | ||||||
115 | ULTRA Consumer Services | ||||||
119 | ULTRA Financials | ||||||
123 | ULTRA Health Care | ||||||
127 | ULTRA Industrials | ||||||
131 | ULTRA Oil & Gas | ||||||
134 | ULTRA Real Estate | ||||||
137 | ULTRA Semiconductors | ||||||
140 | ULTRA Technology | ||||||
145 | ULTRA Telecommunications | ||||||
148 | ULTRA Utilities | ||||||
151 | SHORT QQQ® | ||||||
153 | SHORT Dow30SM | ||||||
155 | SHORT S&P500® | ||||||
157 | SHORT MidCap400 | ||||||
159 | SHORT SmallCap600 | ||||||
161 | SHORT Russell2000 | ||||||
163 | ULTRASHORT QQQ® | ||||||
165 | ULTRASHORT Dow30SM | ||||||
167 | ULTRASHORT S&P500® | ||||||
169 | ULTRASHORT MidCap400 | ||||||
171 | ULTRASHORT SmallCap600 | ||||||
173 | ULTRASHORT Russell2000 | ||||||
175 | ULTRASHORT Russell1000 Value | ||||||
177 | ULTRASHORT Russell1000 Growth | ||||||
179 | ULTRASHORT Russell MidCap Value | ||||||
181 | ULTRASHORT Russell MidCap Growth | ||||||
183 | ULTRASHORT Russell2000 Value | ||||||
185 | ULTRASHORT Russell2000 Growth | ||||||
187 | SHORT Financials | ||||||
189 | SHORT Oil & Gas | ||||||
191 | ULTRASHORT Basic Materials | ||||||
193 | ULTRASHORT Consumer Goods | ||||||
195 | ULTRASHORT Consumer Services | ||||||
197 | ULTRASHORT Financials | ||||||
199 | ULTRASHORT Health Care | ||||||
201 | ULTRASHORT Industrials | ||||||
203 | ULTRASHORT Oil & Gas | ||||||
205 | ULTRASHORT Real Estate | ||||||
207 | ULTRASHORT Semiconductors | ||||||
209 | ULTRASHORT Technology | ||||||
211 | ULTRASHORT Telecommunications | ||||||
213 | ULTRASHORT Utilities | ||||||
215 | SHORT MSCI EAFE | ||||||
217 | SHORT MSCI Emerging Markets | ||||||
219 | ULTRASHORT MSCI EAFE | ||||||
221 | ULTRASHORT MSCI Emerging Markets | ||||||
223 | ULTRASHORT MSCI Japan | ||||||
225 | ULTRASHORT FTSE/Xinhua China 25 | ||||||
227 | ULTRASHORT 7-10 Year Treasury | ||||||
229 | ULTRASHORT 20+ Year Treasury | ||||||
231 | Statements of Assets and Liabilities | ||||||
242 | Statements of Operations | ||||||
253 | Statements of Changes in Net Assets | ||||||
274 | Financial Highlights | ||||||
296 | Notes to Financial Statements | ||||||
317 | Board Approval of Investment Advisory Agreements | ||||||
319 | Proxy Voting & Quarterly Portfolio Holdings Information | ||||||
Dear Shareholder,
I am pleased to present the ProShares Semiannual Report for the six-month period ended November 30, 2008.
The past six months have been extraordinary, with dramatic declines across virtually all market segments. U.S. stocks declined 34.36%(1), non-U.S. stocks declined 44.23%,(2) bonds declined 5.68%,(3) and commodities declined 41.14%(4) for the period. At the same time, stock market volatility reached unprecedented levels. For example, the volatility of the S&P 500® was 50.85% for the period, compared to 20.87% for the past 10 years.(5)
In these challenging times, many investors have found ProShares' ETFs to be valuable tools for managing their portfolios. With access to short and leveraged market exposure across a broad array of market segments as well as the ability to trade intraday, many investors were able to quickly adjust their investments to match their market views.
Strength in Market Turmoil
The value that our ETFs bring to investors has helped ProShares thrive even in these tumultuous times. During the period, ProShares assets under management grew more than 15% from $18.1 billion to $20.9 billion.(6) ProShares also finished the period as the nation's fourth-largest ETF manager(7) and the largest manager of short and leveraged ETF assets.(8)
For the current period, trading in our funds also increased with daily trading volume across all ProShares Trust products averaging 364 million shares, compared to 119 million shares for the prior six-month period.(9)
We have also continued to broaden our fund lineup. In 2008, ProShares launched six new ETFs: Ultra and UltraShort Telecommunications ProShares in March, two inverse Treasury ProShares in May, and Short Oil & Gas and Short Financials ProShares in June.
In times like these, many investors are seeking ways to adjust or hedge their market exposures. We're pleased that you have turned to ProShares to help meet those needs, and we deeply appreciate your continued trust and confidence.
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 their prospectuses. For a ProShares prospectus, please visit www.proshares.com and seek advice from your financial advisor or broker. Financial professionals can call ProShares at 866-PRO-5125 (866-776-5125).
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. 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. Moreover, Short ProShares will lose value when markets rise. ProShares are designed to meet daily objectives; results over longer periods may differ. There is no guarantee that any ProShares ETF will achieve its investment objective. ProShares registered under the Investment Company Act of 1940 are distributed by SEI Investments Distribution Co., which is not affiliated with ProFunds Group or its affiliates.
This material represents an assessment of the market environment at a specific time and is not intended to be a forecast of future events, or a guarantee of future results. This information should not be relied upon by the reader as investment advice.
(1) Source: Bloomberg, S&P 500® Index. (2) Source: Bloomberg, MSCI World-ex U.S. (3) Source: Bloomberg, Barclays Global Aggregate Bond Index. (4) Source: Bloomberg, DJ AIG Index. (5) Source: Bloomberg, ProFund Advisors. S&P 500 Index. (6) Source: JPMorgan, 5/30/2008 through 11/28/2008. (7) Source: Bloomberg, based on assets through 11/28/2008. (8) Source: Bloomberg, Morningstar. Based on a comparison of average daily short and leveraged ETF assets as of 11/28/2008, for ProFunds Group, Direxion, MacroShares, PowerShares, Deutsche Bank, Rydex, UBS, and Van Eck. (9) Source: Bloomberg. 12/1/2007 through 5/31/2008. 6/1/2008 through 11/28/2008.
1
Allocation of Portfolio Holdings & Index Composition
November 30, 2008 (Unaudited)
ProShares Ultra QQQ® (Ticker: QLD)
ProShares Ultra QQQ® seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the NASDAQ-100® Index. The NASDAQ-100® Index includes 100 of the largest non-financial domestic and international issues listed on the NASDAQ Stock Market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 87 | % | |||||
Swap Agreements | 93 | % | |||||
Futures Contracts | 19 | % | |||||
Total Exposure | 199 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Apple, Inc. | 9.8 | % | |||||
Qualcomm, Inc. | 5.7 | % | |||||
Microsoft Corp. | 5.4 | % | |||||
Google, Inc., Class A | 3.6 | % | |||||
Gilead Sciences, Inc. | 3.5 | % |
Nasdaq-100
Index – Composition
% of Index | |||||||
Technology | 40.4 | % | |||||
Communications | 26.7 | % | |||||
Consumer, Non-cyclical | 21.6 | % | |||||
Consumer, Cyclical | 7.1 | % | |||||
Industrial | 3.5 | % | |||||
Basic Materials | 0.7 | % |
ProShares Ultra Dow 30SM (Ticker: DDM)
ProShares Ultra Dow30SM seeks daily investment results, before fees and expenses, that correspond to twice (200%) 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 Index includes 30 large-cap, "bluechip" U.S. stocks, excluding utility and transportation companies.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 86 | % | |||||
Swap Agreements | 98 | % | |||||
Futures Contracts | 16 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
International Business Machines Corp. | 6.3 | % | |||||
Exxon Mobil Corp. | 6.2 | % | |||||
Chevron Corp. | 6.1 | % | |||||
3M Co. | 5.2 | % | |||||
Procter & Gamble Co. | 5.0 | % |
Dow Jones U.S. Industrial Average
Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 20.8 | % | |||||
Industrial | 19.9 | % | |||||
Energy | 14.3 | % | |||||
Technology | 13.1 | % | |||||
Consumer, Cyclical | 11.7 | % | |||||
Financial | 9.5 | % | |||||
Communications | 6.4 | % | |||||
Basic Materials | 4.3 | % |
2
ProShares Ultra S&P500® (Ticker: SSO)
ProShares Ultra S&P500® seeks daily investment results, before fees and expenses, that correspond to twice (200%) 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 | 97 | % | |||||
Futures Contracts | 17 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Exxon Mobil Corp. | 4.6 | % | |||||
Procter & Gamble Co. | 2.1 | % | |||||
General Electric Co. | 2.0 | % | |||||
AT&T, Inc. | 1.9 | % | |||||
Johnson & Johnson | 1.8 | % |
S&P 500
Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 25.3 | % | |||||
Energy | 14.4 | % | |||||
Financial | 13.2 | % | |||||
Industrial | 11.3 | % | |||||
Communications | 10.4 | % | |||||
Technology | 10.3 | % | |||||
Consumer, Cyclical | 7.9 | % | |||||
Utilities | 4.2 | % | |||||
Basic Materials | 3.0 | % |
ProShares Ultra MidCap400 (Ticker: MVV)
ProShares Ultra MidCap400 seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the S&P MidCap 400TM Index. The S&P MidCap 400TM Index is a measure of mid-size company U.S. stock market performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 86 | % | |||||
Swap Agreements | 91 | % | |||||
Futures Contracts | 22 | % | |||||
Total Exposure | 199 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Everest Re Group Ltd. | 0.6 | % | |||||
McAfee, Inc. | 0.6 | % | |||||
New York Community Bancorp, Inc. | 0.6 | % | |||||
Dun & Bradstreet Corp. | 0.6 | % | |||||
Equitable Resources, Inc. | 0.6 | % |
S&P MidCap400
Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 20.2 | % | |||||
Financial | 19.0 | % | |||||
Industrial | 16.5 | % | |||||
Consumer, Cyclical | 11.0 | % | |||||
Utilities | 8.9 | % | |||||
Technology | 7.5 | % | |||||
Energy | 7.1 | % | |||||
Basic Materials | 5.0 | % | |||||
Communications | 4.8 | % |
3
Allocation of Portfolio Holdings & Index Composition
November 30, 2008 (Unaudited) (continued)
ProShares Ultra SmallCap600 (Ticker:SAA)
ProShares Ultra SmallCap600 seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the S&P SmallCap 600TM Index. The S&P SmallCap 600TM Index is a measure of small-cap company U.S. stock market performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 92 | % | |||||
Swap Agreements | 106 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | 198 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Piedmont Natural Gas Co. | 0.7 | % | |||||
Atmos Energy Corp. | 0.7 | % | |||||
Waste Connections, Inc. | 0.6 | % | |||||
ProAssurance Corp. | 0.5 | % | |||||
Watson Wyatt Worldwide, Inc., Class A | 0.5 | % |
S&P SmallCap 600
Index – Composition
% of Index | |||||||
Industrial | 20.7 | % | |||||
Consumer, Non-cyclical | 19.6 | % | |||||
Financial | 19.2 | % | |||||
Consumer, Cyclical | 14.2 | % | |||||
Technology | 9.1 | % | |||||
Utilities | 6.0 | % | |||||
Communications | 4.5 | % | |||||
Energy | 4.2 | % | |||||
Basic Materials | 2.5 | % |
ProShares Ultra Russell2000 (Ticker: UWM)
ProShares Ultra Russell2000 seeks daily investment results, before fees and expenses, that correspond to twice (200%) 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 | 86 | % | |||||
Swap Agreements | 92 | % | |||||
Futures Contracts | 22 | % | |||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Ralcorp Holdings, Inc. | 0.4 | % | |||||
Myriad Genetics, Inc. | 0.3 | % | |||||
Alexion Pharmaceuticals, Inc. | 0.3 | % | |||||
Piedmont Natural Gas Co. | 0.3 | % | |||||
Foundry Networks, Inc. | 0.3 | % |
Russell 2000
Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 22.8 | % | |||||
Financial | 22.4 | % | |||||
Industrial | 15.2 | % | |||||
Consumer, Cyclical | 10.9 | % | |||||
Technology | 9.1 | % | |||||
Communications | 7.4 | % | |||||
Utilities | 4.9 | % | |||||
Energy | 4.3 | % | |||||
Basic Materials | 3.0 | % |
4
ProShares Ultra Russell1000 Value (Ticker: UVG)
ProShares Ultra Russell1000 Value seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Russell 1000® Value Index. The Russell 1000® Value Index is designed to provide a comprehensive measure of large-cap U.S. equity "value" performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 89 | % | |||||
Swap Agreements | 110 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | 199 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Exxon Mobil Corp. | 7.0 | % | |||||
General Electric Co. | 3.5 | % | |||||
AT&T, Inc. | 3.4 | % | |||||
Chevron Corp. | 3.3 | % | |||||
JPMorgan Chase & Co. | 2.5 | % |
Russell 1000 Value
Index – Composition
% of Index | |||||||
Financial | 23.4 | % | |||||
Consumer, Non-cyclical | 21.7 | % | |||||
Energy | 17.9 | % | |||||
Communications | 10.6 | % | |||||
Industrial | 9.5 | % | |||||
Utilities | 7.0 | % | |||||
Consumer, Cyclical | 5.6 | % | |||||
Basic Materials | 2.7 | % | |||||
Technology | 1.5 | % | |||||
Diversified | 0.1 | % |
ProShares Ultra Russell1000 Growth (Ticker: UKF)
ProShares Ultra Russell1000 Growth seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Russell 1000® Growth Index. The Russell 1000® Growth Index is designed to provide a comprehensive measure of large-cap U.S. equity "growth" performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 80 | % | |||||
Swap Agreements | 117 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | 197 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Microsoft Corp. | 3.0 | % | |||||
International Business Machines Corp. | 2.1 | % | |||||
Wal-Mart Stores, Inc. | 1.9 | % | |||||
Cisco Systems, Inc. | 1.8 | % | |||||
Philip Morris International, Inc. | 1.6 | % |
Russell 1000 Growth
Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 28.5 | % | |||||
Technology | 18.9 | % | |||||
Industrial | 13.3 | % | |||||
Consumer, Cyclical | 10.6 | % | |||||
Communications | 9.9 | % | |||||
Energy | 9.7 | % | |||||
Financial | 3.7 | % | |||||
Basic Materials | 3.5 | % | |||||
Utilities | 1.9 | % |
5
Allocation of Portfolio Holdings & Index Composition
November 30, 2008 (Unaudited) (continued)
ProShares Ultra Russell MidCap Value (Ticker: UVU)
ProShares Ultra Russell MidCap Value seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Russell Midcap® Value Index. The Russell Midcap® Value Index is designed to provide a comprehensive measure of mid-cap U.S. equity "value" performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 79 | % | |||||
Swap Agreements | 121 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | 200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
PG&E Corp. | 0.9 | % | |||||
Marsh & McLennan Cos., Inc. | 0.9 | % | |||||
AON Corp. | 0.9 | % | |||||
American Electric Power Co., Inc. | 0.9 | % | |||||
Sempra Energy | 0.8 | % |
Russell Midcap Value
Index – Composition
% of Index | |||||||
Financial | 29.9 | % | |||||
Consumer, Non-cyclical | 16.0 | % | |||||
Utilities | 15.6 | % | |||||
Consumer, Cyclical | 9.6 | % | |||||
Industrial | 8.5 | % | |||||
Energy | 5.5 | % | |||||
Basic Materials | 5.2 | % | |||||
Communications | 5.2 | % | |||||
Technology | 4.2 | % | |||||
Diversified | 0.3 | % |
ProShares Ultra Russell MidCap Growth (Ticker:UKW)
ProShares Ultra Russell MidCap Growth seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Russell Midcap® Growth Index. The Russell Midcap® Growth Index is designed to provide a comprehensive measure of mid-cap U.S. equity "growth" performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 78 | % | |||||
Swap Agreements | 121 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | 199 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Yum! Brands, Inc. | 0.9 | % | |||||
PPL Corp. | 0.9 | % | |||||
Express Scripts, Inc. | 0.8 | % | |||||
Southwestern Energy Co. | 0.8 | % | |||||
Allergan, Inc. | 0.8 | % |
Russell Midcap Growth
Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 23.3 | % | |||||
Industrial | 18.9 | % | |||||
Consumer, Cyclical | 13.6 | % | |||||
Technology | 13.3 | % | |||||
Energy | 10.0 | % | |||||
Communications | 8.0 | % | |||||
Financial | 5.3 | % | |||||
Basic Materials | 4.2 | % | |||||
Utilities | 3.4 | % |
6
ProShares Ultra Russell2000 Value (Ticker: UVT)
ProShares Ultra Russell2000 Value seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Russell 2000® Value Index. The Russell 2000® Value Index is designed to provide a comprehensive measure of small-cap U.S. equity "value" performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 91 | % | |||||
Swap Agreements | 107 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | 198 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Ralcorp Holdings, Inc. | 0.8 | % | |||||
Piedmont Natural Gas Co. | 0.6 | % | |||||
Westar Energy, Inc. | 0.5 | % | |||||
Realty Income Corp. | 0.5 | % | |||||
Nicor, Inc. | 0.4 | % |
Russell 2000 Value
Index – Composition
% of Index | |||||||
Financial | 38.0 | % | |||||
Consumer, Non-cyclical | 13.2 | % | |||||
Industrial | 12.6 | % | |||||
Consumer, Cyclical | 10.4 | % | |||||
Utilities | 8.5 | % | |||||
Communications | 5.8 | % | |||||
Technology | 5.2 | % | |||||
Basic Materials | 3.9 | % | |||||
Energy | 2.3 | % | |||||
Diversified | 0.1 | % |
ProShares Ultra Russell2000 Growth (Ticker: UKK)
ProShares Ultra Russell2000 Growth seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Russell 2000® Growth Index. The Russell 2000® Growth Index is designed to provide a comprehensive measure of small-cap U.S. equity "growth" performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 78 | % | |||||
Swap Agreements | 118 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | 196 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Myriad Genetics, Inc. | 0.6 | % | |||||
Alexion Pharmaceuticals, Inc. | 0.6 | % | |||||
Waste Connections, Inc. | 0.5 | % | |||||
OSI Pharmaceuticals, Inc. | 0.5 | % | |||||
ITC Holdings Corp. | 0.5 | % |
Russell 2000 Growth
Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 33.4 | % | |||||
Industrial | 18.1 | % | |||||
Technology | 13.5 | % | |||||
Consumer, Cyclical | 11.4 | % | |||||
Communications | 9.2 | % | |||||
Energy | 6.5 | % | |||||
Financial | 5.0 | % | |||||
Basic Materials | 2.0 | % | |||||
Utilities | 0.9 | % |
7
Allocation of Portfolio Holdings & Index Composition
November 30, 2008 (Unaudited) (continued)
ProShares Ultra Basic Materials (Ticker: UYM)
ProShares Ultra Basic Materials seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. Basic MaterialsSM Index. The Dow Jones U.S. Basic MaterialsSM 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 | — | ||||||
Total Exposure | 199 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
El Du Pont de Nemours & Co. | 8.2 | % | |||||
Praxair, Inc. | 6.8 | % | |||||
Dow Chemical Co. (The) | 6.3 | % | |||||
Newmont Mining Corp. | 5.3 | % | |||||
Nucor Corp. | 3.7 | % |
Dow Jones U.S. Basic Materials
Index – Composition
% of Index | |||||||
Chemicals | 59.9 | % | |||||
Industrial Metals | 21.7 | % | |||||
Mining | 15.5 | % | |||||
Forestry and Paper | 2.9 | % |
ProShares Ultra Consumer Goods (Ticker: UGE)
ProShares Ultra Consumer Goods seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. Consumer GoodsSM Index. The Dow Jones U.S. Consumer GoodsSM 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 | 85 | % | |||||
Swap Agreements | 114 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | 199 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Procter & Gamble Co. | 16.4 | % | |||||
Coca-Cola Co. (The) | 8.6 | % | |||||
PepsiCo, Inc. | 7.6 | % | |||||
Philip Morris International, Inc. | 7.6 | % | |||||
Monsanto Co. | 3.7 | % |
Dow Jones U.S. Consumer Goods
Index – Composition
% of Index | |||||||
Household Goods | 24.6 | % | |||||
Beverages | 21.7 | % | |||||
Food Producers | 20.5 | % | |||||
Tobacco | 15.0 | % | |||||
Personal Goods | 11.0 | % | |||||
Automobile and Parts | 3.9 | % | |||||
Leisure Goods | 3.3 | % |
8
ProShares Ultra Consumer Services (Ticker: UCC)
ProShares Ultra Consumer Services seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. Consumer ServicesSM Index. The Dow Jones U.S. Consumer ServicesSM 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 | — | ||||||
Total Exposure | 199 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Wal-Mart Stores, Inc. | 11.8 | % | |||||
McDonald's Corp. | 5.7 | % | |||||
CVS Caremark Corp. | 3.6 | % | |||||
Walt Disney Co. (The) | 3.4 | % | |||||
Home Depot, Inc. | 3.4 | % |
Dow Jones U.S. Consumer Services
Index – Composition
% of Index | |||||||
General Retailers | 45.4 | % | |||||
Media | 23.7 | % | |||||
Travel and Leisure | 16.4 | % | |||||
Food and Drug Retailers | 14.5 | % |
ProShares Ultra Financials (Ticker: UYG)
ProShares Ultra Financials seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. FinancialsSM Index. The Dow Jones U.S. FinancialsSM Index measures the performance of the financial services industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 89 | % | |||||
Swap Agreements | 110 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | 199 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
JPMorgan Chase & Co. | 7.4 | % | |||||
Wells Fargo & Co. | 6.9 | % | |||||
Bank of America Corp. | 5.5 | % | |||||
U.S. Bancorp | 3.2 | % | |||||
Citigroup, Inc. | 3.1 | % |
Dow Jones U.S. Financials
Index – Composition
% of Index | |||||||
Banks | 43.6 | % | |||||
General Financial | 24.0 | % | |||||
Nonlife Insurance | 15.8 | % | |||||
Real Estate Investment Trusts | 10.7 | % | |||||
Life Insurance | 5.4 | % | |||||
Real Estate Investment & Services | 0.5 | % |
9
Allocation of Portfolio Holdings & Index Composition
November 30, 2008 (Unaudited) (continued)
ProShares Ultra Health Care (Ticker: RXL)
ProShares Ultra Health Care seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. Health CareSM Index. The Dow Jones U.S. Health CareSM Index measures the performance of the healthcare industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 85 | % | |||||
Swap Agreements | 113 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | 198 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Johnson & Johnson | 11.5 | % | |||||
Pfizer, Inc. | 7.8 | % | |||||
Abbott Laboratories | 5.7 | % | |||||
Amgen, Inc. | 4.1 | % | |||||
Merck & Co., Inc. | 4.0 | % |
Dow Jones U.S. Health Care
Index – Composition
% of Index | |||||||
Pharmaceuticals and Biotechnology | 69.5 | % | |||||
Health Care Equipment and Services | 30.5 | % |
ProShares Ultra Industrials (Ticker: UXI)
ProShares Ultra Industrials seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. IndustrialsSM Index. The Dow Jones U.S. IndustrialsSM Index measures the performance of the industrial industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 83 | % | |||||
Swap Agreements | 115 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | 198 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
General Electric Co. | 12.2 | % | |||||
United Technologies Corp. | 3.1 | % | |||||
3M Co. | 3.0 | % | |||||
United Parcel Service, Inc., Class B | 2.8 | % | |||||
Boeing Co. | 2.0 | % |
Dow Jones U.S. Industrials
Index – Composition
% of Index | |||||||
General Industrials | 26.1 | % | |||||
Aerospace and Defense | 16.6 | % | |||||
Support Services | 15.5 | % | |||||
Industrial Transportation | 15.2 | % | |||||
Industrial Engineering | 10.4 | % | |||||
Electronic & Electrical Equipment | 9.8 | % | |||||
Construction and Materials | 6.4 | % |
10
ProShares Ultra Oil & Gas (Ticker: DIG)
ProShares Ultra Oil & Gas seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. Oil & GasSM Index. The Dow Jones U.S. Oil & GasSM 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 | 90 | % | |||||
Swap Agreements | 108 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | 198 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Exxon Mobil Corp. | 32.3 | % | |||||
Chevron Corp. | 12.6 | % | |||||
ConocoPhillips | 5.7 | % | |||||
Schlumberger Ltd. | 4.7 | % | |||||
Occidental Petroleum Corp. | 3.4 | % |
Dow Jones U.S. Oil & Gas
Index – Composition
% of Index | |||||||
Oil and Gas Producers | 82.3 | % | |||||
Oil Equipment, Services and Distribution | 17.5 | % | |||||
Alternative Energy | 0.2 | % |
ProShares Ultra Real Estate (Ticker: URE)
ProShares Ultra Real Estate seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. Real EstateSM Index. The Dow Jones U.S. Real EstateSM Index measures the performance of the real estate sector of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 89 | % | |||||
Swap Agreements | 118 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | 207 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Simon Property Group, Inc. | 6.5 | % | |||||
Public Storage | 5.5 | % | |||||
Equity Residential | 5.0 | % | |||||
Annaly Capital Management, Inc. | 4.7 | % | |||||
Vornado Realty Trust | 4.7 | % |
Dow Jones U.S. Real Estate
Index – Composition
% of Index | |||||||
Real Estate | 100.0 | % |
11
Allocation of Portfolio Holdings & Index Composition
November 30, 2008 (Unaudited) (continued)
ProShares Ultra Semiconductors (Ticker: USD)
ProShares Ultra Semiconductors seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. SemiconductorsSM Index. The Dow Jones U.S. SemiconductorsSM Index measures the performance of the semiconductor subsector of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 85 | % | |||||
Swap Agreements | 112 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | 197 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Intel Corp. | 33.7 | % | |||||
Texas Instruments, Inc. | 8.9 | % | |||||
Applied Materials, Inc. | 5.6 | % | |||||
Broadcom Corp., Class A | 2.9 | % | |||||
First Solar, Inc. | 2.4 | % |
Dow Jones U.S. Semiconductors
Index – Composition
% of Index | |||||||
Semiconductors | 100.0 | % |
ProShares Ultra Technology (Ticker: ROM)
ProShares Ultra Technology seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. TechnologySM Index. The Dow Jones U.S. TechnologySM Index measures the performance of the technology industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 83 | % | |||||
Swap Agreements | 114 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | 197 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Microsoft Corp. | 11.1 | % | |||||
International Business Machines Corp. | 7.5 | % | |||||
Cisco Systems, Inc. | 6.7 | % | |||||
Hewlett-Packard Co. | 5.9 | % | |||||
Apple, Inc. | 5.5 | % |
Dow Jones U.S. Technology
Index – Composition
% of Index | |||||||
Technology Hardware and Equipment | 54.8 | % | |||||
Software and Computer Services | 45.2 | % |
12
ProShares Ultra Telecommunications (Ticker: LTL)
ProShares Ultra Telecommunications seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. Select TelecommunicationsSM Index. The Dow Jones U.S. Select TelecommunicationsSM Index is a measure of U.S. stock market performance of fixed- line and mobile telephone services.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 82 | % | |||||
Swap Agreements | 116 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | 198 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
AT&T, Inc. | 22.8 | % | |||||
Verizon Communications, Inc. | 16.4 | % | |||||
Sprint Nextel Corp. | 3.3 | % | |||||
Qwest Communications International, Inc. | 3.3 | % | |||||
Embarq Corp. | 3.1 | % |
Dow Jones U.S. Select
Telecommunications
Index – Composition
% of Index | |||||||
Fixed Line Telecommunications | 80.6 | % | |||||
Mobile Telecommunications | 19.4 | % |
ProShares Ultra Utilities (Ticker: UPW)
ProShares Ultra Utilities seeks daily investment results, before fees and expenses, that correspond to twice (200%) the daily performance of the Dow Jones U.S. UtilitiesSM Index. The Dow Jones U.S. UtilitiesSM Index measures the performance of the utilities industry of the U.S. equity market.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | 86 | % | |||||
Swap Agreements | 111 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | 197 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company | % of Net Assets | ||||||
Exelon Corp. | 7.3 | % | |||||
Southern Co. | 5.5 | % | |||||
Dominion Resources, Inc. | 4.2 | % | |||||
Duke Energy Corp. | 3.8 | % | |||||
FPL Group, Inc. | 3.6 | % |
Dow Jones U.S. Utilities
Index – Composition
% of Index | |||||||
Electricity | 72.2 | % | |||||
Gas, Water & Multi Utilities | 27.8 | % |
13
Allocation of Portfolio Holdings & Index Composition
November 30, 2008 (Unaudited) (continued)
ProShares Short QQQ® (Ticker: PSQ)
ProShares Short QQQ® seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the NASDAQ-100® Index. The NASDAQ-100® Index includes 100 of 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 | -89 | % | |||||
Futures Contracts | -11 | % | |||||
Total Exposure | -100 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Nasdaq-100 Index – Composition
% of Index | |||||||
Technology | 40.4 | % | |||||
Communications | 26.7 | % | |||||
Consumer, Non-cyclical | 21.6 | % | |||||
Consumer, Cyclical | 7.1 | % | |||||
Industrial | 3.5 | % | |||||
Basic Materials | 0.7 | % |
ProShares Short Dow30SM (Ticker: DOG)
ProShares Short Dow30SM seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of 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 Index 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 | % | |||||
Total Exposure | -100 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average – Composition
% of Index | |||||||
Consumer, Non-cyclical | 20.8 | % | |||||
Industrial | 19.9 | % | |||||
Energy | 14.3 | % | |||||
Technology | 13.1 | % | |||||
Consumer, Cyclical | 11.7 | % | |||||
Financial | 9.5 | % | |||||
Communications | 6.4 | % | |||||
Basic Materials | 4.3 | % |
14
ProShares Short S&P500® (Ticker: SH)
ProShares Short S&P500® seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of 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 | — | ||||||
Swap Agreements | -91 | % | |||||
Futures Contracts | -9 | % | |||||
Total Exposure | -100 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 25.3 | % | |||||
Energy | 14.4 | % | |||||
Financial | 13.2 | % | |||||
Industrial | 11.3 | % | |||||
Communications | 10.4 | % | |||||
Technology | 10.3 | % | |||||
Consumer, Cyclical | 7.9 | % | |||||
Utilities | 4.2 | % | |||||
Basic Materials | 3.0 | % |
ProShares Short MidCap400 (Ticker: MYY)
ProShares Short MidCap400 seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the S&P MidCap 400TM Index. The S&P MidCap 400TM Index is a measure of mid-size company U.S. stock market performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -93 | % | |||||
Futures Contracts | -7 | % | |||||
Total Exposure | -100 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap400 Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 20.2 | % | |||||
Financial | 19.0 | % | |||||
Industrial | 16.5 | % | |||||
Consumer, Cyclical | 11.0 | % | |||||
Utilities | 8.9 | % | |||||
Technology | 7.5 | % | |||||
Energy | 7.1 | % | |||||
Basic Materials | 5.0 | % | |||||
Communications | 4.8 | % |
15
Allocation of Portfolio Holdings & Index Composition
November 30, 2008 (Unaudited) (continued)
ProShares Short SmallCap600 (Ticker: SBB)
ProShares Short SmallCap600 seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the S&P SmallCap 600TM Index. The S&P SmallCap 600TM Index is a measure of small-cap company U.S. stock market performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -102 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -102 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P SmallCap 600 Index – Composition
% of Index | |||||||
Industrial | 20.7 | % | |||||
Consumer, Non-cyclical | 19.6 | % | |||||
Financial | 19.2 | % | |||||
Consumer, Cyclical | 14.2 | % | |||||
Technology | 9.1 | % | |||||
Utilities | 6.0 | % | |||||
Communications | 4.5 | % | |||||
Energy | 4.2 | % | |||||
Basic Materials | 2.5 | % |
ProShares Short Russell2000 (Ticker: RWM)
ProShares Short Russell2000 seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of 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 | _ | ||||||
Swap Agreements | -88 | % | |||||
Futures Contracts | -12 | % | |||||
Total Exposure | -100 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 22.8 | % | |||||
Financial | 22.4 | % | |||||
Industrial | 15.2 | % | |||||
Consumer, Cyclical | 10.9 | % | |||||
Technology | 9.1 | % | |||||
Communications | 7.4 | % | |||||
Utilities | 4.9 | % | |||||
Energy | 4.3 | % | |||||
Basic Materials | 3.0 | % |
16
ProShares UltraShort QQQ® (Ticker: QID)
ProShares UltraShort QQQ® seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the NASDAQ-100® Index. The NASDAQ-100® Index includes 100 of 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 | -193 | % | |||||
Futures Contracts | -7 | % | |||||
Total Exposure | -200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Nasdaq-100 Index – Composition
% of Index | |||||||
Technology | 40.4 | % | |||||
Communications | 26.7 | % | |||||
Consumer, Non-cyclical | 21.6 | % | |||||
Consumer, Cyclical | 7.1 | % | |||||
Industrial | 3.5 | % | |||||
Basic Materials | 0.7 | % |
ProShares UltraShort Dow30SM (Ticker: DXD)
ProShares UltraShort Dow30SM seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of 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 Index includes 30 large-cap, "bluechip" U.S. stocks, excluding utility and transportation companies.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -193 | % | |||||
Futures Contracts | -7 | % | |||||
Total Exposure | -200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 20.8 | % | |||||
Industrial | 19.9 | % | |||||
Energy | 14.3 | % | |||||
Technology | 13.1 | % | |||||
Consumer, Cyclical | 11.7 | % | |||||
Financial | 9.5 | % | |||||
Communications | 6.4 | % | |||||
Basic Materials | 4.3 | % |
17
Allocation of Portfolio Holdings & Index Composition
November 30, 2008 (Unaudited) (continued)
ProShares UltraShort S&P500® (Ticker: SDS)
ProShares UltraShort S&P500® seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of 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 | — | ||||||
Swap Agreements | -195 | % | |||||
Futures Contracts | -5 | % | |||||
Total Exposure | -200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 25.3 | % | |||||
Energy | 14.4 | % | |||||
Financial | 13.2 | % | |||||
Industrial | 11.3 | % | |||||
Communications | 10.4 | % | |||||
Technology | 10.3 | % | |||||
Consumer, Cyclical | 7.9 | % | |||||
Utilities | 4.2 | % | |||||
Basic Materials | 3.0 | % |
ProShares UltraShort MidCap400 (Ticker: MZZ)
ProShares UltraShort MidCap400 seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the S&P MidCap 400TM Index. The S&P MidCap 400TM Index is a measure of mid-size company U.S. stock market performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -199 | % | |||||
Futures Contracts | -1 | % | |||||
Total Exposure | -200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 20.2 | % | |||||
Financial | 19.0 | % | |||||
Industrial | 16.5 | % | |||||
Consumer, Cyclical | 11.0 | % | |||||
Utilities | 8.9 | % | |||||
Technology | 7.5 | % | |||||
Energy | 7.1 | % | |||||
Basic Materials | 5.0 | % | |||||
Communications | 4.8 | % |
18
ProShares UltraShort SmallCap600 (Ticker: SDD)
ProShares UltraShort SmallCap600 seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the S&P SmallCap 600TM Index. The S&P SmallCap 600TM Index is a measure of small-cap company U.S. stock market performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -206 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -206 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P SmallCap 600 Index – Composition
% of Index | |||||||
Industrial | 20.7 | % | |||||
Consumer, Non-cyclical | 19.6 | % | |||||
Financial | 19.2 | % | |||||
Consumer, Cyclical | 14.2 | % | |||||
Technology | 9.1 | % | |||||
Utilities | 6.0 | % | |||||
Communications | 4.5 | % | |||||
Energy | 4.2 | % | |||||
Basic Materials | 2.5 | % |
ProShares UltraShort Russell2000 (Ticker: TWM)
ProShares UltraShort Russell2000 seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of 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 | — | ||||||
Swap Agreements | -196 | % | |||||
Futures Contracts | -4 | % | |||||
Total Exposure | -200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 22.8 | % | |||||
Financial | 22.4 | % | |||||
Industrial | 15.2 | % | |||||
Consumer, Cyclical | 10.9 | % | |||||
Technology | 9.1 | % | |||||
Communications | 7.4 | % | |||||
Utilities | 4.9 | % | |||||
Energy | 4.3 | % | |||||
Basic Materials | 3.0 | % |
19
Allocation of Portfolio Holdings & Index Composition
November 30, 2008 (Unaudited) (continued)
ProShares UltraShort Russell1000 Value (Ticker: SJF)
ProShares UltraShort Russell1000 Value seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Russell 1000® Value Index. The Russell 1000® Value Index is designed to provide a comprehensive measure of large-cap U.S. equity "value" performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -203 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -203 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 1000 Value Index – Composition
% of Index | |||||||
Financial | 23.4 | % | |||||
Consumer, Non-cyclical | 21.7 | % | |||||
Energy | 17.9 | % | |||||
Communications | 10.6 | % | |||||
Industrial | 9.5 | % | |||||
Utilities | 7.0 | % | |||||
Consumer, Cyclical | 5.6 | % | |||||
Basic Materials | 2.7 | % | |||||
Technology | 1.5 | % | |||||
Diversified | 0.1 | % |
ProShares UltraShort Russell1000 Growth (Ticker: SFK)
ProShares UltraShort Russell1000 Growth seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Russell 1000® Growth Index. The Russell 1000® Growth Index is designed to provide a comprehensive measure of large-cap U.S. equity "growth" performance
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -202 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -202 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 1000 Growth Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 28.5 | % | |||||
Technology | 18.9 | % | |||||
Industrial | 13.3 | % | |||||
Consumer, Cyclical | 10.6 | % | |||||
Communications | 9.9 | % | |||||
Energy | 9.7 | % | |||||
Financial | 3.7 | % | |||||
Basic Materials | 3.5 | % | |||||
Utilities | 1.9 | % |
20
ProShares UltraShort Russell MidCap Value (Ticker: SJL)
ProShares UltraShort Russell MidCap Value seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Russell Midcap® Value Index. The Russell Midcap® Value Index is designed to provide a comprehensive measure of mid-cap U.S. equity "value" performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -202 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -202 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell Midcap Value Index – Composition
% of Index | |||||||
Financial | 29.9 | % | |||||
Consumer, Non-cyclical | 16.0 | % | |||||
Utilities | 15.6 | % | |||||
Consumer, Cyclical | 9.6 | % | |||||
Industrial | 8.5 | % | |||||
Energy | 5.5 | % | |||||
Basic Materials | 5.2 | % | |||||
Communications | 5.2 | % | |||||
Technology | 4.2 | % | |||||
Diversified | 0.3 | % |
ProShares UltraShort Russell MidCap Growth (Ticker: SDK)
ProShares UltraShort Russell MidCap Growth seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Russell Midcap® Growth Index. The Russell Midcap® Growth Index is designed to provide a comprehensive measure of mid-cap U.S. equity "growth" performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -203 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -203 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell Midcap Growth Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 23.3 | % | |||||
Industrial | 18.9 | % | |||||
Consumer, Cyclical | 13.6 | % | |||||
Technology | 13.3 | % | |||||
Energy | 10.0 | % | |||||
Communications | 8.0 | % | |||||
Financial | 5.3 | % | |||||
Basic Materials | 4.2 | % | |||||
Utilities | 3.4 | % |
21
Allocation of Portfolio Holdings & Index Composition
November 30, 2008 (Unaudited) (continued)
ProShares UltraShort Russell2000 Value (Ticker: SJH)
ProShares UltraShort Russell2000 Value seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Russell 2000® Value Index. The Russell 2000® Value Index is designed to provide a comprehensive measure of small-cap U.S. equity "value" performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -208 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -208 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Value Index – Composition
% of Index | |||||||
Financial | 38.0 | % | |||||
Consumer, Non-cyclical | 13.2 | % | |||||
Industrial | 12.6 | % | |||||
Consumer, Cyclical | 10.4 | % | |||||
Utilities | 8.5 | % | |||||
Communications | 5.8 | % | |||||
Technology | 5.2 | % | |||||
Basic Materials | 3.9 | % | |||||
Energy | 2.3 | % | |||||
Diversified | 0.1 | % |
ProShares UltraShort Russell2000 Growth (Ticker: SKK)
ProShares UltraShort Russell2000 Growth seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Russell 2000® Growth Index. The Russell 2000® Growth Index is designed to provide a comprehensive measure of small-cap U.S. equity "growth" performance.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -207 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -207 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Growth Index – Composition
% of Index | |||||||
Consumer, Non-cyclical | 33.4 | % | |||||
Industrial | 18.1 | % | |||||
Technology | 13.5 | % | |||||
Consumer, Cyclical | 11.4 | % | |||||
Communications | 9.2 | % | |||||
Energy | 6.5 | % | |||||
Financial | 5.0 | % | |||||
Basic Materials | 2.0 | % | |||||
Utilities | 0.9 | % |
22
ProShares Short Financials (Ticker: SEF)
ProShares Short Financials seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the Dow Jones U.S. FinancialsSM Index. The Dow Jones U.S. FinancialsSM 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 | -100 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -100 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index – Composition
% of Index | |||||||
Banks | 43.6 | % | |||||
General Financial | 24.0 | % | |||||
Nonlife Insurance | 15.8 | % | |||||
Real Estate Investment Trusts | 10.7 | % | |||||
Life Insurance | 5.4 | % | |||||
Real Estate Investment & Services | 0.5 | % |
ProShares Short Oil & Gas (Ticker: DDG)
ProShares Short Oil & Gas seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the Dow Jones U.S. Oil & GasSM Index. The Dow Jones U.S. Oil & GasSM 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 | -100 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -100 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Oil & Gas Index – Composition
% of Index | |||||||
Oil and Gas Producers | 82.3 | % | |||||
Oil Equipment, Services and Distribution | 17.5 | % | |||||
Alternative Energy | 0.2 | % |
23
Allocation of Portfolio Holdings & Index Composition
November 30, 2008 (Unaudited) (continued)
ProShares UltraShort Basic Materials (Ticker: SMN)
ProShares UltraShort Basic Materials seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. Basic MaterialsSM Index. The Dow Jones U.S. Basic MaterialsSM 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 | -202 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -202 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Basic Materials Index – Composition
% of Index | |||||||
Chemicals | 59.9 | % | |||||
Industrial Metals | 21.7 | % | |||||
Mining | 15.5 | % | |||||
Forestry and Paper | 2.9 | % |
ProShares UltraShort Consumer Goods (Ticker: SZK)
ProShares UltraShort Consumer Goods seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. Consumer GoodsSM Index. The Dow Jones U.S. Consumer GoodsSM 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 | -204 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -204 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Consumer Goods Index – Composition
% of Index | |||||||
Household Goods | 24.6 | % | |||||
Beverages | 21.7 | % | |||||
Food Producers | 20.5 | % | |||||
Tobacco | 15.0 | % | |||||
Personal Goods | 11.0 | % | |||||
Automobile and Parts | 3.9 | % | |||||
Leisure Goods | 3.3 | % |
24
ProShares UltraShort Consumer Services (Ticker: SCC)
ProShares UltraShort Consumer Services seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. Consumer ServicesSM Index. The Dow Jones U.S. Consumer ServicesSM 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 | -203 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -203 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Consumer Services Index – Composition
% of Index | |||||||
General Retailers | 45.4 | % | |||||
Media | 23.7 | % | |||||
Travel and Leisure | 16.4 | % | |||||
Food and Drug Retailers | 14.5 | % |
ProShares UltraShort Financials (Ticker: SKF)
ProShares UltraShort Financials seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. FinancialsSM Index. The Dow Jones U.S. FinancialsSM 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 | -201 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -201 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index – Composition
% of Index | |||||||
Banks | 43.6 | % | |||||
General Financial | 24.0 | % | |||||
Nonlife Insurance | 15.8 | % | |||||
Real Estate Investment Trusts | 10.7 | % | |||||
Life Insurance | 5.4 | % | |||||
Real Estate Investment & Services | 0.5 | % |
25
Allocation of Portfolio Holdings & Index Composition
November 30, 2008 (Unaudited) (continued)
ProShares UltraShort Health Care (Ticker: RXD)
ProShares UltraShort Health Care seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. Health CareSM Index. The Dow Jones U.S. Health CareSM 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 | -202 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -202 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Health Care Index – Composition
% of Index | |||||||
Pharmaceuticals and Biotechnology | 69.5 | % | |||||
Health Care Equipment and Services | 30.5 | % |
ProShares UltraShort Industrials (Ticker: SIJ)
ProShares UltraShort Industrials seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. IndustrialsSM Index. The Dow Jones U.S. IndustrialsSM 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 | -203 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -203 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Industrials Index – Composition
% of Index | |||||||
General Industrials | 26.1 | % | |||||
Aerospace and Defense | 16.6 | % | |||||
Support Services | 15.5 | % | |||||
Industrial Transportation | 15.2 | % | |||||
Industrial Engineering | 10.4 | % | |||||
Electronic & Electrical Equipment | 9.8 | % | |||||
Construction and Materials | 6.4 | % |
26
ProShares UltraShort Oil & Gas (Ticker: DUG)
ProShares UltraShort Oil & Gas seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. Oil & GasSM Index. The Dow Jones U.S. Oil & GasSM 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 | — | ||||||
Total Exposure | -202 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Oil & Gas Index – Composition
% of Index | |||||||
Oil and Gas Producers | 82.3 | % | |||||
Oil Equipment, Services and Distribution | 17.5 | % | |||||
Alternative Energy | 0.2 | % |
ProShares UltraShort Real Estate (Ticker: SRS)
ProShares UltraShort Real Estate seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. Real EstateSM Index. The Dow Jones U.S. Real EstateSM 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 | -194 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -194 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Real Estate Index – Composition
% of Index | |||||||
Real Estate | 100.0 | % |
27
Allocation of Portfolio Holdings & Index Composition
November 30, 2008 (Unaudited) (continued)
ProShares UltraShort Semiconductors (Ticker: SSG)
ProShares UltraShort Semiconductors seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. SemiconductorsSM Index. The Dow Jones U.S. SemiconductorsSM 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 | -203 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -203 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Semiconductors Index – Composition
% of Index | |||||||
Semiconductors | 100.0 | % |
ProShares UltraShort Technology (Ticker: REW)
ProShares UltraShort Technology seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. TechnologySM Index. The Dow Jones U.S. TechnologySM 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 | -202 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -202 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Technology Index – Composition
% of Index | |||||||
Technology Hardware and Equipment | 54.8 | % | |||||
Software and Computer Services | 45.2 | % |
28
ProShares UltraShort Telecommunications (Ticker: TLL)
ProShares UltraShort Telecommunications seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. Select TelecommunicationsSM Index. The Dow Jones U.S. Select TelecommunicationsSM Index is a measure of U.S. stock market performance of fixed- line and mobile telephone services.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -202 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -202 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Select Telecommunications
Index – Composition
% of Index | |||||||
Fixed Line Telecommunications | 80.6 | % | |||||
Mobile Telecommunications | 19.4 | % |
ProShares UltraShort Utilities (Ticker: SDP)
ProShares UltraShort Utilities seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Dow Jones U.S. UtilitiesSM Index. The Dow Jones U.S. UtilitiesSM 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 | -204 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -204 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Utilities Index – Composition
% of Index | |||||||
Electricity | 72.2 | % | |||||
Gas, Water & Multi Utilities | 27.8 | % |
29
Allocation of Portfolio Holdings & Index Composition
November 30, 2008 (Unaudited) (continued)
ProShares Short MSCI EAFE (Ticker: EFZ)
ProShares Short MSCI EAFE seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the daily performance of the MSCI EAFE Index. The MSCI EAFE Index (Europe, Australasia, Far East) 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 | -99 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -99 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index – Country
% of Index | |||||||
Japan | 24.7 | % | |||||
UK | 21.7 | % | |||||
France | 10.7 | % | |||||
Other | 10.3 | % | |||||
Germany | 8.2 | % | |||||
Switzerland | 8.2 | % | |||||
Australia | 5.9 | % | |||||
Spain | 4.3 | % | |||||
Italy | 3.6 | % | |||||
Netherlands | 2.4 | % |
MSCI EAFE
Index – Composition
% of Index | |||||||
Financials | 22.9 | % | |||||
Industrials | 11.2 | % | |||||
Consumer Staples | 10.3 | % | |||||
Consumer Discretionary | 9.6 | % | |||||
Health Care | 9.6 | % | |||||
Energy | 9.1 | % | |||||
Materials | 7.8 | % | |||||
Utilities | 7.6 | % | |||||
Telecommunication Services | 6.8 | % | |||||
Information Technology | 5.1 | % |
ProShares Short MSCI Emerging Markets (Ticker: EUM)
ProShares Short MSCI Emerging Markets seeks daily investment results, before fees and expenses, that correspond to the inverse (opposite) of the 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 | -99 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -99 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets Index – Country
% of Index | |||||||
China | 17.7 | % | |||||
Other | 15.4 | % | |||||
Brazil | 13.9 | % | |||||
Korea | 12.3 | % | |||||
Taiwan | 11.2 | % | |||||
South Africa | 8.0 | % | |||||
Russia | 6.6 | % | |||||
India | 6.4 | % | |||||
Mexico | 5.4 | % | |||||
Malaysia | 3.1 | % |
MSCI Emerging Markets
Index – Composition
% of Index | |||||||
Financials | 22.5 | % | |||||
Energy | 15.3 | % | |||||
Telecommunication Services | 13.9 | % | |||||
Materials | 12.5 | % | |||||
Information Technology | 11.1 | % | |||||
Industrials | 7.2 | % | |||||
Consumer Staples | 5.9 | % | |||||
Consumer Discretionary | 4.7 | % | |||||
Utilities | 4.2 | % | |||||
Health Care | 2.7 | % |
30
ProShares UltraShort MSCI EAFE (Ticker: EFU)
ProShares UltraShort MSCI EAFE seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the MSCI EAFE Index. The MSCI EAFE Index (Europe, Australasia, Far East) 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 | -198 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -198 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index – Country
% of Index | |||||||
Japan | 24.7 | % | |||||
UK | 21.7 | % | |||||
France | 10.7 | % | |||||
Other | 10.3 | % | |||||
Germany | 8.2 | % | |||||
Switzerland | 8.2 | % | |||||
Australia | 5.9 | % | |||||
Spain | 4.3 | % | |||||
Italy | 3.6 | % | |||||
Netherlands | 2.4 | % |
MSCI EAFE Index – Composition
% of Index | |||||||
Financials | 22.9 | % | |||||
Industrials | 11.2 | % | |||||
Consumer Staples | 10.3 | % | |||||
Consumer Discretionary | 9.6 | % | |||||
Health Care | 9.6 | % | |||||
Energy | 9.1 | % | |||||
Materials | 7.8 | % | |||||
Utilities | 7.6 | % | |||||
Telecommunication Services | 6.8 | % | |||||
Information Technology | 5.1 | % |
ProShares UltraShort MSCI Emerging Markets (Ticker: EEV)
ProShares UltraShort MSCI Emerging Markets seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the 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 | -198 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -198 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets Index – Country
% of Index | |||||||
China | 17.7 | % | |||||
Other | 15.4 | % | |||||
Brazil | 13.9 | % | |||||
Korea | 12.3 | % | |||||
Taiwan | 11.2 | % | |||||
South Africa | 8.0 | % | |||||
Russia | 6.6 | % | |||||
India | 6.4 | % | |||||
Mexico | 5.4 | % | |||||
Malaysia | 3.1 | % |
MSCI Emerging Markets
Index – Composition
% of Index | |||||||
Financials | 22.5 | % | |||||
Energy | 15.3 | % | |||||
Telecommunication Services | 13.9 | % | |||||
Materials | 12.5 | % | |||||
Information Technology | 11.1 | % | |||||
Industrials | 7.2 | % | |||||
Consumer Staples | 5.9 | % | |||||
Consumer Discretionary | 4.7 | % | |||||
Utilities | 4.2 | % | |||||
Health Care | 2.7 | % |
31
Allocation of Portfolio Holdings & Index Composition
November 30, 2008 (Unaudited) (continued)
ProShares UltraShort MSCI Japan (Ticker: EWV)
ProShares UltraShort MSCI Japan seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the 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 | -196 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -196 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Japan Index – Composition
% of Index | |||||||
Financials | 18.0 | % | |||||
Industrials | 17.9 | % | |||||
Consumer Discretionary | 17.0 | % | |||||
Information Technology | 12.4 | % | |||||
Utilities | 7.8 | % | |||||
Materials | 7.7 | % | |||||
Health Care | 7.1 | % | |||||
Consumer Staples | 6.6 | % | |||||
Telecommunication Services | 4.3 | % | |||||
Energy | 1.2 | % |
ProShares UltraShort FTSE/Xinhua China 25 (Ticker: FXP)
ProShares UltraShort FTSE/Xinhua China 25 seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the FTSE/Xinhua China 25 Index. The FTSE/Xinhua China 25 Index is comprised of 25 of the largest and most liquid Chinese stocks listed on the Hong Kong Stock Exchange (HKEX).
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -200 | % | |||||
Futures Contracts | — | ||||||
Total Exposure | -200 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE/Xinhua China 25 Index – Country
% of Index | |||||||
Hong Kong | 76.2 | % | |||||
China | 23.8 | % |
FTSE/Xinhua China 25
Index – Composition
% of Index | |||||||
Financial | 43.6 | % | |||||
Energy | 24.7 | % | |||||
Communications | 18.2 | % | |||||
Industrial | 7.7 | % | |||||
Utilities | 2.4 | % | |||||
Diversified | 1.3 | % | |||||
Basic Materials | 1.1 | % | |||||
Consumer, Cyclical | 1.0 | % |
32
ProShares UltraShort 7 – 10 Year Treasury (Ticker: PST)
ProShares UltraShort 7 – 10 Year Treasury seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Barclays Capital 7-10 Year U.S. Treasury Index*. The Barclays Capital 7-10 Year U.S Treasury Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, are non-convertible, are denominated in U.S. dollars, are rated (at least Baa3 by Moody's Investors Service or BBB- by S&P), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -189 | % | |||||
Futures Contracts | -12 | % | |||||
Total Exposure | -201 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays Capital 7-10 Year U.S. Treasury
Index* – Composition
% of Index | |||||||
7-10 Year U.S. Treasury | 100 | % |
ProShares UltraShort 20+ Year Treasury (Ticker: TBT)
ProShares UltraShort 20+ Year Treasury seeks daily investment results, before fees and expenses, that correspond to twice (200%) the inverse (opposite) of the daily performance of the Barclays Capital 20+ Year U.S. Treasury Index*. The Barclays Capital 20+ Year U.S. Treasury Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service or BBB- by S&P), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type | % of Net Assets | ||||||
Equity Securities | — | ||||||
Swap Agreements | -183 | % | |||||
Futures Contracts | -21 | % | |||||
Total Exposure | -204 | % |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays Capital 20+ Year U.S. Treasury
Index* – Composition
% of Index | |||||||
20+ Year U.S. Treasury | 100 | % |
* Lehman 7-10 Year U.S. Treasury Index and Lehman 20+ Year U.S. Treasury Index names were changed to Barclays Capital 7-10 Year U.S. Treasury Index and Barclays Capital 20+ Year U.S. Treasury Index respectively, on November 3, 2008.
33
ProShares Trust Performance Data
PROSHARES ULTRA
NAV TOTAL RETURNS (%) AS OF 11/30/08 | MARKET VALUE RETURNS (%) AS OF 11/30/08 | INDEX* TOTAL RETURNS (%) AS OF 11/30/08 | |||||||||||||||||||||||||||||||||||||||||
Inception Date | One Year Total Return | Average Annual Total Return since Inception | Cumulative Total Return since Inception | One Year Total Return | Average Annual Total Return since Inception | Cumulative Total Return since Inception | One Year Total Return | Average Annual Total Return since Inception | Cumulative Total Return since Inception | ||||||||||||||||||||||||||||||||||
Ultra MarketCap | |||||||||||||||||||||||||||||||||||||||||||
ProShares Ultra QQQ | 06/19/06 | (73.51 | ) | (29.46 | ) | (57.46 | ) | (73.62 | ) | (29.59 | ) | (57.65 | ) | (42.93 | ) | (9.87 | ) | (22.50 | ) | ||||||||||||||||||||||||
ProShares Ultra Dow30 | 06/19/06 | (61.42 | ) | (21.81 | ) | (45.26 | ) | (61.49 | ) | (21.91 | ) | (45.44 | ) | (32.11 | ) | (6.05 | ) | (14.20 | ) | ||||||||||||||||||||||||
ProShares Ultra S&P500 | 06/19/06 | (68.39 | ) | (29.70 | ) | (57.81 | ) | (68.61 | ) | (29.75 | ) | (57.89 | ) | (38.09 | ) | (10.60 | ) | (24.02 | ) | ||||||||||||||||||||||||
ProShares Ultra MidCap400 | 06/19/06 | (70.07 | ) | (32.57 | ) | (61.90 | ) | (70.10 | ) | (32.64 | ) | (62.00 | ) | (39.30 | ) | (12.04 | ) | (26.99 | ) | ||||||||||||||||||||||||
ProShares Ultra SmallCap600 | 01/23/07 | (66.08 | ) | (46.45 | ) | (68.55 | ) | (65.82 | ) | (46.32 | ) | (68.40 | ) | (35.55 | ) | (20.90 | ) | (35.26 | ) | ||||||||||||||||||||||||
ProShares Ultra Russell2000 | 01/23/07 | (68.78 | ) | (49.75 | ) | (72.04 | ) | (68.12 | ) | (49.30 | ) | (71.57 | ) | (37.46 | ) | (22.88 | ) | (38.24 | ) | ||||||||||||||||||||||||
Ultra Style | |||||||||||||||||||||||||||||||||||||||||||
ProShares Ultra Russell1000 Value | 02/20/07 | (69.32 | ) | (51.99 | ) | (72.82 | ) | (69.29 | ) | (52.06 | ) | (72.89 | ) | (38.32 | ) | (24.84 | ) | (39.81 | ) | ||||||||||||||||||||||||
ProShares Ultra Russell1000 Growth | 02/20/07 | (69.44 | ) | (46.46 | ) | (67.01 | ) | (69.22 | ) | (46.48 | ) | (67.04 | ) | (39.75 | ) | (21.66 | ) | (35.21 | ) | ||||||||||||||||||||||||
ProShares Ultra Russell MidCap Value | 02/20/07 | (72.64 | ) | (57.25 | ) | (77.88 | ) | (72.70 | ) | (57.39 | ) | (78.01 | ) | (41.96 | ) | (29.20 | ) | (45.89 | ) | ||||||||||||||||||||||||
ProShares Ultra Russell MidCap Growth | 02/20/07 | (76.60 | ) | (55.81 | ) | (76.54 | ) | (76.59 | ) | (55.93 | ) | (76.66 | ) | (46.15 | ) | (27.88 | ) | (44.08 | ) | ||||||||||||||||||||||||
ProShares Ultra Russell2000 Value | 02/20/07 | (64.91 | ) | (54.64 | ) | (75.42 | ) | (65.43 | ) | (55.05 | ) | (75.82 | ) | (33.61 | ) | (26.49 | ) | (42.14 | ) | ||||||||||||||||||||||||
ProShares Ultra Russell2000 Growth | 02/20/07 | (72.35 | ) | (53.20 | ) | (74.02 | ) | (72.18 | ) | (53.12 | ) | (73.95 | ) | (41.34 | ) | (25.62 | ) | (40.93 | ) | ||||||||||||||||||||||||
Ultra Sector | |||||||||||||||||||||||||||||||||||||||||||
ProShares Ultra Basic Materials | 01/30/07 | (82.92 | ) | (54.44 | ) | (76.33 | ) | (82.96 | ) | (54.67 | ) | (76.55 | ) | (50.58 | ) | (23.52 | ) | (38.88 | ) | ||||||||||||||||||||||||
ProShares Ultra Consumer Goods | 01/30/07 | (51.92 | ) | (28.41 | ) | (45.80 | ) | (51.96 | ) | (28.65 | ) | (46.14 | ) | (26.47 | ) | (11.00 | ) | (19.26 | ) | ||||||||||||||||||||||||
ProShares Ultra Consumer Services | 01/30/07 | (66.79 | ) | (50.66 | ) | (72.61 | ) | (66.87 | ) | (50.80 | ) | (72.75 | ) | (37.04 | ) | (24.75 | ) | (40.67 | ) | ||||||||||||||||||||||||
ProShares Ultra Financials | 01/30/07 | (86.04 | ) | (72.48 | ) | (90.61 | ) | (86.31 | ) | (72.67 | ) | (90.72 | ) | (53.55 | ) | (39.32 | ) | (60.03 | ) | ||||||||||||||||||||||||
ProShares Ultra Health Care | 01/30/07 | (56.45 | ) | (33.00 | ) | (52.00 | ) | (56.66 | ) | (33.25 | ) | (52.33 | ) | (29.75 | ) | (13.77 | ) | (23.82 | ) | ||||||||||||||||||||||||
ProShares Ultra Industrials | 01/30/07 | (71.28 | ) | (44.52 | ) | (66.04 | ) | (71.32 | ) | (44.59 | ) | (66.11 | ) | (40.99 | ) | (19.84 | ) | (33.36 | ) | ||||||||||||||||||||||||
ProShares Ultra Oil & Gas | 01/30/07 | (64.21 | ) | (29.25 | ) | (46.96 | ) | (64.46 | ) | (29.53 | ) | (47.35 | ) | (28.07 | ) | (4.53 | ) | (8.15 | ) | ||||||||||||||||||||||||
ProShares Ultra Real Estate | 01/30/07 | (84.33 | ) | (73.23 | ) | (91.07 | ) | (82.77 | ) | (71.87 | ) | (90.22 | ) | (50.79 | ) | (39.90 | ) | (60.73 | ) | ||||||||||||||||||||||||
ProShares Ultra Semiconductors | 01/30/07 | (81.02 | ) | (58.47 | ) | (80.03 | ) | (81.13 | ) | (58.61 | ) | (80.15 | ) | (51.32 | ) | (29.79 | ) | (47.75 | ) | ||||||||||||||||||||||||
ProShares Ultra Technology | 01/30/07 | (73.40 | ) | (47.07 | ) | (68.84 | ) | (73.43 | ) | (47.21 | ) | (68.99 | ) | (43.50 | ) | (21.79 | ) | (36.31 | ) | ||||||||||||||||||||||||
ProShares Ultra Telecommunications | 03/25/08 | NA | NA | (58.72 | ) | NA | NA | (58.99 | ) | NA | NA | (24.79 | ) | ||||||||||||||||||||||||||||||
ProShares Ultra Utilities | 01/30/07 | (56.65 | ) | (27.53 | ) | (44.58 | ) | (56.53 | ) | (27.69 | ) | (44.80 | ) | (28.44 | ) | (8.92 | ) | (15.75 | ) |
* See the allocation of Portfolio Holdings and Composition for the related index for each fund.
NA – Not Applicable. Fund in operation for less than one year.
34
ProShares Trust Performance Data (continued)
PROSHARES SHORT
NAV TOTAL RETURNS (%) AS OF 11/30/08 | MARKET VALUE RETURNS (%) AS OF 11/30/08 | INDEX* TOTAL RETURNS (%) AS OF 11/30/08 | |||||||||||||||||||||||||||||||||||||||||
Inception Date | One Year Total Return | Average Annual Total Return since Inception | Cumulative Total Return since Inception | One Year Total Return | Average Annual Total Return since Inception | Cumulative Total Return since Inception | One Year Total Return | Average Annual Total Return since Inception | Cumulative Total Return since Inception | ||||||||||||||||||||||||||||||||||
Short/UltraShort MarketCap | |||||||||||||||||||||||||||||||||||||||||||
ProShares Short QQQ | 06/19/06 | 53.97 | 9.16 | 23.95 | 54.23 | 9.22 | 24.12 | (42.93 | ) | (9.87 | ) | (22.50 | ) | ||||||||||||||||||||||||||||||
ProShares Short Dow30 | 06/19/06 | 34.06 | 7.15 | 18.44 | 34.41 | 7.19 | 18.55 | (32.11 | ) | (6.05 | ) | (14.20 | ) | ||||||||||||||||||||||||||||||
ProShares Short S&P500 | 06/19/06 | 44.97 | 11.84 | 31.54 | 45.11 | 11.88 | 31.65 | (38.09 | ) | (10.60 | ) | (24.02 | ) | ||||||||||||||||||||||||||||||
ProShares Short MidCap400 | 06/19/06 | 45.54 | 12.58 | 33.69 | 45.35 | 12.53 | 33.51 | (39.30 | ) | (12.04 | ) | (26.99 | ) | ||||||||||||||||||||||||||||||
ProShares Short SmallCap600 | 01/23/07 | 36.91 | 21.23 | 42.84 | 36.00 | 20.91 | 42.13 | (35.55 | ) | (20.90 | ) | (35.26 | ) | ||||||||||||||||||||||||||||||
ProShares Short Russell2000 | 01/23/07 | 36.39 | 21.56 | 43.56 | 35.93 | 21.51 | 43.44 | (37.46 | ) | (22.88 | ) | (38.24 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort QQQ | 07/11/06 | 97.14 | 4.97 | 12.28 | 97.93 | 5.04 | 12.47 | (42.93 | ) | (9.72 | ) | (21.70 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort Dow30 | 07/11/06 | 54.21 | 5.61 | 13.93 | 54.40 | 5.71 | 14.20 | (32.11 | ) | (6.93 | ) | (15.77 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort S&P500 | 07/11/06 | 77.25 | 15.19 | 40.18 | 77.77 | 15.26 | 40.39 | (38.09 | ) | (11.85 | ) | (26.03 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort MidCap400 | 07/11/06 | 77.73 | 17.23 | 46.20 | 78.75 | 17.28 | 46.34 | (39.30 | ) | (13.65 | ) | (29.60 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort SmallCap600 | 01/23/07 | 57.59 | 29.03 | 60.32 | 55.97 | 28.61 | 59.37 | (35.55 | ) | (20.90 | ) | (35.26 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort Russell2000 | 01/23/07 | 52.89 | 27.70 | 57.28 | 51.00 | 26.76 | 55.15 | (37.46 | ) | (22.88 | ) | (38.24 | ) | ||||||||||||||||||||||||||||||
UltraShort Style | |||||||||||||||||||||||||||||||||||||||||||
ProShares UltraShort Russell1000 Value | 02/20/07 | 68.04 | 40.96 | 83.95 | 68.42 | 41.28 | 84.69 | (38.32 | ) | (24.84 | ) | (39.81 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort Russell1000 Growth | 02/20/07 | 99.93 | 40.04 | 81.83 | 102.40 | 41.10 | 84.28 | (39.75 | ) | (21.66 | ) | (35.21 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort Russell MidCap Value | 02/20/07 | 90.23 | 59.21 | 128.32 | 90.92 | 59.80 | 129.83 | (41.96 | ) | (29.20 | ) | (45.89 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort Russell MidCap Growth | 02/20/07 | 122.80 | 53.77 | 114.66 | 126.96 | 55.37 | 118.64 | (46.15 | ) | (27.88 | ) | (44.08 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort Russell2000 Value | 02/20/07 | 32.85 | 36.68 | 74.16 | 31.49 | 36.25 | 73.17 | (33.61 | ) | (26.49 | ) | (42.14 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort Russell2000 Growth | 02/20/07 | 80.92 | 39.16 | 79.80 | 82.33 | 40.11 | 81.99 | (41.34 | ) | (25.62 | ) | (40.93 | ) | ||||||||||||||||||||||||||||||
Short/UltraShort Sector | |||||||||||||||||||||||||||||||||||||||||||
ProShares Short Financials | 06/10/08 | NA | NA | 23.81 | NA | NA | 24.24 | NA | NA | (40.72 | ) | ||||||||||||||||||||||||||||||||
ProShares Short Oil & Gas | 06/10/08 | NA | NA | 28.49 | NA | NA | 30.08 | NA | NA | (38.20 | ) | ||||||||||||||||||||||||||||||||
ProShares UltraShort Basic Materials | 01/30/07 | 75.59 | 6.98 | 13.17 | 78.33 | 7.97 | 15.09 | (50.58 | ) | (23.52 | ) | (38.88 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort Consumer Goods | 01/30/07 | 55.14 | 19.80 | 39.26 | 56.22 | 20.58 | 40.92 | (26.47 | ) | (11.00 | ) | (19.26 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort Consumer Services | 01/30/07 | 75.57 | 49.57 | 109.16 | 76.62 | 50.18 | 110.72 | (37.04 | ) | (24.75 | ) | (40.67 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort Financials | 01/30/07 | 47.67 | 44.61 | 96.62 | 49.99 | 45.27 | 98.28 | (53.55 | ) | (39.32 | ) | (60.03 | ) |
* See the allocation of Portfolio Holdings and Composition for the related index for each fund.
NA – Not Applicable. Fund in operation for less than one year.
35
ProShares Trust Performance Data (continued)
PROSHARES SHORT
NAV TOTAL RETURNS (%) AS OF 11/30/08 | MARKET VALUE RETURNS (%) AS OF 11/30/08 | INDEX* TOTAL RETURNS (%) AS OF 11/30/08 | |||||||||||||||||||||||||||||||||||||||||
Inception Date | One Year Total Return | Average Annual Total Return since Inception | Cumulative Total Return since Inception | One Year Total Return | Average Annual Total Return since Inception | Cumulative Total Return since Inception | One Year Total Return | Average Annual Total Return since Inception | Cumulative Total Return since Inception | ||||||||||||||||||||||||||||||||||
ProShares UltraShort Health Care | 01/30/07 | 66.82 | 26.62 | 54.12 | 67.40 | 27.10 | 55.20 | (29.75 | ) | (13.77 | ) | (23.82 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort Industrials | 01/30/07 | 98.29 | 30.98 | 63.98 | 97.74 | 31.12 | 64.31 | (40.99 | ) | (19.84 | ) | (33.36 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort Oil & Gas | 01/30/07 | (23.18 | ) | (34.03 | ) | (53.34 | ) | (22.77 | ) | (33.79 | ) | (53.03 | ) | (28.07 | ) | (4.53 | ) | (8.15 | ) | ||||||||||||||||||||||||
ProShares UltraShort Real Estate | 01/30/07 | 20.61 | 37.66 | 79.65 | 19.13 | 36.82 | 77.65 | (50.79 | ) | (39.90 | ) | (60.73 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort Semiconductors | 01/30/07 | 152.94 | 53.87 | 120.30 | 154.06 | 54.45 | 121.84 | (51.32 | ) | (29.79 | ) | (47.75 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort Technology | 01/30/07 | 113.85 | 35.33 | 74.12 | 112.47 | 35.19 | 73.78 | (43.50 | ) | (21.79 | ) | (36.31 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort Telecommunications | 03/25/08 | NA | NA | 22.15 | NA | NA | 24.63 | NA | NA | (24.79 | ) | ||||||||||||||||||||||||||||||||
ProShares UltraShort Utilities | 01/30/07 | 39.00 | 2.22 | 4.11 | 40.42 | 2.83 | 5.25 | (28.44 | ) | (8.92 | ) | (15.75 | ) | ||||||||||||||||||||||||||||||
Short/UltraShort International | |||||||||||||||||||||||||||||||||||||||||||
ProShares Short MSCI EAFE | 10/23/07 | 59.73 | 53.66 | 60.69 | 58.76 | 53.22 | 60.18 | (47.52 | ) | (43.92 | ) | (47.28 | ) | ||||||||||||||||||||||||||||||
ProShares Short MSCI Emerging Markets | 10/30/07 | 38.20 | 39.14 | 43.10 | 38.43 | 39.62 | 43.63 | (56.56 | ) | (56.39 | ) | (59.45 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort MSCI EAFE | 10/23/07 | 102.49 | 89.63 | 102.69 | 99.87 | 88.06 | 100.84 | (47.52 | ) | (43.92 | ) | (47.28 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort MSCI Emerging Markets | 10/30/07 | 3.82 | 7.81 | 8.50 | 3.86 | 8.50 | 9.25 | (56.56 | ) | (56.39 | ) | (59.45 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort MSCI Japan | 11/06/07 | 49.33 | 44.60 | 48.15 | 47.32 | 42.93 | 46.33 | (46.07 | ) | (45.33 | ) | (47.55 | ) | ||||||||||||||||||||||||||||||
ProShares UltraShort FTSE/Xinhua China 25 | 11/06/07 | (24.99 | ) | (24.11 | ) | (25.47 | ) | (26.44 | ) | (24.51 | ) | (25.89 | ) | (55.84 | ) | (55.51 | ) | (57.91 | ) | ||||||||||||||||||||||||
UltraShort Fixed Income | |||||||||||||||||||||||||||||||||||||||||||
ProShares UltraShort 7-10 Year Treasury | 04/29/08 | NA | NA | (16.59 | ) | NA | NA | (16.18 | ) | NA | NA | 8.60 | |||||||||||||||||||||||||||||||
ProShares UltraShort 20+ Year Treasury | 04/29/08 | NA | NA | (30.72 | ) | NA | NA | (30.68 | ) | NA | NA | 17.42 |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value will fluctuate so that an investor's shares, when redeemed may be more or less than the original cost. To obtain performance current to the most recent month please visit www.proshares.com.
* See the allocation of Portfolio Holdings and Composition for the related index for each fund.
NA – Not Applicable. Fund in operation for less than one year.
36
ProShares Trust
Expense Example (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, 2008.
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, an $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 period and held through the period ended, November 30, 2008. 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, 2008 to November 30, 2008.
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 11/30/08 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | ||||||||||||||||
Ultra QQQ® | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 293.90 | $ | 3.08 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Dow30SM | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 439.90 | $ | 3.43 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra S&P500® | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 362.30 | $ | 3.24 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra MidCap400 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 295.30 | $ | 3.08 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % |
37
ProShares Trust
Expense Example (Unaudited)
Beginning Account Value | Ending Account Value 11/30/08 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | ||||||||||||||||
Ultra SmallCap600 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 359.10 | $ | 3.24 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Russell2000 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 342.00 | $ | 3.20 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Russell1000 Value | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 358.40 | $ | 3.24 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Russell1000 Growth | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 334.60 | $ | 3.18 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Russell MidCap Value | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 290.50 | $ | 3.07 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Russell MidCap Growth | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 241.70 | $ | 2.96 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Russell2000 Value | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 377.80 | $ | 3.28 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Russell2000 Growth | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 307.60 | $ | 3.11 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Basic Materials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 137.90 | $ | 2.71 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Consumer Goods | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 561.40 | $ | 3.72 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Consumer Services | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 385.40 | $ | 3.30 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Financials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 216.50 | $ | 2.90 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Health Care | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 559.20 | $ | 3.71 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % |
38
ProShares Trust
Expense Example (Unaudited)
Beginning Account Value | Ending Account Value 11/30/08 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | ||||||||||||||||
Ultra Industrials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 302.70 | $ | 3.10 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Oil & Gas | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 283.40 | $ | 3.06 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Real Estate | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 164.70 | $ | 2.77 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Semiconductors | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 218.70 | $ | 2.90 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Technology | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 297.10 | $ | 3.09 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Telecommunications | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 324.50 | $ | 3.15 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Ultra Utilities | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 456.00 | $ | 3.47 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Short QQQ® | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,511.70 | $ | 5.98 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Short Dow30SM | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,271.90 | $ | 5.41 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Short S&P500® | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,376.30 | $ | 5.66 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Short MidCap400 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,499.60 | $ | 5.95 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Short SmallCap600 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,372.90 | $ | 5.65 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Short Russell2000 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,353.90 | $ | 5.61 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % |
39
ProShares Trust
Expense Example (Unaudited)
Beginning Account Value | Ending Account Value 11/30/08 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | ||||||||||||||||
UltraShort QQQ® | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,983.60 | $ | 7.11 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Dow30SM | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,430.90 | $ | 5.79 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort S&P500® | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,649.70 | $ | 5.91 | 0.89 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.61 | $ | 4.51 | 0.89 | % | |||||||||||
UltraShort MidCap400 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,958.60 | $ | 7.05 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort SmallCap600 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,649.20 | $ | 6.31 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Russell2000 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,577.80 | $ | 6.14 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Russell1000 Value | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,548.20 | $ | 6.07 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Russell1000 Growth | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,941.40 | $ | 7.00 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Russell MidCap Value | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,943.70 | $ | 7.01 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Russell MidCap Growth | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 2,352.20 | $ | 7.98 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Russell2000 Value | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,389.90 | $ | 5.69 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Russell2000 Growth | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,832.90 | $ | 6.75 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Short Financials** | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,238.10 | $ | 5.04 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % |
40
ProShares Trust
Expense Example (Unaudited)
Beginning Account Value | Ending Account Value 11/30/08 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | ||||||||||||||||
Short Oil & Gas** | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,284.90 | $ | 5.14 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Basic Materials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 2,680.30 | $ | 8.76 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Consumer Goods | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,360.20 | $ | 5.62 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Consumer Services | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,631.70 | $ | 6.27 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Financials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,219.30 | $ | 5.23 | 0.94 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.36 | $ | 4.76 | 0.94 | % | |||||||||||
UltraShort Health Care | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,333.30 | $ | 5.56 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Industrials | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 2,038.90 | $ | 7.24 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Oil & Gas | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,111.50 | $ | 5.03 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Real Estate | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,463.00 | $ | 5.87 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Semiconductors | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 2,664.60 | $ | 8.73 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Technology | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 2,141.30 | $ | 7.48 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Telecommunications | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,596.20 | $ | 6.18 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort Utilities | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,385.50 | $ | 5.68 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % |
41
ProShares Trust
Expense Example (Unaudited)
Beginning Account Value | Ending Account Value 11/30/08 | Expenses Paid During the Period* | Annualized Expense Ratio During Period | ||||||||||||||||
Short MSCI EAFE | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,517.10 | $ | 5.99 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
Short MSCI Emerging Markets | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,430.10 | $ | 5.79 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort MSCI EAFE | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,893.30 | $ | 6.89 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort MSCI Emerging Markets | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,190.60 | $ | 5.22 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort MSCI Japan | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,498.00 | $ | 5.95 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort FTSE/Xinhua China 25 | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 767.60 | $ | 4.21 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort 7-10 Year Treasury | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 810.70 | $ | 4.31 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||
UltraShort 20+ Year Treasury | |||||||||||||||||||
Actual | $ | 1,000.00 | $ | 670.40 | $ | 3.98 | 0.95 | % | |||||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 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 June 11, 2008. Expenses are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 173 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).
42
ProShares Trust
Premium/Discount
November 30, 2008 (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. 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(1) presented here represents past performance, which cannot be used to predict future results.
(1) Source: NYSE Arca
43
ProShares Trust
Premium/Discount
November 30, 2008 (Unaudited) (continued)
ULTRA QQQ®
Period Covered: July 1, 2006 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 8 | 1.43 | % | ||||||||
100.0 — 149.9 | 5 | 0.89 | |||||||||
50.0 — 99.9 | 8 | 1.43 | |||||||||
25.0 — 49.9 | 23 | 4.10 | |||||||||
-24.9 — 24.9 | 465 | 82.88 | |||||||||
-49.9 — -25.0 | 31 | 5.53 | |||||||||
-99.9 — -50.0 | 11 | 1.96 | |||||||||
-149.9 — -100.0 | 6 | 1.07 | |||||||||
<-150.0 | 4 | 0.71 | |||||||||
561 | 100.00 | % |
ULTRA Dow30SM
Period Covered: July 1, 2006 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 6 | 1.07 | % | ||||||||
100.0 — 149.9 | 3 | 0.53 | |||||||||
50.0 — 99.9 | 11 | 1.96 | |||||||||
25.0 — 49.9 | 26 | 4.63 | |||||||||
-24.9 — 24.9 | 476 | 84.85 | |||||||||
-49.9 — -25.0 | 25 | 4.46 | |||||||||
-99.9 — -50.0 | 10 | 1.78 | |||||||||
-149.9 — -100.0 | 2 | 0.36 | |||||||||
<-150.0 | 2 | 0.36 | |||||||||
561 | 100.00 | % |
ULTRA S&P500®
Period Covered: July 1, 2006 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 . | 7 | 1.25 | % | ||||||||
100.0 — 149.9 | 3 | 0.53 | |||||||||
50.0 — 99.9 | 12 | 2.14 | |||||||||
25.0 — 49.9 | 19 | 3.39 | |||||||||
-24.9 — 24.9 | 490 | 87.35 | |||||||||
-49.9 — -25.0 | 15 | 2.67 | |||||||||
-99.9 — -50.0 | 7 | 1.25 | |||||||||
-149.9 — -100.0 | 4 | 0.71 | |||||||||
<-150.0 | 4 | 0.71 | |||||||||
561 | 100.00 | % |
44
ULTRA MidCap400
Period Covered: July 1, 2006 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 3 | 0.53 | % | ||||||||
100.0 — 149.9 | 3 | 0.53 | |||||||||
50.0 — 99.9 | 15 | 2.67 | |||||||||
25.0 — 49.9 | 40 | 7.13 | |||||||||
-24.9 — 24.9 | 434 | 77.38 | |||||||||
-49.9 — -25.0 | 46 | 8.20 | |||||||||
-99.9 — -50.0 | 12 | 2.14 | |||||||||
-149.9 — -100.0 | 3 | 0.53 | |||||||||
<-150.0 | 5 | 0.89 | |||||||||
561 | 100.00 | % |
ULTRA SmallCap600
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 5 | 1.34 | % | ||||||||
100.0 — 149.9 | 7 | 1.87 | |||||||||
50.0 — 99.9 | 18 | 4.81 | |||||||||
25.0 — 49.9 | 38 | 10.16 | |||||||||
-24.9 — 24.9 | 237 | 63.37 | |||||||||
-49.9 — -25.0 | 51 | 13.64 | |||||||||
-99.9 — -50.0 | 12 | 3.21 | |||||||||
-149.9 — -100.0 | 2 | 0.53 | |||||||||
<-150.0 | 4 | 1.07 | |||||||||
374 | 100.00 | % |
ULTRA Russell2000
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 7 | 1.87 | % | ||||||||
100.0 — 149.9 | 6 | 1.60 | |||||||||
50.0 — 99.9 | 15 | 4.01 | |||||||||
25.0 — 49.9 | 30 | 8.02 | |||||||||
-24.9 — 24.9 | 232 | 62.05 | |||||||||
-49.9 — -25.0 | 64 | 17.11 | |||||||||
-99.9 — -50.0 | 14 | 3.74 | |||||||||
-149.9 — -100.0 | 2 | 0.53 | |||||||||
<-150.0 | 4 | 1.07 | |||||||||
374 | 100.00 | % |
45
ProShares Trust
Premium/Discount
November 30, 2008 (Unaudited) (continued)
ULTRA Russell1000 Value
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 7 | 1.87 | % | ||||||||
100.0 — 149.9 | 3 | 0.80 | |||||||||
50.0 — 99.9 | 17 | 4.55 | |||||||||
25.0 — 49.9 | 38 | 10.16 | |||||||||
-24.9 — 24.9 | 272 | 72.73 | |||||||||
-49.9 — -25.0 | 19 | 5.08 | |||||||||
-99.9 — -50.0 | 12 | 3.21 | |||||||||
-149.9 — -100.0 | 3 | 0.80 | |||||||||
<-150.0 | 3 | 0.80 | |||||||||
374 | 100.00 | % |
ULTRA Russell1000 Growth
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 10 | 2.67 | % | ||||||||
100.0 — 149.9 | 1 | 0.27 | |||||||||
50.0 — 99.9 | 11 | 2.94 | |||||||||
25.0 — 49.9 | 20 | 5.35 | |||||||||
-24.9 — 24.9 | 286 | 76.47 | |||||||||
-49.9 — -25.0 | 32 | 8.56 | |||||||||
-99.9 — -50.0 | 8 | 2.14 | |||||||||
-149.9 — -100.0 | 2 | 0.53 | |||||||||
<-150.0 | 4 | 1.07 | |||||||||
�� | 374 | 100.00 | % |
ULTRA Russell MidCap Value
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 11 | 2.94 | % | ||||||||
100.0 — 149.9 | 2 | 0.53 | |||||||||
50.0 — 99.9 | 22 | 5.88 | |||||||||
25.0 — 49.9 | 38 | 10.16 | |||||||||
-24.9 — 24.9 | 253 | 67.66 | |||||||||
-49.9 — -25.0 | 22 | 5.88 | |||||||||
-99.9 — -50.0 | 15 | 4.01 | |||||||||
-149.9 — -100.0 | 3 | 0.80 | |||||||||
<-150.0 | 8 | 2.14 | |||||||||
374 | 100.00 | % |
46
ULTRA Russell MidCap Growth
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 10 | 2.67 | % | ||||||||
100.0 — 149.9 | 0 | 0.00 | |||||||||
50.0 — 99.9 | 19 | 5.08 | |||||||||
25.0 — 49.9 | 23 | 6.15 | |||||||||
-24.9 — 24.9 | 275 | 73.53 | |||||||||
-49.9 — -25.0 | 26 | 6.95 | |||||||||
-99.9 — -50.0 | 13 | 3.48 | |||||||||
-149.9 — -100.0 | 3 | 0.80 | |||||||||
<-150.0 | 5 | 1.34 | |||||||||
374 | 100.00 | % |
ULTRA Russell2000 Value
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 12 | 3.21 | % | ||||||||
100.0 — 149.9 | 5 | 1.34 | |||||||||
50.0 — 99.9 | 18 | 4.81 | |||||||||
25.0 — 49.9 | 39 | 10.43 | |||||||||
-24.9 — 24.9 | 235 | 62.84 | |||||||||
-49.9 — -25.0 | 41 | 10.96 | |||||||||
-99.9 — -50.0 | 12 | 3.21 | |||||||||
-149.9 — -100.0 | 6 | 1.60 | |||||||||
<-150.0 | 6 | 1.60 | |||||||||
374 | 100.00 | % |
ULTRA Russell2000 Growth
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 9 | 2.41 | % | ||||||||
100.0 — 149.9 | 6 | 1.60 | |||||||||
50.0 — 99.9 | 18 | 4.81 | |||||||||
25.0 — 49.9 | 35 | 9.36 | |||||||||
-24.9 — 24.9 | 260 | 69.53 | |||||||||
-49.9 — -25.0 | 26 | 6.95 | |||||||||
-99.9 — -50.0 | 12 | 3.21 | |||||||||
-149.9 — -100.0 | 2 | 0.53 | |||||||||
<-150.0 | 6 | 1.60 | |||||||||
374 | 100.00 | % |
47
ProShares Trust
Premium/Discount
November 30, 2008 (Unaudited) (continued)
ULTRA Basic Materials
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 9 | 2.41 | % | ||||||||
100.0 — 149.9 | 4 | 1.07 | |||||||||
50.0 — 99.9 | 19 | 5.08 | |||||||||
25.0 — 49.9 | 25 | 6.68 | |||||||||
-24.9 — 24.9 | 273 | 73.00 | |||||||||
-49.9 — -25.0 | 25 | 6.68 | |||||||||
-99.9 — -50.0 | 11 | 2.94 | |||||||||
-149.9 — -100.0 | 5 | 1.34 | |||||||||
<-150.0 | 3 | 0.80 | |||||||||
374 | 100.00 | % |
ULTRA Consumer Goods
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 5 | 1.34 | % | ||||||||
100.0 — 149.9 | 3 | 0.80 | |||||||||
50.0 — 99.9 | 7 | 1.87 | |||||||||
25.0 — 49.9 | 29 | 7.75 | |||||||||
-24.9 — 24.9 | 297 | 79.42 | |||||||||
-49.9 — -25.0 | 24 | 6.42 | |||||||||
-99.9 — -50.0 | 6 | 1.60 | |||||||||
-149.9 — -100.0 | 1 | 0.27 | |||||||||
<-150.0 | 2 | 0.53 | |||||||||
374 | 100.00 | % |
ULTRA Consumer Services
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 21 | 5.61 | % | ||||||||
100.0 — 149.9 | 25 | 6.68 | |||||||||
50.0 — 99.9 | 21 | 5.61 | |||||||||
25.0 — 49.9 | 17 | 4.55 | |||||||||
-24.9 — 24.9 | 254 | 67.93 | |||||||||
-49.9 — -25.0 | 18 | 4.81 | |||||||||
-99.9 — -50.0 | 10 | 2.67 | |||||||||
-149.9 — -100.0 | 4 | 1.07 | |||||||||
<-150.0 | 4 | 1.07 | |||||||||
374 | 100.00 | % |
48
ULTRA Financials
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 8 | 2.14 | % | ||||||||
100.0 — 149.9 | 5 | 1.34 | |||||||||
50.0 — 99.9 | 24 | 6.42 | |||||||||
25.0 — 49.9 | 33 | 8.82 | |||||||||
-24.9 — 24.9 | 224 | 59.89 | |||||||||
-49.9 — -25.0 | 37 | 9.89 | |||||||||
-99.9 — -50.0 | 26 | 6.95 | |||||||||
-149.9 — -100.0 | 5 | 1.34 | |||||||||
<-150.0 | 12 | 3.21 | |||||||||
374 | 100.00 | % |
ULTRA Health Care
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 6 | 1.60 | % | ||||||||
100.0 — 149.9 | 0 | 0.00 | |||||||||
50.0 — 99.9 | 13 | 3.48 | |||||||||
25.0 — 49.9 | 44 | 11.76 | |||||||||
-24.9 — 24.9 | 279 | 74.60 | |||||||||
-49.9 — -25.0 | 23 | 6.15 | |||||||||
-99.9 — -50.0 | 8 | 2.14 | |||||||||
-149.9 — -100.0 | 1 | 0.27 | |||||||||
<-150.0 | 0 | 0.00 | |||||||||
374 | 100.00 | % |
ULTRA Industrials
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 7 | 1.87 | % | ||||||||
100.0 — 149.9 | 11 | 2.94 | |||||||||
50.0 — 99.9 | 31 | 8.29 | |||||||||
25.0 — 49.9 | 22 | 5.88 | |||||||||
-24.9 — 24.9 | 268 | 71.67 | |||||||||
-49.9 — -25.0 | 14 | 3.74 | |||||||||
-99.9 — -50.0 | 15 | 4.01 | |||||||||
-149.9 — -100.0 | 3 | 0.80 | |||||||||
<-150.0 | 3 | 0.80 | |||||||||
374 | 100.00 | % |
49
ProShares Trust
Premium/Discount
November 30, 2008 (Unaudited) (continued)
ULTRA Oil & Gas
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 9 | 2.41 | % | ||||||||
100.0 — 149.9 | 2 | 0.53 | |||||||||
50.0 — 99.9 | 16 | 4.28 | |||||||||
25.0 — 49.9 | 26 | 6.95 | |||||||||
-24.9 — 24.9 | 267 | 71.39 | |||||||||
-49.9 — -25.0 | 30 | 8.02 | |||||||||
-99.9 — -50.0 | 20 | 5.35 | |||||||||
-149.9 — -100.0 | 4 | 1.07 | |||||||||
<-150.0 | 0 | 0.00 | |||||||||
374 | 100.00 | % |
ULTRA Real Estate
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 16 | 4.28 | % | ||||||||
100.0 — 149.9 | 12 | 3.21 | |||||||||
50.0 — 99.9 | 25 | 6.68 | |||||||||
25.0 — 49.9 | 34 | 9.09 | |||||||||
-24.9 — 24.9 | 178 | 47.60 | |||||||||
-49.9 — -25.0 | 48 | 12.83 | |||||||||
-99.9 �� -50.0 | 38 | 10.16 | |||||||||
-149.9 — -100.0 | 11 | 2.94 | |||||||||
<-150.0 | 12 | 3.21 | |||||||||
374 | 100.00 | % |
ULTRA Semiconductors
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 11 | 2.94 | % | ||||||||
100.0 — 149.9 | 7 | 1.87 | |||||||||
50.0 — 99.9 | 24 | 6.42 | |||||||||
25.0 — 49.9 | 32 | 8.56 | |||||||||
-24.9 — 24.9 | 250 | 66.85 | |||||||||
-49.9 — -25.0 | 31 | 8.29 | |||||||||
-99.9 — -50.0 | 15 | 4.01 | |||||||||
-149.9 — -100.0 | 2 | 0.53 | |||||||||
<-150.0 | 2 | 0.53 | |||||||||
374 | 100.00 | % |
50
ULTRA Technology
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 10 | 2.67 | % | ||||||||
100.0 — 149.9 | 9 | 2.41 | |||||||||
50.0 — 99.9 | 22 | 5.88 | |||||||||
25.0 — 49.9 | 24 | 6.42 | |||||||||
-24.9 — 24.9 | 272 | 72.72 | |||||||||
-49.9 — -25.0 | 24 | 6.42 | |||||||||
-99.9 — -50.0 | 8 | 2.14 | |||||||||
-149.9 — -100.0 | 4 | 1.07 | |||||||||
<-150.0 | 1 | 0.27 | |||||||||
374 | 100.00 | % |
ULTRA Telecommunications
Period Covered: April 1, 2008 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.78 | % | ||||||||
100.0 — 149.9 | 2 | 1.56 | |||||||||
50.0 — 99.9 | 3 | 2.34 | |||||||||
25.0 — 49.9 | 14 | 10.94 | |||||||||
-24.9 — 24.9 | 92 | 71.88 | |||||||||
-49.9 — -25.0 | 11 | 8.59 | |||||||||
-99.9 — -50.0 | 5 | 3.91 | |||||||||
-149.9 — -100.0 | 0 | 0.00 | |||||||||
<-150.0 | 0 | 0.00 | |||||||||
128 | 100.00 | % |
ULTRA Utilities
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 7 | 1.87 | % | ||||||||
100.0 — 149.9 | 4 | 1.07 | |||||||||
50.0 — 99.9 | 8 | 2.14 | |||||||||
25.0 — 49.9 | 32 | 8.56 | |||||||||
-24.9 — 24.9 | 286 | 76.47 | |||||||||
-49.9 — -25.0 | 25 | 6.68 | |||||||||
-99.9 — -50.0 | 9 | 2.41 | |||||||||
-149.9 — -100.0 | 2 | 0.53 | |||||||||
<-150.0 | 1 | 0.27 | |||||||||
374 | 100.00 | % |
51
ProShares Trust
Premium/Discount
November 30, 2008 (Unaudited) (continued)
SHORT QQQ®
Period Covered: July 1, 2006 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 2 | 0.36 | % | ||||||||
100.0 — 149.9 | 2 | 0.36 | |||||||||
50.0 — 99.9 | 18 | 3.21 | |||||||||
25.0 — 49.9 | 22 | 3.92 | |||||||||
-24.9 — 24.9 | 491 | 87.52 | |||||||||
-49.9 — -25.0 | 8 | 1.43 | |||||||||
-99.9 — -50.0 | 10 | 1.78 | |||||||||
-149.9 — -100.0 | 3 | 0.53 | |||||||||
<-150.0 | 5 | 0.89 | |||||||||
561 | 100.00 | % |
SHORT Dow30SM
Period Covered: July 1, 2006 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 0 | 0.00 | % | ||||||||
100.0 — 149.9 | 1 | 0.18 | |||||||||
50.0 — 99.9 | 8 | 1.43 | |||||||||
25.0 — 49.9 | 24 | 4.28 | |||||||||
-24.9 — 24.9 | 501 | 89.29 | |||||||||
-49.9 — -25.0 | 18 | 3.21 | |||||||||
-99.9 — -50.0 | 6 | 1.07 | |||||||||
-149.9 — -100.0 | 2 | 0.36 | |||||||||
<-150.0 | 1 | 0.18 | |||||||||
561 | 100.00 | % |
SHORT S&P500®
Period Covered: July 1, 2006 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 0 | 0.00 | % | ||||||||
100.0 — 149.9 | 1 | 0.18 | |||||||||
50.0 — 99.9 | 5 | 0.89 | |||||||||
25.0 — 49.9 | 14 | 2.50 | |||||||||
-24.9 — 24.9 | 526 | 93.75 | |||||||||
-49.9 — -25.0 | 8 | 1.43 | |||||||||
-99.9 — -50.0 | 3 | 0.53 | |||||||||
-149.9 — -100.0 | 2 | 0.36 | |||||||||
<-150.0 | 2 | 0.36 | |||||||||
561 | 100.00 | % |
52
SHORT MidCap400
Period Covered: July 1, 2006 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 3 | 0.53 | % | ||||||||
100.0 — 149.9 | 8 | 1.43 | |||||||||
50.0 — 99.9 | 7 | 1.25 | |||||||||
25.0 — 49.9 | 14 | 2.50 | |||||||||
-24.9 — 24.9 | 498 | 88.76 | |||||||||
-49.9 — -25.0 | 23 | 4.10 | |||||||||
-99.9 — -50.0 | 4 | 0.71 | |||||||||
-149.9 — -100.0 | 2 | 0.36 | |||||||||
<-150.0 | 2 | 0.36 | |||||||||
561 | 100.00 | % |
SHORT SmallCap600
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.27 | % | ||||||||
100.0 — 149.9 | 2 | 0.53 | |||||||||
50.0 — 99.9 | 4 | 1.07 | |||||||||
25.0 — 49.9 | 21 | 5.61 | |||||||||
-24.9 — 24.9 | 319 | 85.31 | |||||||||
-49.9 — -25.0 | 15 | 4.01 | |||||||||
-99.9 — -50.0 | 8 | 2.14 | |||||||||
-149.9 — -100.0 | 2 | 0.53 | |||||||||
<-150.0 | 2 | 0.53 | |||||||||
374 | 100.00 | % |
SHORT Russell2000
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 0 | 0.00 | % | ||||||||
100.0 — 149.9 | 3 | 0.80 | |||||||||
50.0 — 99.9 | 5 | 1.34 | |||||||||
25.0 — 49.9 | 21 | 5.61 | |||||||||
-24.9 — 24.9 | 323 | 86.37 | |||||||||
-49.9 — -25.0 | 12 | 3.21 | |||||||||
-99.9 — -50.0 | 7 | 1.87 | |||||||||
-149.9 — -100.0 | 2 | 0.53 | |||||||||
<-150.0 | 1 | 0.27 | |||||||||
374 | 100.00 | % |
53
ProShares Trust
Premium/Discount
November 30, 2008 (Unaudited) (continued)
ULTRASHORT QQQ®
Period Covered: October 1, 2006 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 2 | 0.40 | % | ||||||||
100.0 — 149.9 | 6 | 1.20 | |||||||||
50.0 — 99.9 | 14 | 2.81 | |||||||||
25.0 — 49.9 | 30 | 6.02 | |||||||||
-24.9 — 24.9 | 389 | 78.12 | |||||||||
-49.9 — -25.0 | 36 | 7.23 | |||||||||
-99.9 — -50.0 | 7 | 1.41 | |||||||||
-149.9 — -100.0 | 5 | 1.00 | |||||||||
<-150.0 | 9 | 1.81 | |||||||||
498 | 100.00 | % |
ULTRASHORT Dow30SM
Period Covered: October 1, 2006 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 4 | 0.80 | % | ||||||||
100.0 — 149.9 | 0 | 0.00 | |||||||||
50.0 — 99.9 | 11 | 2.21 | |||||||||
25.0 — 49.9 | 38 | 7.63 | |||||||||
-24.9 — 24.9 | 402 | 80.72 | |||||||||
-49.9 — -25.0 | 23 | 4.62 | |||||||||
-99.9 — -50.0 | 11 | 2.21 | |||||||||
-149.9 — -100.0 | 2 | 0.40 | |||||||||
<-150.0 | 7 | 1.41 | |||||||||
498 | 100.00 | % |
ULTRASHORT S&P500®
Period Covered: October 1, 2006 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 3 | 0.60 | % | ||||||||
100.0 — 149.9 | 4 | 0.80 | |||||||||
50.0 — 99.9 | 8 | 1.61 | |||||||||
25.0 — 49.9 | 28 | 5.62 | |||||||||
-24.9 — 24.9 | 422 | 84.74 | |||||||||
-49.9 — -25.0 | 14 | 2.81 | |||||||||
-99.9 — -50.0 | 10 | 2.01 | |||||||||
-149.9 — -100.0 | 2 | 0.40 | |||||||||
<-150.0 | 7 | 1.41 | |||||||||
498 | 100.00 | % |
54
ULTRASHORT MidCap400
Period Covered: October 1, 2006 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 2 | 0.40 | % | ||||||||
100.0 — 149.9 | 3 | 0.60 | |||||||||
50.0 — 99.9 | 14 | 2.81 | |||||||||
25.0 — 49.9 | 58 | 11.66 | |||||||||
-24.9 — 24.9 | 365 | 73.30 | |||||||||
-49.9 — -25.0 | 31 | 6.22 | |||||||||
-99.9 — -50.0 | 17 | 3.41 | |||||||||
-149.9 — -100.0 | 4 | 0.80 | |||||||||
<-150.0 | 4 | 0.80 | |||||||||
498 | 100.00 | % |
ULTRASHORT SmallCap600
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 4 | 1.07 | % | ||||||||
100.0 — 149.9 | 3 | 0.80 | |||||||||
50.0 — 99.9 | 18 | 4.81 | |||||||||
25.0 — 49.9 | 60 | 16.04 | |||||||||
-24.9 — 24.9 | 238 | 63.64 | |||||||||
-49.9 — -25.0 | 27 | 7.22 | |||||||||
-99.9 — -50.0 | 13 | 3.48 | |||||||||
-149.9 — -100.0 | 6 | 1.60 | |||||||||
<-150.0 | 5 | 1.34 | |||||||||
374 | 100.00 | % |
ULTRASHORT Russell2000
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 5 | 1.34 | % | ||||||||
100.0 — 149.9 | 2 | 0.53 | |||||||||
50.0 — 99.9 | 19 | 5.08 | |||||||||
25.0 — 49.9 | 59 | 15.78 | |||||||||
-24.9 — 24.9 | 232 | 62.03 | |||||||||
-49.9 — -25.0 | 31 | 8.29 | |||||||||
-99.9 — -50.0 | 15 | 4.01 | |||||||||
-149.9 — -100.0 | 4 | 1.07 | |||||||||
<-150.0 | 7 | 1.87 | |||||||||
374 | 100.00 | % |
55
ProShares Trust
Premium/Discount
November 30, 2008 (Unaudited) (continued)
ULTRASHORT Russell1000 Value
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 6 | 1.60 | % | ||||||||
100.0 — 149.9 | 2 | 0.53 | |||||||||
50.0 — 99.9 | 10 | 2.67 | |||||||||
25.0 — 49.9 | 27 | 7.23 | |||||||||
-24.9 — 24.9 | 293 | 78.36 | |||||||||
-49.9 — -25.0 | 18 | 4.81 | |||||||||
-99.9 — -50.0 | 10 | 2.67 | |||||||||
-149.9 — -100.0 | 2 | 0.53 | |||||||||
<-150.0 | 6 | 1.60 | |||||||||
374 | 100.00 | % |
ULTRASHORT Russell1000 Growth
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 3 | 0.80 | % | ||||||||
100.0 — 149.9 | 5 | 1.34 | |||||||||
50.0 — 99.9 | 11 | 2.94 | |||||||||
25.0 — 49.9 | 35 | 9.36 | |||||||||
-24.9 — 24.9 | 286 | 76.48 | |||||||||
-49.9 — -25.0 | 18 | 4.81 | |||||||||
-99.9 — -50.0 | 10 | 2.67 | |||||||||
-149.9 — -100.0 | 0 | 0.00 | |||||||||
<-150.0 | 6 | 1.60 | |||||||||
374 | 100.00 | % |
ULTRASHORT Russell MidCap Value
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 7 | 1.87 | % | ||||||||
100.0 — 149.9 | 2 | 0.53 | |||||||||
50.0 — 99.9 | 14 | 3.74 | |||||||||
25.0 — 49.9 | 41 | 10.97 | |||||||||
-24.9 — 24.9 | 266 | 71.13 | |||||||||
-49.9 — -25.0 | 20 | 5.35 | |||||||||
-99.9 — -50.0 | 15 | 4.01 | |||||||||
-149.9 — -100.0 | 3 | 0.80 | |||||||||
<-150.0 | 6 | 1.60 | |||||||||
374 | 100.00 | % |
56
ULTRASHORT Russell MidCap Growth
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 6 | 1.60 | % | ||||||||
100.0 — 149.9 | 3 | 0.80 | |||||||||
50.0 — 99.9 | 12 | 3.21 | |||||||||
25.0 — 49.9 | 31 | 8.29 | |||||||||
-24.9 — 24.9 | 280 | 74.88 | |||||||||
-49.9 — -25.0 | 21 | 5.61 | |||||||||
-99.9 — -50.0 | 14 | 3.74 | |||||||||
-149.9 — -100.0 | 1 | 0.27 | |||||||||
<-150.0 | 6 | 1.60 | |||||||||
374 | 100.00 | % |
ULTRASHORT Russell2000 Value
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 9 | 2.41 | % | ||||||||
100.0 — 149.9 | 6 | 1.60 | |||||||||
50.0 — 99.9 | 12 | 3.21 | |||||||||
25.0 — 49.9 | 48 | 12.83 | |||||||||
-24.9 — 24.9 | 250 | 66.85 | |||||||||
-49.9 — -25.0 | 23 | 6.15 | |||||||||
-99.9 — -50.0 | 12 | 3.21 | |||||||||
-149.9 — -100.0 | 8 | 2.14 | |||||||||
<-150.0 | 6 | 1.60 | |||||||||
374 | 100.00 | % |
ULTRASHORT Russell2000 Growth
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 6 | 1.60 | % | ||||||||
100.0 — 149.9 | 3 | 0.80 | |||||||||
50.0 — 99.9 | 18 | 4.81 | |||||||||
25.0 — 49.9 | 43 | 11.50 | |||||||||
-24.9 — 24.9 | 261 | 69.80 | |||||||||
-49.9 — -25.0 | 25 | 6.68 | |||||||||
-99.9 — -50.0 | 10 | 2.67 | |||||||||
-149.9 — -100.0 | 3 | 0.80 | |||||||||
<-150.0 | 5 | 1.34 | |||||||||
374 | 100.00 | % |
57
ProShares Trust
Premium/Discount
November 30, 2008 (Unaudited) (continued)
SHORT Financials
Period Covered: July 1, 2008 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 4 | 6.25 | % | ||||||||
100.0 — 149.9 | 0 | 0.00 | |||||||||
50.0 — 99.9 | 3 | 4.69 | |||||||||
25.0 — 49.9 | 4 | 6.25 | |||||||||
-24.9 — 24.9 | 47 | 73.43 | |||||||||
-49.9 — -25.0 | 0 | 0.00 | |||||||||
-99.9 — -50.0 | 3 | 4.69 | |||||||||
-149.9 — -100.0 | 2 | 3.13 | |||||||||
<-150.0 | 1 | 1.56 | |||||||||
64 | 100.00 | % |
SHORT Oil & Gas
Period Covered: July 1, 2008 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 1.56 | % | ||||||||
100.0 — 149.9 | 1 | 1.56 | |||||||||
50.0 — 99.9 | 2 | 3.13 | |||||||||
25.0 — 49.9 | 3 | 4.69 | |||||||||
-24.9 — 24.9 | 52 | 81.25 | |||||||||
-49.9 — -25.0 | 2 | 3.13 | |||||||||
-99.9 — -50.0 | 1 | 1.56 | |||||||||
-149.9 — -100.0 | 1 | 1.56 | |||||||||
<-150.0 | 1 | 1.56 | |||||||||
64 | 100.00 | % |
ULTRASHORT Basic Materials
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 8 | 2.14 | % | ||||||||
100.0 — 149.9 | 9 | 2.41 | |||||||||
50.0 — 99.9 | 19 | 5.08 | |||||||||
25.0 — 49.9 | 53 | 14.17 | |||||||||
-24.9 — 24.9 | 226 | 60.43 | |||||||||
-49.9 — -25.0 | 33 | 8.82 | |||||||||
-99.9 — -50.0 | 14 | 3.74 | |||||||||
-149.9 — -100.0 | 4 | 1.07 | |||||||||
<-150.0 | 8 | 2.14 | |||||||||
374 | 100.00 | % |
58
ULTRASHORT Consumer Goods
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 2 | 0.53 | % | ||||||||
100.0 — 149.9 | 1 | 0.27 | |||||||||
50.0 — 99.9 | 9 | 2.41 | |||||||||
25.0 — 49.9 | 40 | 10.70 | |||||||||
-24.9 — 24.9 | 277 | 74.06 | |||||||||
-49.9 — -25.0 | 29 | 7.75 | |||||||||
-99.9 — -50.0 | 9 | 2.41 | |||||||||
-149.9 — -100.0 | 2 | 0.53 | |||||||||
<-150.0 | 5 | 1.34 | |||||||||
374 | 100.00 | % |
ULTRASHORT Consumer Services
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 3 | 0.80 | % | ||||||||
100.0 — 149.9 | 2 | 0.53 | |||||||||
50.0 — 99.9 | 23 | 6.15 | |||||||||
25.0 — 49.9 | 36 | 9.63 | |||||||||
-24.9 — 24.9 | 280 | 74.86 | |||||||||
-49.9 — -25.0 | 15 | 4.01 | |||||||||
-99.9 — -50.0 | 9 | 2.41 | |||||||||
-149.9 — -100.0 | 1 | 0.27 | |||||||||
<-150.0 | 5 | 1.34 | |||||||||
374 | 100.00 | % |
ULTRASHORT Financials
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 8 | 2.14 | % | ||||||||
100.0 — 149.9 | 6 | 1.60 | |||||||||
50.0 — 99.9 | 14 | 3.74 | |||||||||
25.0 — 49.9 | 39 | 10.43 | |||||||||
-24.9 — 24.9 | 229 | 61.23 | |||||||||
-49.9 — -25.0 | 43 | 11.50 | |||||||||
-99.9 — -50.0 | 20 | 5.35 | |||||||||
-149.9 — -100.0 | 5 | 1.34 | |||||||||
<-150.0 | 10 | 2.67 | |||||||||
374 | 100.00 | % |
59
ProShares Trust
Premium/Discount
November 30, 2008 (Unaudited) (continued)
ULTRASHORT Health Care
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.27 | % | ||||||||
100.0 — 149.9 | 1 | 0.27 | |||||||||
50.0 — 99.9 | 8 | 2.14 | |||||||||
25.0 — 49.9 | 29 | 7.75 | |||||||||
-24.9 — 24.9 | 289 | 77.27 | |||||||||
-49.9 — -25.0 | 31 | 8.29 | |||||||||
-99.9 — -50.0 | 8 | 2.14 | |||||||||
-149.9 — -100.0 | 1 | 0.27 | |||||||||
<-150.0 | 6 | 1.60 | |||||||||
374 | 100.00 | % |
ULTRASHORT Industrials
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 2 | 0.53 | % | ||||||||
100.0 — 149.9 | 7 | 1.87 | |||||||||
50.0 — 99.9 | 22 | 5.88 | |||||||||
25.0 — 49.9 | 25 | 6.68 | |||||||||
-24.9 — 24.9 | 281 | 75.15 | |||||||||
-49.9 — -25.0 | 16 | 4.28 | |||||||||
-99.9 — -50.0 | 14 | 3.74 | |||||||||
-149.9 — -100.0 | 3 | 0.80 | |||||||||
<-150.0 | 4 | 1.07 | |||||||||
374 | 100.00 | % |
ULTRASHORT Oil & Gas
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.27 | % | ||||||||
100.0 — 149.9 | 5 | 1.34 | |||||||||
50.0 — 99.9 | 28 | 7.49 | |||||||||
25.0 — 49.9 | 50 | 13.37 | |||||||||
-24.9 — 24.9 | 229 | 61.22 | |||||||||
-49.9 — -25.0 | 37 | 9.89 | |||||||||
-99.9 — -50.0 | 12 | 3.21 | |||||||||
-149.9 — -100.0 | 4 | 1.07 | |||||||||
<-150.0 | 8 | 2.14 | |||||||||
374 | 100.00 | % |
60
ULTRASHORT Real Estate
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 8 | 2.14 | % | ||||||||
100.0 — 149.9 | 12 | 3.21 | |||||||||
50.0 — 99.9 | 40 | 10.70 | |||||||||
25.0 — 49.9 | 46 | 12.30 | |||||||||
-24.9 — 24.9 | 195 | 52.13 | |||||||||
-49.9 — -25.0 | 36 | 9.63 | |||||||||
-99.9 — -50.0 | 22 | 5.88 | |||||||||
-149.9 — -100.0 | 6 | 1.60 | |||||||||
<-150.0 | 9 | 2.41 | |||||||||
374 | 100.00 | % |
ULTRASHORT Semiconductors
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 2 | 0.53 | % | ||||||||
100.0 — 149.9 | 3 | 0.80 | |||||||||
50.0 — 99.9 | 12 | 3.21 | |||||||||
25.0 — 49.9 | 44 | 11.76 | |||||||||
-24.9 — 24.9 | 274 | 73.27 | |||||||||
-49.9 — -25.0 | 24 | 6.42 | |||||||||
-99.9 — -50.0 | 7 | 1.87 | |||||||||
-149.9 — -100.0 | 3 | 0.80 | |||||||||
<-150.0 | 5 | 1.34 | |||||||||
374 | 100.00 | % |
ULTRASHORT Technology
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.27 | % | ||||||||
100.0 — 149.9 | 9 | 2.41 | |||||||||
50.0 — 99.9 | 24 | 6.42 | |||||||||
25.0 — 49.9 | 26 | 6.95 | |||||||||
-24.9 — 24.9 | 278 | 74.32 | |||||||||
-49.9 — -25.0 | 17 | 4.55 | |||||||||
-99.9 — -50.0 | 9 | 2.41 | |||||||||
-149.9 — -100.0 | 3 | 0.80 | |||||||||
<-150.0 | 7 | 1.87 | |||||||||
374 | 100.00 | % |
61
ProShares Trust
Premium/Discount
November 30, 2008 (Unaudited) (continued)
ULTRASHORT Telecommunications
Period Covered: April 1, 2008 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 2 | 1.56 | % | ||||||||
100.0 — 149.9 | 1 | 0.78 | |||||||||
50.0 — 99.9 | 3 | 2.34 | |||||||||
25.0 — 49.9 | 14 | 10.94 | |||||||||
-24.9 — 24.9 | 98 | 76.57 | |||||||||
-49.9 — -25.0 | 7 | 5.47 | |||||||||
-99.9 — -50.0 | 2 | 1.56 | |||||||||
-149.9 — -100.0 | 1 | 0.78 | |||||||||
<-150.0 | 0 | 0.00 | |||||||||
128 | 100.00 | % |
ULTRASHORT Utilities
Period Covered: April 1, 2007 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.27 | % | ||||||||
100.0 — 149.9 | 2 | 0.53 | |||||||||
50.0 — 99.9 | 7 | 1.87 | |||||||||
25.0 — 49.9 | 43 | 11.50 | |||||||||
-24.9 — 24.9 | 288 | 77.00 | |||||||||
-49.9 — -25.0 | 20 | 5.35 | |||||||||
-99.9 — -50.0 | 4 | 1.07 | |||||||||
-149.9 — -100.0 | 4 | 1.07 | |||||||||
<-150.0 | 5 | 1.34 | |||||||||
374 | 100.00 | % |
SHORT MSCI EAFE
Period Covered: January 1, 2008 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 14 | 7.57 | % | ||||||||
100.0 — 149.9 | 1 | 0.54 | |||||||||
50.0 — 99.9 | 1 | 0.54 | |||||||||
25.0 — 49.9 | 7 | 3.78 | |||||||||
-24.9 — 24.9 | 160 | 86.49 | |||||||||
-49.9 — -25.0 | 2 | 1.08 | |||||||||
-99.9 — -50.0 | 0 | 0.00 | |||||||||
-149.9 — -100.0 | 0 | 0.00 | |||||||||
<-150.0 | 0 | 0.00 | |||||||||
185 | 100.00 | % |
62
SHORT MSCI Emerging Markets
Period Covered: January 1, 2008 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 0 | 0.00 | % | ||||||||
100.0 — 149.9 | 1 | 0.54 | |||||||||
50.0 — 99.9 | 0 | 0.00 | |||||||||
25.0 — 49.9 | 3 | 1.62 | |||||||||
-24.9 — 24.9 | 175 | 94.60 | |||||||||
-49.9 — -25.0 | 3 | 1.62 | |||||||||
-99.9 — -50.0 | 2 | 1.08 | |||||||||
-149.9 — -100.0 | 1 | 0.54 | |||||||||
<-150.0 | 0 | 0.00 | |||||||||
185 | 100.00 | % |
ULTRASHORT MSCI EAFE
Period Covered: January 1, 2008 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.54 | % | ||||||||
100.0 — 149.9 | 1 | 0.54 | |||||||||
50.0 — 99.9 | 3 | 1.62 | |||||||||
25.0 — 49.9 | 15 | 8.11 | |||||||||
-24.9 — 24.9 | 148 | 80.01 | |||||||||
-49.9 — -25.0 | 8 | 4.32 | |||||||||
-99.9 — -50.0 | 3 | 1.62 | |||||||||
-149.9 — -100.0 | 1 | 0.54 | |||||||||
<-150.0 | 5 | 2.70 | |||||||||
185 | 100.00 | % |
ULTRASHORT MSCI Emerging Markets
Period Covered: January 1, 2008 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 0.54 | % | ||||||||
100.0 — 149.9 | 2 | 1.08 | |||||||||
50.0 — 99.9 | 3 | 1.62 | |||||||||
25.0 — 49.9 | 15 | 8.11 | |||||||||
-24.9 — 24.9 | 138 | 74.60 | |||||||||
-49.9 — -25.0 | 21 | 11.35 | |||||||||
-99.9 — -50.0 | 5 | 2.70 | |||||||||
-149.9 — -100.0 | 0 | 0.00 | |||||||||
<-150.0 | 0 | 0.00 | |||||||||
185 | 100.00 | % |
63
ProShares Trust
Premium/Discount
November 30, 2008 (Unaudited) (continued)
ULTRASHORT MSCI Japan
Period Covered: January 1, 2008 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 6 | 3.24 | % | ||||||||
100.0 — 149.9 | 2 | 1.08 | |||||||||
50.0 — 99.9 | 4 | 2.16 | |||||||||
25.0 — 49.9 | 22 | 11.89 | |||||||||
-24.9 — 24.9 | 108 | 58.39 | |||||||||
-49.9 — -25.0 | 30 | 16.22 | |||||||||
-99.9 — -50.0 | 9 | 4.86 | |||||||||
-149.9 — -100.0 | 1 | 0.54 | |||||||||
<-150.0 | 3 | 1.62 | |||||||||
185 | 100.00 | % |
ULTRASHORT FTSE/Xinhua China 25
Period Covered: January 1, 2008 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 5 | 2.70 | % | ||||||||
100.0 — 149.9 | 13 | 7.03 | |||||||||
50.0 — 99.9 | 23 | 12.43 | |||||||||
25.0 — 49.9 | 20 | 10.81 | |||||||||
-24.9 — 24.9 | 55 | 29.74 | |||||||||
-49.9 — -25.0 | 27 | 14.59 | |||||||||
-99.9 — -50.0 | 27 | 14.59 | |||||||||
-149.9 — -100.0 | 11 | 5.95 | |||||||||
<-150.0 | 4 | 2.16 | |||||||||
185 | 100.00 | % |
ULTRASHORT 7-10 Year Treasury
Period Covered: July 1, 2008 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 0 | 0.00 | % | ||||||||
100.0 — 149.9 | 1 | 1.56 | |||||||||
50.0 — 99.9 | 0 | 0.00 | |||||||||
25.0 — 49.9 | 5 | 7.81 | |||||||||
-24.9 — 24.9 | 52 | 81.26 | |||||||||
-49.9 — -25.0 | 5 | 7.81 | |||||||||
-99.9 — -50.0 | 1 | 1.56 | |||||||||
-149.9 — -100.0 | 0 | 0.00 | |||||||||
<-150.0 | 0 | 0.00 | |||||||||
64 | 100.00 | % |
64
ULTRASHORT 20+ Year Treasury
Period Covered: July 1, 2008 through September 30, 2008
Basis Point Differential | Number of Days | Percentage of Total Days | |||||||||
> 150.0 | 1 | 1.56 | % | ||||||||
100.0 — 149.9 | 0 | 0.00 | |||||||||
50.0 — 99.9 | 4 | 6.25 | |||||||||
25.0 — 49.9 | 8 | 12.50 | |||||||||
-24.9 — 24.9 | 35 | 54.69 | |||||||||
-49.9 — -25.0 | 12 | 18.75 | |||||||||
-99.9 — -50.0 | 3 | 4.69 | |||||||||
-149.9 — -100.0 | 0 | 0.00 | |||||||||
<-150.0 | 1 | 1.56 | |||||||||
64 | 100.00 | % |
65
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra QQQ®
Shares | Value | ||||||||||
Common Stocks (a) — 86.9% | |||||||||||
Consumer Discretionary — 10.3% | |||||||||||
321,255 | Amazon.com, Inc.* | $ | 13,717,589 | ||||||||
182,005 | Apollo Group, Inc., Class A* | 13,985,264 | |||||||||
397,871 | Bed Bath & Beyond, Inc.* | 8,072,803 | |||||||||
1,637,900 | Comcast Corp., Class A | 28,401,186 | |||||||||
863,695 | DIRECTV Group, Inc. (The)* | 19,009,927 | |||||||||
135,141 | Discovery Communications, Inc., Class A* | 2,027,115 | |||||||||
248,143 | DISH Network Corp., Class A* | 2,749,424 | |||||||||
320,219 | Expedia, Inc.* | 2,689,840 | |||||||||
126,969 | Focus Media Holding Ltd. (ADR)* | 948,458 | |||||||||
218,386 | Garmin Ltd. | 3,730,033 | |||||||||
82,780 | Lamar Advertising Co., Class A* | 1,230,939 | |||||||||
178,357 | Liberty Global, Inc., Class A* | 2,584,393 | |||||||||
618,166 | Liberty Media Corp. - Interactive, Class A* | 1,625,777 | |||||||||
142,487 | PetSmart, Inc. | 2,500,647 | |||||||||
150,177 | Sears Holdings Corp.* | 5,443,916 | |||||||||
4,319,924 | Sirius XM Radio, Inc.* | 899,840 | |||||||||
542,618 | Staples, Inc. | 9,419,848 | |||||||||
1,153,996 | Starbucks Corp.* | 10,305,184 | |||||||||
406,553 | Virgin Media, Inc. | 1,922,996 | |||||||||
138,679 | Wynn Resorts Ltd.* | 5,522,198 | |||||||||
136,787,377 | |||||||||||
Consumer Staples — 1.4% | |||||||||||
260,222 | Costco Wholesale Corp. | 13,393,626 | |||||||||
103,757 | Hansen Natural Corp.* | 3,086,771 | |||||||||
156,272 | Whole Foods Market, Inc. | 1,653,358 | |||||||||
18,133,755 | |||||||||||
Health Care — 16.6% | |||||||||||
560,296 | Amgen, Inc.* | 31,118,840 | |||||||||
150,250 | Amylin Pharmaceuticals, Inc.* | 1,113,353 | |||||||||
358,488 | Biogen Idec, Inc.* | 15,167,627 | |||||||||
512,420 | Celgene Corp.* | 26,697,082 | |||||||||
75,250 | Cephalon, Inc.* | 5,529,370 | |||||||||
162,136 | Dentsply International, Inc. | 4,228,507 | |||||||||
250,006 | Express Scripts, Inc.* | 14,377,845 | |||||||||
382,595 | Genzyme Corp.* | 24,493,732 | |||||||||
1,029,208 | Gilead Sciences, Inc.* | 46,098,226 | |||||||||
101,226 | Henry Schein, Inc.* | 3,616,805 | |||||||||
306,090 | Hologic, Inc.* | 4,303,625 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
44,106 | Intuitive Surgical, Inc.* | $ | 5,845,368 | ||||||||
132,331 | Patterson Cos., Inc.* | 2,490,469 | |||||||||
715,144 | Teva Pharmaceutical Industries Ltd. (ADR) | 30,858,464 | |||||||||
178,615 | Vertex Pharmaceuticals, Inc.* | 4,392,143 | |||||||||
220,331,456 | |||||||||||
Industrials — 4.3% | |||||||||||
190,733 | CH Robinson Worldwide, Inc. | 9,742,642 | |||||||||
209,623 | Cintas Corp. | 5,035,144 | |||||||||
237,651 | Expeditors International of Washington, Inc. | 7,944,673 | |||||||||
161,300 | Fastenal Co. | 6,211,663 | |||||||||
158,730 | Foster Wheeler Ltd.* | 3,533,330 | |||||||||
120,272 | Joy Global, Inc. | 2,801,135 | |||||||||
462,670 | PACCAR, Inc. | 12,894,613 | |||||||||
132,083 | Ryanair Holdings plc (ADR)* | 3,468,499 | |||||||||
101,899 | Stericycle, Inc.* | 5,838,813 | |||||||||
57,470,512 | |||||||||||
Information Technology — 52.9% | |||||||||||
1,337,451 | Activision Blizzard, Inc.* | 15,648,177 | |||||||||
590,596 | Adobe Systems, Inc.* | 13,678,203 | |||||||||
184,068 | Akamai Technologies, Inc.* | 2,258,514 | |||||||||
480,672 | Altera Corp. | 7,070,685 | |||||||||
1,403,739 | Apple, Inc.* | 130,084,493 | |||||||||
788,287 | Applied Materials, Inc. | 7,551,789 | |||||||||
266,299 | Autodesk, Inc.* | 4,417,900 | |||||||||
29,989 | Baidu.com (ADR)* | 4,074,905 | |||||||||
456,452 | Broadcom Corp., Class A* | 6,988,280 | |||||||||
565,520 | CA, Inc. | 9,523,357 | |||||||||
309,762 | Cadence Design Systems, Inc.* | 1,195,681 | |||||||||
240,478 | Check Point Software Technologies* | 4,956,252 | |||||||||
2,397,544 | Cisco Systems, Inc.* | 39,655,378 | |||||||||
246,172 | Citrix Systems, Inc.* | 6,562,946 | |||||||||
322,841 | Cognizant Technology Solutions Corp., Class A* | 6,198,547 | |||||||||
818,481 | Dell, Inc.* | 9,142,433 | |||||||||
1,101,985 | eBay, Inc.* | 14,469,063 | |||||||||
365,162 | Electronic Arts, Inc.* | 6,959,988 | |||||||||
233,106 | Fiserv, Inc.* | 7,958,239 | |||||||||
1,032,890 | Flextronics International Ltd.* | 2,416,963 | |||||||||
165,547 | Flir Systems, Inc.* | 5,135,268 | |||||||||
165,228 | Google, Inc., Class A* | 48,405,195 |
See accompanying notes to the financial statements.
66
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
164,856 | IAC/InterActiveCorp* | $ | 2,438,220 | ||||||||
127,458 | Infosys Technologies Ltd. (ADR) | 3,205,569 | |||||||||
2,236,467 | Intel Corp. | 30,863,245 | |||||||||
459,425 | Intuit, Inc.* | 10,180,858 | |||||||||
405,800 | Juniper Networks, Inc.* | 7,052,804 | |||||||||
238,456 | Kla-Tencor Corp. | 4,485,357 | |||||||||
147,132 | Lam Research Corp.* | 2,972,066 | |||||||||
336,383 | Linear Technology Corp. | 6,710,841 | |||||||||
198,213 | Logitech International S.A. (Registered)* | 2,586,680 | |||||||||
654,902 | Marvell Technology Group Ltd.* | 3,798,432 | |||||||||
173,876 | Microchip Technology, Inc. | 3,216,706 | |||||||||
3,569,786 | Microsoft Corp. | 72,181,073 | |||||||||
388,906 | NetApp, Inc.* | 5,250,231 | |||||||||
620,909 | NVIDIA Corp.* | 4,638,190 | |||||||||
2,445,217 | Oracle Corp.* | 39,343,542 | |||||||||
389,071 | Paychex, Inc. | 10,995,146 | |||||||||
2,248,371 | QUALCOMM, Inc. | 75,477,814 | |||||||||
641,668 | Research In Motion Ltd.* | 27,251,640 | |||||||||
234,581 | SanDisk Corp.* | 1,876,648 | |||||||||
553,201 | Seagate Technology | 2,328,976 | |||||||||
372,113 | Sun Microsystems, Inc.* | 1,179,598 | |||||||||
996,844 | Symantec Corp.* | 11,992,033 | |||||||||
207,008 | VeriSign, Inc.* | 4,469,303 | |||||||||
416,651 | Xilinx, Inc. | 6,816,410 | |||||||||
756,801 | Yahoo!, Inc.* | 8,710,780 | |||||||||
704,374,418 | |||||||||||
Materials — 0.6% | |||||||||||
137,438 | Sigma-Aldrich Corp. | 5,924,952 | |||||||||
214,566 | Steel Dynamics, Inc. | 1,772,315 | |||||||||
7,697,267 | |||||||||||
Telecommunication Services — 0.8% | |||||||||||
78,062 | Leap Wireless International, Inc.* | 1,561,240 | |||||||||
1,726,122 | Level 3 Communications, Inc.* | 1,623,073 | |||||||||
118,940 | Millicom International Cellular S.A. | 4,558,970 | |||||||||
182,902 | NII Holdings, Inc.* | 3,555,615 | |||||||||
11,298,898 | |||||||||||
Total Common Stock (Cost $1,431,464,302) | 1,156,093,683 |
Principal Amount | Value | ||||||||||
Repurchase Agreements — 36.6% | |||||||||||
$ | 64,977,945 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $64,979,082 (b) | $ | 64,977,945 | |||||||
64,977,945 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $64,979,569 (c) | 64,977,945 | |||||||||
4,873,346 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $4,873,427 (d) | 4,873,346 | |||||||||
16,244,486 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $16,245,592 (e) | 16,244,486 | |||||||||
32,488,972 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $32,491,183 (f) | 32,488,972 | |||||||||
113,711,403 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $113,714,056 (g) | 113,711,403 | |||||||||
97,466,917 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $97,468,541 (h) | 97,466,917 | |||||||||
92,667,243 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $92,669,174 (i) | 92,667,243 | |||||||||
Total Repurchase Agreements (Cost $487,408,257) | 487,408,257 | ||||||||||
Total Investments (Cost $1,918,872,559) — 123.5% | 1,643,501,940 | ||||||||||
Liabilities in excess of other assets — (23.5%) | (312,912,075 | ) | |||||||||
Net Assets — 100.0% | $ | 1,330,589,865 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date
See accompanying notes to the financial statements.
67
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra QQQ® (continued)
of this schedule as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $66,277,524. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $66,277,524. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $4,971,011. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $16,569,436. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $33,138,751. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $115,985,749. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $99,416,297. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $94,520,778. The investment in the repurchase agreement was through participation in a pooled account.
ADR American Depositary Receipt
As of November 30, 2008, 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 | $ | 1,484,905 | |||||
Aggregate gross unrealized depreciation | (495,674,489 | ) | |||||
Net unrealized depreciation | $ | (494,189,584 | ) | ||||
Federal income tax cost of investments | $ | 2,137,691,524 |
Futures Contracts Purchased
Ultra QQQ® had the following open long futures contracts as of November 30, 2008:
Number of Contracts | Expiration Date | Notional Amount at Value | Unrealized Appreciation | ||||||||||||||||
E-Mini NASDAQ-100® Futures Contracts | 10,905 | 12/19/08 | $ | 258,230,400 | $ | 6,511,359 |
Cash collateral in the amount of $41,850,043 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
See accompanying notes to the financial statements.
68
Swap Agreements
Ultra QQQ® had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index | 12/08/08 | $ | 340,423 | $ | (16,112 | ) | |||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index | 12/08/08 | 117,301,018 | (8,476,223 | ) | |||||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index | 12/08/08 | 287,281,330 | (1,786,137 | ) | |||||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index | 12/08/08 | 258,393,592 | (256,648,894 | ) | |||||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index | 12/08/08 | 567,689,209 | (41,759,593 | ) | |||||||||||
$ | 1,231,005,572 | $ | (308,686,959 | ) |
See accompanying notes to the financial statements.
69
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Dow30SM
Shares | Value | ||||||||||
Common Stocks (a) — 86.1% | |||||||||||
Consumer Discretionary — 8.5% | |||||||||||
677,408 | General Motors Corp. | $ | 3,549,618 | ||||||||
677,408 | Home Depot, Inc. | 15,654,899 | |||||||||
677,408 | McDonald's Corp. | 39,797,720 | |||||||||
677,408 | Walt Disney Co. (The) | 15,255,228 | |||||||||
74,257,465 | |||||||||||
Consumer Staples — 15.1% | |||||||||||
677,408 | Coca-Cola Co. (The) | 31,750,113 | |||||||||
677,408 | Kraft Foods, Inc., Class A | 18,432,271 | |||||||||
677,408 | Procter & Gamble Co. | 43,591,205 | |||||||||
677,408 | Wal-Mart Stores, Inc. | 37,853,559 | |||||||||
131,627,148 | |||||||||||
Energy — 12.4% | |||||||||||
677,408 | Chevron Corp. | 53,522,006 | |||||||||
677,408 | Exxon Mobil Corp. | 54,294,251 | |||||||||
107,816,257 | |||||||||||
Financials — 6.2% | |||||||||||
677,408 | American Express Co. | 15,790,381 | |||||||||
677,408 | Bank of America Corp. | 11,007,880 | |||||||||
677,408 | Citigroup, Inc. | 5,615,712 | |||||||||
677,408 | JPMorgan Chase & Co. | 21,446,737 | |||||||||
53,860,710 | |||||||||||
Health Care — 7.9% | |||||||||||
677,408 | Johnson & Johnson | 39,682,561 | |||||||||
677,408 | Merck & Co., Inc. | 18,100,342 | |||||||||
677,408 | Pfizer, Inc. | 11,129,813 | |||||||||
68,912,716 | |||||||||||
Industrials — 16.8% | |||||||||||
677,408 | 3M Co. | 45,338,918 | |||||||||
677,408 | Boeing Co. | 28,877,903 | |||||||||
677,408 | Caterpillar, Inc. | 27,766,954 | |||||||||
677,408 | General Electric Co. | 11,631,095 | |||||||||
677,408 | United Technologies Corp. | 32,874,610 | |||||||||
146,489,480 | |||||||||||
Information Technology — 11.7% | |||||||||||
677,408 | Hewlett-Packard Co. | 23,898,954 | |||||||||
677,408 | Intel Corp. | 9,348,230 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
677,408 | International Business Machines Corp. | $ | 55,276,493 | ||||||||
677,408 | Microsoft Corp. | 13,697,190 | |||||||||
102,220,867 | |||||||||||
Materials — 2.8% | |||||||||||
677,408 | Alcoa, Inc. | 7,288,910 | |||||||||
677,408 | EI Du Pont de Nemours & Co. | 16,975,845 | |||||||||
24,264,755 | |||||||||||
Telecommunication Services — 4.7% | |||||||||||
677,408 | AT&T, Inc. | 19,346,773 | |||||||||
677,408 | Verizon Communications, Inc. | 22,117,371 | |||||||||
41,464,144 | |||||||||||
Total Common Stock (Cost $797,286,032) | 750,913,542 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 23.9% | |||||||||||
$ | 27,740,968 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $27,741,453 (b) | 27,740,968 | ||||||||
27,740,968 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $27,741,662 (c) | 27,740,968 | |||||||||
2,080,573 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $2,080,608 (d) | 2,080,573 | |||||||||
6,935,242 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $6,935,714 (e) | 6,935,242 | |||||||||
13,870,484 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $13,871,428 (f) | 13,870,484 | |||||||||
48,546,693 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $48,547,826 (g) | 48,546,693 |
See accompanying notes to the financial statements.
70
Principal Amount | Value | ||||||||||
Repurchase Agreements (continued) | |||||||||||
$ | 41,611,452 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $41,612,146 (h) | $ | 41,611,452 | |||||||
39,562,330 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $39,563,154 (i) | 39,562,330 | |||||||||
Total Repurchase Agreements (Cost $208,088,710) | 208,088,710 | ||||||||||
Total Investments (Cost $1,005,374,742) — 110.0% | 959,002,252 | ||||||||||
Liabilities in excess of other assets — (10.0%) | (87,064,668 | ) | |||||||||
Net Assets — 100.0% | $ | 871,937,584 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $28,295,796. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $28,295,796. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $2,122,269. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $7,073,972. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $14,147,894. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $49,517,677. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $42,443,699. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $40,353,659. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
71
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Dow30SM (continued)
As of November 30, 2008, 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 | $ | 7,838,284 | |||||
Aggregate gross unrealized depreciation | (112,281,530 | ) | |||||
Net unrealized depreciation | $ | (104,443,246 | ) | ||||
Federal income tax cost of investments | $ | 1,063,445,498 |
Futures Contracts Purchased
Ultra Dow30SM had the following open long futures contracts as of November 30, 2008:
Number of Contracts | Expiration Date | Notional Amount at Value | Unrealized Appreciation | ||||||||||||||||
E-Mini Dow Jones Futures Contracts | 3,221 | 12/19/08 | $ | 141,981,680 | $ | 4,740,551 |
Cash collateral in the amount of $20,594,713 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
Swap Agreements
Ultra Dow30SM had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index | 12/08/08 | $ | 122,797,519 | $ | (1,305,964 | ) | |||||||||
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index | 12/08/08 | 126,747,108 | — | ||||||||||||
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index | 12/08/08 | 101,688,057 | (58,311,943 | ) | |||||||||||
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index | 12/08/08 | 501,751,279 | — | ||||||||||||
$ | 852,983,963 | $ | (59,617,907 | ) |
See accompanying notes to the financial statements.
72
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra S&P500®
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 86.2% | |||||||||||||||
270,298 | 3M Co. (Industrials) | 0.5 | % | $ | 18,091,045 | ||||||||||
596,174 | Abbott Laboratories (Health Care) | 0.9 | % | 31,233,556 | |||||||||||
409,167 | Amgen, Inc.* (Health Care) | 0.6 | % | 22,725,135 | |||||||||||
342,580 | Apple, Inc.* (Information Technology) | 0.9 | % | 31,746,889 | |||||||||||
2,279,198 | AT&T, Inc. (Telecommunication Services) | 1.8 | % | 65,093,895 | |||||||||||
1,939,686 | Bank of America Corp. (Financials) | 0.9 | % | 31,519,898 | |||||||||||
443,261 | Bank of New York Mellon Corp. (The) (Financials) | 0.4 | % | 13,390,915 | |||||||||||
765,659 | Bristol-Myers Squibb Co. (Health Care) | 0.4 | % | 15,849,141 | |||||||||||
794,632 | Chevron Corp. (Energy) | 1.8 | % | 62,783,874 | |||||||||||
2,284,610 | Cisco Systems, Inc.* (Information Technology) | 1.1 | % | 37,787,449 | |||||||||||
2,105,987 | Citigroup, Inc. (Financials) | 0.5 | % | 17,458,632 | |||||||||||
768,847 | Coca-Cola Co. (The) (Consumer Staples) | 1.0 | % | 36,035,859 | |||||||||||
1,128,595 | Comcast Corp., Class A (Consumer Discretionary) | 0.6 | % | 19,569,837 | |||||||||||
587,741 | ConocoPhillips (Energy) | 0.9 | % | 30,868,157 | |||||||||||
555,062 | CVS/Caremark Corp. (Consumer Staples) | 0.5 | % | 16,057,944 | |||||||||||
254,301 | Exelon Corp. (Utilities) | 0.4 | % | 14,294,259 | |||||||||||
2,008,804 | Exxon Mobil Corp. (Energy) | 4.6 | % | 161,005,642 | |||||||||||
4,059,292 | General Electric Co. (Industrials) | 2.0 | % | 69,698,044 | |||||||||||
355,784 | Gilead Sciences, Inc.* (Health Care) | 0.4 | % | 15,935,565 | |||||||||||
168,101 | Goldman Sachs Group, Inc. (The) (Financials) | 0.4 | % | 13,278,298 | |||||||||||
92,411 | Google, Inc., Class A* (Information Technology) | 0.8 | % | 27,072,727 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
947,186 | Hewlett-Packard Co. (Information Technology) | 0.9 | % | $ | 33,416,722 | ||||||||||
656,879 | Home Depot, Inc. (Consumer Discretionary) | 0.4 | % | 15,180,474 | |||||||||||
2,174,312 | Intel Corp. (Information Technology) | 0.8 | % | 30,005,506 | |||||||||||
523,968 | International Business Machines Corp. (Information Technology) | 1.2 | % | 42,755,789 | |||||||||||
1,080,755 | Johnson & Johnson (Health Care) | 1.8 | % | 63,310,628 | |||||||||||
1,424,883 | JPMorgan Chase & Co. (Financials) | 1.3 | % | 45,111,796 | |||||||||||
587,138 | Kraft Foods, Inc., Class A (Consumer Staples) | 0.5 | % | 15,976,025 | |||||||||||
434,976 | McDonald's Corp. (Consumer Discretionary) | 0.7 | % | 25,554,840 | |||||||||||
436,362 | Medtronic, Inc. (Health Care) | 0.4 | % | 13,317,768 | |||||||||||
828,596 | Merck & Co., Inc. (Health Care) | 0.6 | % | 22,140,085 | |||||||||||
3,036,925 | Microsoft Corp. (Information Technology) | 1.8 | % | 61,406,623 | |||||||||||
212,753 | Monsanto Co. (Materials) | 0.5 | % | 16,850,038 | |||||||||||
316,031 | Occidental Petroleum Corp. (Energy) | 0.5 | % | 17,109,918 | |||||||||||
1,515,536 | Oracle Corp.* (Information Technology) | 0.7 | % | 24,384,974 | |||||||||||
605,464 | PepsiCo, Inc. (Consumer Staples) | 1.0 | % | 34,329,809 | |||||||||||
2,607,141 | Pfizer, Inc. (Health Care) | 1.2 | % | 42,835,327 | |||||||||||
797,167 | Philip Morris International, Inc. (Consumer Staples) | 1.0 | % | 33,608,561 | |||||||||||
1,158,532 | Procter & Gamble Co. (Consumer Staples) | 2.1 | % | 74,551,534 |
See accompanying notes to the financial statements.
73
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra S&P500® (continued)
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
634,626 | QUALCOMM, Inc. (Information Technology) | 0.6 | % | $ | 21,304,395 | ||||||||||
463,916 | Schlumberger Ltd. (Energy) | 0.7 | % | 23,539,098 | |||||||||||
673,673 | U.S. Bancorp (Financials) | 0.5 | % | 18,175,698 | |||||||||||
389,853 | United Parcel Service, Inc., Class B (Industrials) | 0.6 | % | 22,455,533 | |||||||||||
372,942 | United Technologies Corp. (Industrials) | 0.5 | % | 18,098,875 | |||||||||||
1,101,346 | Verizon Communications, Inc. (Telecommunication Services) | 1.0 | % | 35,958,947 | |||||||||||
867,250 | Wal-Mart Stores, Inc. (Consumer Staples) | 1.4 | % | 48,461,930 | |||||||||||
725,719 | Walt Disney Co. (The) (Consumer Discretionary) | 0.5 | % | 16,343,192 | |||||||||||
1,437,411 | Wells Fargo & Co. (Financials) | 1.2 | % | 41,526,804 | |||||||||||
515,770 | Wyeth (Health Care) | 0.5 | % | 18,572,878 | |||||||||||
65,302,400 | Other Common Stocks | 39.9 | % | 1,400,568,485 | |||||||||||
Total Common Stock (Cost $3,306,251,584) | 3,028,349,013 | ||||||||||||||
Principal Amount | |||||||||||||||
Repurchase Agreements — 22.8% | |||||||||||||||
$ | 106,554,656 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $106,556,521 (b) | 106,554,656 | ||||||||||||
106,554,656 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $106,557,320 (c) | 106,554,656 | |||||||||||||
7,991,599 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $7,991,732 (d) | 7,991,599 | |||||||||||||
26,638,664 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $26,640,477 (e) | 26,638,664 |
Principal Amount | Value | ||||||||||||||
Repurchase Agreements (continued) | |||||||||||||||
$ | 53,277,328 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $53,280,954 (f) | $ | 53,277,328 | |||||||||||
186,470,648 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $186,474,999 (g) | 186,470,648 | |||||||||||||
159,831,984 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $159,834,648 (h) | 159,831,984 | |||||||||||||
151,961,196 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $151,964,362 (i) | 151,961,196 | |||||||||||||
Total Repurchase Agreements (Cost $799,280,731) | 799,280,731 | ||||||||||||||
Total Investments (Cost $4,105,532,315) — 109.0% | 3,827,629,744 | ||||||||||||||
Liabilities in excess of other assets — (-9.0%) | (314,475,470 | ) | |||||||||||||
Net Assets — 100.0% | $ | 3,513,154,274 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $108,685,783. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $108,685,783. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
74
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $8,151,756. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $27,171,535. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $54,342,875. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $190,200,255. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $163,028,693. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $155,000,731. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2008, 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 | $ | 16,293,766 | |||||
Aggregate gross unrealized depreciation | (540,010,613 | ) | |||||
Net unrealized depreciation | $ | (523,716,847 | ) | ||||
Federal income tax cost of investments | $ | 4,351,346,591 |
Futures Contracts Purchased
Ultra S&P500® had the following open long futures contracts as of November 30, 2008:
Number of Contracts | Expiration Date | Notional Amount at Value | Unrealized Appreciation | ||||||||||||||||
E-Mini S&P500 Futures Contracts | 13,097 | 12/19/08 | $ | 585,272,188 | $ | 32,309,772 |
Cash collateral in the amount of $82,137,433 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
See accompanying notes to the financial statements.
75
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra S&P500® (continued)
Swap Agreements
Ultra S&P500® had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the S&P 500® Index | 12/08/08 | $ | 562,345 | $ | (4,665 | ) | |||||||||
Equity Index Swap Agreement based on the S&P 500® Index | 12/08/08 | 225,155,963 | (167,147,078 | ) | |||||||||||
Equity Index Swap Agreement based on the S&P 500® Index | 12/08/08 | 416,940,758 | — | ||||||||||||
Equity Index Swap Agreement based on the S&P 500® Index | 12/08/08 | 948,661,534 | (27,653,595 | ) | |||||||||||
Equity Index Swap Agreement based on the S&P 500® Index | 12/08/08 | 1,816,569,828 | — | ||||||||||||
$ | 3,407,890,428 | $ | (194,805,338 | ) |
Ultra S&P500® invested, as a percentage of net assets, in the following industries, as of November 30, 2008:
Consumer Discretionary | 6.9 | % | |||||
Consumer Staples | 11.3 | % | |||||
Energy | 12.3 | % | |||||
Financials | 11.5 | % | |||||
Health Care | 12.1 | % | |||||
Industrials | 9.5 | % | |||||
Information Technology | 13.0 | % | |||||
Materials | 2.6 | % | |||||
Telecommunication Services | 3.3 | % | |||||
Utilities | 3.7 | % | |||||
Other1 | 13.8 | % | |||||
100.0 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
76
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra MidCap400
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 86.3% | |||||||||||||||
12,720 | Advance Auto Parts, Inc. (Consumer Discretionary) | 0.4 | % | $ | 386,179 | ||||||||||
10,964 | Airgas, Inc. (Materials) | 0.4 | % | 391,963 | |||||||||||
8,943 | Alliance Data Systems Corp.* (Information Technology) | 0.4 | % | 387,321 | |||||||||||
14,684 | Alliant Energy Corp. (Utilities) | 0.5 | % | 467,979 | |||||||||||
14,189 | Ametek, Inc. (Industrials) | 0.5 | % | 495,622 | |||||||||||
17,931 | Aqua America, Inc. (Utilities) | 0.4 | % | 388,923 | |||||||||||
9,279 | Church & Dwight Co., Inc. (Consumer Staples) | 0.5 | % | 551,544 | |||||||||||
8,750 | Commerce Bancshares, Inc./MO (Financials) | 0.4 | % | 383,338 | |||||||||||
7,856 | Cullen/Frost Bankers, Inc. (Financials) | 0.4 | % | 425,874 | |||||||||||
8,168 | DeVry, Inc. (Consumer Discretionary) | 0.5 | % | 469,497 | |||||||||||
12,021 | Dollar Tree, Inc.* (Consumer Discretionary) | 0.5 | % | 509,210 | |||||||||||
7,260 | Dun & Bradstreet Corp. (Industrials) | 0.6 | % | 580,800 | |||||||||||
17,401 | Equitable Resources, Inc. (Utilities) | 0.6 | % | 580,671 | |||||||||||
8,200 | Everest Re Group Ltd. (Financials) | 0.6 | % | 643,372 | |||||||||||
7,836 | Federal Realty Investment Trust (REIT) (Financials) | 0.4 | % | 453,234 | |||||||||||
18,507 | Flir Systems, Inc.* (Information Technology) | 0.6 | % | 574,087 | |||||||||||
9,947 | FMC Corp. (Materials) | 0.4 | % | 434,684 | |||||||||||
16,940 | FMC Technologies, Inc.* (Energy) | 0.5 | % | 465,342 | |||||||||||
10,611 | Global Payments, Inc. (Information Technology) | 0.4 | % | 383,800 | |||||||||||
13,549 | Health Care REIT, Inc. (REIT) (Financials) | 0.5 | % | 514,862 | |||||||||||
11,886 | Henry Schein, Inc.* (Health Care) | 0.4 | % | 424,687 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
34,069 | Hologic, Inc.* (Health Care) | 0.5 | % | $ | 479,010 | ||||||||||
4,186 | ITT Educational Services, Inc.* (Consumer Discretionary) | 0.4 | % | 377,075 | |||||||||||
5,502 | Martin Marietta Materials, Inc. (Materials) | 0.5 | % | 482,195 | |||||||||||
20,115 | McAfee, Inc.* (Information Technology) | 0.6 | % | 610,088 | |||||||||||
24,366 | MDU Resources Group, Inc. (Utilities) | 0.5 | % | 495,361 | |||||||||||
45,701 | New York Community Bancorp, Inc. (Financials) | 0.6 | % | 596,398 | |||||||||||
17,576 | Newfield Exploration Co.* (Energy) | 0.4 | % | 396,866 | |||||||||||
20,682 | Northeast Utilities (Utilities) | 0.5 | % | 481,891 | |||||||||||
14,199 | NSTAR (Utilities) | 0.5 | % | 504,065 | |||||||||||
13,883 | Oneok, Inc. (Utilities) | 0.4 | % | 407,327 | |||||||||||
17,816 | O'Reilly Automotive, Inc.* (Consumer Discretionary) | 0.5 | % | 464,463 | |||||||||||
15,835 | Pharmaceutical Product Development, Inc. (Health Care) | 0.4 | % | 417,094 | |||||||||||
7,701 | Philadelphia Consolidated Holding Co.* (Financials) | 0.5 | % | 473,226 | |||||||||||
23,011 | Pride International, Inc.* (Energy) | 0.4 | % | 373,008 | |||||||||||
17,245 | Puget Energy, Inc. (Utilities) | 0.4 | % | 422,158 | |||||||||||
26,228 | Quanta Services, Inc.* (Industrials) | 0.4 | % | 426,467 | |||||||||||
7,473 | Ralcorp Holdings, Inc.* (Consumer Staples) | 0.5 | % | 467,511 | |||||||||||
9,469 | Reinsurance Group of America, Inc. (Financials) | 0.4 | % | 384,441 | |||||||||||
20,569 | Republic Services, Inc. (Industrials) | 0.5 | % | 493,656 | |||||||||||
11,913 | Roper Industries, Inc. (Industrials) | 0.5 | % | 545,258 |
See accompanying notes to the financial statements.
77
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra MidCap400 (continued)
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
17,489 | Ross Stores, Inc. (Consumer Discretionary) | 0.5 | % | $ | 463,459 | ||||||||||
25,593 | SAIC, Inc.* (Information Technology) | 0.4 | % | 455,555 | |||||||||||
15,555 | SCANA Corp. (Utilities) | 0.5 | % | 540,536 | |||||||||||
1,894 | Strayer Education, Inc. (Consumer Discretionary) | 0.4 | % | 453,821 | |||||||||||
14,158 | Telephone & Data Systems, Inc. (Telecommunication Services) | 0.5 | % | 459,427 | |||||||||||
11,232 | URS Corp.* (Industrials) | 0.4 | % | 426,367 | |||||||||||
19,813 | Vertex Pharmaceuticals, Inc.* (Health Care) | 0.5 | % | 487,202 | |||||||||||
18,623 | WR Berkley Corp. (Financials) | 0.5 | % | 529,452 | |||||||||||
3,887,517 | Other Common Stocks | 63.3 | % | 63,218,135 | |||||||||||
Total Common Stock (Cost $96,934,745) | 86,244,501 | ||||||||||||||
Principal Amount | |||||||||||||||
Repurchase Agreements — 45.0% | |||||||||||||||
$ | 6,000,678 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $6,000,783 (b) | 6,000,678 | ||||||||||||
6,000,678 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $6,000,828 (c) | 6,000,678 | |||||||||||||
450,051 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $450,059 (d) | 450,051 | |||||||||||||
1,500,170 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $1,500,272 (e) | 1,500,170 | |||||||||||||
3,000,339 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $3,000,543 (f) | 3,000,339 |
Principal Amount | Value | ||||||||||||||
Repurchase Agreements (continued) | |||||||||||||||
$ | 10,501,187 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $10,501,432 (g) | $ | 10,501,187 | |||||||||||
9,001,017 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $9,001,167 (h) | 9,001,017 | |||||||||||||
8,557,770 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $8,557,948 (i) | 8,557,770 | |||||||||||||
Total Repurchase Agreements (Cost $45,011,890) | 45,011,890 | ||||||||||||||
Total Investments (Cost $141,946,635) — 131.3% | 131,256,391 | ||||||||||||||
Liabilities in excess of other assets — (-31.3%) | (31,313,289 | ) | |||||||||||||
Net Assets — 100.0% | $ | 99,943,102 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $6,120,693. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $6,120,693. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the
See accompanying notes to the financial statements.
78
date of this schedule as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $459,070. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $1,530,179. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $3,060,346. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $10,711,222. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $9,181,041. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $8,728,943. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2008, 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 | $ | 367,084 | |||||
Aggregate gross unrealized depreciation | (33,820,032 | ) | |||||
Net unrealized depreciation | $ | (33,452,948 | ) | ||||
Federal income tax cost of investments | $ | 164,709,339 |
Futures Contracts Purchased
Ultra MidCap400 had the following open long futures contracts as of November 30, 2008:
Number of Contracts | Expiration Date | Notional Amount at Value | Unrealized Appreciation | ||||||||||||||||
E-Mini S&P MidCap400 Futures Contracts | 419 | 12/19/08 | $ | 21,528,220 | $ | 1,572,258 |
Cash collateral in the amount of $3,172,713 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
See accompanying notes to the financial statements.
79
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra MidCap400 (continued)
Swap Agreements
Ultra MidCap400 had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index | 12/08/08 | $ | 514,008 | $ | (11,279 | ) | |||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index | 12/08/08 | 15,216,505 | (226,506 | ) | |||||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index | 12/08/08 | 41,195,511 | (857,959 | ) | |||||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index | 12/08/08 | 33,881,371 | (27,118,629 | ) | |||||||||||
$ | 90,807,395 | $ | (28,214,373 | ) |
Ultra MidCap400 invested, as a percentage of net assets, in the following industries, as of November 30, 2008:
Consumer Discretionary | 11.6 | % | |||||
Consumer Staples | 3.7 | % | |||||
Energy | 5.8 | % | |||||
Financials | 17.1 | % | |||||
Health Care | 9.1 | % | |||||
Industrials | 12.5 | % | |||||
Information Technology | 11.8 | % | |||||
Materials | 5.8 | % | |||||
Telecommunication Services | 0.5 | % | |||||
Utilities | 8.4 | % | |||||
Other1 | 13.7 | % | |||||
100.0 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
80
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra SmallCap600
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 91.9% | |||||||||||||||
4,707 | Aaron Rents, Inc. (Consumer Discretionary) | 0.4 | % | $ | 124,406 | ||||||||||
3,685 | Alpharma, Inc., Class A* (Health Care) | 0.4 | % | 133,029 | |||||||||||
4,679 | AMERIGROUP Corp.* (Health Care) | 0.4 | % | 114,916 | |||||||||||
7,990 | Atmos Energy Corp. (Utilities) | 0.7 | % | 199,191 | |||||||||||
2,669 | CACI International, Inc., Class A* (Information Technology) | 0.4 | % | 118,530 | |||||||||||
4,474 | Casey's General Stores, Inc. (Consumer Staples) | 0.4 | % | 132,654 | |||||||||||
1,653 | Chattem, Inc.* (Consumer Staples) | 0.4 | % | 119,958 | |||||||||||
4,471 | Clarcor, Inc. (Industrials) | 0.5 | % | 143,564 | |||||||||||
5,297 | Cleco Corp. (Utilities) | 0.4 | % | 124,850 | |||||||||||
4,987 | Cubist Pharmaceuticals, Inc.* (Health Care) | 0.4 | % | 122,481 | |||||||||||
3,966 | Curtiss-Wright Corp. (Industrials) | 0.4 | % | 132,464 | |||||||||||
4,697 | Gardner Denver, Inc.* (Industrials) | 0.4 | % | 116,251 | |||||||||||
2,238 | Haemonetics Corp.* (Health Care) | 0.4 | % | 127,991 | |||||||||||
2,812 | Home Properties, Inc. (REIT) (Financials) | 0.4 | % | 109,668 | |||||||||||
6,194 | Immucor, Inc.* (Health Care) | 0.5 | % | 150,328 | |||||||||||
7,852 | Informatica Corp.* (Information Technology) | 0.4 | % | 108,986 | |||||||||||
3,029 | Itron, Inc.* (Information Technology) | 0.5 | % | 143,514 | |||||||||||
4,767 | Kirby Corp.* (Industrials) | 0.4 | % | 121,225 | |||||||||||
4,670 | Landstar System, Inc. (Industrials) | 0.5 | % | 150,094 | |||||||||||
4,141 | Lennox International, Inc. (Industrials) | 0.4 | % | 114,457 | |||||||||||
11,963 | LKQ Corp.* (Consumer Discretionary) | 0.4 | % | 124,654 | |||||||||||
3,583 | Magellan Health Services, Inc.* (Health Care) | 0.4 | % | 117,702 | |||||||||||
7,121 | Micros Systems, Inc.* (Information Technology) | 0.4 | % | 118,565 | |||||||||||
6,991 | Microsemi Corp.* (Information Technology) | 0.4 | % | 136,255 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
3,766 | Moog, Inc., Class A* (Industrials) | 0.4 | % | $ | 121,190 | ||||||||||
7,027 | National Penn Bancshares, Inc. (Financials) | 0.4 | % | 108,075 | |||||||||||
3,713 | New Jersey Resources Corp. (Utilities) | 0.5 | % | 149,114 | |||||||||||
2,331 | Northwest Natural Gas Co. (Utilities) | 0.4 | % | 116,433 | |||||||||||
3,642 | Owens & Minor, Inc. (Health Care) | 0.5 | % | 151,252 | |||||||||||
2,688 | Panera Bread Co., Class A* (Consumer Discretionary) | 0.4 | % | 119,455 | |||||||||||
4,024 | Pediatrix Medical Group, Inc.* (Health Care) | 0.4 | % | 125,227 | |||||||||||
3,693 | Penn Virginia Corp. (Energy) | 0.4 | % | 110,901 | |||||||||||
6,469 | Piedmont Natural Gas Co. (Utilities) | 0.7 | % | 217,358 | |||||||||||
2,959 | ProAssurance Corp.* (Financials) | 0.5 | % | 161,532 | |||||||||||
3,620 | Prosperity Bancshares, Inc. (Financials) | 0.4 | % | 119,496 | |||||||||||
3,371 | Rock-Tenn Co., Class A (Materials) | 0.4 | % | 113,839 | |||||||||||
1,839 | SEACOR Holdings, Inc.* (Energy) | 0.4 | % | 121,613 | |||||||||||
10,098 | Senior Housing Properties Trust (REIT) (Financials) | 0.5 | % | 140,665 | |||||||||||
5,480 | St. Mary Land & Exploration Co. (Energy) | 0.4 | % | 110,203 | |||||||||||
7,588 | Susquehanna Bancshares, Inc. (Financials) | 0.4 | % | 115,945 | |||||||||||
3,144 | Teledyne Technologies, Inc.* (Industrials) | 0.4 | % | 127,709 | |||||||||||
2,826 | Tractor Supply Co.* (Consumer Discretionary) | 0.4 | % | 108,462 | |||||||||||
2,601 | UMB Financial Corp. (Financials) | 0.4 | % | 124,354 | |||||||||||
3,318 | United Bankshares, Inc. (Financials) | 0.4 | % | 110,323 | |||||||||||
6,402 | Varian Semiconductor Equipment Associates, Inc.* (Information Technology) | 0.4 | % | 117,797 | |||||||||||
6,842 | Waste Connections, Inc.* (Industrials) | 0.7 | % | 193,150 |
See accompanying notes to the financial statements.
81
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra SmallCap600 (continued)
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
3,811 | Watson Wyatt Worldwide, Inc., Class A (Industrials) | 0.5 | % | $ | 153,660 | ||||||||||
4,423 | WMS Industries, Inc.* (Consumer Discretionary) | 0.4 | % | 109,027 | |||||||||||
3,290 | Zenith National Insurance Corp. (Financials) | 0.4 | % | 108,537 | |||||||||||
1,636,042 | Other Common Stocks | 70.5 | % | 20,971,580 | |||||||||||
Total Common Stock (Cost $31,390,984) | 27,332,630 | ||||||||||||||
Principal Amount | |||||||||||||||
Repurchase Agreements — 37.6% | |||||||||||||||
$ | 1,489,473 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $1,489,499 (b) | 1,489,473 | ||||||||||||
1,489,473 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $1,489,510 (c) | 1,489,473 | |||||||||||||
111,710 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $111,712 (d) | 111,710 | |||||||||||||
372,368 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $372,393 (e) | 372,368 | |||||||||||||
744,736 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $744,787 (f) | 744,736 | |||||||||||||
2,606,577 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $2,606,638 (g) | 2,606,577 | |||||||||||||
2,234,209 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $2,234,246 (h) | 2,234,209 |
Principal Amount | Value | ||||||||||||||
Repurchase Agreements (continued) | |||||||||||||||
$ | 2,124,188 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $2,124,232 (i) | $ | 2,124,188 | |||||||||||
Total Repurchase Agreements (Cost $11,172,734) | 11,172,734 | ||||||||||||||
Total Investments (Cost $42,563,718) — 129.5% | 38,505,364 | ||||||||||||||
Liabilities in excess of other assets — (-29.5%) | (8,774,676 | ) | |||||||||||||
Net Assets — 100.0% | $ | 29,730,688 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $1,519,263. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $1,519,263. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $113,949. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
82
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $379,817. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $759,631. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $2,658,711. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $2,278,894. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $2,166,676. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2008, 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 | $ | 56,491 | |||||
Aggregate gross unrealized depreciation | (12,762,279 | ) | |||||
Net unrealized depreciation | $ | (12,705,788 | ) | ||||
Federal income tax cost of investments | $ | 51,211,152 |
Swap Agreements
Ultra SmallCap600 had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the S&P SmallCap600 Index | 12/08/08 | $ | 4,413,537 | $ | (3,086,463 | ) | |||||||||
Equity Index Swap Agreement based on the S&P SmallCap600 Index | 12/08/08 | 27,028,209 | (2,364,943 | ) | |||||||||||
$ | 31,441,746 | $ | (5,451,406 | ) |
See accompanying notes to the financial statements.
83
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra SmallCap600 (continued)
Ultra SmallCap600 invested, as a percentage of net assets, in the following industries, as of November 30, 2008:
Consumer Discretionary | 11.8 | % | |||||
Consumer Staples | 3.4 | % | |||||
Energy | 4.3 | % | |||||
Financials | 17.9 | % | |||||
Health Care | 12.8 | % | |||||
Industrials | 17.8 | % | |||||
Information Technology | 14.7 | % | |||||
Materials | 3.5 | % | |||||
Telecommunication Services | 0.2 | % | |||||
Utilities | 5.5 | % | |||||
Other1 | 8.1 | % | |||||
100.0 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
84
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell2000
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 85.5% | |||||||||||||||
25,635 | Alexion Pharmaceuticals, Inc.* (Health Care) | 0.3 | % | $ | 862,874 | ||||||||||
13,937 | Alpharma, Inc., Class A* (Health Care) | 0.2 | % | 503,126 | |||||||||||
28,493 | Aspen Insurance Holdings Ltd. (Financials) | 0.2 | % | 525,126 | |||||||||||
6,314 | Bio-Rad Laboratories, Inc., Class A* (Health Care) | 0.2 | % | 468,246 | |||||||||||
16,922 | Casey's General Stores, Inc. (Consumer Staples) | 0.2 | % | 501,737 | |||||||||||
16,850 | Clarcor, Inc. (Industrials) | 0.2 | % | 541,054 | |||||||||||
20,082 | Cleco Corp. (Utilities) | 0.2 | % | 473,333 | |||||||||||
10,817 | Compass Minerals International, Inc. (Materials) | 0.2 | % | 605,644 | |||||||||||
15,202 | Comstock Resources, Inc.* (Energy) | 0.2 | % | 637,420 | |||||||||||
14,931 | Curtiss-Wright Corp. (Industrials) | 0.2 | % | 498,695 | |||||||||||
39,544 | First Niagara Financial Group, Inc. (Financials) | 0.2 | % | 613,328 | |||||||||||
26,986 | FirstMerit Corp. (Financials) | 0.2 | % | 593,692 | |||||||||||
25,794 | Flowers Foods, Inc. (Consumer Staples) | 0.3 | % | 690,763 | |||||||||||
48,677 | Foundry Networks, Inc.* (Information Technology) | 0.3 | % | 754,007 | |||||||||||
11,047 | Granite Construction, Inc. (Industrials) | 0.2 | % | 473,806 | |||||||||||
8,584 | Haemonetics Corp.* (Health Care) | 0.2 | % | 490,919 | |||||||||||
21,194 | Highwoods Properties, Inc. (REIT) (Financials) | 0.2 | % | 506,113 | |||||||||||
23,375 | Immucor, Inc.* (Health Care) | 0.2 | % | 567,311 | |||||||||||
16,492 | ITC Holdings Corp. (Utilities) | 0.3 | % | 692,664 | |||||||||||
31,360 | Knight Capital Group, Inc., Class A* (Financials) | 0.2 | % | 519,008 | |||||||||||
16,325 | Marvel Entertainment, Inc.* (Consumer Discretionary) | 0.2 | % | 480,771 | |||||||||||
26,237 | Microsemi Corp.* (Information Technology) | 0.2 | % | 511,359 | |||||||||||
14,900 | Myriad Genetics, Inc.* (Health Care) | 0.3 | % | 883,272 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
13,990 | New Jersey Resources Corp. (Utilities) | 0.2 | % | $ | 561,838 | ||||||||||
36,235 | NewAlliance Bancshares, Inc. (Financials) | 0.2 | % | 499,318 | |||||||||||
15,064 | Nicor, Inc. (Utilities) | 0.2 | % | 614,310 | |||||||||||
18,545 | Onyx Pharmaceuticals, Inc.* (Health Care) | 0.2 | % | 521,115 | |||||||||||
19,094 | OSI Pharmaceuticals, Inc.* (Health Care) | 0.3 | % | 710,297 | |||||||||||
13,710 | Owens & Minor, Inc. (Health Care) | 0.2 | % | 569,376 | |||||||||||
24,501 | Piedmont Natural Gas Co. (Utilities) | 0.3 | % | 823,234 | |||||||||||
16,325 | Platinum Underwriters Holdings Ltd. (Financials) | 0.2 | % | 501,667 | |||||||||||
29,211 | Polycom, Inc.* (Information Technology) | 0.2 | % | 550,043 | |||||||||||
10,699 | ProAssurance Corp.* (Financials) | 0.2 | % | 584,058 | |||||||||||
18,752 | Ralcorp Holdings, Inc.* (Consumer Staples) | 0.4 | % | 1,173,125 | |||||||||||
33,796 | Realty Income Corp. (REIT) (Financials) | 0.3 | % | 682,341 | |||||||||||
38,200 | Senior Housing Properties Trust (REIT) (Financials) | 0.2 | % | 532,126 | |||||||||||
19,531 | STERIS Corp. (Health Care) | 0.2 | % | 540,032 | |||||||||||
26,445 | Sybase, Inc.* (Information Technology) | 0.2 | % | 651,605 | |||||||||||
11,821 | Teledyne Technologies, Inc.* (Industrials) | 0.2 | % | 480,169 | |||||||||||
41,960 | UAL Corp. (Industrials) | 0.2 | % | 472,050 | |||||||||||
10,364 | UMB Financial Corp. (Financials) | 0.2 | % | 495,503 | |||||||||||
21,499 | Validus Holdings Ltd. (Financials) | 0.2 | % | 499,637 | |||||||||||
16,155 | Wabtec Corp. (Industrials) | 0.2 | % | 623,422 | |||||||||||
26,585 | Waste Connections, Inc.* (Industrials) | 0.3 | % | 750,495 | |||||||||||
14,243 | Watson Wyatt Worldwide, Inc., Class A (Industrials) | 0.2 | % | 574,278 | |||||||||||
132,317 | Wendy's/Arby's Group, Inc., Class A (Consumer Discretionary) | 0.2 | % | 531,914 | |||||||||||
9,682 | Westamerica Bancorporation (Financials) | 0.2 | % | 514,695 | |||||||||||
34,983 | Westar Energy, Inc. (Utilities) | 0.3 | % | 707,706 |
See accompanying notes to the financial statements.
85
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell2000 (continued)
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
16,507 | WGL Holdings, Inc. (Utilities) | 0.2 | % | $ | 595,903 | ||||||||||
22,624,610 | Other Common Stocks | 74.5 | % | 207,985,034 | |||||||||||
Total Common Stock (Cost $264,227,169) | 237,139,559 | ||||||||||||||
Principal Amount | |||||||||||||||
Repurchase Agreements — 34.2% | |||||||||||||||
$ | 12,647,560 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $12,647,781 (b) | 12,647,560 | ||||||||||||
12,647,560 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $12,647,876 (c) | 12,647,560 | |||||||||||||
948,567 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $948,583 (d) | 948,567 | |||||||||||||
3,161,890 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $3,162,105 (e) | 3,161,890 | |||||||||||||
6,323,780 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $6,324,210 (f) | 6,323,780 | |||||||||||||
22,133,231 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $22,133,747 (g) | 22,133,231 | |||||||||||||
18,971,341 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $18,971,657 (h) | 18,971,341 | |||||||||||||
18,037,113 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $18,037,489 (i) | 18,037,113 | |||||||||||||
Total Repurchase Agreements (Cost $94,871,042) | 94,871,042 |
No. of Warrants | Percentage of Net Assets | Value | |||||||||||||
Warrants — 0.0% | |||||||||||||||
71 | GreenHunter Energy, Inc., expiring 08/27/11 at $27.50* | — | % | $ | — | ||||||||||
Total Warrant (Cost $—) | — | ||||||||||||||
Total Investments (Cost $359,098,210) — 119.7% | 332,010,601 | ||||||||||||||
Liabilities in excess of other assets — (-19.7%) | (54,741,624 | ) | |||||||||||||
Net Assets — 100.0% | $ | 277,268,977 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $12,900,515. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $12,900,515. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $967,577. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date
See accompanying notes to the financial statements.
86
of this schedule as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $3,225,139. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $6,450,256. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $22,575,919. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $19,350,776. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $18,397,892. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2008, 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 | $ | 545,530 | |||||
Aggregate gross unrealized depreciation | (84,973,527 | ) | |||||
Net unrealized depreciation | $ | (84,427,997 | ) | ||||
Federal income tax cost of investments | $ | 416,438,598 |
Futures Contracts Purchased
Ultra Russell2000 had the following open long futures contracts as of November 30, 2008:
Number of Contracts | Expiration Date | Notional Amount at Value | Unrealized Appreciation | ||||||||||||||||
E-Mini Russell 2000 Index® Futures Contracts | 1,268 | 12/18/08 | $ | 60,090,520 | $ | 4,907,215 |
Cash collateral in the amount of $6,126,815 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
Swap Agreements
Ultra Russell2000 had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Russell 2000® Index | 12/08/08 | $ | 24,092,757 | $ | (17,907,243 | ) | |||||||||
Equity Index Swap Agreement based on the Russell 2000® Index | 12/08/08 | 232,741,267 | (18,619,087 | ) | |||||||||||
$ | 256,834,024 | $ | (36,526,330 | ) |
See accompanying notes to the financial statements.
87
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell2000 (continued)
Ultra Russell2000 invested, as a percentage of net assets, in the following industries, as of November 30, 2008:
Consumer Discretionary | 9.1 | % | |||||
Consumer Staples | 3.4 | % | |||||
Energy | 4.3 | % | |||||
Financials | 19.6 | % | |||||
Health Care | 12.8 | % | |||||
Industrials | 14.0 | % | |||||
Information Technology | 14.1 | % | |||||
Materials | 3.2 | % | |||||
Telecommunication Services | 1.0 | % | |||||
Utilities | 4.0 | % | |||||
Other1 | 14.5 | % | |||||
100.0 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
88
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell1000 Value
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 88.8% | |||||||||||||||
3,955 | Amgen, Inc.* (Health Care) | 1.2 | % | $ | 219,661 | ||||||||||
1,702 | Anadarko Petroleum Corp. (Energy) | 0.4 | % | 69,867 | |||||||||||
1,216 | Apache Corp. (Energy) | 0.5 | % | 93,997 | |||||||||||
21,592 | AT&T, Inc. (Telecommunication Services) | 3.4 | % | 616,668 | |||||||||||
18,231 | Bank of America Corp. (Financials) | 1.6 | % | 296,254 | |||||||||||
4,157 | Bank of New York Mellon Corp. (The) (Financials) | 0.7 | % | 125,583 | |||||||||||
7,519 | Chevron Corp. (Energy) | 3.3 | % | 594,076 | |||||||||||
1,328 | Chubb Corp. (Financials) | 0.4 | % | 68,206 | |||||||||||
19,786 | Citigroup, Inc. (Financials) | 0.9 | % | 164,026 | |||||||||||
2,489 | Coca-Cola Co. (The) (Consumer Staples) | 0.6 | % | 116,659 | |||||||||||
7,216 | Comcast Corp., Class A (Consumer Discretionary) | 0.7 | % | 125,125 | |||||||||||
5,609 | ConocoPhillips (Energy) | 1.6 | % | 294,585 | |||||||||||
1,813 | Covidien Ltd. (Health Care) | 0.4 | % | 66,809 | |||||||||||
2,388 | CVS/Caremark Corp. (Consumer Staples) | 0.4 | % | 69,085 | |||||||||||
1,625 | Devon Energy Corp. (Energy) | 0.6 | % | 117,553 | |||||||||||
2,103 | Dominion Resources, Inc. (Utilities) | 0.4 | % | 77,432 | |||||||||||
4,596 | Duke Energy Corp. (Utilities) | 0.4 | % | 71,514 | |||||||||||
3,273 | EI Du Pont de Nemours & Co. (Materials) | 0.5 | % | 82,021 | |||||||||||
3,291 | Eli Lilly & Co. (Health Care) | 0.6 | % | 112,388 | |||||||||||
1,192 | Exelon Corp. (Utilities) | 0.4 | % | 67,002 | |||||||||||
15,654 | Exxon Mobil Corp. (Energy) | 7.0 | % | 1,254,668 | |||||||||||
1,126 | FedEx Corp. (Industrials) | 0.3 | % | 79,552 | |||||||||||
1,487 | FPL Group, Inc. (Utilities) | 0.4 | % | 72,506 | |||||||||||
1,452 | General Dynamics Corp. (Industrials) | 0.4 | % | 75,025 | |||||||||||
36,228 | General Electric Co. (Industrials) | 3.5 | % | 622,035 | |||||||||||
1,116 | General Mills, Inc. (Consumer Staples) | 0.4 | % | 70,498 | |||||||||||
1,284 | Goldman Sachs Group, Inc. (The) (Financials) | 0.6 | % | 101,423 | |||||||||||
6,139 | Home Depot, Inc. (Consumer Discretionary) | 0.8 | % | 141,872 | |||||||||||
7,551 | Johnson & Johnson (Health Care) | 2.5 | % | 442,338 | |||||||||||
14,213 | JPMorgan Chase & Co. (Financials) | 2.5 | % | 449,984 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
5,343 | Kraft Foods, Inc., Class A (Consumer Staples) | 0.8 | % | $ | 145,383 | ||||||||||
5,046 | Lowe's Cos., Inc. (Consumer Discretionary) | 0.6 | % | 104,250 | |||||||||||
2,577 | Marathon Oil Corp. (Energy) | 0.4 | % | 67,466 | |||||||||||
5,574 | Merck & Co., Inc. (Health Care) | 0.8 | % | 148,937 | |||||||||||
5,556 | Merrill Lynch & Co., Inc. (Financials) | 0.4 | % | 73,450 | |||||||||||
24,588 | Pfizer, Inc. (Health Care) | 2.2 | % | 403,981 | |||||||||||
1,258 | PNC Financial Services Group, Inc. (Financials) | 0.4 | % | 66,385 | |||||||||||
6,980 | Procter & Gamble Co. (Consumer Staples) | 2.5 | % | 449,163 | |||||||||||
2,789 | Southern Co. (Utilities) | 0.6 | % | 101,296 | |||||||||||
11,558 | Time Warner, Inc. (Consumer Discretionary) | 0.6 | % | 104,600 | |||||||||||
2,201 | Travelers Cos., Inc. (The) (Financials) | 0.5 | % | 96,074 | |||||||||||
6,328 | U.S. Bancorp (Financials) | 0.9 | % | 170,729 | |||||||||||
1,524 | United Technologies Corp. (Industrials) | 0.4 | % | 73,960 | |||||||||||
10,359 | Verizon Communications, Inc. (Telecommunication Services) | 1.9 | % | 338,221 | |||||||||||
1,572 | Wal-Mart Stores, Inc. (Consumer Staples) | 0.5 | % | 87,843 | |||||||||||
6,123 | Walt Disney Co. (The) (Consumer Discretionary) | 0.8 | % | 137,890 | |||||||||||
11,999 | Wells Fargo & Co. (Financials) | 1.9 | % | 346,651 | |||||||||||
4,844 | Wyeth (Health Care) | 1.0 | % | 174,432 | |||||||||||
1,795 | XTO Energy, Inc. (Energy) | 0.4 | % | 68,641 | |||||||||||
386,274 | Other Common Stocks | 33.7 | % | 6,062,801 | |||||||||||
Total Common Stock (Cost $17,015,344) | 15,980,565 | ||||||||||||||
Principal Amount | |||||||||||||||
Repurchase Agreements — 14.0% | |||||||||||||||
$ | 334,609 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $334,615 (b) | 334,609 |
See accompanying notes to the financial statements.
89
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell1000 Value (continued)
Principal Amount | Value | ||||||||||||||
Repurchase Agreements (continued) | |||||||||||||||
$ | 334,609 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $334,617 (c) | $ | 334,609 | |||||||||||
25,096 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $25,096 (d) | 25,096 | |||||||||||||
83,652 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $83,658 (e) | 83,652 | |||||||||||||
167,304 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $167,315 (f) | 167,304 | |||||||||||||
585,565 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $585,579 (g) | 585,565 | |||||||||||||
501,913 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $501,921 (h) | 501,913 | |||||||||||||
477,197 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $477,207 (i) | 477,197 | |||||||||||||
Total Repurchase Agreements (Cost $2,509,945) | 2,509,945 | ||||||||||||||
Total Investments (Cost $19,525,289) — 102.8% | 18,490,510 | ||||||||||||||
Liabilities in excess of other assets — (-2.8%) | (512,187 | ) | |||||||||||||
Net Assets — 100.0% | $ | 17,978,323 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total
value of $341,301. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $341,301. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $25,599. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $85,325. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $170,650. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $597,277. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due
See accompanying notes to the financial statements.
90
12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $511,951. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $486,742. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2008, 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 | $ | — | |||||
Aggregate gross unrealized depreciation | (3,758,545 | ) | |||||
Net unrealized depreciation | $ | (3,758,545 | ) | ||||
Federal income tax cost of investments | $ | 22,249,055 |
Swap Agreements
Ultra Russell1000 Value had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on Russell 1000® Value Index | 12/08/08 | $ | 865,344 | $ | (5,128 | ) | |||||||||
Equity Index Swap Agreement based on Russell 1000® Value Index | 12/08/08 | 18,989,849 | — | ||||||||||||
$ | 19,855,193 | $ | (5,128 | ) |
Ultra Russell1000 Value invested, as a percentage of net assets, in the following industries, as of November 30, 2008:
Consumer Discretionary | 7.1 | % | |||||
Consumer Staples | 8.7 | % | |||||
Energy | 15.9 | % | |||||
Financials | 21.1 | % | |||||
Health Care | 11.2 | % | |||||
Industrials | 7.8 | % | |||||
Information Technology | 2.2 | % | |||||
Materials | 2.7 | % | |||||
Telecommunication Services | 5.8 | % | |||||
Utilities | 6.3 | % | |||||
Other1 | 11.2 | % | |||||
100.0 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
91
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell1000 Growth
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 80.2% | |||||||||||||||
2,579 | 3M Co. (Industrials) | 0.9 | % | $ | 172,611 | ||||||||||
5,653 | Abbott Laboratories (Health Care) | 1.5 | % | 296,161 | |||||||||||
1,742 | Aflac, Inc. (Financials) | 0.4 | % | 80,655 | |||||||||||
5,738 | Altria Group, Inc. (Consumer Staples) | 0.5 | % | 92,267 | |||||||||||
3,230 | Apple, Inc.* (Information Technology) | 1.5 | % | 299,324 | |||||||||||
1,900 | Automatic Data Processing, Inc. (Information Technology) | 0.4 | % | 78,014 | |||||||||||
2,300 | Baxter International, Inc. (Health Care) | 0.6 | % | 121,670 | |||||||||||
2,752 | Boeing Co. (Industrials) | 0.6 | % | 117,318 | |||||||||||
6,623 | Bristol-Myers Squibb Co. (Health Care) | 0.7 | % | 137,096 | |||||||||||
1,032 | Burlington Northern Santa Fe Corp. (Industrials) | 0.4 | % | 79,062 | |||||||||||
2,253 | Caterpillar, Inc. (Industrials) | 0.5 | % | 92,350 | |||||||||||
1,597 | Celgene Corp.* (Health Care) | 0.4 | % | 83,204 | |||||||||||
21,640 | Cisco Systems, Inc.* (Information Technology) | 1.8 | % | 357,926 | |||||||||||
5,998 | Coca-Cola Co. (The) (Consumer Staples) | 1.4 | % | 281,126 | |||||||||||
1,861 | Colgate-Palmolive Co. (Consumer Staples) | 0.6 | % | 121,095 | |||||||||||
1,589 | Costco Wholesale Corp. (Consumer Staples) | 0.4 | % | 81,786 | |||||||||||
2,827 | CVS/Caremark Corp. (Consumer Staples) | 0.4 | % | 81,785 | |||||||||||
2,860 | Emerson Electric Co. (Industrials) | 0.5 | % | 102,645 | |||||||||||
3,582 | Exxon Mobil Corp. (Energy) | 1.4 | % | 287,097 | |||||||||||
1,702 | Genentech, Inc.* (Health Care) | 0.6 | % | 130,373 | |||||||||||
3,378 | Gilead Sciences, Inc.* (Health Care) | 0.8 | % | 151,301 | |||||||||||
867 | Google, Inc., Class A* (Information Technology) | 1.3 | % | 253,996 | |||||||||||
9,033 | Hewlett-Packard Co. (Information Technology) | 1.6 | % | 318,684 | |||||||||||
2,718 | Honeywell International, Inc. (Industrials) | 0.4 | % | 75,723 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
18,132 | Intel Corp. (Information Technology) | 1.2 | % | $ | 250,222 | ||||||||||
5,031 | International Business Machines Corp. (Information Technology) | 2.1 | % | 410,530 | |||||||||||
2,717 | Johnson & Johnson (Health Care) | 0.8 | % | 159,162 | |||||||||||
1,206 | Lockheed Martin Corp. (Industrials) | 0.5 | % | 92,995 | |||||||||||
3,766 | McDonald's Corp. (Consumer Discretionary) | 1.1 | % | 221,253 | |||||||||||
1,856 | Medco Health Solutions, Inc.* (Health Care) | 0.4 | % | 77,952 | |||||||||||
4,114 | Medtronic, Inc. (Health Care) | 0.6 | % | 125,559 | |||||||||||
29,412 | Microsoft Corp. (Information Technology) | 3.0 | % | 594,711 | |||||||||||
2,010 | Monsanto Co. (Materials) | 0.8 | % | 159,192 | |||||||||||
3,007 | Occidental Petroleum Corp. (Energy) | 0.8 | % | 162,799 | |||||||||||
14,268 | Oracle Corp.* (Information Technology) | 1.1 | % | 229,572 | |||||||||||
5,461 | PepsiCo, Inc. (Consumer Staples) | 1.5 | % | 309,639 | |||||||||||
7,728 | Philip Morris International, Inc. (Consumer Staples) | 1.6 | % | 325,812 | |||||||||||
4,144 | Procter & Gamble Co. (Consumer Staples) | 1.3 | % | 266,666 | |||||||||||
5,929 | QUALCOMM, Inc. (Information Technology) | 1.0 | % | 199,037 | |||||||||||
5,941 | Schering-Plough Corp. (Health Care) | 0.5 | % | 99,868 | |||||||||||
4,370 | Schlumberger Ltd. (Energy) | 1.1 | % | 221,734 | |||||||||||
2,676 | Target Corp. (Consumer Discretionary) | 0.4 | % | 90,342 | |||||||||||
1,169 | Transocean, Inc.* (Energy) | 0.4 | % | 78,183 | |||||||||||
1,894 | Union Pacific Corp. (Industrials) | 0.5 | % | 94,776 | |||||||||||
2,506 | United Parcel Service, Inc., Class B (Industrials) | 0.7 | % | 144,346 | |||||||||||
2,032 | United Technologies Corp. (Industrials) | 0.5 | % | 98,613 | |||||||||||
1,641 | Visa, Inc., Class A (Information Technology) | 0.4 | % | 86,251 | |||||||||||
3,353 | Walgreen Co. (Consumer Staples) | 0.4 | % | 82,953 |
See accompanying notes to the financial statements.
92
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
6,633 | Wal-Mart Stores, Inc. (Consumer Staples) | 1.9 | % | $ | 370,652 | ||||||||||
341,669 | Other Common Stocks | 35.9 | % | 7,174,012 | |||||||||||
Total Common Stock (Cost $18,679,989) | 16,020,100 | ||||||||||||||
Principal Amount | |||||||||||||||
Repurchase Agreements — 60.0% | |||||||||||||||
$ | 1,597,357 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $1,597,385 (b) | 1,597,357 | ||||||||||||
1,597,357 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $1,597,397 (c) | 1,597,357 | |||||||||||||
119,802 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $119,804 (d) | 119,802 | |||||||||||||
399,339 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $399,366 (e) | 399,339 | |||||||||||||
798,679 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $798,733 (f) | 798,679 | |||||||||||||
2,795,375 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $2,795,440 (g) | 2,795,375 | |||||||||||||
2,396,036 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $2,396,076 (h) | 2,396,036 | |||||||||||||
2,278,045 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $2,278,092 (i) | 2,278,045 | |||||||||||||
Total Repurchase Agreements (Cost $11,981,990) | 11,981,990 | ||||||||||||||
Total Investments (Cost $30,661,979) — 140.2% | 28,002,090 | ||||||||||||||
Liabilities in excess of other assets — (-40.2%) | (8,024,760 | ) | |||||||||||||
Net Assets — 100.0% | $ | 19,977,330 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $1,629,305. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $1,629,305. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $122,203. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $407,327. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $814,653. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date
See accompanying notes to the financial statements.
93
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell1000 Growth (continued)
of this schedule as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $2,851,285. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $2,443,958. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $2,323,611. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2008, 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 | $ | 48,528 | |||||
Aggregate gross unrealized depreciation | (7,682,936 | ) | |||||
Net unrealized depreciation | $ | (7,634,408 | ) | ||||
Federal income tax cost of investments | $ | 35,636,498 |
Swap Agreements
Ultra Russell1000 Growth had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Russell 1000® Growth Index | 12/08/08 | $ | 14,032,128 | $ | (672,630 | ) | |||||||||
Equity Index Swap Agreement based on the Russell 1000® Growth Index | 12/08/08 | 9,366,397 | (7,633,603 | ) | |||||||||||
$ | 23,398,525 | $ | (8,306,233 | ) |
Ultra Russell1000 Growth invested, as a percentage of net assets, in the following industries, as of November 30, 2008:
Consumer Discretionary | 7.3 | % | |||||
Consumer Staples | 11.8 | % | |||||
Energy | 7.6 | % | |||||
Financials | 3.1 | % | |||||
Health Care | 12.0 | % | |||||
Industrials | 10.7 | % | |||||
Information Technology | 22.5 | % | |||||
Materials | 2.9 | % | |||||
Telecommunication Services | 0.6 | % | |||||
Utilities | 1.7 | % | |||||
Other1 | 19.8 | % | |||||
100.0 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
94
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell MidCap Value
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 78.7% | |||||||||||||||
1,145 | Ameren Corp. (Utilities) | 0.5 | % | $ | 40,739 | ||||||||||
2,197 | American Electric Power Co., Inc. (Utilities) | 0.9 | % | 68,744 | |||||||||||
2,941 | Annaly Capital Management, Inc. (REIT) (Financials) | 0.5 | % | 42,262 | |||||||||||
1,519 | AON Corp. (Financials) | 0.9 | % | 68,811 | |||||||||||
423 | AvalonBay Communities, Inc. (REIT) (Financials) | 0.3 | % | 25,663 | |||||||||||
415 | Barr Pharmaceuticals, Inc.* (Health Care) | 0.3 | % | 27,137 | |||||||||||
655 | Boston Properties, Inc. (REIT) (Financials) | 0.4 | % | 34,977 | |||||||||||
667 | Bunge Ltd. (Consumer Staples) | 0.4 | % | 28,321 | |||||||||||
521 | Clorox Co. (Consumer Staples) | 0.4 | % | 30,822 | |||||||||||
2,478 | ConAgra Foods, Inc. (Consumer Staples) | 0.5 | % | 36,551 | |||||||||||
1,492 | Consolidated Edison, Inc. (Utilities) | 0.8 | % | 60,262 | |||||||||||
2,624 | Discover Financial Services (Financials) | 0.3 | % | 26,844 | |||||||||||
893 | DTE Energy Co. (Utilities) | 0.4 | % | 33,211 | |||||||||||
1,784 | Edison International (Utilities) | 0.8 | % | 59,586 | |||||||||||
1,481 | Equity Residential (REIT) (Financials) | 0.6 | % | 45,067 | |||||||||||
337 | Everest Re Group Ltd. (Financials) | 0.3 | % | 26,441 | |||||||||||
2,749 | Fifth Third Bancorp (Financials) | 0.3 | % | 26,280 | |||||||||||
11,862 | Ford Motor Co.* (Consumer Discretionary) | 0.4 | % | 31,909 | |||||||||||
1,522 | Forest Laboratories, Inc.* (Health Care) | 0.5 | % | 36,802 | |||||||||||
841 | Fortune Brands, Inc. (Consumer Discretionary) | 0.4 | % | 31,790 | |||||||||||
896 | Genuine Parts Co. (Consumer Discretionary) | 0.4 | % | 35,078 | |||||||||||
767 | HJ Heinz Co. (Consumer Staples) | 0.4 | % | 29,790 | |||||||||||
1,854 | Hudson City Bancorp, Inc. (Financials) | 0.4 | % | 30,980 | |||||||||||
2,339 | International Paper Co. (Materials) | 0.4 | % | 29,121 | |||||||||||
454 | Lorillard, Inc. (Consumer Staples) | 0.3 | % | 27,435 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
2,799 | Marsh & McLennan Cos., Inc. (Financials) | 0.9 | % | $ | 71,374 | ||||||||||
1,980 | Mattel, Inc. (Consumer Discretionary) | 0.3 | % | 27,067 | |||||||||||
631 | Molson Coors Brewing Co., Class B (Consumer Staples) | 0.4 | % | 28,061 | |||||||||||
883 | Noble Energy, Inc. (Energy) | 0.6 | % | 46,163 | |||||||||||
1,894 | People's United Financial, Inc. (Financials) | 0.5 | % | 36,119 | |||||||||||
1,955 | PG&E Corp. (Utilities) | 0.9 | % | 74,368 | |||||||||||
798 | PPG Industries, Inc. (Materials) | 0.4 | % | 35,048 | |||||||||||
1,431 | Progress Energy, Inc. (Utilities) | 0.7 | % | 56,796 | |||||||||||
3,708 | Progressive Corp. (The) (Financials) | 0.7 | % | 55,694 | |||||||||||
694 | Public Storage (REIT) (Financials) | 0.6 | % | 48,504 | |||||||||||
3,802 | Regions Financial Corp. (Financials) | 0.5 | % | 38,742 | |||||||||||
2,396 | Safeway, Inc. (Consumer Staples) | 0.7 | % | 52,233 | |||||||||||
3,863 | Sara Lee Corp. (Consumer Staples) | 0.4 | % | 35,462 | |||||||||||
1,368 | Sempra Energy (Utilities) | 0.8 | % | 63,845 | |||||||||||
4,005 | Southwest Airlines Co. (Industrials) | 0.4 | % | 34,643 | |||||||||||
3,464 | Spectra Energy Corp. (Energy) | 0.7 | % | 56,325 | |||||||||||
1,896 | Unum Group (Financials) | 0.4 | % | 28,250 | |||||||||||
809 | UST, Inc. (Consumer Staples) | 0.7 | % | 55,619 | |||||||||||
743 | Vornado Realty Trust (REIT) (Financials) | 0.5 | % | 39,713 | |||||||||||
599 | Vulcan Materials Co. (Materials) | 0.5 | % | 35,928 | |||||||||||
1,157 | Weyerhaeuser Co. (Materials) | 0.6 | % | 43,526 | |||||||||||
641 | Wisconsin Energy Corp. (Utilities) | 0.4 | % | 27,858 | |||||||||||
2,358 | Xcel Energy, Inc. (Utilities) | 0.6 | % | 44,354 | |||||||||||
4,919 | Xerox Corp. (Information Technology) | 0.4 | % | 34,384 | |||||||||||
314,635 | Other Common Stocks | 53.3 | % | 4,218,478 | |||||||||||
Total Common Stock (Cost $7,126,880) | 6,223,177 |
See accompanying notes to the financial statements.
95
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell MidCap Value (continued)
Principal Amount | Value | ||||||||||||||
Repurchase Agreements — 30.4% | |||||||||||||||
$ | 320,536 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $320,542 (b) | $ | 320,536 | |||||||||||
320,536 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $320,544 (c) | 320,536 | |||||||||||||
24,040 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $24,040 (d) | 24,040 | |||||||||||||
80,134 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $80,139 (e) | 80,134 | |||||||||||||
160,268 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $160,279 (f) | 160,268 | |||||||||||||
560,937 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $560,950 (g) | 560,937 | |||||||||||||
480,804 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $480,812 (h) | 480,804 | |||||||||||||
457,127 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $457,137 (i) | 457,127 | |||||||||||||
Total Repurchase Agreements (Cost $2,404,382) | 2,404,382 | ||||||||||||||
Total Investments (Cost $9,531,262) — 109.1% | 8,627,559 | ||||||||||||||
Liabilities in excess of other assets — (-9.1%) | (717,046 | ) | |||||||||||||
Net Assets — 100.0% | $ | 7,910,513 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $326,947. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $326,947. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $24,522. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $81,737. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $163,473. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $572,157. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%,
See accompanying notes to the financial statements.
96
due 5/31/10 to 2/15/15, which had a total value of $490,420. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $466,270. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2008, 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 | $ | — | |||||
Aggregate gross unrealized depreciation | (2,493,546 | ) | |||||
Net unrealized depreciation | $ | (2,493,546 | ) | ||||
Federal income tax cost of investments | $ | 11,121,105 |
Swap Agreements
Ultra Russell MidCap Value had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Russell Midcap® Value Index | 12/08/08 | $ | 2,349,729 | $ | (149,036 | ) | |||||||||
Equity Index Swap Agreement based on the Russell Midcap® Value Index | 12/08/08 | 7,213,652 | (569,775 | ) | |||||||||||
$ | 9,563,381 | $ | (718,811 | ) |
Ultra Russell MidCap Value invested, as a percentage of net assets, in the following industries, as of November 30, 2008:
Consumer Discretionary | 9.8 | % | |||||
Consumer Staples | 7.0 | % | |||||
Energy | 4.3 | % | |||||
Financials | 24.5 | % | |||||
Health Care | 3.9 | % | |||||
Industrials | 5.6 | % | |||||
Information Technology | 4.5 | % | |||||
Materials | 5.2 | % | |||||
Telecommunication Services | 1.3 | % | |||||
Utilities | 12.6 | % | |||||
Other1 | 21.3 | % | |||||
100.0 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
97
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell MidCap Growth
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 78.4% | |||||||||||||||
4,839 | Activision Blizzard, Inc.* (Information Technology) | 0.5 | % | $ | 56,616 | ||||||||||
2,976 | Agilent Technologies, Inc.* (Information Technology) | 0.5 | % | 56,038 | |||||||||||
1,370 | Allegheny Energy, Inc. (Utilities) | 0.4 | % | 48,293 | |||||||||||
2,487 | Allergan, Inc. (Health Care) | 0.8 | % | 93,710 | |||||||||||
3,234 | American Tower Corp., Class A* (Telecommunication Services) | 0.7 | % | 88,094 | |||||||||||
1,039 | Apollo Group, Inc., Class A* (Consumer Discretionary) | 0.7 | % | 79,837 | |||||||||||
3,480 | Avon Products, Inc. (Consumer Staples) | 0.6 | % | 73,428 | |||||||||||
4,192 | Broadcom Corp., Class A* (Information Technology) | 0.5 | % | 64,180 | |||||||||||
1,391 | CH Robinson Worldwide, Inc. (Industrials) | 0.6 | % | 71,052 | |||||||||||
2,783 | Coach, Inc.* (Consumer Discretionary) | 0.4 | % | 49,816 | |||||||||||
2,355 | Cognizant Technology Solutions Corp., Class A* (Information Technology) | 0.4 | % | 45,216 | |||||||||||
809 | CR Bard, Inc. (Health Care) | 0.5 | % | 66,362 | |||||||||||
1,423 | Ecolab, Inc. (Materials) | 0.5 | % | 54,629 | |||||||||||
2,596 | Electronic Arts, Inc.* (Information Technology) | 0.4 | % | 49,480 | |||||||||||
1,739 | Expeditors International of Washington, Inc. (Industrials) | 0.5 | % | 58,135 | |||||||||||
1,716 | Express Scripts, Inc.* (Health Care) | 0.8 | % | 98,687 | |||||||||||
1,337 | Fiserv, Inc.* (Information Technology) | 0.4 | % | 45,645 | |||||||||||
1,447 | Fluor Corp. (Industrials) | 0.6 | % | 65,896 | |||||||||||
2,653 | H&R Block, Inc. (Consumer Discretionary) | 0.4 | % | 50,752 | |||||||||||
1,426 | HJ Heinz Co. (Consumer Staples) | 0.5 | % | 55,386 | |||||||||||
2,617 | Intuit, Inc.* (Information Technology) | 0.5 | % | 57,993 | |||||||||||
1,123 | ITT Corp. (Industrials) | 0.4 | % | 47,009 | |||||||||||
993 | Jacobs Engineering Group, Inc.* (Industrials) | 0.4 | % | 44,457 | |||||||||||
4,280 | Juniper Networks, Inc.* (Information Technology) | 0.6 | % | 74,386 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
1,919 | Kohl's Corp.* (Consumer Discretionary) | 0.5 | % | $ | 62,675 | ||||||||||
775 | L-3 Communications Holdings, Inc. (Industrials) | 0.4 | % | 52,057 | |||||||||||
908 | Laboratory Corp. of America Holdings* (Health Care) | 0.5 | % | 57,531 | |||||||||||
4,213 | Liberty Media Corp. - Entertainment, Class A* (Consumer Discretionary) | 0.4 | % | 50,008 | |||||||||||
743 | Lorillard, Inc. (Consumer Staples) | 0.4 | % | 44,900 | |||||||||||
1,549 | Murphy Oil Corp. (Energy) | 0.6 | % | 68,233 | |||||||||||
2,191 | Noble Corp. (Energy) | 0.5 | % | 58,697 | |||||||||||
1,621 | Northern Trust Corp. (Financials) | 0.6 | % | 74,388 | |||||||||||
1,368 | Parker Hannifin Corp. (Industrials) | 0.5 | % | 56,197 | |||||||||||
2,639 | Paychex, Inc. (Information Technology) | 0.6 | % | 74,578 | |||||||||||
3,042 | PPL Corp. (Utilities) | 0.9 | % | 103,093 | |||||||||||
1,136 | Precision Castparts Corp. (Industrials) | 0.6 | % | 71,227 | |||||||||||
1,059 | Quest Diagnostics, Inc. (Health Care) | 0.4 | % | 49,318 | |||||||||||
1,258 | Range Resources Corp. (Energy) | 0.4 | % | 52,169 | |||||||||||
1,311 | Rockwell Collins, Inc. (Industrials) | 0.4 | % | 44,679 | |||||||||||
913 | Rohm & Haas Co. (Materials) | 0.5 | % | 62,458 | |||||||||||
821 | Sherwin-Williams Co. (The) (Consumer Discretionary) | 0.4 | % | 48,382 | |||||||||||
1,759 | Smith International, Inc. (Energy) | 0.4 | % | 51,433 | |||||||||||
2,788 | Southwestern Energy Co.* (Energy) | 0.8 | % | 95,824 | |||||||||||
2,769 | St. Jude Medical, Inc.* (Health Care) | 0.7 | % | 77,615 | |||||||||||
5,936 | Starbucks Corp.* (Consumer Discretionary) | 0.4 | % | 53,008 | |||||||||||
2,118 | T. Rowe Price Group, Inc. (Financials) | 0.6 | % | 72,457 | |||||||||||
3,463 | TJX Cos., Inc. (Consumer Discretionary) | 0.7 | % | 79,026 | |||||||||||
624 | WW Grainger, Inc. (Industrials) | 0.4 | % | 44,036 | |||||||||||
3,863 | Yum! Brands, Inc. (Consumer Discretionary) | 0.9 | % | 104,069 | |||||||||||
370,649 | Other Common Stocks | 52.3 | % | 6,218,884 | |||||||||||
Total Common Stock (Cost $10,537,282) | 9,322,039 |
See accompanying notes to the financial statements.
98
Principal Amount | Value | ||||||||||
Repurchase Agreements — 29.0% | |||||||||||
$ | 460,175 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $460,183 (b) | $ | 460,175 | |||||||
460,175 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $460,187 (c) | 460,175 | |||||||||
34,513 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $34,514 (d) | 34,513 | |||||||||
115,044 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $115,052 (e) | 115,044 | |||||||||
230,087 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $230,103 (f) | 230,087 | |||||||||
805,305 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $805,324 (g) | 805,305 | |||||||||
690,262 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $690,274 (h) | 690,262 | |||||||||
656,270 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $656,284 (i) | 656,270 | |||||||||
Total Repurchase Agreements (Cost $3,451,831) | 3,451,831 | ||||||||||
Total Investments (Cost $13,989,113) — 107.4% | 12,773,870 | ||||||||||
Liabilities in excess of other assets — (-7.4%) | (884,252 | ) | |||||||||
Net Assets — 100.0% | $ | 11,889,618 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan
Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $469,379. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $469,379. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $35,205. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $117,345. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $234,689. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $821,412. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage
See accompanying notes to the financial statements.
99
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell MidCap Growth (continued)
Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $704,068. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $669,397. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2008, 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 | $ | — | |||||
Aggregate gross unrealized depreciation | (4,019,175 | ) | |||||
Net unrealized depreciation | $ | (4,019,175 | ) | ||||
Federal income tax cost of investments | $ | 16,793,045 |
Swap Agreements
Ultra Russell MidCap Growth had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Russell Midcap® Growth Index | 12/08/08 | $ | 3,250,446 | $ | (190,952 | ) | |||||||||
Equity Index Swap Agreement based on the Russell Midcap® Growth Index | 12/08/08 | 11,117,808 | (721,044 | ) | |||||||||||
$ | 14,368,254 | $ | (911,996 | ) |
Ultra Russell MidCap Growth invested, as a percentage of net assets, in the following industries, as of November 30, 2008:
Consumer Discretionary | 13.7 | % | |||||
Consumer Staples | 3.7 | % | |||||
Energy | 7.5 | % | |||||
Financials | 4.5 | % | |||||
Health Care | 10.5 | % | |||||
Industrials | 14.4 | % | |||||
Information Technology | 15.3 | % | |||||
Materials | 3.6 | % | |||||
Telecommunication Services | 2.1 | % | |||||
Utilities | 3.1 | % | |||||
Other1 | 21.6 | % | |||||
100.0 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
100
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell2000 Value
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 90.9% | |||||||||||||||
1,534 | Aaron Rents, Inc. (Consumer Discretionary) | 0.3 | % | $ | 40,544 | ||||||||||
1,810 | AMERIGROUP Corp.* (Health Care) | 0.3 | % | 44,454 | |||||||||||
4,799 | Apollo Investment Corp. (Financials) | 0.3 | % | 40,744 | |||||||||||
2,885 | Aspen Insurance Holdings Ltd. (Financials) | 0.4 | % | 53,171 | |||||||||||
1,711 | Casey's General Stores, Inc. (Consumer Staples) | 0.4 | % | 50,731 | |||||||||||
2,033 | Cleco Corp. (Utilities) | 0.3 | % | 47,918 | |||||||||||
1,414 | Corporate Office Properties Trust SBI MD (REIT) (Financials) | 0.3 | % | 42,010 | |||||||||||
3,999 | First Niagara Financial Group, Inc. (Financials) | 0.4 | % | 62,024 | |||||||||||
2,729 | FirstMerit Corp. (Financials) | 0.4 | % | 60,038 | |||||||||||
3,555 | Foundry Networks, Inc.* (Information Technology) | 0.4 | % | 55,067 | |||||||||||
1,120 | Granite Construction, Inc. (Industrials) | 0.3 | % | 48,037 | |||||||||||
1,985 | Healthcare Realty Trust, Inc. (REIT) (Financials) | 0.3 | % | 38,072 | |||||||||||
2,031 | Highwoods Properties, Inc. (REIT) (Financials) | 0.3 | % | 48,500 | |||||||||||
1,524 | Idacorp, Inc. (Utilities) | 0.3 | % | 46,330 | |||||||||||
1,725 | International Bancshares Corp. (Financials) | 0.3 | % | 40,538 | |||||||||||
1,688 | IPC Holdings Ltd. (Financials) | 0.3 | % | 47,264 | |||||||||||
2,782 | Knight Capital Group, Inc., Class A* (Financials) | 0.3 | % | 46,042 | |||||||||||
738 | Laclede Group, Inc. (The) (Utilities) | 0.3 | % | 38,878 | |||||||||||
1,369 | Magellan Health Services, Inc.* (Health Care) | 0.3 | % | 44,972 | |||||||||||
6,674 | MFA Mortgage Investments, Inc. (REIT) (Financials) | 0.3 | % | 41,312 | |||||||||||
3,149 | Montpelier Re Holdings Ltd. (Financials) | 0.3 | % | 43,362 | |||||||||||
1,291 | Moog, Inc., Class A* (Industrials) | 0.3 | % | 41,544 | |||||||||||
2,680 | National Penn Bancshares, Inc. (Financials) | 0.3 | % | 41,218 | |||||||||||
1,413 | New Jersey Resources Corp. (Utilities) | 0.4 | % | 56,746 | |||||||||||
3,665 | NewAlliance Bancshares, Inc. (Financials) | 0.3 | % | 50,504 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
1,522 | Nicor, Inc. (Utilities) | 0.5 | % | $ | 62,067 | ||||||||||
889 | Northwest Natural Gas Co. (Utilities) | 0.3 | % | 44,406 | |||||||||||
2,234 | Old National Bancorp/IN (Financials) | 0.3 | % | 38,380 | |||||||||||
2,525 | Olin Corp. (Materials) | 0.3 | % | 41,359 | |||||||||||
2,478 | Piedmont Natural Gas Co. (Utilities) | 0.6 | % | 83,261 | |||||||||||
1,652 | Platinum Underwriters Holdings Ltd. (Financials) | 0.3 | % | 50,766 | |||||||||||
2,113 | Portland General Electric Co. (Utilities) | 0.3 | % | 38,689 | |||||||||||
1,080 | ProAssurance Corp.* (Financials) | 0.4 | % | 58,957 | |||||||||||
1,323 | Prosperity Bancshares, Inc. (Financials) | 0.3 | % | 43,672 | |||||||||||
1,703 | Ralcorp Holdings, Inc.* (Consumer Staples) | 0.8 | % | 106,540 | |||||||||||
3,418 | Realty Income Corp. (REIT) (Financials) | 0.5 | % | 69,009 | |||||||||||
988 | Royal Gold, Inc. (Materials) | 0.3 | % | 39,520 | |||||||||||
1,797 | Selective Insurance Group (Financials) | 0.3 | % | 41,259 | |||||||||||
3,863 | Senior Housing Properties Trust (REIT) (Financials) | 0.4 | % | 53,812 | |||||||||||
1,623 | Sensient Technologies Corp. (Materials) | 0.3 | % | 39,017 | |||||||||||
1,001 | South Jersey Industries, Inc. (Utilities) | 0.3 | % | 39,039 | |||||||||||
1,461 | Southwest Gas Corp. (Utilities) | 0.3 | % | 37,840 | |||||||||||
2,900 | Susquehanna Bancshares, Inc. (Financials) | 0.3 | % | 44,312 | |||||||||||
1,048 | UMB Financial Corp. (Financials) | 0.3 | % | 50,105 | |||||||||||
1,275 | United Bankshares, Inc. (Financials) | 0.3 | % | 42,394 | |||||||||||
2,175 | Validus Holdings Ltd. (Financials) | 0.4 | % | 50,547 | |||||||||||
3,536 | Westar Energy, Inc. (Utilities) | 0.5 | % | 71,533 | |||||||||||
1,672 | WGL Holdings, Inc. (Utilities) | 0.4 | % | 60,359 | |||||||||||
1,258 | Zenith National Insurance Corp. (Financials) | 0.3 | % | 41,501 | |||||||||||
1,206,660 | Other Common Stocks | 73.5 | % | 10,199,194 | |||||||||||
Total Common Stock (Cost $14,039,164) | 12,617,558 |
See accompanying notes to the financial statements.
101
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell2000 Value (continued)
Principal Amount | Value | ||||||||||
Repurchase Agreements — 30.3% | |||||||||||
$ | 560,540 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $560,550 (b) | $ | 560,540 | |||||||
560,540 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $560,554 (c) | 560,540 | |||||||||
42,040 | Credit Suisse (USA) LLC 0.20%, dated 11/28/08, due 12/01/08, total to be received $42,041 (d) | 42,040 | |||||||||
140,135 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $140,145 (e) | 140,135 | |||||||||
280,270 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $280,289 (f) | 280,270 | |||||||||
980,944 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $980,967 (g) | 980,944 | |||||||||
840,809 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $840,823 (h) | 840,809 | |||||||||
799,405 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $799,422 (i) | 799,405 | |||||||||
Total Repurchase Agreements (Cost $4,204,683) | 4,204,683 | ||||||||||
Total Investments (Cost $18,243,847) — 121.2% | 16,822,241 | ||||||||||
Liabilities in excess of other assets — (-21.2%) | (2,944,936 | ) | |||||||||
Net Assets — 100.0% | $ | 13,877,305 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $571,751. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $571,751. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $42,883. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $142,938. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $285,875. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $1,000,564. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $857,626. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
102
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $815,395. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2008, 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 | $ | — | |||||
Aggregate gross unrealized depreciation | (4,329,873 | ) | |||||
Net unrealized depreciation | $ | (4,329,873 | ) | ||||
Federal income tax cost of investments | $ | 21,152,114 |
Swap Agreements
Ultra Russell2000 Value had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Russell 2000® Value Index | 12/08/08 | $ | 7,119,584 | $ | (423,738 | ) | |||||||||
Equity Index Swap Agreement based on the Russell 2000® Value Index | 12/08/08 | 7,746,800 | (772,087 | ) | |||||||||||
$ | 14,866,384 | $ | (1,195,825 | ) |
Ultra Russell2000 Value invested, as a percentage of net assets, in the following industries, as of November 30, 2008:
Consumer Discretionary | 8.5 | % | |||||
Consumer Staples | 4.4 | % | |||||
Energy | 2.8 | % | |||||
Financials | 35.0 | % | |||||
Health Care | 4.7 | % | |||||
Industrials | 12.8 | % | |||||
Information Technology | 10.4 | % | |||||
Materials | 4.1 | % | |||||
Telecommunication Services | 0.8 | % | |||||
Utilities | 7.4 | % | |||||
Other1 | 9.1 | % | |||||
100.0 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
103
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell2000 Growth
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 77.7% | |||||||||||||||
2,146 | Alexion Pharmaceuticals, Inc.* (Health Care) | 0.6 | % | $ | 72,234 | ||||||||||
528 | Bio-Rad Laboratories, Inc., Class A* (Health Care) | 0.3 | % | 39,156 | |||||||||||
451 | Chattem, Inc.* (Consumer Staples) | 0.3 | % | 32,729 | |||||||||||
552 | Clean Harbors, Inc.* (Industrials) | 0.3 | % | 34,848 | |||||||||||
1,272 | Comstock Resources, Inc.* (Energy) | 0.4 | % | 53,335 | |||||||||||
676 | Comtech Telecommunications Corp.* (Information Technology) | 0.2 | % | 32,063 | |||||||||||
1,545 | Concho Resources, Inc.* (Energy) | 0.3 | % | 36,447 | |||||||||||
1,205 | Concur Technologies, Inc.* (Information Technology) | 0.3 | % | 33,077 | |||||||||||
2,380 | Corinthian Colleges, Inc.* (Consumer Discretionary) | 0.3 | % | 38,270 | |||||||||||
1,576 | Cubist Pharmaceuticals, Inc.* (Health Care) | 0.3 | % | 38,707 | |||||||||||
1,060 | Curtiss-Wright Corp. (Industrials) | 0.3 | % | 35,404 | |||||||||||
1,259 | Energy Conversion Devices, Inc.* (Industrials) | 0.3 | % | 35,227 | |||||||||||
1,303 | Flowers Foods, Inc. (Consumer Staples) | 0.3 | % | 34,894 | |||||||||||
485 | Greenhill & Co., Inc. (Financials) | 0.3 | % | 33,028 | |||||||||||
718 | Haemonetics Corp.* (Health Care) | 0.3 | % | 41,062 | |||||||||||
1,956 | Immucor, Inc.* (Health Care) | 0.4 | % | 47,472 | |||||||||||
2,472 | Informatica Corp.* (Information Technology) | 0.3 | % | 34,311 | |||||||||||
1,268 | InterDigital, Inc.* (Information Technology) | 0.3 | % | 33,627 | |||||||||||
1,380 | ITC Holdings Corp. (Utilities) | 0.5 | % | 57,960 | |||||||||||
1,932 | Jack Henry & Associates, Inc. (Information Technology) | 0.3 | % | 35,568 | |||||||||||
1,368 | Marvel Entertainment, Inc.* (Consumer Discretionary) | 0.3 | % | 40,288 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
1,288 | Masimo Corp.* (Health Care) | 0.3 | % | $ | 35,150 | ||||||||||
824 | Matthews International Corp., Class A (Consumer Discretionary) | 0.3 | % | 33,644 | |||||||||||
2,276 | Micros Systems, Inc.* (Information Technology) | 0.3 | % | 37,895 | |||||||||||
2,195 | Microsemi Corp.* (Information Technology) | 0.3 | % | 42,781 | |||||||||||
1,245 | Myriad Genetics, Inc.* (Health Care) | 0.6 | % | 73,804 | |||||||||||
994 | NuVasive, Inc.* (Health Care) | 0.3 | % | 34,243 | |||||||||||
1,553 | Onyx Pharmaceuticals, Inc.* (Health Care) | 0.4 | % | 43,639 | |||||||||||
1,596 | OSI Pharmaceuticals, Inc.* (Health Care) | 0.5 | % | 59,371 | |||||||||||
1,044 | Owens & Minor, Inc. (Health Care) | 0.3 | % | 43,357 | |||||||||||
3,052 | Parametric Technology Corp.* (Information Technology) | 0.3 | % | 35,281 | |||||||||||
3,331 | PDL BioPharma, Inc. (Health Care) | 0.2 | % | 31,911 | |||||||||||
1,162 | Penn Virginia Corp. (Energy) | 0.3 | % | 34,895 | |||||||||||
2,269 | Polycom, Inc.* (Information Technology) | 0.3 | % | 42,725 | |||||||||||
1,548 | Psychiatric Solutions, Inc.* (Health Care) | 0.3 | % | 39,164 | |||||||||||
1,636 | STERIS Corp. (Health Care) | 0.4 | % | 45,235 | |||||||||||
1,863 | Sybase, Inc.* (Information Technology) | 0.4 | % | 45,904 | |||||||||||
880 | Tanger Factory Outlet Centers (REIT) (Financials) | 0.3 | % | 32,243 | |||||||||||
989 | Teledyne Technologies, Inc.* (Industrials) | 0.3 | % | 40,173 | |||||||||||
1,643 | Tetra Tech, Inc.* (Industrials) | 0.3 | % | 32,926 | |||||||||||
1,521 | Thoratec Corp.* (Health Care) | 0.3 | % | 38,071 | |||||||||||
928 | TransDigm Group, Inc.* (Industrials) | 0.3 | % | 32,944 |
See accompanying notes to the financial statements.
104
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
1,731 | Tupperware Brands Corp. (Consumer Discretionary) | 0.3 | % | $ | 34,049 | ||||||||||
628 | United Therapeutics Corp.* (Health Care) | 0.3 | % | 34,433 | |||||||||||
1,175 | Wabtec Corp. (Industrials) | 0.4 | % | 45,343 | |||||||||||
2,226 | Waste Connections, Inc.* (Industrials) | 0.5 | % | 62,840 | |||||||||||
793 | Watson Wyatt Worldwide, Inc., Class A (Industrials) | 0.3 | % | 31,974 | |||||||||||
9,557 | Wendy's/Arby's Group, Inc., Class A (Consumer Discretionary) | 0.3 | % | 38,419 | |||||||||||
903 | West Pharmaceutical Services, Inc. (Health Care) | 0.2 | % | 32,057 | |||||||||||
825,399 | Other Common Stocks | 61.4 | % | 7,432,505 | |||||||||||
Total Common Stock (Cost $11,152,065) | 9,406,683 | ||||||||||||||
Principal Amount | |||||||||||||||
Repurchase Agreements — 59.7% | |||||||||||||||
$ | 963,372 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $963,389 (b) | 963,372 | ||||||||||||
963,372 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $963,396 (c) | 963,372 | |||||||||||||
72,253 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $72,254 (d) | 72,253 | |||||||||||||
240,843 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $240,859 (e) | 240,843 | |||||||||||||
481,686 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $481,719 (f) | 481,686 |
Principal Amount | Value | ||||||||||||||
Repurchase Agreements (continued) | |||||||||||||||
$ | 1,685,900 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $1,685,939 (g) | $ | 1,685,900 | |||||||||||
1,445,056 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $1,445,080 (h) | 1,445,056 | |||||||||||||
1,373,897 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $1,373,926 (i) | 1,373,897 | |||||||||||||
Total Repurchase Agreements (Cost $7,226,379) | 7,226,379 | ||||||||||||||
No. of Warrants | Percentage of Net Assets | ||||||||||||||
Warrants — 0.0% | |||||||||||||||
19 | GreenHunter Energy, Inc., expiring 8/27/11 at $27.50* | — | % | — | |||||||||||
Total Warrant (Cost $–) | — | ||||||||||||||
Total Investments (Cost $18,378,444) — 137.4% | 16,633,062 | ||||||||||||||
Liabilities in excess of other assets — (-37.4%) | (4,530,001 | ) | |||||||||||||
Net Assets — 100.0% | $ | 12,103,061 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $982,640. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank,
See accompanying notes to the financial statements.
105
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell2000 Growth (continued)
5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $982,640. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $73,701. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $245,661. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $491,320. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $1,719,620. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $1,473,959. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $1,401,378. The investment in the repurchase agreement was through participation in a pooled account.
REIT Real Estate Investment Trust
As of November 30, 2008, 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 | $ | 212,748 | |||||
Aggregate gross unrealized depreciation | (4,116,888 | ) | |||||
Net unrealized depreciation | $ | (3,904,140 | ) | ||||
Federal income tax cost of investments | $ | 20,537,202 |
Swap Agreements
Ultra Russell2000 Growth had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on Russell 2000 Growth® Index | 12/08/08 | $ | 4,206,308 | $ | (3,793,692 | ) | |||||||||
Equity Index Swap Agreement based on Russell 2000 Growth® Index | 12/08/08 | 10,091,174 | (800,180 | ) | |||||||||||
$ | 14,297,482 | $ | (4,593,872 | ) |
See accompanying notes to the financial statements.
106
Ultra Russell2000 Growth invested, as a percentage of net assets, in the following industries, as of November 30, 2008:
Consumer Discretionary | 9.5 | % | |||||
Consumer Staples | 2.4 | % | |||||
Energy | 5.6 | % | |||||
Financials | 4.3 | % | |||||
Health Care | 20.0 | % | |||||
Industrials | 14.7 | % | |||||
Information Technology | 17.2 | % | |||||
Materials | 2.2 | % | |||||
Telecommunication Services | 1.1 | % | |||||
Utilities | 0.7 | % | |||||
Other1 | 22.3 | % | |||||
100.0 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
107
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Basic Materials
Shares | Value | ||||||||||
Common Stocks (a) — 83.1% | |||||||||||
Chemicals — 48.8% | |||||||||||
206,849 | Air Products & Chemicals, Inc. | $ | 9,879,108 | ||||||||
75,032 | Airgas, Inc. | 2,682,394 | |||||||||
95,686 | Albemarle Corp. | 1,945,296 | |||||||||
69,454 | Ashland, Inc. | 663,287 | |||||||||
52,017 | Cabot Corp. | 1,076,232 | |||||||||
158,176 | Celanese Corp., Class A | 1,826,933 | |||||||||
59,151 | CF Industries Holdings, Inc. | 3,113,117 | |||||||||
251,784 | Chemtura Corp. | 420,479 | |||||||||
49,577 | Cytec Industries, Inc. | 1,092,181 | |||||||||
974,183 | Dow Chemical Co. (The) | 18,071,095 | |||||||||
75,263 | Eastman Chemical Co. | 2,476,153 | |||||||||
184,292 | Ecolab, Inc. | 7,074,970 | |||||||||
940,995 | EI Du Pont de Nemours & Co. | 23,581,335 | |||||||||
46,066 | Ferro Corp. | 296,204 | |||||||||
78,412 | FMC Corp. | 3,426,604 | |||||||||
50,712 | HB Fuller Co. | 899,631 | |||||||||
100,248 | Huntsman Corp. | 716,773 | |||||||||
82,382 | International Flavors & Fragrances, Inc. | 2,515,946 | |||||||||
32,889 | Intrepid Potash, Inc.* | 631,469 | |||||||||
72,058 | Lubrizol Corp. | 2,530,677 | |||||||||
20,140 | Minerals Technologies, Inc. | 945,573 | |||||||||
153,484 | Mosaic Co. (The) | 4,658,239 | |||||||||
70,878 | Olin Corp. | 1,160,982 | |||||||||
31,865 | OM Group, Inc.* | 628,697 | |||||||||
172,911 | PPG Industries, Inc. | 7,594,251 | |||||||||
330,617 | Praxair, Inc. | 19,522,934 | |||||||||
47,681 | Rockwood Holdings, Inc.* | 426,268 | |||||||||
128,942 | Rohm & Haas Co. | 8,820,922 | |||||||||
136,289 | RPM International, Inc. | 1,634,105 | |||||||||
24,734 | Schulman A., Inc. | 335,640 | |||||||||
49,517 | Sensient Technologies Corp. | 1,190,389 | |||||||||
113,002 | Sigma-Aldrich Corp. | 4,871,516 | |||||||||
95,670 | Terra Industries, Inc. | 1,407,306 | |||||||||
97,245 | Valspar Corp. | 1,907,947 | |||||||||
63,346 | WR Grace & Co.* | 324,965 | |||||||||
21,801 | Zep, Inc. | 394,816 | |||||||||
140,744,434 | |||||||||||
Commercial Services & Supplies — 1.1% | |||||||||||
98,601 | Avery Dennison Corp. | 3,066,491 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Industrial Conglomerates — 0.1% | |||||||||||
25,852 | Tredegar Corp. | $ | 406,393 | ||||||||
Metals & Mining — 23.9% | |||||||||||
116,989 | AK Steel Holding Corp. | 921,873 | |||||||||
852,451 | Alcoa, Inc. | 9,172,373 | |||||||||
99,749 | Allegheny Technologies, Inc. | 2,289,239 | |||||||||
50,296 | Carpenter Technology Corp. | 837,931 | |||||||||
36,499 | Century Aluminum Co.* | 297,467 | |||||||||
111,673 | Cliffs Natural Resources, Inc. | 2,652,234 | |||||||||
578,688 | Coeur d'Alene Mines Corp.* | 393,508 | |||||||||
119,234 | Commercial Metals Co. | 1,428,423 | |||||||||
33,706 | Compass Minerals International, Inc. | 1,887,199 | |||||||||
398,843 | Freeport-McMoRan Copper & Gold, Inc. | 9,568,244 | |||||||||
166,242 | Hecla Mining Co.* | 385,681 | |||||||||
16,228 | Kaiser Aluminum Corp. | 342,573 | |||||||||
453,438 | Newmont Mining Corp. | 15,258,189 | |||||||||
298,412 | Nucor Corp. | 10,647,340 | |||||||||
66,916 | Reliance Steel & Aluminum Co. | 1,379,808 | |||||||||
24,303 | RTI International Metals, Inc.* | 292,122 | |||||||||
22,864 | Schnitzer Steel Industries, Inc., Class A | 617,328 | |||||||||
230,486 | Southern Copper Corp. | 3,171,487 | |||||||||
209,996 | Steel Dynamics, Inc. | 1,734,567 | |||||||||
47,476 | Stillwater Mining Co.* | 148,600 | |||||||||
103,002 | Titanium Metals Corp. | 870,367 | |||||||||
124,254 | United States Steel Corp. | 3,777,322 | |||||||||
67,092 | Worthington Industries, Inc. | 890,982 | |||||||||
68,964,857 | |||||||||||
Oil, Gas & Consumable Fuels — 6.8% | |||||||||||
73,725 | Alpha Natural Resources, Inc.* | 1,635,958 | |||||||||
149,657 | Arch Coal, Inc. | 2,301,725 | |||||||||
192,395 | CONSOL Energy, Inc. | 5,573,683 | |||||||||
47,632 | Foundation Coal Holdings, Inc. | 679,709 | |||||||||
111,819 | International Coal Group, Inc.* | 317,566 | |||||||||
88,488 | Massey Energy Co. | 1,382,182 | |||||||||
55,410 | Patriot Coal Corp.* | 469,323 | |||||||||
283,875 | Peabody Energy Corp. | 6,651,191 | |||||||||
115,740 | USEC, Inc.* | 445,599 | |||||||||
19,456,936 |
See accompanying notes to the financial statements.
108
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Paper & Forest Products — 2.4% | |||||||||||
55,425 | AbitibiBowater, Inc.* | $ | 38,243 | ||||||||
514,140 | Domtar Corp.* | 719,796 | |||||||||
449,612 | International Paper Co. | 5,597,669 | |||||||||
15,525 | Neenah Paper, Inc. | 126,995 | |||||||||
51,809 | Wausau Paper Corp. | 533,115 | |||||||||
7,015,818 | |||||||||||
Total Common Stock (Cost $250,784,054) | 239,654,929 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 37.5% | |||||||||||
$ | 14,426,090 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $14,426,342 (b) | 14,426,090 | ||||||||
14,426,090 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $14,426,451 (c) | 14,426,090 | |||||||||
1,081,957 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $1,081,975 (d) | 1,081,957 | |||||||||
3,606,523 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $3,606,768 (e) | 3,606,523 | |||||||||
7,213,045 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $7,213,536 (f) | 7,213,045 | |||||||||
25,245,658 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $25,246,247 (g) | 25,245,658 | |||||||||
21,639,135 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $21,639,496 (h) | 21,639,135 |
Principal Amount | Value | ||||||||||
Repurchase Agreements (continued) | |||||||||||
$ | 20,573,535 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $20,573,964 (i) | $ | 20,573,535 | |||||||
Total Repurchase Agreements (Cost $108,212,033) | 108,212,033 | ||||||||||
Total Investments (Cost $358,996,087) — 120.6% | 347,866,962 | ||||||||||
Liabilities in excess of other assets — (20.6%) | (59,343,269 | ) | |||||||||
Net Assets — 100.0% | $ | 288,523,693 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $14,714,616. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $14,714,616. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $1,103,640. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
109
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Basic Materials (continued)
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $3,678,667. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $7,357,306. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $25,750,597. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $22,071,927. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $20,985,048. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2008, 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 | $ | 6,149,113 | |||||
Aggregate gross unrealized depreciation | (28,147,585 | ) | |||||
Net unrealized depreciation | $ | (21,998,472 | ) | ||||
Federal income tax cost of investments | $ | 369,865,434 |
Swap Agreements
Ultra Basic Materials had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Basic MaterialsSM Index | 12/08/08 | $ | 7,144,542 | $ | (8,855,458 | ) | |||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Basic MaterialsSM Index | 12/08/08 | 144,923,700 | (12,333,959 | ) | |||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Basic MaterialsSM Index | 12/08/08 | 181,498,473 | (16,286,950 | ) | |||||||||||
$ | 333,566,715 | $ | (37,476,367 | ) |
See accompanying notes to the financial statements.
110
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Consumer Goods
Shares | Value | ||||||||||
Common Stocks (a) — 85.4% | |||||||||||
Auto Components — 1.6% | |||||||||||
538 | American Axle & Manufacturing Holdings, Inc. | $ | 1,356 | ||||||||
858 | ArvinMeritor, Inc. | 3,389 | |||||||||
1,372 | BorgWarner, Inc. | 32,462 | |||||||||
691 | Cooper Tire & Rubber Co. | 3,310 | |||||||||
1,692 | Gentex Corp. | 14,839 | |||||||||
2,819 | Goodyear Tire & Rubber Co. (The)* | 18,126 | |||||||||
6,940 | Johnson Controls, Inc. | 122,560 | |||||||||
752 | Lear Corp.* | 1,782 | |||||||||
376 | Modine Manufacturing Co. | 1,809 | |||||||||
260 | Superior Industries International, Inc. | 3,180 | |||||||||
637 | TRW Automotive Holdings Corp.* | 2,268 | |||||||||
1,538 | Visteon Corp.* | 1,153 | |||||||||
835 | WABCO Holdings, Inc. | 12,408 | |||||||||
218,642 | |||||||||||
Automobiles — 1.1% | |||||||||||
23,935 | Ford Motor Co.* | 64,385 | |||||||||
5,782 | General Motors Corp. | 30,298 | |||||||||
2,809 | Harley-Davidson, Inc. | 47,781 | |||||||||
436 | Thor Industries, Inc. | 6,819 | |||||||||
330 | Winnebago Industries | 1,940 | |||||||||
151,223 | |||||||||||
Beverages — 18.5% | |||||||||||
171 | Brown-Forman Corp., Class A | 7,584 | |||||||||
846 | Brown-Forman Corp., Class B | 37,131 | |||||||||
437 | Central European Distribution Corp.* | 10,331 | |||||||||
25,100 | Coca-Cola Co. (The) | 1,176,437 | |||||||||
3,757 | Coca-Cola Enterprises, Inc. | 34,489 | |||||||||
2,282 | Constellation Brands, Inc., Class A* | 29,118 | |||||||||
2,976 | Dr Pepper Snapple Group, Inc.* | 48,033 | |||||||||
856 | Hansen Natural Corp.* | 25,466 | |||||||||
1,851 | Molson Coors Brewing Co., Class B | 82,314 | |||||||||
1,549 | Pepsi Bottling Group, Inc. | 28,021 | |||||||||
747 | PepsiAmericas, Inc. | 12,520 | |||||||||
18,443 | PepsiCo, Inc. | 1,045,718 | |||||||||
2,537,162 | |||||||||||
Biotechnology — 0.1% | |||||||||||
379 | Martek Biosciences Corp.* | 10,593 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Chemicals — 3.8% | |||||||||||
6,367 | Monsanto Co. | $ | 504,267 | ||||||||
520 | Scotts Miracle-Gro Co. (The), Class A | 16,827 | |||||||||
521,094 | |||||||||||
Commercial Services & Supplies — 0.2% | |||||||||||
636 | ACCO Brands Corp.* | 585 | |||||||||
646 | Herman Miller, Inc. | 9,503 | |||||||||
410 | HNI Corp. | 5,473 | |||||||||
642 | Interface, Inc., Class A | 3,557 | |||||||||
747 | Steelcase, Inc., Class A | 4,818 | |||||||||
23,936 | |||||||||||
Distributors — 0.7% | |||||||||||
1,907 | Genuine Parts Co. | 74,659 | |||||||||
1,592 | LKQ Corp.* | 16,589 | |||||||||
91,248 | |||||||||||
Diversified Consumer Services — 0.1% | |||||||||||
424 | Weight Watchers International, Inc. | 11,999 | |||||||||
Food Products — 13.4% | |||||||||||
6,931 | Archer-Daniels-Midland Co. | 189,771 | |||||||||
1,426 | Bunge Ltd. | 60,548 | |||||||||
2,708 | Campbell Soup Co. | 86,791 | |||||||||
519 | Chiquita Brands International, Inc.* | 5,787 | |||||||||
5,345 | ConAgra Foods, Inc. | 78,839 | |||||||||
860 | Corn Products International, Inc. | 23,564 | |||||||||
952 | Darling International, Inc.* | 4,760 | |||||||||
1,760 | Dean Foods Co.* | 25,626 | |||||||||
2,340 | Del Monte Foods Co. | 13,853 | |||||||||
1,000 | Flowers Foods, Inc. | 26,780 | |||||||||
535 | Fresh Del Monte Produce, Inc.* | 13,503 | |||||||||
3,751 | General Mills, Inc. | 236,951 | |||||||||
464 | Hain Celestial Group, Inc.* | 7,303 | |||||||||
1,842 | Hershey Co. (The) | 66,312 | |||||||||
3,702 | HJ Heinz Co. | 143,786 | |||||||||
856 | Hormel Foods Corp. | 22,735 | |||||||||
1,405 | JM Smucker Co. (The) | 63,745 | |||||||||
2,808 | Kellogg Co. | 121,951 | |||||||||
15,840 | Kraft Foods, Inc., Class A | 431,006 | |||||||||
255 | Lancaster Colony Corp. | 7,688 |
See accompanying notes to the financial statements.
111
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Consumer Goods (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
1,260 | McCormick & Co., Inc. (Non-Voting) | $ | 37,510 | ||||||||
578 | Pilgrim's Pride Corp. | 665 | |||||||||
677 | Ralcorp Holdings, Inc.* | 42,353 | |||||||||
8,408 | Sara Lee Corp. | 77,185 | |||||||||
1,527 | Smithfield Foods, Inc.* | 10,399 | |||||||||
267 | Tootsie Roll Industries, Inc. | 6,929 | |||||||||
369 | TreeHouse Foods, Inc.* | 8,779 | |||||||||
3,379 | Tyson Foods, Inc., Class A | 22,673 | |||||||||
1,837,792 | |||||||||||
Household Durables — 3.2% | |||||||||||
698 | Black & Decker Corp. | 29,623 | |||||||||
315 | Blyth, Inc. | 2,611 | |||||||||
1,443 | Centex Corp. | 13,218 | |||||||||
908 | Champion Enterprises, Inc.* | 663 | |||||||||
3,226 | DR Horton, Inc. | 22,163 | |||||||||
319 | Ethan Allen Interiors, Inc. | 4,405 | |||||||||
427 | Furniture Brands International, Inc. | 1,392 | |||||||||
1,439 | Garmin Ltd. | 24,578 | |||||||||
687 | Harman International Industries, Inc. | 10,339 | |||||||||
681 | Hovnanian Enterprises, Inc., Class A* | 1,491 | |||||||||
834 | Jarden Corp.* | 10,408 | |||||||||
793 | KB Home | 9,223 | |||||||||
623 | La-Z-Boy, Inc. | 2,050 | |||||||||
1,901 | Leggett & Platt, Inc. | 27,755 | |||||||||
1,528 | Lennar Corp., Class A | 10,864 | |||||||||
424 | MDC Holdings, Inc. | 13,144 | |||||||||
643 | Mohawk Industries, Inc.* | 19,766 | |||||||||
3,287 | Newell Rubbermaid, Inc. | 43,914 | |||||||||
56 | NVR, Inc.* | 24,318 | |||||||||
2,486 | Pulte Homes, Inc. | 26,476 | |||||||||
490 | Ryland Group, Inc. | 8,315 | |||||||||
683 | Snap-On, Inc. | 24,622 | |||||||||
912 | Stanley Works (The) | 28,993 | |||||||||
840 | Tempur-Pedic International, Inc. | 5,872 | |||||||||
1,496 | Toll Brothers, Inc.* | 29,815 | |||||||||
734 | Tupperware Brands Corp. | 14,438 | |||||||||
889 | Whirlpool Corp. | 35,009 | |||||||||
445,465 | |||||||||||
Household Products — 22.6% | |||||||||||
789 | Church & Dwight Co., Inc. | 46,898 | |||||||||
1,636 | Clorox Co. | 96,786 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
5,989 | Colgate-Palmolive Co. | $ | 389,704 | ||||||||
687 | Energizer Holdings, Inc.* | 29,830 | |||||||||
4,884 | Kimberly-Clark Corp. | 282,246 | |||||||||
34,904 | Procter & Gamble Co. | 2,246,072 | |||||||||
171 | WD-40 Co. | 4,891 | |||||||||
3,096,427 | |||||||||||
Internet & Catalog Retail — 0.0% | |||||||||||
329 | NutriSystem, Inc. | 4,609 | |||||||||
Leisure Equipment & Products — 1.2% | |||||||||||
1,020 | Brunswick Corp. | 2,764 | |||||||||
788 | Callaway Golf Co. | 7,935 | |||||||||
3,384 | Eastman Kodak Co. | 25,617 | |||||||||
1,482 | Hasbro, Inc. | 39,718 | |||||||||
321 | Jakks Pacific, Inc.* | 5,746 | |||||||||
4,249 | Mattel, Inc. | 58,084 | |||||||||
377 | Polaris Industries, Inc. | 10,292 | |||||||||
571 | Pool Corp. | 9,838 | |||||||||
159,994 | |||||||||||
Machinery — 0.1% | |||||||||||
582 | Briggs & Stratton Corp. | 8,195 | |||||||||
Media — 0.1% | |||||||||||
623 | Marvel Entertainment, Inc.* | 18,347 | |||||||||
Personal Products — 1.4% | |||||||||||
1,064 | Alberto-Culver Co. | 22,844 | |||||||||
5,031 | Avon Products, Inc. | 106,154 | |||||||||
1,269 | Estee Lauder Cos., Inc. (The), Class A | 35,405 | |||||||||
746 | Herbalife Ltd. | 13,264 | |||||||||
648 | NBTY, Inc.* | 9,442 | |||||||||
595 | Nu Skin Enterprises, Inc., Class A | 6,402 | |||||||||
193,511 | |||||||||||
Software — 1.2% | |||||||||||
6,981 | Activision Blizzard, Inc.* | 81,678 | |||||||||
3,757 | Electronic Arts, Inc.* | 71,608 | |||||||||
888 | Take-Two Interactive Software, Inc.* | 10,789 | |||||||||
792 | THQ, Inc.* | 3,754 | |||||||||
167,829 |
See accompanying notes to the financial statements.
112
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Textiles, Apparel & Luxury Goods — 3.3% | |||||||||||
678 | Carter's, Inc.* | $ | 12,821 | ||||||||
3,972 | Coach, Inc.* | 71,099 | |||||||||
963 | CROCS, Inc.* | 1,223 | |||||||||
156 | Deckers Outdoor Corp.* | 9,304 | |||||||||
576 | Fossil, Inc.* | 8,755 | |||||||||
1,109 | Hanesbrands, Inc.* | 14,328 | |||||||||
995 | Jones Apparel Group, Inc. | 5,104 | |||||||||
1,115 | Liz Claiborne, Inc. | 3,178 | |||||||||
4,292 | Nike, Inc., Class B | 228,549 | |||||||||
594 | Phillips-Van Heusen Corp. | 10,359 | |||||||||
1,488 | Quiksilver, Inc.* | 2,083 | |||||||||
569 | Timberland Co., Class A* | 5,775 | |||||||||
381 | Under Armour, Inc., Class A* | 8,759 | |||||||||
1,017 | VF Corp. | 53,179 | |||||||||
536 | Warnaco Group, Inc. (The)* | 9,595 | |||||||||
580 | Wolverine World Wide, Inc. | 11,177 | |||||||||
455,288 | |||||||||||
Tobacco — 12.8% | |||||||||||
24,268 | Altria Group, Inc. | 390,229 | |||||||||
2,055 | Lorillard, Inc. | 124,184 | |||||||||
24,736 | Philip Morris International, Inc. | 1,042,870 | |||||||||
2,014 | Reynolds American, Inc. | 82,735 | |||||||||
308 | Universal Corp. | 9,847 | |||||||||
1,645 | UST, Inc. | 113,094 | |||||||||
1,762,959 | |||||||||||
Total Common Stock (Cost $13,113,980) | 11,716,313 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 29.6% | |||||||||||
$ | 541,039 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $541,048 (b) | 541,039 | ||||||||
541,039 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $541,053 (c) | 541,039 | |||||||||
40,578 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $40,579 (d) | 40,578 |
Principal Amount | Value | ||||||||||
Repurchase Agreements (continued) | |||||||||||
$ | 135,260 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $135,269 (e) | $ | 135,260 | |||||||
270,519 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $270,537 (f) | 270,519 | |||||||||
946,817 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $946,839 (g) | 946,817 | |||||||||
811,558 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $811,572 (h) | 811,558 | |||||||||
771,593 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $771,609 (i) | 771,593 | |||||||||
Total Repurchase Agreements (Cost $4,058,403) | 4,058,403 | ||||||||||
Total Investments (Cost $17,172,383) — 115.0% | 15,774,716 | ||||||||||
Liabilities in excess of other assets — (15.0%) | (2,058,597 | ) | |||||||||
Net Assets — 100.0% | $ | 13,716,119 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $551,860. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National
See accompanying notes to the financial statements.
113
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Consumer Goods (continued)
Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $551,860. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $41,391. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $137,966. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $275,929. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $965,754. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $827,790. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $787,026. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2008, 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 | $ | 47,124 |
Aggregate gross unrealized depreciation | (2,079,503 | ) | |||||
Net unrealized depreciation | $ | (2,032,379 | ) | ||||
Federal income tax cost of investments | $ | 17,807,095 |
Swap Agreements
Ultra Consumer Goods had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer GoodsSM Index | 12/08/08 | $ | 3,155,426 | $ | (28,142 | ) | |||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer GoodsSM Index | 12/08/08 | 3,218,440 | (1,281,560 | ) | |||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer GoodsSM Index | 12/08/08 | 9,175,839 | (324,746 | ) | |||||||||||
$ | 15,549,705 | $ | (1,634,448 | ) |
See accompanying notes to the financial statements.
114
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Consumer Services
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 85.1% | |||||||||||||||
2,266 | Amazon.com, Inc.* (Internet & Catalog Retail) | 1.1 | % | $ | 96,758 | �� | |||||||||
1,165 | AmerisourceBergen Corp. (Health Care Providers & Services) | 0.4 | % | 36,523 | |||||||||||
952 | Apollo Group, Inc., Class A* (Diversified Consumer Services) | 0.9 | % | 73,152 | |||||||||||
317 | Autozone, Inc.* (Specialty Retail) | 0.4 | % | 34,623 | |||||||||||
1,924 | Bed Bath & Beyond, Inc.* (Specialty Retail) | 0.5 | % | 39,038 | |||||||||||
2,466 | Best Buy Co., Inc. (Specialty Retail) | 0.6 | % | 51,071 | |||||||||||
2,618 | Cardinal Health, Inc. (Health Care Providers & Services) | 1.0 | % | 85,137 | |||||||||||
3,109 | Carnival Corp. (Hotels, Restaurants & Leisure) | 0.8 | % | 65,289 | |||||||||||
4,298 | CBS Corp., Class B (Media) | 0.3 | % | 28,625 | |||||||||||
14,025 | Comcast Corp., Class A (Media) | 2.9 | % | 243,193 | |||||||||||
6,255 | Comcast Corp., Special, Class A (Media) | 1.2 | % | 104,896 | |||||||||||
3,219 | Costco Wholesale Corp. (Food & Staples Retailing) | 1.9 | % | 165,682 | |||||||||||
10,528 | CVS/Caremark Corp. (Food & Staples Retailing) | 3.6 | % | 304,575 | |||||||||||
4,375 | Delta Air Lines, Inc.* (Airlines) | 0.5 | % | 38,544 | |||||||||||
459 | DeVry, Inc. (Diversified Consumer Services) | 0.3 | % | 26,383 | |||||||||||
4,249 | DIRECTV Group, Inc. (The)* (Media) | 1.1 | % | 93,520 | |||||||||||
665 | Dollar Tree, Inc.* (Multiline Retail) | 0.3 | % | 28,169 | |||||||||||
415 | Dun & Bradstreet Corp. (Professional Services) | 0.4 | % | 33,200 | |||||||||||
8,226 | eBay, Inc.* (Internet Software & Services) | 1.3 | % | 108,007 | |||||||||||
971 | Family Dollar Stores, Inc. (Multiline Retail) | 0.3 | % | 26,974 | |||||||||||
3,883 | Gap, Inc. (The) (Specialty Retail) | 0.6 | % | 50,557 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
2,396 | H&R Block, Inc. (Diversified Consumer Services) | 0.5 | % | $ | 45,835 | ||||||||||
12,491 | Home Depot, Inc. (Specialty Retail) | 3.4 | % | 288,667 | |||||||||||
1,433 | JC Penney Co., Inc. (Multiline Retail) | 0.3 | % | 27,213 | |||||||||||
2,138 | Kohl's Corp.* (Multiline Retail) | 0.8 | % | 69,827 | |||||||||||
4,486 | Kroger Co. (The) (Food & Staples Retailing) | 1.5 | % | 124,083 | |||||||||||
3,622 | Liberty Media Corp. - Entertainment, Class A* (Media) | 0.5 | % | 42,993 | |||||||||||
10,761 | Lowe's Cos., Inc. (Specialty Retail) | 2.6 | % | 222,322 | |||||||||||
2,270 | Marriott International, Inc., Class A (Hotels, Restaurants & Leisure) | 0.4 | % | 38,113 | |||||||||||
8,334 | McDonald's Corp. (Hotels, Restaurants & Leisure) | 5.7 | % | 489,622 | |||||||||||
2,363 | McGraw-Hill Cos., Inc. (The) (Media) | 0.7 | % | 59,075 | |||||||||||
2,041 | McKesson Corp. (Health Care Providers & Services) | 0.8 | % | 71,313 | |||||||||||
13,352 | News Corp., Class A (Media) | 1.2 | % | 105,481 | |||||||||||
3,200 | News Corp., Class B (Media) | 0.3 | % | 26,208 | |||||||||||
2,363 | Omnicom Group, Inc. (Media) | 0.8 | % | 66,849 | |||||||||||
3,249 | Safeway, Inc. (Food & Staples Retailing) | 0.8 | % | 70,828 | |||||||||||
5,398 | Southwest Airlines Co. (Airlines) | 0.6 | % | 46,693 | |||||||||||
5,198 | Staples, Inc. (Specialty Retail) | 1.1 | % | 90,237 | |||||||||||
5,375 | Starbucks Corp.* (Hotels, Restaurants & Leisure) | 0.6 | % | 47,999 | |||||||||||
110 | Strayer Education, Inc. (Diversified Consumer Services) | 0.3 | % | 26,357 | |||||||||||
4,421 | SYSCO Corp. (Food & Staples Retailing) | 1.2 | % | 103,672 | |||||||||||
5,187 | Target Corp. (Multiline Retail) | 2.1 | % | 175,113 |
See accompanying notes to the financial statements.
115
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Consumer Services (continued)
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
26,322 | Time Warner, Inc. (Media) | 2.8 | % | $ | 238,214 | ||||||||||
3,082 | TJX Cos., Inc. (Specialty Retail) | 0.8 | % | 70,331 | |||||||||||
4,148 | Viacom, Inc., Class B* (Media) | 0.8 | % | 66,036 | |||||||||||
7,293 | Walgreen Co. (Food & Staples Retailing) | 2.1 | % | 180,429 | |||||||||||
17,944 | Wal-Mart Stores, Inc. (Food & Staples Retailing) | 11.8 | % | 1,002,711 | |||||||||||
12,939 | Walt Disney Co. (The) (Media) | 3.4 | % | 291,386 | |||||||||||
3,453 | Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 1.1 | % | 93,024 | |||||||||||
141,154 | Other Common Stocks | 15.7 | % | 1,336,148 | |||||||||||
Total Common Stock (Cost $7,864,150) | 7,250,695 | ||||||||||||||
Principal Amount | |||||||||||||||
Repurchase Agreements — 26.8% | |||||||||||||||
$ | 304,209 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $304,214 (b) | 304,209 | ||||||||||||
304,209 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $304,217 (c) | 304,209 | |||||||||||||
22,816 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $22,816 (d) | 22,816 | |||||||||||||
76,052 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $76,057 (e) | 76,052 | |||||||||||||
152,104 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $152,114 (f) | 152,104 | |||||||||||||
532,366 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $532,378 (g) | 532,366 |
Principal Amount | Value | ||||||||||||||
Repurchase Agreements (continued) | |||||||||||||||
$ | 456,313 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $456,321 (h) | $ | 456,313 | |||||||||||
433,843 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $433,852 (i) | 433,843 | |||||||||||||
Total Repurchase Agreements (Cost $2,281,912) | 2,281,912 | ||||||||||||||
Total Investments (Cost $10,146,062) — 111.9% | 9,532,607 | ||||||||||||||
Liabilities in excess of other assets — (-11.9%) | (1,013,563 | ) | |||||||||||||
Net Assets — 100.0% | $ | 8,519,044 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $310,293. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $310,293. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $23,273. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
116
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $77,573. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $155,146. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $543,014. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $465,439. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $442,521. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2008, 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 | $ | 692 |
Aggregate gross unrealized depreciation | (1,910,174 | ) | |||||
Net unrealized depreciation | $ | (1,909,482 | ) | ||||
Federal income tax cost of investments | $ | 11,442,089 |
Swap Agreements
Ultra Consumer Services had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap based on the Dow Jones U.S. Consumer ServicesSM Index | 12/08/08 | $ | 3,162,208 | $ | (84,496 | ) | |||||||||
Equity Index Swap based on the Dow Jones U.S. Consumer ServicesSM Index | 12/08/08 | 6,548,396 | (441,533 | ) | |||||||||||
$ | 9,710,604 | $ | (526,029 | ) |
See accompanying notes to the financial statements.
117
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Consumer Services (continued)
Ultra Consumer Services invested, as a percentage of net assets, in the following industries as of November 30, 2008:
Airlines | 1.7 | % | |||||
Commercial Services & Supplies | 0.1 | % | |||||
Computers & Peripherals | 0.0 | % | |||||
Diversified Consumer Services | 3.1 | % | |||||
Electronic Equipment, Instruments & Components | 0.1 | % | |||||
Energy Equipment & Services | 0.1 | % | |||||
Food & Staples Retailing | 23.8 | % | |||||
Health Care Providers & Services | 2.7 | % | |||||
Hotels, Restaurants & Leisure | 11.8 | % | |||||
Household Durables | 0.0 | % | |||||
Internet & Catalog Retail | 1.7 | % | |||||
Internet Software & Services | 1.4 | % | |||||
Media | 19.2 | % | |||||
Multiline Retail | 4.8 | % | |||||
Professional Services | 0.4 | % | |||||
Road & Rail | 0.0 | % | |||||
Software | 0.2 | % | |||||
Specialty Retail | 13.8 | % | |||||
Textiles, Apparel & Luxury Goods | 0.2 | % | |||||
Thrifts & Mortgage Finance | 0.0 | % | |||||
Other1 | 14.9 | % | |||||
100.0 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
118
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Financials
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 89.0% | |||||||||||||||
530,894 | ACE Ltd. (Insurance) | 1.2 | % | $ | 27,739,212 | ||||||||||
755,970 | Aflac, Inc. (Insurance) | 1.5 | % | 35,001,411 | |||||||||||
862,734 | Allstate Corp. (The) (Insurance) | 0.9 | % | 21,947,953 | |||||||||||
1,632,637 | American Express Co. (Consumer Finance) | 1.6 | % | 38,056,768 | |||||||||||
857,220 | Annaly Capital Management, Inc. (Real Estate Investment Trusts) | 0.5 | % | 12,318,251 | |||||||||||
390,468 | AON Corp. (Insurance) | 0.8 | % | 17,688,200 | |||||||||||
7,948,293 | Bank of America Corp. (Diversified Financial Services) | 5.5 | % | 129,159,761 | |||||||||||
1,814,724 | Bank of New York Mellon Corp. (The) (Capital Markets) | 2.3 | % | 54,822,812 | |||||||||||
878,883 | BB&T Corp. (Commercial Banks) | 1.1 | % | 26,340,124 | |||||||||||
189,668 | Boston Properties, Inc. (Real Estate Investment Trusts) | 0.4 | % | 10,128,271 | |||||||||||
594,595 | Capital One Financial Corp. (Consumer Finance) | 0.9 | % | 20,460,014 | |||||||||||
1,500,872 | Charles Schwab Corp. (The) (Capital Markets) | 1.2 | % | 27,510,984 | |||||||||||
573,972 | Chubb Corp. (Insurance) | 1.3 | % | 29,479,202 | |||||||||||
8,676,607 | Citigroup, Inc. (Diversified Financial Services) | 3.1 | % | 71,929,072 | |||||||||||
121,458 | CME Group, Inc. (Diversified Financial Services) | 1.1 | % | 25,743,023 | |||||||||||
432,098 | Equity Residential (Real Estate Investment Trusts) | 0.6 | % | 13,148,742 | |||||||||||
842,474 | Fifth Third Bancorp (Commercial Banks) | 0.3 | % | 8,054,051 | |||||||||||
252,917 | Franklin Resources, Inc. (Capital Markets) | 0.7 | % | 15,364,708 | |||||||||||
635,970 | Goldman Sachs Group, Inc. (The) (Capital Markets) | 2.1 | % | 50,235,270 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
397,601 | HCP, Inc. (Real Estate Investment Trusts) | 0.4 | % | $ | 8,218,413 | ||||||||||
767,997 | Hudson City Bancorp, Inc. (Thrifts & Mortgage Finance) | 0.5 | % | 12,833,230 | |||||||||||
111,652 | IntercontinentalExchange, Inc.* (Diversified Financial Services) | 0.4 | % | 8,217,587 | |||||||||||
5,502,637 | JPMorgan Chase & Co. (Diversified Financial Services) | 7.4 | % | 174,213,487 | |||||||||||
564,501 | Loews Corp. (Insurance) | 0.7 | % | 15,461,682 | |||||||||||
125,191 | M&T Bank Corp. (Commercial Banks) | 0.3 | % | 8,043,522 | |||||||||||
814,237 | Marsh & McLennan Cos., Inc. (Insurance) | 0.9 | % | 20,763,044 | |||||||||||
128,572 | Mastercard, Inc., Class A (IT Services) | 0.8 | % | 18,681,512 | |||||||||||
2,042,430 | Merrill Lynch & Co., Inc. (Capital Markets) | 1.2 | % | 27,000,925 | |||||||||||
772,020 | MetLife, Inc. (Insurance) | 0.9 | % | 22,203,295 | |||||||||||
1,605,559 | Morgan Stanley (Capital Markets) | 1.0 | % | 23,681,995 | |||||||||||
350,890 | Northern Trust Corp. (Capital Markets) | 0.7 | % | 16,102,342 | |||||||||||
357,905 | NYSE Euronext (Diversified Financial Services) | 0.4 | % | 8,521,718 | |||||||||||
274,477 | Plum Creek Timber Co., Inc. (Real Estate Investment Trusts) | 0.4 | % | 9,768,636 | |||||||||||
551,251 | PNC Financial Services Group, Inc. (Commercial Banks) | 1.2 | % | 29,089,515 | |||||||||||
1,009,903 | Progressive Corp. (The) (Insurance) | 0.6 | % | 15,168,743 | |||||||||||
677,494 | Prudential Financial, Inc. (Insurance) | 0.6 | % | 14,701,620 | |||||||||||
204,533 | Public Storage (Real Estate Investment Trusts) | 0.6 | % | 14,294,811 | |||||||||||
1,108,198 | Regions Financial Corp. (Commercial Banks) | 0.5 | % | 11,292,538 |
See accompanying notes to the financial statements.
119
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Financials (continued)
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
355,623 | Simon Property Group, Inc. (Real Estate Investment Trusts) | 0.7 | % | $ | 16,892,093 | ||||||||||
688,264 | State Street Corp. (Capital Markets) | 1.2 | % | 28,982,797 | |||||||||||
563,617 | SunTrust Banks, Inc. (Commercial Banks) | 0.8 | % | 17,883,567 | |||||||||||
413,037 | T. Rowe Price Group, Inc. (Capital Markets) | 0.6 | % | 14,129,996 | |||||||||||
941,088 | Travelers Cos., Inc. (The) (Insurance) | 1.8 | % | 41,078,491 | |||||||||||
2,751,347 | U.S. Bancorp (Commercial Banks) | 3.2 | % | 74,231,342 | |||||||||||
551,919 | Unum Group (Insurance) | 0.4 | % | 8,223,593 | |||||||||||
711,671 | Visa, Inc., Class A (IT Services) | 1.6 | % | 37,405,428 | |||||||||||
229,618 | Vornado Realty Trust (Real Estate Investment Trusts) | 0.5 | % | 12,273,082 | |||||||||||
3,442,485 | Wachovia Corp. (Commercial Banks) | 0.8 | % | 19,346,766 | |||||||||||
5,575,643 | Wells Fargo & Co. (Commercial Banks) | 6.9 | % | 161,080,326 | |||||||||||
41,622,874 | Other Common Stocks | 23.9 | % | 561,432,675 | |||||||||||
Total Common Stock (Cost $2,148,511,512) | 2,086,346,600 | ||||||||||||||
Principal Amount | |||||||||||||||
Repurchase Agreements — 19.9% | |||||||||||||||
$ | 62,129,256 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $62,130,343 (b) | 62,129,256 | ||||||||||||
62,129,256 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $62,130,809 (c) | 62,129,256 | |||||||||||||
4,659,694 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $4,659,772 (d) | 4,659,694 | |||||||||||||
15,532,314 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $15,533,371 (e) | 15,532,314 |
Principal Amount | Value | ||||||||||||||
Repurchase Agreements (continued) | |||||||||||||||
$ | 31,064,628 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $31,066,742 (f) | $ | 31,064,628 | |||||||||||
108,726,199 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $108,728,736 (g) | 108,726,199 | |||||||||||||
93,193,884 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $93,195,437 (h) | 93,193,884 | |||||||||||||
88,604,632 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $88,606,478 (i) | 88,604,632 | |||||||||||||
Total Repurchase Agreements (Cost $466,039,863) | 466,039,863 | ||||||||||||||
Total Investments (Cost $2,614,551,375) — 108.9% | 2,552,386,463 | ||||||||||||||
Liabilities in excess of other assets — (-8.9%) | (207,858,510 | ) | |||||||||||||
Net Assets — 100.0% | $ | 2,344,527,953 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $63,371,861. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total
See accompanying notes to the financial statements.
120
value of $63,371,861. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $4,753,078. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $15,843,018. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $31,685,921. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $110,900,835. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $95,057,802. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $90,376,906. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2008, 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 | $ | — | |||||
Aggregate gross unrealized depreciation | (735,914,911 | ) | |||||
Net unrealized depreciation | $ | (735,914,911 | ) | ||||
Federal income tax cost of investments | $ | 3,288,301,374 |
Swap Agreements
Ultra Financials had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement Based on the Dow Jones U.S. FinancialsSM Index | 12/08/08 | $ | 668,314,058 | $ | — | ||||||||||
Equity Index Swap Agreement Based on the Dow Jones U.S. FinancialsSM Index | 12/08/08 | 730,530 | (59,596 | ) | |||||||||||
Equity Index Swap Agreement Based on the Dow Jones U.S. FinancialsSM Index | 12/08/08 | 313,548,483 | — | ||||||||||||
Equity Index Swap Agreement Based on the Dow Jones U.S. FinancialsSM Index | 12/08/08 | 1,599,372,132 | — | ||||||||||||
$ | 2,581,965,203 | $ | (59,596 | ) |
See accompanying notes to the financial statements.
121
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Financials (continued)
Ultra Financials invested, as a percentage of net assets, in the following industries as of November 30, 2008:
Capital Markets | 13.6 | % | |||||
Commercial Banks | 20.4 | % | |||||
Consumer Finance | 3.2 | % | |||||
Diversified Financial Services | 18.5 | % | |||||
Insurance | 19.0 | % | |||||
IT Services | 2.4 | % | |||||
Professional Services | 0.2 | % | |||||
Real Estate Investment Trusts | 9.5 | % | |||||
Real Estate Management & Development | 0.4 | % | |||||
Thrifts & Mortgage Finance | 1.8 | % | |||||
Other1 | 11.0 | % | |||||
100.0 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
122
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Health Care
Shares | Value | ||||||||||
Common Stocks (a) — 85.4% | |||||||||||
Biotechnology — 15.4% | |||||||||||
180 | Abraxis Bioscience, Inc.* | $ | 10,496 | ||||||||
2,384 | Alexion Pharmaceuticals, Inc.* | 80,245 | |||||||||
2,898 | Alkermes, Inc.* | 21,387 | |||||||||
32,422 | Amgen, Inc.* | 1,800,718 | |||||||||
4,200 | Amylin Pharmaceuticals, Inc.* | 31,122 | |||||||||
8,989 | Biogen Idec, Inc.* | 380,325 | |||||||||
3,051 | BioMarin Pharmaceutical, Inc.* | 51,958 | |||||||||
2,428 | Celera Corp.* | 23,649 | |||||||||
13,938 | Celgene Corp.* | 726,170 | |||||||||
2,073 | Cephalon, Inc.* | 152,324 | |||||||||
1,734 | Cepheid, Inc.* | 23,548 | |||||||||
1,724 | Cubist Pharmaceuticals, Inc.* | 42,341 | |||||||||
1,740 | CV Therapeutics, Inc.* | 15,764 | |||||||||
1,191 | Enzon Pharmaceuticals, Inc.* | 5,848 | |||||||||
14,208 | Genentech, Inc.* | 1,088,333 | |||||||||
8,179 | Genzyme Corp.* | 523,620 | |||||||||
28,201 | Gilead Sciences, Inc.* | 1,263,123 | |||||||||
4,112 | Human Genome Sciences, Inc.* | 7,114 | |||||||||
2,915 | Incyte Corp.* | 9,736 | |||||||||
951 | InterMune, Inc.* | 10,946 | |||||||||
2,766 | Isis Pharmaceuticals, Inc.* | 31,726 | |||||||||
3,907 | Medarex, Inc.* | 19,730 | |||||||||
1,367 | Myriad Genetics, Inc.* | 81,036 | |||||||||
1,703 | Onyx Pharmaceuticals, Inc.* | 47,854 | |||||||||
1,753 | OSI Pharmaceuticals, Inc.* | 65,212 | |||||||||
3,656 | PDL BioPharma, Inc. | 35,024 | |||||||||
1,898 | Regeneron Pharmaceuticals, Inc.* | 29,343 | |||||||||
1,660 | Savient Pharmaceuticals, Inc.* | 6,142 | |||||||||
1,578 | Theravance, Inc.* | 10,541 | |||||||||
700 | United Therapeutics Corp.* | 38,381 | |||||||||
4,301 | Vertex Pharmaceuticals, Inc.* | 105,762 | |||||||||
6,739,518 | |||||||||||
Health Care Equipment & Supplies — 14.4% | |||||||||||
1,863 | Advanced Medical Optics, Inc.* | 10,824 | |||||||||
2,338 | Alcon, Inc. | 186,549 | |||||||||
2,208 | American Medical Systems Holdings, Inc.* | 19,430 | |||||||||
816 | Arthrocare Corp.* | 10,673 | |||||||||
19,430 | Baxter International, Inc. | 1,027,847 | |||||||||
1,920 | Beckman Coulter, Inc. | 83,674 | |||||||||
7,050 | Becton Dickinson & Co. | 447,887 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
45,420 | Boston Scientific Corp.* | $ | 280,241 | ||||||||
1,389 | Cooper Cos., Inc. (The) | 18,613 | |||||||||
15,148 | Covidien Ltd. | 558,204 | |||||||||
3,042 | CR Bard, Inc. | 249,535 | |||||||||
402 | Datascope Corp. | 20,988 | |||||||||
4,270 | Dentsply International, Inc. | 111,362 | |||||||||
1,691 | Edwards Lifesciences Corp.* | 84,161 | |||||||||
1,650 | Gen-Probe, Inc.* | 60,802 | |||||||||
778 | Haemonetics Corp.* | 44,494 | |||||||||
1,896 | Hill-Rom Holdings, Inc. | 38,944 | |||||||||
7,823 | Hologic, Inc.* | 109,991 | |||||||||
4,874 | Hospira, Inc.* | 146,366 | |||||||||
1,823 | Idexx Laboratories, Inc.* | 56,349 | |||||||||
2,143 | Immucor, Inc.* | 52,011 | |||||||||
1,184 | Intuitive Surgical, Inc.* | 156,916 | |||||||||
946 | Invacare Corp. | 13,982 | |||||||||
2,361 | Inverness Medical Innovations, Inc.* | 41,483 | |||||||||
1,640 | Kinetic Concepts, Inc.* | 35,490 | |||||||||
1,438 | Masimo Corp.* | 39,243 | |||||||||
34,412 | Medtronic, Inc. | 1,050,254 | |||||||||
1,035 | Mentor Corp. | 16,715 | |||||||||
1,088 | NuVasive, Inc.* | 37,482 | |||||||||
2,369 | Resmed, Inc.* | 86,089 | |||||||||
10,438 | St. Jude Medical, Inc.* | 292,577 | |||||||||
1,811 | STERIS Corp. | 50,074 | |||||||||
9,611 | Stryker Corp. | 374,060 | |||||||||
3,862 | Varian Medical Systems, Inc.* | 155,870 | |||||||||
991 | West Pharmaceutical Services, Inc. | 35,180 | |||||||||
6,902 | Zimmer Holdings, Inc.* | 257,583 | |||||||||
6,261,943 | |||||||||||
Health Care Providers & Services — 10.0% | |||||||||||
14,452 | Aetna, Inc. | 315,343 | |||||||||
822 | Amedisys, Inc.* | 31,968 | |||||||||
1,640 | AMERIGROUP Corp.* | 40,278 | |||||||||
1,262 | Brookdale Senior Living, Inc. | 5,136 | |||||||||
1,333 | Centene Corp.* | 24,660 | |||||||||
8,422 | Cigna Corp. | 101,990 | |||||||||
2,935 | Community Health Systems, Inc.* | 38,331 | |||||||||
4,538 | Coventry Health Care, Inc.* | 56,589 | |||||||||
3,200 | DaVita, Inc.* | 160,800 | |||||||||
6,390 | Express Scripts, Inc.* | 367,489 |
See accompanying notes to the financial statements.
123
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Health Care (continued)
Principal Amount | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
7,487 | Health Management Associates, Inc., Class A* | $ | 10,931 | ||||||||
3,287 | Health Net, Inc.* | 29,616 | |||||||||
2,682 | HealthSouth Corp.* | 26,391 | |||||||||
1,030 | Healthways, Inc.* | 8,333 | |||||||||
2,761 | Henry Schein, Inc.* | 98,651 | |||||||||
5,214 | Humana, Inc.* | 157,619 | |||||||||
3,387 | Laboratory Corp. of America Holdings* | 214,600 | |||||||||
1,663 | LifePoint Hospitals, Inc.* | 33,360 | |||||||||
2,243 | Lincare Holdings, Inc.* | 53,675 | |||||||||
1,176 | Magellan Health Services, Inc.* | 38,632 | |||||||||
15,525 | Medco Health Solutions, Inc.* | 652,050 | |||||||||
1,006 | Odyssey HealthCare, Inc.* | 8,219 | |||||||||
1,254 | Owens & Minor, Inc. | 52,079 | |||||||||
3,466 | Patterson Cos., Inc.* | 65,230 | |||||||||
1,444 | Pediatrix Medical Group, Inc.* | 44,937 | |||||||||
860 | PharMerica Corp.* | 14,293 | |||||||||
1,897 | PSS World Medical, Inc.* | 32,989 | |||||||||
1,602 | Psychiatric Solutions, Inc.* | 40,531 | |||||||||
4,609 | Quest Diagnostics, Inc. | 214,641 | |||||||||
1,359 | Sunrise Senior Living, Inc.* | 1,033 | |||||||||
14,495 | Tenet Healthcare Corp.* | 17,539 | |||||||||
37,651 | UnitedHealth Group, Inc. | 791,047 | |||||||||
1,446 | Universal Health Services, Inc., Class B | 53,719 | |||||||||
1,278 | WellCare Health Plans, Inc.* | 11,451 | |||||||||
15,669 | WellPoint, Inc.* | 557,816 | |||||||||
4,371,966 | |||||||||||
Life Sciences Tools & Services — 2.9% | |||||||||||
2,128 | Affymetrix, Inc.* | 5,831 | |||||||||
568 | Bio-Rad Laboratories, Inc., Class A* | 42,123 | |||||||||
2,081 | Charles River Laboratories International, Inc.* | 47,447 | |||||||||
1,954 | Covance, Inc.* | 76,362 | |||||||||
1,140 | Enzo Biochem, Inc.* | 5,803 | |||||||||
3,506 | Illumina, Inc.* | 77,167 | |||||||||
5,284 | Life Technologies Corp.* | 137,912 | |||||||||
1,671 | Millipore Corp.* | 84,653 | |||||||||
2,807 | Nektar Therapeutics* | 13,333 | |||||||||
1,722 | Parexel International Corp.* | 14,327 | |||||||||
3,230 | Pharmaceutical Product Development, Inc. | 85,078 | |||||||||
1,185 | Techne Corp. | 73,482 | |||||||||
12,873 | Thermo Fisher Scientific, Inc.* | 459,309 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
905 | Varian, Inc.* | $ | 33,123 | ||||||||
3,061 | Waters Corp.* | 126,205 | |||||||||
1,282,155 | |||||||||||
Pharmaceuticals — 42.7% | |||||||||||
47,148 | Abbott Laboratories | 2,470,084 | |||||||||
9,424 | Allergan, Inc. | 355,096 | |||||||||
1,279 | Alpharma, Inc., Class A* | 46,172 | |||||||||
1,192 | Auxilium Pharmaceuticals, Inc.* | 25,962 | |||||||||
3,285 | Barr Pharmaceuticals, Inc.* | 214,806 | |||||||||
60,303 | Bristol-Myers Squibb Co. | 1,248,272 | |||||||||
29,630 | Eli Lilly & Co. | 1,011,864 | |||||||||
3,285 | Endo Pharmaceuticals Holdings, Inc.* | 72,237 | |||||||||
9,342 | Forest Laboratories, Inc.* | 225,890 | |||||||||
85,632 | Johnson & Johnson | 5,016,323 | |||||||||
7,541 | King Pharmaceuticals, Inc.* | 72,469 | |||||||||
1,585 | Medicines Co. (The)* | 20,431 | |||||||||
1,727 | Medicis Pharmaceutical Corp., Class A | 21,121 | |||||||||
65,777 | Merck & Co., Inc. | 1,757,561 | |||||||||
9,267 | Mylan, Inc.* | 87,202 | |||||||||
1,058 | Par Pharmaceutical Cos., Inc.* | 12,336 | |||||||||
2,394 | Perrigo Co. | 82,378 | |||||||||
206,566 | Pfizer, Inc. | 3,393,879 | |||||||||
49,634 | Schering-Plough Corp. | 834,348 | |||||||||
3,302 | Sepracor, Inc.* | 38,831 | |||||||||
2,342 | Valeant Pharmaceuticals International* | 45,622 | |||||||||
2,596 | Warner Chilcott Ltd., Class A* | 34,397 | |||||||||
3,201 | Watson Pharmaceuticals, Inc.* | 76,024 | |||||||||
40,885 | Wyeth | 1,472,269 | |||||||||
18,635,574 | |||||||||||
Total Common Stock (Cost $42,769,051) | 37,291,156 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 27.5% | |||||||||||
$ | 1,600,182 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $1,600,210 (b) | 1,600,182 | ||||||||
1,600,182 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $1,600,221 (c) | 1,600,182 |
See accompanying notes to the financial statements.
124
Principal Amount | Value | ||||||||||
Repurchase Agreements (continued) | |||||||||||
$ | 120,014 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $120,016 (d) | $ | 120,014 | |||||||
400,046 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $400,073 (e) | 400,046 | |||||||||
800,091 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $800,145 (f) | 800,091 | |||||||||
2,800,319 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $2,800,383 (g) | 2,800,319 | |||||||||
2,400,273 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $2,400,313 (h) | 2,400,273 | |||||||||
2,282,074 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $2,282,121 (i) | 2,282,074 | |||||||||
Total Repurchase Agreements (Cost $12,003,181) | 12,003,181 | ||||||||||
Total Investments (Cost $54,772,232) — 112.9% | 49,294,337 | ||||||||||
Liabilities in excess of other assets — (12.9%) | (5,630,479 | ) | |||||||||
Net Assets — 100.0% | $ | 43,663,858 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $1,632,186. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $1,632,186. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $122,419. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $408,048. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $816,093. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $2,856,328. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage
See accompanying notes to the financial statements.
125
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Health Care (continued)
Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $2,448,279. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $2,327,720. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2008, 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 | $ | 14,690 | |||||
Aggregate gross unrealized depreciation | (9,897,621 | ) | |||||
Net unrealized depreciation | $ | (9,882,931 | ) | ||||
Federal income tax cost of investments | $ | 59,177,268 |
Swap Agreements
Ultra Health Care had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Health CareSM Index | 12/08/08 | $ | 5,483,863 | $ | (2,516,137 | ) | |||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Health CareSM Index | 12/08/08 | 8,131,008 | (519,562 | ) | |||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Health CareSM Index | 12/08/08 | 35,687,593 | (2,596,998 | ) | |||||||||||
$ | 49,302,464 | $ | (5,632,697 | ) |
See accompanying notes to the financial statements.
126
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Industrials
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) — 82.7% | |||||||||||||||
5,322 | 3M Co. (Industrial Conglomerates) | 3.0 | % | $ | 356,201 | ||||||||||
4,655 | Accenture Ltd., Class A (IT Services) | 1.2 | % | 144,212 | |||||||||||
2,982 | Agilent Technologies, Inc.* (Electronic Equipment, Instruments & Components) | 0.5 | % | 56,151 | |||||||||||
4,304 | Automatic Data Processing, Inc. (IT Services) | 1.5 | % | 176,722 | |||||||||||
5,481 | Boeing Co. (Aerospace & Defense) | 2.0 | % | 233,655 | |||||||||||
2,329 | Burlington Northern Santa Fe Corp. (Road & Rail) | 1.5 | % | 178,425 | |||||||||||
5,051 | Caterpillar, Inc. (Machinery) | 1.8 | % | 207,040 | |||||||||||
1,404 | CH Robinson Worldwide, Inc. (Air Freight & Logistics) | 0.6 | % | 71,716 | |||||||||||
3,344 | CSX Corp. (Road & Rail) | 1.1 | % | 124,531 | |||||||||||
1,520 | Cummins, Inc. (Machinery) | 0.3 | % | 38,882 | |||||||||||
2,044 | Danaher Corp. (Machinery) | 1.0 | % | 113,728 | |||||||||||
3,574 | Deere & Co. (Machinery) | 1.1 | % | 124,411 | |||||||||||
1,573 | Dover Corp. (Machinery) | 0.4 | % | 46,923 | |||||||||||
1,356 | Eaton Corp. (Machinery) | 0.5 | % | 62,837 | |||||||||||
6,481 | Emerson Electric Co. (Electrical Equipment) | 2.0 | % | 232,603 | |||||||||||
1,767 | Expeditors International of Washington, Inc. (Air Freight & Logistics) | 0.5 | % | 59,071 | |||||||||||
1,156 | Fastenal Co. (Trading Companies & Distributors) | 0.4 | % | 44,518 | |||||||||||
2,412 | FedEx Corp. (Air Freight & Logistics) | 1.5 | % | 170,408 | |||||||||||
1,363 | Fiserv, Inc.* (IT Services) | 0.4 | % | 46,533 | |||||||||||
1,485 | Fluor Corp. (Construction & Engineering) | 0.6 | % | 67,627 | |||||||||||
1,246 | Fortune Brands, Inc. (Household Durables) | 0.4 | % | 47,099 | |||||||||||
2,787 | General Dynamics Corp. (Aerospace & Defense) | 1.2 | % | 144,004 | |||||||||||
82,814 | General Electric Co. (Industrial Conglomerates) | 12.2 | % | 1,421,916 | |||||||||||
5,673 | Honeywell International, Inc. (Aerospace & Defense) | 1.4 | % | 158,050 | |||||||||||
3,703 | Illinois Tool Works, Inc. (Machinery) | 1.1 | % | 126,346 | |||||||||||
2,635 | Ingersoll-Rand Co., Ltd., Class A (Machinery) | 0.4 | % | 41,317 |
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
1,500 | ITT Corp. (Machinery) | 0.5 | % | $ | 62,790 | ||||||||||
1,017 | Jacobs Engineering Group, Inc.* (Construction & Engineering) | 0.4 | % | 45,531 | |||||||||||
1,017 | L-3 Communications Holdings, Inc. (Aerospace & Defense) | 0.6 | % | 68,312 | |||||||||||
2,612 | Lockheed Martin Corp. (Aerospace & Defense) | 1.7 | % | 201,411 | |||||||||||
3,118 | Norfolk Southern Corp. (Road & Rail) | 1.3 | % | 154,247 | |||||||||||
2,605 | Northrop Grumman Corp. (Aerospace & Defense) | 0.9 | % | 106,675 | |||||||||||
2,907 | PACCAR, Inc. (Machinery) | 0.7 | % | 81,018 | |||||||||||
1,394 | Parker Hannifin Corp. (Machinery) | 0.5 | % | 57,266 | |||||||||||
2,689 | Paychex, Inc. (IT Services) | 0.6 | % | 75,991 | |||||||||||
1,157 | Precision Castparts Corp. (Aerospace & Defense) | 0.6 | % | 72,544 | |||||||||||
3,464 | Raytheon Co. (Aerospace & Defense) | 1.4 | % | 169,043 | |||||||||||
1,336 | Rockwell Collins, Inc. (Aerospace & Defense) | 0.4 | % | 45,531 | |||||||||||
824 | Sherwin-Williams Co. (The) (Specialty Retail) | 0.4 | % | 48,558 | |||||||||||
710 | Stericycle, Inc.* (Commercial Services & Supplies) | 0.3 | % | 40,683 | |||||||||||
3,912 | Tyco Electronics Ltd. (Electronic Equipment, Instruments & Components) | 0.6 | % | 64,470 | |||||||||||
3,940 | Tyco International Ltd. (Industrial Conglomerates) | 0.7 | % | 82,346 | |||||||||||
4,223 | Union Pacific Corp. (Road & Rail) | 1.8 | % | 211,319 | |||||||||||
5,658 | United Parcel Service, Inc., Class B (Air Freight & Logistics) | 2.8 | % | 325,901 | |||||||||||
7,378 | United Technologies Corp. (Aerospace & Defense) | 3.1 | % | 358,054 | |||||||||||
753 | Vulcan Materials Co. (Construction Materials) | 0.4 | % | 45,165 | |||||||||||
4,114 | Waste Management, Inc. (Commercial Services & Supplies) | 1.0 | % | 120,129 | |||||||||||
6,044 | Western Union Co. (The) (IT Services) | 0.7 | % | 80,204 |
See accompanying notes to the financial statements.
127
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Industrials (continued)
Shares | Percentage of Net Assets | Value | |||||||||||||
Common Stocks (a) (continued) | |||||||||||||||
1,733 | Weyerhaeuser Co. (Paper & Forest Products) | 0.6 | % | $ | 65,195 | ||||||||||
145,476 | Other Common Stocks | 22.1 | % | 2,602,470 | |||||||||||
Total Common Stock (Cost $11,042,598) | 9,679,779 | ||||||||||||||
Principal Amount | |||||||||||||||
Repurchase Agreements — 60.5% | |||||||||||||||
$ | 944,154 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $944,171 (b) | 944,154 | ||||||||||||
944,154 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $944,178 (c) | 944,154 | |||||||||||||
70,812 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $70,813 (d) | 70,812 | |||||||||||||
236,038 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $236,054 (e) | 236,038 | |||||||||||||
472,076 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $472,108 (f) | 472,076 | |||||||||||||
1,652,269 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $1,652,308 (g) | 1,652,269 | |||||||||||||
1,416,230 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $1,416,254 (h) | 1,416,230 | |||||||||||||
1,346,489 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $1,346,517 (i) | 1,346,489 | |||||||||||||
Total Repurchase Agreements (Cost $7,082,222) | 7,082,222 | ||||||||||||||
Total Investments (Cost $18,124,820) — 143.2% | 16,762,001 | ||||||||||||||
Liabilities in excess of other assets — (-43.2%) | (5,060,332 | ) | |||||||||||||
Net Assets — 100.0% | $ | 11,701,669 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $963,037. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $963,037. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $72,231. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $240,760. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $481,519. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the
See accompanying notes to the financial statements.
128
date of this schedule as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $1,685,316. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $1,444,555. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $1,373,422. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2008, 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 | $ | 67,275 | |||||
Aggregate gross unrealized depreciation | (3,158,147 | ) | |||||
Net unrealized depreciation | $ | (3,090,872 | ) | ||||
Federal income tax cost of investments | $ | 19,852,873 |
Swap Agreements
Ultra Industrials had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. IndustrialsSM Index | 12/08/08 | $ | 3,876,851 | $ | (480,051 | ) | |||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. IndustrialsSM Index | 12/08/08 | 4,611,723 | — | ||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. IndustrialsSM Index | 12/08/08 | 4,951,004 | (4,248,996 | ) | |||||||||||
$ | 13,439,578 | $ | (4,729,047 | ) |
Ultra Industrials invested, as a percentage of net assets, in the following industries as of November 30, 2008:
Aerospace & Defense | 14.5 | % | |||||
Air Freight & Logistics | 5.5 | % | |||||
Building Products | 0.6 | % | |||||
Chemicals | 0.1 | % | |||||
Commercial Services & Supplies | 3.5 | % | |||||
Communications Equipment | 0.1 | % | |||||
Construction & Engineering | 2.2 | % | |||||
Construction Materials | 0.8 | % | |||||
Containers & Packaging | 1.8 | % | |||||
Diversified Financial Services | 0.0 | % | |||||
Electrical Equipment | 4.0 | % | |||||
Electronic Equipment & Instruments | 0.1 | % | |||||
Electronic Equipment, Instruments & Components | 3.2 | % |
See accompanying notes to the financial statements.
129
Summary Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Industrials (continued)
Health Care Technology | 0.3 | % | |||||
Household Durables | 0.4 | % | |||||
Industrial Conglomerates | 16.6 | % | |||||
Internet Software & Services | 0.0 | % | |||||
IT Services | 6.3 | % | |||||
Life Sciences Tools & Services | 0.2 | % | |||||
Machinery | 11.6 | % | |||||
Marine | 0.2 | % | |||||
Multi-Utilities | 0.2 | % | |||||
Office Electronics | 0.1 | % | |||||
Oil, Gas & Consumable Fuels | 0.3 | % | |||||
Paper & Forest Products | 0.7 | % | |||||
Professional Services | 1.1 | % | |||||
Road & Rail | 6.7 | % | |||||
Semiconductors & Semiconductor Equipment | 0.0 | % | |||||
Software | 0.1 | % | |||||
Specialty Retail | 0.4 | % | |||||
Trading Companies & Distributors | 1.1 | % | |||||
Other1 | 17.3 | % | |||||
100.0 | % |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
130
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Oil & Gas
Shares | Value | ||||||||||
Common Stocks (a) — 90.2% | |||||||||||
Electrical Equipment — 0.2% | |||||||||||
75,785 | Evergreen Solar, Inc.* | $ | 206,893 | ||||||||
20,033 | SunPower Corp., Class A* | 695,746 | |||||||||
20,490 | SunPower Corp., Class B* | 533,150 | |||||||||
1,435,789 | |||||||||||
Energy Equipment & Services — 15.2% | |||||||||||
27,495 | Atwood Oceanics, Inc.* | 497,659 | |||||||||
154,382 | Baker Hughes, Inc. | 5,377,125 | |||||||||
146,775 | BJ Services Co. | 1,759,832 | |||||||||
13,841 | Bristow Group, Inc.* | 313,222 | |||||||||
109,046 | Cameron International Corp.* | 2,300,871 | |||||||||
24,489 | Complete Production Services, Inc.* | 200,565 | |||||||||
11,484 | Core Laboratories N.V. | 764,949 | |||||||||
32,882 | Diamond Offshore Drilling, Inc. | 2,426,692 | |||||||||
41,958 | Dresser-Rand Group, Inc.* | 701,118 | |||||||||
15,654 | Dril-Quip, Inc.* | 308,071 | |||||||||
72,471 | ENSCO International, Inc. | 2,348,785 | |||||||||
33,072 | Exterran Holdings, Inc.* | 580,414 | |||||||||
64,165 | FMC Technologies, Inc.* | 1,762,613 | |||||||||
43,216 | Global Industries Ltd.* | 127,487 | |||||||||
89,640 | Grey Wolf, Inc.* | 491,227 | |||||||||
441,375 | Halliburton Co. | 7,768,200 | |||||||||
41,867 | Helix Energy Solutions Group, Inc.* | 269,205 | |||||||||
47,921 | Helmerich & Payne, Inc. | 1,215,277 | |||||||||
44,032 | Hercules Offshore, Inc.* | 256,266 | |||||||||
42,118 | ION Geophysical Corp.* | 126,354 | |||||||||
63,098 | Key Energy Services, Inc.* | 299,715 | |||||||||
140,880 | Nabors Industries Ltd.* | 2,042,760 | |||||||||
206,129 | National Oilwell Varco, Inc.* | 5,831,389 | |||||||||
44,780 | Newpark Resources, Inc.* | 205,988 | |||||||||
134,405 | Noble Corp. | 3,600,710 | |||||||||
27,517 | Oceaneering International, Inc.* | 710,489 | |||||||||
24,720 | Oil States International, Inc.* | 529,502 | |||||||||
55,882 | Parker Drilling Co.* | 170,999 | |||||||||
78,497 | Patterson-UTI Energy, Inc. | 980,428 | |||||||||
86,762 | Pride International, Inc.* | 1,406,412 | |||||||||
56,377 | Rowan Cos., Inc. | 978,141 | |||||||||
597,071 | Schlumberger Ltd. | 30,295,383 | |||||||||
10,424 | SEACOR Holdings, Inc.* | 689,339 | |||||||||
108,182 | Smith International, Inc. | 3,163,240 | |||||||||
40,352 | Superior Energy Services, Inc.* | 679,931 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
37,116 | Tetra Technologies, Inc.* | $ | 178,899 | ||||||||
25,918 | Tidewater, Inc. | 1,023,243 | |||||||||
158,156 | Transocean, Inc.* | 10,577,473 | |||||||||
23,620 | Unit Corp.* | 677,422 | |||||||||
340,268 | Weatherford International Ltd.* | 4,345,222 | |||||||||
97,982,617 | |||||||||||
Machinery — 0.0% | |||||||||||
1 | John Bean Technologies Corp. | 9 | |||||||||
Multi-Utilities — 0.2% | |||||||||||
45,816 | OGE Energy Corp. | 1,213,666 | |||||||||
Oil, Gas & Consumable Fuels — 74.6% | |||||||||||
234,431 | Anadarko Petroleum Corp. | 9,623,393 | |||||||||
166,915 | Apache Corp. | 12,902,530 | |||||||||
18,586 | Arena Resources, Inc.* | 491,971 | |||||||||
18,301 | Atlas America, Inc. | 274,332 | |||||||||
19,964 | Berry Petroleum Co., Class A | 233,778 | |||||||||
16,502 | Bill Barrett Corp.* | 369,150 | |||||||||
51,336 | Cabot Oil & Gas Corp. | 1,538,540 | |||||||||
13,740 | Carrizo Oil & Gas, Inc.* | 284,418 | |||||||||
271,359 | Chesapeake Energy Corp. | 4,661,948 | |||||||||
1,029,010 | Chevron Corp. | 81,302,080 | |||||||||
41,384 | Cimarex Energy Co. | 1,174,064 | |||||||||
22,955 | Comstock Resources, Inc.* | 962,503 | |||||||||
31,102 | Concho Resources, Inc.* | 733,696 | |||||||||
704,533 | ConocoPhillips | 37,002,073 | |||||||||
15,614 | Continental Resources, Inc.* | 305,254 | |||||||||
22,923 | Crosstex Energy, Inc. | 95,130 | |||||||||
32,892 | Delta Petroleum Corp.* | 187,813 | |||||||||
122,401 | Denbury Resources, Inc.* | 1,166,482 | |||||||||
209,998 | Devon Energy Corp. | 15,191,255 | |||||||||
353,320 | El Paso Corp. | 2,611,035 | |||||||||
25,163 | Encore Acquisition Co.* | 665,310 | |||||||||
123,803 | EOG Resources, Inc. | 10,525,731 | |||||||||
85,439 | EXCO Resources, Inc.* | 655,317 | |||||||||
2,601,321 | Exxon Mobil Corp. | 208,495,878 | |||||||||
40,651 | Forest Oil Corp.* | 709,360 | |||||||||
51,874 | Frontier Oil Corp. | 619,376 | |||||||||
13,225 | Goodrich Petroleum Corp.* | 477,026 | |||||||||
145,351 | Hess Corp. | 7,854,768 | |||||||||
21,008 | Holly Corp. | 382,136 |
See accompanying notes to the financial statements.
131
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Oil & Gas (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
355,675 | Marathon Oil Corp. | $ | 9,311,571 | ||||||||
40,817 | Mariner Energy, Inc.* | 448,579 | |||||||||
95,003 | Murphy Oil Corp. | 4,184,882 | |||||||||
66,052 | Newfield Exploration Co.* | 1,491,454 | |||||||||
85,423 | Noble Energy, Inc. | 4,465,914 | |||||||||
411,827 | Occidental Petroleum Corp. | 22,296,314 | |||||||||
20,872 | Penn Virginia Corp. | 626,786 | |||||||||
123,834 | PetroHawk Energy Corp.* | 2,163,380 | |||||||||
59,896 | Pioneer Natural Resources Co. | 1,202,712 | |||||||||
53,844 | Plains Exploration & Production Co.* | 1,246,489 | |||||||||
56,128 | Quicksilver Resources, Inc.* | 349,677 | |||||||||
77,251 | Range Resources Corp. | 3,203,599 | |||||||||
46,775 | SandRidge Energy, Inc.* | 414,427 | |||||||||
171,333 | Southwestern Energy Co.* | 5,888,715 | |||||||||
30,722 | St. Mary Land & Exploration Co. | 617,819 | |||||||||
17,036 | Stone Energy Corp.* | 283,138 | |||||||||
58,850 | Sunoco, Inc. | 2,338,699 | |||||||||
15,366 | Swift Energy Co.* | 328,371 | |||||||||
68,530 | Tesoro Corp. | 629,791 | |||||||||
76,142 | Ultra Petroleum Corp.* | 3,093,649 | |||||||||
261,903 | Valero Energy Corp. | 4,805,920 | |||||||||
13,626 | W&T Offshore, Inc. | 190,764 | |||||||||
21,255 | Whiting Petroleum Corp.* | 814,067 | |||||||||
275,204 | XTO Energy, Inc. | 10,523,801 | |||||||||
482,416,865 | |||||||||||
Total Common Stock (Cost $551,363,917) | 583,048,946 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 20.3% | |||||||||||
$ | 17,480,833 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $17,481,139 (b) | 17,480,833 | ||||||||
17,480,833 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $17,481,270 (c) | 17,480,833 | |||||||||
1,311,062 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $1,311,084 (d) | 1,311,062 |
Principal Amount | Value | ||||||||||
Repurchase Agreements (continued) | |||||||||||
$ | 4,370,208 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $4,370,505 (e) | $ | 4,370,208 | |||||||
8,740,416 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $8,741,011 (f) | 8,740,416 | |||||||||
30,591,457 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $30,592,171 (g) | 30,591,457 | |||||||||
26,221,249 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $26,221,686 (h) | 26,221,249 | |||||||||
24,930,006 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $24,930,525 (i) | 24,930,006 | |||||||||
Total Repurchase Agreements (Cost $131,126,064) | 131,126,064 | ||||||||||
Total Investments (Cost $682,489,981) — 110.5% | 714,175,010 | ||||||||||
Liabilities in excess of other assets — (10.5%) | (67,805,398 | ) | |||||||||
Net Assets — 100.0% | $ | 646,369,612 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $17,830,455. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association,
See accompanying notes to the financial statements.
132
5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $17,830,455. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $1,337,337. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $4,457,628. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $8,915,224. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $31,203,318. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $26,745,685. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $25,428,657. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2008, 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 | $ | — | |||||
Aggregate gross unrealized depreciation | (51,235,897 | ) | |||||
Net unrealized depreciation | $ | (51,235,897 | ) | ||||
Federal income tax cost of investments | $ | 765,410,907 |
Swap Agreements
Ultra Oil & Gas had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & GasSM Index | 12/08/08 | $ | 36,574,055 | $ | (19,588,970 | ) | |||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & GasSM Index | 12/08/08 | 86,882,328 | — | ||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & GasSM Index | 12/08/08 | 572,628,880 | (9,218,017 | ) | |||||||||||
$ | 696,085,263 | $ | (28,806,987 | ) |
See accompanying notes to the financial statements.
133
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Real Estate
Shares | Value | ||||||||||
Common Stocks (a) — 89.4% | |||||||||||
Real Estate Investment Trusts — 85.6% | |||||||||||
22,400 | Alexandria Real Estate Equities, Inc. | $ | 991,872 | ||||||||
68,581 | AMB Property Corp. | 1,180,965 | |||||||||
376,369 | Annaly Capital Management, Inc. | 5,408,423 | |||||||||
59,903 | Apartment Investment & Management Co., Class A | 687,087 | |||||||||
53,704 | AvalonBay Communities, Inc. | 3,258,222 | |||||||||
55,242 | BioMed Realty Trust, Inc. | 514,855 | |||||||||
83,214 | Boston Properties, Inc. | 4,443,628 | |||||||||
61,989 | Brandywine Realty Trust | 304,986 | |||||||||
35,775 | BRE Properties, Inc. | 1,050,354 | |||||||||
36,961 | Camden Property Trust | 978,358 | |||||||||
157,122 | CapitalSource, Inc. | 818,606 | |||||||||
46,509 | CBL & Associates Properties, Inc. | 189,292 | |||||||||
29,501 | Colonial Properties Trust | 167,271 | |||||||||
33,223 | Corporate Office Properties Trust SBI MD | 987,055 | |||||||||
28,699 | Cousins Properties, Inc. | 309,375 | |||||||||
120,184 | DCT Industrial Trust, Inc. | 538,424 | |||||||||
83,598 | Developers Diversified Realty Corp. | 401,270 | |||||||||
64,484 | DiamondRock Hospitality Co. | 239,880 | |||||||||
46,538 | Digital Realty Trust, Inc. | 1,273,280 | |||||||||
76,173 | Douglas Emmett, Inc. | 776,965 | |||||||||
101,899 | Duke Realty Corp. | 836,591 | |||||||||
21,645 | Entertainment Properties Trust | 530,952 | |||||||||
15,840 | Equity Lifestyle Properties, Inc. | 548,064 | |||||||||
189,675 | Equity Residential | 5,771,810 | |||||||||
17,874 | Essex Property Trust, Inc. | 1,545,565 | |||||||||
41,153 | Federal Realty Investment Trust | 2,380,289 | |||||||||
44,061 | FelCor Lodging Trust, Inc. | 74,463 | |||||||||
31,117 | First Industrial Realty Trust, Inc. | 269,162 | |||||||||
44,855 | Franklin Street Properties Corp. | 568,761 | |||||||||
174,712 | HCP, Inc. | 3,611,297 | |||||||||
71,150 | Health Care REIT, Inc. | 2,703,700 | |||||||||
40,517 | Healthcare Realty Trust, Inc. | 777,116 | |||||||||
39,837 | Highwoods Properties, Inc. | 951,308 | |||||||||
22,400 | Home Properties, Inc. | 873,600 | |||||||||
65,697 | Hospitality Properties Trust | 752,888 | |||||||||
364,670 | Host Hotels & Resorts, Inc. | 2,742,318 | |||||||||
157,936 | HRPT Properties Trust | 435,903 | |||||||||
93,637 | iStar Financial, Inc. | 126,410 | |||||||||
22,889 | Kilroy Realty Corp. | 697,428 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
153,494 | Kimco Realty Corp. | $ | 2,171,940 | ||||||||
27,910 | LaSalle Hotel Properties | 246,166 | |||||||||
44,894 | Lexington Realty Trust | 217,736 | |||||||||
64,885 | Liberty Property Trust | 1,240,601 | |||||||||
52,368 | Macerich Co. (The) | 704,873 | |||||||||
46,083 | Mack-Cali Realty Corp. | 874,194 | |||||||||
25,829 | Maguire Properties, Inc. | 49,075 | |||||||||
19,176 | Mid-America Apartment Communities, Inc. | 710,087 | |||||||||
51,126 | National Retail Properties, Inc. | 685,600 | |||||||||
67,401 | Nationwide Health Properties, Inc. | 1,525,285 | |||||||||
36,982 | Newcastle Investment Corp. | 66,198 | |||||||||
27,857 | Pennsylvania Real Estate Investment Trust | 125,356 | |||||||||
120,595 | Plum Creek Timber Co., Inc. | 4,291,976 | |||||||||
30,814 | Post Properties, Inc. | 483,164 | |||||||||
27,779 | Potlatch Corp. | 741,144 | |||||||||
183,439 | Prologis | 702,571 | |||||||||
89,888 | Public Storage | 6,282,272 | |||||||||
41,940 | RAIT Financial Trust | 99,398 | |||||||||
54,888 | Rayonier, Inc. | 1,833,259 | |||||||||
70,699 | Realty Income Corp. | 1,427,413 | |||||||||
19,508 | Redwood Trust, Inc. | 254,579 | |||||||||
48,573 | Regency Centers Corp. | 1,729,685 | |||||||||
78,251 | Senior Housing Properties Trust | 1,090,036 | |||||||||
156,363 | Simon Property Group, Inc. | 7,427,242 | |||||||||
40,761 | SL Green Realty Corp. | 772,829 | |||||||||
52,008 | Strategic Hotels & Resorts, Inc. | 52,008 | |||||||||
35,309 | Sunstone Hotel Investors, Inc. | 168,424 | |||||||||
36,940 | Taubman Centers, Inc. | 880,650 | |||||||||
90,174 | UDR, Inc. | 1,364,333 | |||||||||
100,139 | Ventas, Inc. | 2,301,194 | |||||||||
100,671 | Vornado Realty Trust | 5,380,865 | |||||||||
34,547 | Washington Real Estate Investment Trust | 914,459 | |||||||||
54,457 | Weingarten Realty Investors | 776,557 | |||||||||
98,308,962 | |||||||||||
Real Estate Management & Development — 3.8% | |||||||||||
142,273 | Brookfield Properties Corp. | 1,041,438 | |||||||||
157,667 | CB Richard Ellis Group, Inc., Class A* | 718,962 | |||||||||
45,769 | Forest City Enterprises, Inc., Class A | 272,783 | |||||||||
22,865 | Forestar Group, Inc.* | 105,865 |
See accompanying notes to the financial statements.
134
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
22,106 | Jones Lang LaSalle, Inc. | $ | 526,786 | ||||||||
64,106 | St. Joe Co. (The)* | 1,693,040 | |||||||||
4,358,874 | |||||||||||
Total Common Stock (Cost $101,883,819) | 102,667,836 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 33.2% | |||||||||||
$ | 5,091,215 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $5,091,304 (b) | 5,091,215 | ||||||||
5,091,215 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $5,091,342 (c) | 5,091,215 | |||||||||
381,841 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $381,847 (d) | 381,841 | |||||||||
1,272,804 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $1,272,891 (e) | 1,272,804 | |||||||||
2,545,608 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $2,545,781 (f) | 2,545,608 | |||||||||
8,909,627 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $8,909,835 (g) | 8,909,627 | |||||||||
7,636,823 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $7,636,950 (h) | 7,636,823 | |||||||||
7,260,754 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $7,260,905 (i) | 7,260,754 | |||||||||
Total Repurchase Agreements (Cost $38,189,887) | 38,189,887 | ||||||||||
Total Investments (Cost $140,073,706) — 122.6% | 140,857,723 | ||||||||||
Liabilities in excess of other assets — (22.6%) | (25,964,852 | ) | |||||||||
Net Assets — 100.0% | $ | 114,892,871 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $5,193,041. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $5,193,041. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $389,493. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $1,298,265. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $2,596,520. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date
See accompanying notes to the financial statements.
135
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Real Estate (continued)
of this schedule as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $9,087,829. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $7,789,563. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $7,405,984. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2008, 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 | $ | — | |||||
Aggregate gross unrealized depreciation | (13,162,054 | ) | |||||
Net unrealized depreciation | $ | (13,162,054 | ) | ||||
Federal income tax cost of investments | $ | 154,019,777 |
Swap Agreements
Ultra Real Estate had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Real EstateSM Index | 12/08/08 | $ | 14,003,987 | $ | (3,691,450 | ) | |||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Real EstateSM Index | 12/08/08 | 57,073,528 | (2,062,679 | ) | |||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Real EstateSM Index | 12/08/08 | 63,737,097 | (8,129,637 | ) | |||||||||||
$ | 134,814,612 | $ | (13,883,766 | ) |
See accompanying notes to the financial statements.
136
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Semiconductors
Shares | Value | ||||||||||
Common Stocks (a) — 85.2% | |||||||||||
Communications Equipment — 0.5% | |||||||||||
9,676 | InterDigital, Inc.* | $ | 256,607 | ||||||||
Computers & Peripherals — 0.8% | |||||||||||
47,913 | SanDisk Corp.* | 383,304 | |||||||||
Electrical Equipment — 2.4% | |||||||||||
9,534 | First Solar, Inc.* | 1,190,225 | |||||||||
Semiconductors & Semiconductor Equipment — 81.5% | |||||||||||
5,396 | Actel Corp.* | 49,966 | |||||||||
118,519 | Advanced Micro Devices, Inc.* | 279,705 | |||||||||
64,070 | Altera Corp. | 942,470 | |||||||||
22,455 | Amkor Technology, Inc.* | 49,401 | |||||||||
61,978 | Analog Devices, Inc. | 1,059,824 | |||||||||
289,748 | Applied Materials, Inc. | 2,775,786 | |||||||||
13,886 | Applied Micro Circuits Corp.* | 51,378 | |||||||||
12,641 | Atheros Communications, Inc.* | 184,558 | |||||||||
95,976 | Atmel Corp.* | 268,733 | |||||||||
21,915 | Axcelis Technologies, Inc.* | 12,930 | |||||||||
94,090 | Broadcom Corp., Class A* | 1,440,518 | |||||||||
12,770 | Brooks Automation, Inc.* | 49,292 | |||||||||
5,018 | Cabot Microelectronics Corp.* | 124,296 | |||||||||
12,518 | Cirrus Logic, Inc.* | 52,826 | |||||||||
4,625 | Cohu, Inc. | 51,800 | |||||||||
17,469 | Cree, Inc.* | 277,408 | |||||||||
6,538 | Cymer, Inc.* | 153,578 | |||||||||
32,179 | Cypress Semiconductor Corp.* | 120,028 | |||||||||
5,147 | DSP Group, Inc.* | 29,441 | |||||||||
24,440 | Entegris, Inc.* | 33,972 | |||||||||
7,478 | Exar Corp.* | 50,402 | |||||||||
26,514 | Fairchild Semiconductor International, Inc.* | 105,791 | |||||||||
10,378 | Formfactor, Inc.* | 140,414 | |||||||||
36,585 | Integrated Device Technology, Inc.* | 189,144 | |||||||||
1,201,273 | Intel Corp. | 16,577,568 | |||||||||
15,308 | International Rectifier Corp.* | 178,950 | |||||||||
26,445 | Intersil Corp., Class A | 239,592 | |||||||||
36,996 | Kla-Tencor Corp. | 695,895 | |||||||||
11,411 | Kulicke & Soffa Industries, Inc.* | 16,089 | |||||||||
26,710 | Lam Research Corp.* | 539,542 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
24,520 | Lattice Semiconductor Corp.* | $ | 37,270 | ||||||||
44,056 | Linear Technology Corp. | 878,917 | |||||||||
136,198 | LSI Corp.* | 365,011 | |||||||||
101,212 | Marvell Technology Group Ltd.* | 587,030 | |||||||||
48,291 | MEMC Electronic Materials, Inc.* | 725,331 | |||||||||
11,036 | Micrel, Inc. | 81,666 | |||||||||
39,359 | Microchip Technology, Inc. | 728,141 | |||||||||
161,190 | Micron Technology, Inc.* | 441,661 | |||||||||
15,189 | Microsemi Corp.* | 296,034 | |||||||||
49,006 | National Semiconductor Corp. | 539,066 | |||||||||
21,284 | Novellus Systems, Inc.* | 263,709 | |||||||||
118,718 | NVIDIA Corp.* | 886,823 | |||||||||
10,972 | Omnivision Technologies, Inc.* | 65,832 | |||||||||
84,762 | ON Semiconductor Corp.* | 247,505 | |||||||||
46,362 | PMC - Sierra, Inc.* | 185,912 | |||||||||
22,468 | Rambus, Inc.* | 231,645 | |||||||||
51,603 | RF Micro Devices, Inc.* | 68,632 | |||||||||
13,385 | Semtech Corp.* | 151,518 | |||||||||
15,673 | Silicon Image, Inc.* | 59,244 | |||||||||
10,220 | Silicon Laboratories, Inc.* | 214,211 | |||||||||
34,613 | Skyworks Solutions, Inc.* | 186,564 | |||||||||
36,096 | Teradyne, Inc.* | 136,804 | |||||||||
10,316 | Tessera Technologies, Inc.* | 189,608 | |||||||||
280,102 | Texas Instruments, Inc. | 4,361,188 | |||||||||
13,036 | Trident Microsystems, Inc.* | 21,900 | |||||||||
30,636 | TriQuint Semiconductor, Inc.* | 79,041 | |||||||||
15,496 | Varian Semiconductor Equipment Associates, Inc.* | 285,126 | |||||||||
59,080 | Xilinx, Inc. | 966,549 | |||||||||
10,952 | Zoran Corp.* | 82,359 | |||||||||
40,105,594 | |||||||||||
Total Common Stock (Cost $53,099,732) | 41,935,730 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 53.5% | |||||||||||
$ | 3,509,113 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $3,509,174 (b) | 3,509,113 |
See accompanying notes to the financial statements.
137
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Semiconductors (continued)
Principal Amount | Value | ||||||||||
Repurchase Agreements (continued) | |||||||||||
$ | 3,509,113 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $3,509,201 (c) | $ | 3,509,113 | |||||||
263,184 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $263,188 (d) | 263,184 | |||||||||
877,278 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $877,338 (e) | 877,278 | |||||||||
1,754,556 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $1,754,675 (f) | 1,754,556 | |||||||||
6,140,947 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $6,141,090 (g) | 6,140,947 | |||||||||
5,263,669 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $5,263,757 (h) | 5,263,669 | |||||||||
5,004,464 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $5,004,568 (i) | 5,004,464 | |||||||||
Total Repurchase Agreements (Cost $26,322,324) | 26,322,324 | ||||||||||
Total Investments (Cost $79,422,056) — 138.7% | 68,258,054 | ||||||||||
Liabilities in excess of other assets — (38.7%) | (19,032,927 | ) | |||||||||
Net Assets — 100.0% | $ | 49,225,127 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $3,579,296. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $3,579,296. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $268,457. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $894,827. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $1,789,647. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $6,263,772. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due
See accompanying notes to the financial statements.
138
12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $5,368,945. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $5,104,564. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2008, 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 | $ | — | |||||
Aggregate gross unrealized depreciation | (20,397,307 | ) | |||||
Net unrealized depreciation | $ | (20,397,307 | ) | ||||
Federal income tax cost of investments | $ | 88,655,361 |
Swap Agreements
Ultra Semiconductors had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. SemiconductorsSM Index | 12/08/08 | $ | 12,315,629 | $ | (1,415,616 | ) | |||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. SemiconductorsSM Index | 12/08/08 | 9,676,112 | (13,323,888 | ) | |||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. SemiconductorsSM Index | 12/08/08 | 33,207,933 | (4,012,334 | ) | |||||||||||
$ | 55,199,674 | $ | (18,751,838 | ) |
See accompanying notes to the financial statements.
139
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Technology
Shares | Value | ||||||||||
Common Stocks (a) — 82.6% | |||||||||||
Commercial Services & Supplies — 0.3% | |||||||||||
10,229 | Pitney Bowes, Inc. | $ | 252,759 | ||||||||
Communications Equipment — 14.2% | |||||||||||
19,818 | 3Com Corp.* | 39,834 | |||||||||
5,787 | ADC Telecommunications, Inc.* | 41,146 | |||||||||
3,135 | Adtran, Inc. | 44,517 | |||||||||
6,013 | Arris Group, Inc.* | 43,233 | |||||||||
2,206 | Avocent Corp.* | 41,495 | |||||||||
18,202 | Brocade Communications Systems, Inc.* | 58,610 | |||||||||
4,439 | Ciena Corp.* | 32,849 | |||||||||
293,354 | Cisco Systems, Inc.* | 4,852,075 | |||||||||
76,993 | Corning, Inc. | 693,707 | |||||||||
2,065 | EchoStar Corp., Class A* | 35,250 | |||||||||
4,140 | Emulex Corp.* | 29,518 | |||||||||
5,702 | Extreme Networks* | 11,974 | |||||||||
3,946 | F5 Networks, Inc.* | 98,255 | |||||||||
20,927 | Finisar Corp.* | 9,208 | |||||||||
6,353 | Foundry Networks, Inc.* | 98,408 | |||||||||
4,601 | Harmonic, Inc.* | 23,695 | |||||||||
6,641 | Harris Corp. | 231,638 | |||||||||
2,228 | InterDigital, Inc.* | 59,087 | |||||||||
10,567 | JDS Uniphase Corp.* | 28,742 | |||||||||
26,735 | Juniper Networks, Inc.* | 464,654 | |||||||||
103,861 | Motorola, Inc. | 447,641 | |||||||||
2,403 | Plantronics, Inc. | 30,542 | |||||||||
4,298 | Polycom, Inc.* | 80,931 | |||||||||
80,763 | QUALCOMM, Inc. | 2,711,214 | |||||||||
13,343 | Sonus Networks, Inc.* | 20,682 | |||||||||
9,414 | Sycamore Networks, Inc.* | 28,901 | |||||||||
2,779 | Tekelec* | 34,043 | |||||||||
17,930 | Tellabs, Inc.* | 74,768 | |||||||||
10,366,617 | |||||||||||
Computers & Peripherals — 23.4% | |||||||||||
5,086 | Adaptec, Inc.* | 14,292 | |||||||||
43,099 | Apple, Inc.* | 3,993,984 | |||||||||
87,636 | Dell, Inc.* | 978,894 | |||||||||
3,235 | Diebold, Inc. | 90,580 | |||||||||
2,576 | Electronics for Imaging, Inc.* | 25,167 | |||||||||
101,716 | EMC Corp.* | 1,075,138 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
121,329 | Hewlett-Packard Co. | $ | 4,280,487 | ||||||||
1,145 | Hutchinson Technology, Inc.* | 3,206 | |||||||||
1,546 | Imation Corp. | 20,531 | |||||||||
2,373 | Intermec, Inc.* | 31,513 | |||||||||
66,694 | International Business Machines Corp. | 5,442,232 | |||||||||
4,316 | Lexmark International, Inc., Class A* | 112,993 | |||||||||
8,048 | NCR Corp.* | 122,169 | |||||||||
16,086 | NetApp, Inc.* | 217,161 | |||||||||
4,930 | Palm, Inc.* | 11,783 | |||||||||
6,469 | QLogic Corp.* | 68,701 | |||||||||
10,230 | Quantum Corp.* | 1,228 | |||||||||
11,010 | SanDisk Corp.* | 88,080 | |||||||||
23,836 | Seagate Technology | 100,349 | |||||||||
37,029 | Sun Microsystems, Inc.* | 117,382 | |||||||||
8,888 | Teradata Corp.* | 119,366 | |||||||||
10,836 | Western Digital Corp.* | 132,199 | |||||||||
17,047,435 | |||||||||||
Construction & Engineering — 0.0% | |||||||||||
1,995 | Dycom Industries, Inc.* | 11,850 | |||||||||
Electrical Equipment — 0.4% | |||||||||||
2,203 | First Solar, Inc.* | 275,022 | |||||||||
Electronic Equipment, Instruments & Components — 0.2% | |||||||||||
2,536 | Brightpoint, Inc.* | 10,448 | |||||||||
7,045 | Ingram Micro, Inc., Class A* | 75,875 | |||||||||
2,283 | Insight Enterprises, Inc.* | 9,292 | |||||||||
2,593 | Tech Data Corp.* | 45,222 | |||||||||
140,837 | |||||||||||
Health Care Technology — 0.2% | |||||||||||
3,123 | Cerner Corp.* | 112,366 | |||||||||
Internet Software & Services — 6.8% | |||||||||||
8,333 | Akamai Technologies, Inc.* | 102,246 | |||||||||
4,155 | Ariba, Inc.* | 33,448 | |||||||||
1,844 | Digital River, Inc.* | 38,964 | |||||||||
5,451 | Earthlink, Inc.* | 36,304 | |||||||||
1,568 | Equinix, Inc.* | 71,203 | |||||||||
11,696 | Google, Inc., Class A* | 3,426,460 |
See accompanying notes to the financial statements.
140
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
3,136 | IAC/InterActiveCorp* | $ | 46,381 | ||||||||
1,696 | Infospace, Inc. | 13,246 | |||||||||
2,226 | Interwoven, Inc.* | 28,960 | |||||||||
2,196 | j2 Global Communications, Inc.* | 42,866 | |||||||||
3,555 | Omniture, Inc.* | 35,337 | |||||||||
2,521 | S1 Corp.* | 18,857 | |||||||||
1,913 | SAVVIS, Inc.* | 15,055 | |||||||||
2,849 | SonicWALL, Inc.* | 11,168 | |||||||||
3,978 | United Online, Inc. | 26,374 | |||||||||
9,575 | VeriSign, Inc.* | 206,724 | |||||||||
2,211 | Websense, Inc.* | 35,752 | |||||||||
63,497 | Yahoo!, Inc.* | 730,850 | |||||||||
4,920,195 | |||||||||||
IT Services — 1.4% | |||||||||||
1,493 | CACI International, Inc., Class A* | 66,304 | |||||||||
14,166 | Cognizant Technology Solutions Corp., Class A* | 271,987 | |||||||||
7,417 | Computer Sciences Corp.* | 206,638 | |||||||||
1,718 | CSG Systems International, Inc.* | 28,931 | |||||||||
2,048 | DST Systems, Inc.* | 77,435 | |||||||||
716 | Forrester Research, Inc.* | 16,411 | |||||||||
3,124 | Gartner, Inc.* | 47,985 | |||||||||
4,257 | Perot Systems Corp., Class A* | 53,127 | |||||||||
9,074 | SAIC, Inc.* | 161,517 | |||||||||
2,113 | SRA International, Inc., Class A* | 31,737 | |||||||||
16,100 | Unisys Corp.* | 10,787 | |||||||||
3,279 | VeriFone Holdings, Inc.* | 13,477 | |||||||||
986,336 | |||||||||||
Office Electronics — 0.4% | |||||||||||
42,934 | Xerox Corp. | 300,109 | |||||||||
Semiconductors & Semiconductor Equipment — 12.7% | |||||||||||
1,231 | Actel Corp.* | 11,399 | |||||||||
27,272 | Advanced Micro Devices, Inc.* | 64,362 | |||||||||
14,745 | Altera Corp. | 216,899 | |||||||||
5,163 | Amkor Technology, Inc.* | 11,359 | |||||||||
14,256 | Analog Devices, Inc. | 243,778 | |||||||||
66,736 | Applied Materials, Inc. | 639,331 | |||||||||
3,213 | Applied Micro Circuits Corp.* | 11,888 | |||||||||
2,909 | Atheros Communications, Inc.* | 42,471 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
22,096 | Atmel Corp.* | $ | 61,869 | ||||||||
5,024 | Axcelis Technologies, Inc.* | 2,964 | |||||||||
21,691 | Broadcom Corp., Class A* | 332,089 | |||||||||
2,932 | Brooks Automation, Inc.* | 11,318 | |||||||||
1,166 | Cabot Microelectronics Corp.* | 28,882 | |||||||||
2,893 | Cirrus Logic, Inc.* | 12,208 | |||||||||
1,051 | Cohu, Inc. | 11,771 | |||||||||
3,997 | Cree, Inc.* | 63,472 | |||||||||
1,515 | Cymer, Inc.* | 35,587 | |||||||||
7,392 | Cypress Semiconductor Corp.* | 27,572 | |||||||||
1,193 | DSP Group, Inc.* | 6,824 | |||||||||
5,635 | Entegris, Inc.* | 7,833 | |||||||||
1,721 | Exar Corp.* | 11,600 | |||||||||
6,121 | Fairchild Semiconductor International, Inc.* | 24,423 | |||||||||
2,395 | Formfactor, Inc.* | 32,404 | |||||||||
8,419 | Integrated Device Technology, Inc.* | 43,526 | |||||||||
276,649 | Intel Corp. | 3,817,756 | |||||||||
3,542 | International Rectifier Corp.* | 41,406 | |||||||||
6,114 | Intersil Corp., Class A | 55,393 | |||||||||
8,534 | Kla-Tencor Corp. | 160,525 | |||||||||
2,606 | Kulicke & Soffa Industries, Inc.* | 3,674 | |||||||||
6,154 | Lam Research Corp.* | 124,311 | |||||||||
5,647 | Lattice Semiconductor Corp.* | 8,583 | |||||||||
10,130 | Linear Technology Corp. | 202,094 | |||||||||
31,356 | LSI Corp.* | 84,034 | |||||||||
23,305 | Marvell Technology Group Ltd.* | 135,169 | |||||||||
11,119 | MEMC Electronic Materials, Inc.* | 167,007 | |||||||||
2,547 | Micrel, Inc. | 18,848 | |||||||||
9,063 | Microchip Technology, Inc. | 167,666 | |||||||||
37,128 | Micron Technology, Inc.* | 101,731 | |||||||||
3,480 | Microsemi Corp.* | 67,825 | |||||||||
11,290 | National Semiconductor Corp. | 124,190 | |||||||||
4,919 | Novellus Systems, Inc.* | 60,946 | |||||||||
27,352 | NVIDIA Corp.* | 204,319 | |||||||||
2,535 | Omnivision Technologies, Inc.* | 15,210 | |||||||||
19,378 | ON Semiconductor Corp.* | 56,584 | |||||||||
10,660 | PMC - Sierra, Inc.* | 42,747 | |||||||||
5,157 | Rambus, Inc.* | 53,169 | |||||||||
11,863 | RF Micro Devices, Inc.* | 15,778 | |||||||||
3,084 | Semtech Corp.* | 34,911 | |||||||||
3,601 | Silicon Image, Inc.* | 13,612 | |||||||||
2,366 | Silicon Laboratories, Inc.* | 49,591 |
See accompanying notes to the financial statements.
141
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Technology (continued)
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
7,997 | Skyworks Solutions, Inc.* | $ | 43,104 | ||||||||
8,331 | Teradyne, Inc.* | 31,574 | |||||||||
2,384 | Tessera Technologies, Inc.* | 43,818 | |||||||||
64,514 | Texas Instruments, Inc. | 1,004,483 | |||||||||
3,027 | Trident Microsystems, Inc.* | 5,085 | |||||||||
7,042 | TriQuint Semiconductor, Inc.* | 18,168 | |||||||||
3,577 | Varian Semiconductor Equipment Associates, Inc.* | 65,817 | |||||||||
13,581 | Xilinx, Inc. | 222,185 | |||||||||
2,539 | Zoran Corp.* | 19,093 | |||||||||
9,236,235 | |||||||||||
Software — 21.5% | |||||||||||
1,695 | ACI Worldwide, Inc.* | 26,612 | |||||||||
26,175 | Adobe Systems, Inc.* | 606,213 | |||||||||
886 | Advent Software, Inc.* | 19,758 | |||||||||
9,435 | Amdocs Ltd.* | 177,284 | |||||||||
4,335 | Ansys, Inc.* | 125,108 | |||||||||
10,985 | Autodesk, Inc.* | 182,241 | |||||||||
9,443 | BMC Software, Inc.* | 235,697 | |||||||||
20,237 | CA, Inc. | 340,791 | |||||||||
12,683 | Cadence Design Systems, Inc.* | 48,956 | |||||||||
8,506 | Check Point Software Technologies* | 175,309 | |||||||||
9,104 | Citrix Systems, Inc.* | 242,713 | |||||||||
12,614 | Compuware Corp.* | 80,099 | |||||||||
2,389 | Fair Isaac Corp. | 33,780 | |||||||||
4,338 | Informatica Corp.* | 60,211 | |||||||||
14,505 | Intuit, Inc.* | 321,431 | |||||||||
1,510 | JDA Software Group, Inc.* | 19,902 | |||||||||
4,069 | Macrovision Solutions Corp.* | 47,851 | |||||||||
7,418 | McAfee, Inc.* | 224,988 | |||||||||
4,464 | Mentor Graphics Corp.* | 30,266 | |||||||||
4,066 | Micros Systems, Inc.* | 67,699 | |||||||||
399,631 | Microsoft Corp. | 8,080,539 | |||||||||
17,169 | Novell, Inc.* | 78,119 | |||||||||
8,841 | Nuance Communications, Inc.* | 81,160 | |||||||||
193,206 | Oracle Corp.* | 3,108,685 | |||||||||
5,690 | Parametric Technology Corp.* | 65,776 | |||||||||
2,050 | Progress Software Corp.* | 43,624 | |||||||||
3,461 | Quest Software, Inc.* | 46,204 | |||||||||
9,390 | Red Hat, Inc.* | 86,858 | |||||||||
4,962 | Salesforce.com, Inc.* | 142,012 | |||||||||
2,692 | Solera Holdings, Inc.* | 52,682 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
3,882 | Sybase, Inc.* | $ | 95,652 | ||||||||
41,638 | Symantec Corp.* | 500,905 | |||||||||
6,991 | Synopsys, Inc.* | 112,066 | |||||||||
9,027 | TIBCO Software, Inc.* | 43,691 | |||||||||
2,173 | VMware, Inc., Class A* | 42,048 | |||||||||
3,587 | Wind River Systems, Inc.* | 29,916 | |||||||||
15,676,846 | |||||||||||
Wireless Telecommunication Services — 1.1% | |||||||||||
19,494 | American Tower Corp., Class A* | 531,017 | |||||||||
11,974 | Crown Castle International Corp.* | 168,474 | |||||||||
4,996 | SBA Communications Corp., Class A* | 78,887 | |||||||||
778,378 | |||||||||||
Total Common Stock (Cost $75,488,447) | 60,104,985 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 60.9% | |||||||||||
$ | 5,910,837 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $5,910,940 (b) | 5,910,837 | ||||||||
5,910,837 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $5,910,985 (c) | 5,910,837 | |||||||||
443,313 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $443,320 (d) | 443,313 | |||||||||
1,477,709 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $1,477,810 (e) | 1,477,709 | |||||||||
2,955,418 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $2,955,619 (f) | 2,955,418 | |||||||||
10,343,965 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $10,344,206 (g) | 10,343,965 |
See accompanying notes to the financial statements.
142
Principal Amount | Value | ||||||||||
Repurchase Agreements (continued) | |||||||||||
$ | 8,866,255 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $8,866,403 (h) | $ | 8,866,255 | |||||||
8,429,644 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $8,429,820 (i) | 8,429,644 | |||||||||
Total Repurchase Agreements (Cost $44,337,978) | 44,337,978 | ||||||||||
Total Investments (Cost $119,826,425) — 143.5% | 104,442,963 | ||||||||||
Liabilities in excess of other assets — (43.5%) | (31,665,678 | ) | |||||||||
Net Assets — 100.0% | $ | 72,777,285 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $6,029,056. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $6,029,056. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $452,197. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $1,507,269. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $3,014,526. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $10,550,855. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $9,043,584. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $8,598,254. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
143
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Technology (continued)
As of November 30, 2008, 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 | $ | 10,627 | |||||
Aggregate gross unrealized depreciation | (32,921,276 | ) | |||||
Net unrealized depreciation | $ | (32,910,649 | ) | ||||
Federal income tax cost of investments | $ | 137,353,612 |
Swap Agreements
Ultra Technology had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. TechnologySM Index | 12/08/08 | $ | 7,847,752 | $ | (586,862 | ) | |||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. TechnologySM Index | 12/08/08 | 25,193,088 | (26,806,912 | ) | |||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. TechnologySM Index | 12/08/08 | 49,981,248 | (4,324,600 | ) | |||||||||||
$ | 83,022,088 | $ | (31,718,374 | ) |
See accompanying notes to the financial statements.
144
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Telecommunications
Shares | Value | ||||||||||
Common Stocks (a) — 81.7% | |||||||||||
Diversified Financial Services — 2.2% | |||||||||||
9,443 | Leucadia National Corp. | $ | 184,611 | ||||||||
Diversified Telecommunication Services — 63.4% | |||||||||||
6,443 | Alaska Communications Systems Group, Inc. | 62,497 | |||||||||
67,627 | AT&T, Inc. | 1,931,428 | |||||||||
1,667 | Atlantic Tele-Network, Inc. | 38,241 | |||||||||
4,060 | Cbeyond, Inc.* | 61,753 | |||||||||
6,821 | CenturyTel, Inc. | 181,166 | |||||||||
29,763 | Cincinnati Bell, Inc.* | 51,490 | |||||||||
3,937 | Consolidated Communications Holdings, Inc. | 40,079 | |||||||||
8,130 | Embarq Corp. | 265,363 | |||||||||
11,572 | Fairpoint Communications, Inc. | 40,502 | |||||||||
21,511 | Frontier Communications Corp. | 187,576 | |||||||||
6,226 | General Communication, Inc., Class A* | 48,750 | |||||||||
4,077 | Global Crossing Ltd.* | 31,271 | |||||||||
14,936 | Globalstar, Inc.* | 3,136 | |||||||||
21,256 | IDT Corp., Class B* | 9,140 | |||||||||
4,427 | Iowa Telecommunications Services, Inc. | 67,689 | |||||||||
96,639 | Level 3 Communications, Inc.* | 90,870 | |||||||||
3,575 | NTELOS Holdings Corp. | 79,401 | |||||||||
21,159 | PAETEC Holding Corp.* | 30,680 | |||||||||
87,198 | Qwest Communications International, Inc. | 279,034 | |||||||||
3,575 | Shenandoah Telecommunications Co. | 88,874 | |||||||||
3,002 | SureWest Communications | 36,654 | |||||||||
13,600 | tw telecom, Inc.* | 103,768 | |||||||||
42,420 | Verizon Communications, Inc. | 1,385,013 | |||||||||
19,131 | Vonage Holdings Corp.* | 20,087 | |||||||||
26,771 | Windstream Corp. | 237,191 | |||||||||
5,371,653 | |||||||||||
Media — 1.7% | |||||||||||
5,748 | RCN Corp.* | 40,121 | |||||||||
22,352 | Virgin Media, Inc. | 105,725 | |||||||||
145,846 | |||||||||||
Wireless Telecommunication Services — 14.4% | |||||||||||
10,271 | Centennial Communications Corp.* | 79,395 | |||||||||
26,520 | FiberTower Corp.* | 14,586 | |||||||||
2,849 | iPCS, Inc.* | 21,225 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
4,157 | Leap Wireless International, Inc.* | $ | 83,140 | ||||||||
13,477 | MetroPCS Communications, Inc.* | 197,303 | |||||||||
8,724 | NII Holdings, Inc.* | 169,594 | |||||||||
100,472 | Sprint Nextel Corp. | 280,317 | |||||||||
7,153 | Telephone & Data Systems, Inc. | 232,115 | |||||||||
19,227 | TerreStar Corp.* | 8,268 | |||||||||
2,029 | U.S. Cellular Corp.* | 80,003 | |||||||||
3,329 | USA Mobility, Inc.* | 36,286 | |||||||||
12,440 | Virgin Mobile USA, Inc., Class A* | 12,440 | |||||||||
1,214,672 | |||||||||||
Total Common Stock (Cost $6,782,892) | 6,916,782 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 2.0% | |||||||||||
$ | 22,793 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $22,793 (b) | 22,793 | ||||||||
22,793 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $22,794 (c) | 22,793 | |||||||||
1,709 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $1,709 (d) | 1,709 | |||||||||
5,698 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $5,698 (e) | 5,698 | |||||||||
11,396 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $11,397 (f) | 11,396 | |||||||||
39,887 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $39,888 (g) | 39,887 | |||||||||
34,189 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $34,190 (h) | 34,189 |
See accompanying notes to the financial statements.
145
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Telecommunications (continued)
Principal Amount | Value | ||||||||||
Repurchase Agreements (continued) | |||||||||||
$ | 32,505 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $32,506 (i) | $ | 32,505 | |||||||
Total Repurchase Agreements (Cost $170,970) | 170,970 | ||||||||||
Total Investments (Cost $6,953,862) — 83.7% | 7,087,752 | ||||||||||
Other assets less liabilities — 16.3% | 1,381,748 | ||||||||||
Net Assets — 100.0% | $ | 8,469,500 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $23,249. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $23,249. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $1,743. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $5,812. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $11,624. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $40,685. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $34,873. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $33,155. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
146
As of November 30, 2008, 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 | $ | — | |||||
Aggregate gross unrealized depreciation | (816,827 | ) | |||||
Net unrealized depreciation | $ | (816,827 | ) | ||||
Federal income tax cost of investments | $ | 7,904,579 |
Swap Agreements
Ultra Telecommunications had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Appreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Select TelecommunicationsSM Index | 12/08/08 | $ | 1,099,269 | $ | 31,454 | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Select TelecommunicationsSM Index | 12/08/08 | 2,694,418 | 64,481 | ||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Select TelecommunicationsSM Index | 12/08/08 | 6,100,934 | — | ||||||||||||
$ | 9,894,621 | $ | 95,935 |
See accompanying notes to the financial statements.
147
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Utilities
Shares | Value | ||||||||||
Common Stocks (a) — 86.1% | |||||||||||
Commercial Services & Supplies — 0.5% | |||||||||||
7,074 | Covanta Holding Corp.* | $ | 141,126 | ||||||||
Electric Utilities — 43.1% | |||||||||||
9,697 | Allegheny Energy, Inc. | 341,819 | |||||||||
1,484 | Allete, Inc. | 50,782 | |||||||||
23,244 | American Electric Power Co., Inc. | 727,305 | |||||||||
3,451 | Cleco Corp. | 81,340 | |||||||||
6,555 | DPL, Inc. | 136,475 | |||||||||
72,683 | Duke Energy Corp. | 1,130,947 | |||||||||
17,349 | Edison International | 579,457 | |||||||||
2,626 | El Paso Electric Co.* | 47,321 | |||||||||
11,157 | Entergy Corp. | 949,461 | |||||||||
38,250 | Exelon Corp. | 2,150,033 | |||||||||
17,664 | FirstEnergy Corp. | 1,034,757 | |||||||||
21,772 | FPL Group, Inc. | 1,061,603 | |||||||||
6,843 | Great Plains Energy, Inc. | 128,580 | |||||||||
4,832 | Hawaiian Electric Industries, Inc. | 131,769 | |||||||||
2,620 | Idacorp, Inc. | 79,648 | |||||||||
2,858 | ITC Holdings Corp. | 120,036 | |||||||||
9,054 | Northeast Utilities | 210,958 | |||||||||
13,542 | NV Energy, Inc. | 128,378 | |||||||||
11,597 | Pepco Holdings, Inc. | 208,630 | |||||||||
5,819 | Pinnacle West Capital Corp. | 176,898 | |||||||||
3,624 | Portland General Electric Co. | 66,355 | |||||||||
21,573 | PPL Corp. | 731,109 | |||||||||
15,133 | Progress Energy, Inc. | 600,629 | |||||||||
44,472 | Southern Co. | 1,615,223 | |||||||||
1,985 | Unisource Energy Corp. | 55,719 | |||||||||
6,077 | Westar Energy, Inc. | 122,938 | |||||||||
12,668,170 | |||||||||||
Gas Utilities — 6.7% | |||||||||||
4,426 | AGL Resources, Inc. | 133,267 | |||||||||
5,219 | Atmos Energy Corp. | 130,110 | |||||||||
3,763 | Energen Corp. | 115,900 | |||||||||
7,529 | Equitable Resources, Inc. | 251,243 | |||||||||
4,014 | National Fuel Gas Co. | 130,575 | |||||||||
2,388 | New Jersey Resources Corp. | 95,902 | |||||||||
2,617 | Nicor, Inc. | 106,721 | |||||||||
1,549 | Northwest Natural Gas Co. | 77,373 | |||||||||
5,614 | Oneok, Inc. | 164,715 |
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
4,003 | Piedmont Natural Gas Co. | $ | 134,501 | ||||||||
9,986 | Questar Corp. | 321,449 | |||||||||
2,482 | Southwest Gas Corp. | 64,284 | |||||||||
6,251 | UGI Corp. | 146,023 | |||||||||
2,847 | WGL Holdings, Inc. | 102,777 | |||||||||
1,974,840 | |||||||||||
Independent Power Producers & Energy Traders — 4.8% | |||||||||||
38,675 | AES Corp. (The)* | 297,411 | |||||||||
20,669 | Calpine Corp.* | 185,194 | |||||||||
10,308 | Constellation Energy Group, Inc. | 252,237 | |||||||||
28,858 | Dynegy, Inc., Class A* | 64,353 | |||||||||
10,770 | Mirant Corp.* | 185,459 | |||||||||
13,711 | NRG Energy, Inc.* | 324,814 | |||||||||
20,014 | Reliant Energy, Inc.* | 114,880 | |||||||||
1,424,348 | |||||||||||
Multi-Utilities — 26.4% | |||||||||||
6,388 | Alliant Energy Corp. | 203,586 | |||||||||
12,147 | Ameren Corp. | 432,190 | |||||||||
3,050 | Avista Corp. | 53,893 | |||||||||
2,234 | Black Hills Corp. | 57,660 | |||||||||
17,475 | Centerpoint Energy, Inc. | 225,952 | |||||||||
12,979 | CMS Energy Corp. | 131,867 | |||||||||
15,682 | Consolidated Edison, Inc. | 633,396 | |||||||||
33,350 | Dominion Resources, Inc. | 1,227,947 | |||||||||
9,496 | DTE Energy Co. | 353,156 | |||||||||
4,425 | Integrys Energy Group, Inc. | 195,497 | |||||||||
15,879 | NiSource, Inc. | 191,342 | |||||||||
2,226 | NorthWestern Corp. | 45,989 | |||||||||
6,182 | NSTAR | 219,461 | |||||||||
20,612 | PG&E Corp. | 784,080 | |||||||||
4,538 | PNM Resources, Inc. | 47,422 | |||||||||
29,455 | Public Service Enterprise Group, Inc. | 910,159 | |||||||||
6,785 | Puget Energy, Inc. | 166,097 | |||||||||
6,097 | SCANA Corp. | 211,871 | |||||||||
13,267 | Sempra Energy | 619,171 | |||||||||
11,512 | TECO Energy, Inc. | 149,656 | |||||||||
4,697 | Vectren Corp. | 132,268 | |||||||||
6,777 | Wisconsin Energy Corp. | 294,528 | |||||||||
24,841 | Xcel Energy, Inc. | 467,259 | |||||||||
7,754,447 |
See accompanying notes to the financial statements.
148
Shares | Value | ||||||||||
Common Stocks (a) (continued) | |||||||||||
Oil, Gas & Consumable Fuels — 4.1% | |||||||||||
6,057 | Southern Union Co. | $ | 83,223 | ||||||||
35,624 | Spectra Energy Corp. | 579,246 | |||||||||
33,383 | Williams Cos., Inc. | 541,472 | |||||||||
1,203,941 | |||||||||||
Water Utilities — 0.5% | |||||||||||
7,746 | Aqua America, Inc. | 168,011 | |||||||||
Total Common Stock (Cost $26,194,581) | 25,334,883 | ||||||||||
Principal Amount | |||||||||||
Repurchase Agreements — 25.8% | |||||||||||
$ | 1,009,511 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $1,009,529 (b) | 1,009,511 | ||||||||
1,009,511 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $1,009,536 (c) | 1,009,511 | |||||||||
75,713 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $75,714 (d) | 75,713 | |||||||||
252,378 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $252,395 (e) | 252,378 | |||||||||
504,755 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $504,789 (f) | 504,755 | |||||||||
1,766,644 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $1,766,685 (g) | 1,766,644 | |||||||||
1,514,266 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $1,514,291 (h) | 1,514,266 |
Principal Amount | Value | ||||||||||
Repurchase Agreements (continued) | |||||||||||
$ | 1,439,697 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $1,439,727 (i) | $ | 1,439,697 | |||||||
Total Repurchase Agreements (Cost $7,572,475) | 7,572,475 | ||||||||||
Total Investments (Cost $33,767,056) — 111.9% | 32,907,358 | ||||||||||
Liabilities in excess of other assets — (11.9%) | (3,510,037 | ) | |||||||||
Net Assets — 100.0% | $ | 29,397,321 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $1,029,702. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $1,029,702. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $77,230. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
149
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Utilities (continued)
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $257,426. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $514,850. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $1,801,979. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $1,544,552. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $1,468,494. The investment in the repurchase agreement was through participation in a pooled account.
As of November 30, 2008, 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 | $ | — | |||||
Aggregate gross unrealized depreciation | (3,744,770 | ) | |||||
Net unrealized depreciation | $ | (3,744,770 | ) | ||||
Federal income tax cost of investments | $ | 36,652,128 |
Swap Agreements
Ultra Utilities had the following open swap agreements as of November 30, 2008: | |||||||||||||||
Termination Date | Notional Amount at Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. UtilitiesSM Index | 12/08/08 | $ | 2,782,868 | $ | 69,482 | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. UtilitiesSM Index | 12/08/08 | 6,828,477 | (3,171,523 | ) | |||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. UtilitiesSM Index | 12/08/08 | 22,938,951 | 72,473 | ||||||||||||
$ | 32,550,296 | $ | (3,029,568 | ) |
See accompanying notes to the financial statements.
150
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short QQQ®
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 111.3% | |||||||||||
$ | 14,372,093 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $14,372,345 (b) | $ | 14,372,093 | |||||||
14,372,093 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $14,372,452 (c) | 14,372,093 | |||||||||
1,077,907 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $1,077,925 (d) | 1,077,907 | |||||||||
3,593,023 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $3,593,268 (e) | 3,593,023 | |||||||||
7,186,047 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $7,186,536 (f) | 7,186,047 | |||||||||
25,151,163 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $25,151,750 (g) | 25,151,163 | |||||||||
21,558,140 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $21,558,499 (h) | 21,558,140 | |||||||||
20,496,528 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $20,496,955 (i) | 20,496,528 | |||||||||
Total Investments (Cost $107,806,994) † | 107,806,994 | ||||||||||
Liabilities in excess of other assets — (11.3%) | (10,912,006 | ) | |||||||||
Net Assets — 100.0% | $ | 96,894,988 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $14,659,539. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $14,659,539. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $1,099,509. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $3,664,897. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $7,329,768. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $25,654,212. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
151
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short QQQ® (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $21,989,312. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $20,906,501. 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, 2008:
Number of Contracts | Expiration Date | Notional Amount at Value | Unrealized Appreciation | ||||||||||||||||
E-Mini NASDAQ-100® Index Futures Contracts | 465 | 12/19/08 | $ | 11,011,200 | $ | 2,622,257 |
Cash collateral in the amount of $2,011,920 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
Swap Agreements
Short QQQ® had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index | 12/8/08 | $ | (29,756,691 | ) | $ | (3,745,514 | ) | ||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index | 12/8/08 | (27,770,140 | ) | (3,497,350 | ) | ||||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index | 12/8/08 | (15,963,945 | ) | (4,108,549 | ) | ||||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index | 12/8/08 | (8,203,887 | ) | (1,032,416 | ) | ||||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index | 12/8/08 | (4,202,264 | ) | (529,177 | ) | ||||||||||
$ | (85,896,927 | ) | $ | (12,913,006 | ) |
See accompanying notes to the financial statements.
152
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short Dow30SM
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 115.1% | |||||||||||
$ | 28,692,582 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $28,693,084 (b) | $ | 28,692,582 | |||||||
28,692,582 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $28,693,299 (c) | 28,692,582 | |||||||||
2,151,944 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $2,151,980 (d) | 2,151,944 | |||||||||
7,173,146 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $7,173,634 (e) | 7,173,146 | |||||||||
14,346,291 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $14,347,267 (f) | 14,346,291 | |||||||||
50,212,020 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $50,213,192 (g) | 50,212,020 | |||||||||
43,038,874 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $43,039,591 (h) | 43,038,874 | |||||||||
40,919,462 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $40,920,314 (i) | 40,919,462 | |||||||||
Total Investments (Cost $215,226,901) † | 215,226,901 | ||||||||||
Liabilities in excess of other assets — (15.1%) | (28,207,608 | ) | |||||||||
Net Assets — 100.0% | $ | 187,019,293 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $29,266,444. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $29,266,444. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $2,195,070. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $7,316,635. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $14,633,217. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $51,216,313. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully
See accompanying notes to the financial statements.
153
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short Dow30SM (continued)
collateralized by U.S. government agency securities at the date of this schedule as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $43,899,670. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $41,737,935. 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, 2008:
Number of Contracts | Expiration Date | Notional Amount at Value | Unrealized Appreciation | ||||||||||||||||
E-Mini Dow Jones Futures Contracts | 382 | 12/19/08 | $ | 16,838,560 | $ | 3,539,079 |
Cash collateral in the amount of $2,520,393 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
Swap Agreements
Short Dow30SM had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index | 12/8/08 | $ | (84,270,389 | ) | $ | (12,252,459 | ) | ||||||||
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index | 12/8/08 | (35,123,229 | ) | (8,085,695 | ) | ||||||||||
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index | 12/8/08 | (27,646,506 | ) | (5,377,025 | ) | ||||||||||
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index | 12/8/08 | (23,000,307 | ) | (3,347,013 | ) | ||||||||||
$ | (170,040,431 | ) | $ | (29,062,192 | ) |
See accompanying notes to the financial statements.
154
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short S&P500®
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 123.4% | |||||||||||
$ | 73,405,470 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $73,406,755 (b) | $ | 73,405,470 | |||||||
73,405,470 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $73,407,305 (c) | 73,405,470 | |||||||||
5,505,410 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $5,505,502 (d) | 5,505,410 | |||||||||
18,351,368 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $18,352,617 (e) | 18,351,368 | |||||||||
36,702,735 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $36,705,233 (f) | 36,702,735 | |||||||||
128,459,574 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $128,462,571 (g) | 128,459,574 | |||||||||
110,108,206 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $110,110,041 (h) | 110,108,206 | |||||||||
104,686,022 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $104,688,203 (i) | 104,686,022 | |||||||||
Total Investments (Cost $550,624,255) † | 550,624,255 | ||||||||||
Liabilities in excess of other assets — (23.4%) | (104,475,158 | ) | |||||||||
Net Assets — 100.0% | $ | 446,149,097 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $74,873,603. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $74,873,603. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $5,615,742. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $18,718,463. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $37,436,790. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $131,028,898. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully
See accompanying notes to the financial statements.
155
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short S&P500® (continued)
collateralized by U.S. government agency securities at the date of this schedule as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $112,310,418. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $106,779,957. 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, 2008:
Number of Contracts | Expiration Date | Notional Amount at Value | Unrealized Appreciation | ||||||||||||||||
E-Mini S&P 500 Futures Contract | 887 | 12/19/08 | $ | 39,637,813 | $ | 1,803,865 |
Cash collateral in the amount of $5,197,688 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
Swap Agreements
Short S&P500® had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the S&P 500® Index | 12/8/08 | $ | (145,417,136 | ) | $ | (23,389,755 | ) | ||||||||
Equity Index Swap Agreement based on the S&P 500® Index | 12/8/08 | (131,293,748 | ) | (21,117,038 | ) | ||||||||||
Equity Index Swap Agreement based on the S&P 500® Index | 12/8/08 | (99,499,030 | ) | (32,961,465 | ) | ||||||||||
Equity Index Swap Agreement based on the S&P 500® Index | 12/8/08 | (30,557,834 | ) | (4,918,569 | ) | ||||||||||
$ | (406,767,748 | ) | $ | (82,386,827 | ) |
See accompanying notes to the financial statements.
156
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short MidCap400
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 121.0% | |||||||||||
$ | 5,174,733 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $5,174,824 (b) | $ | 5,174,733 | |||||||
5,174,733 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $5,174,862 (c) | 5,174,733 | |||||||||
388,105 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $388,111 (d) | 388,105 | |||||||||
1,293,683 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $1,293,771 (e) | 1,293,683 | |||||||||
2,587,367 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $2,587,543 (f) | 2,587,367 | |||||||||
9,055,783 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $9,055,994 (g) | 9,055,783 | |||||||||
7,762,100 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $7,762,229 (h) | 7,762,100 | |||||||||
7,379,862 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $7,380,016 (i) | 7,379,862 | |||||||||
Total Investments (Cost $38,816,366) † | 38,816,366 | ||||||||||
Liabilities in excess of other assets — (21.0%) | (6,748,742 | ) | |||||||||
Net Assets — 100.0% | $ | 32,067,624 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $5,278,229. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $5,278,229. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $395,883. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $1,319,561. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $2,639,114. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $9,236,908. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
157
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short MidCap400 (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $7,917,345. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $7,527,474. 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, 2008:
Number of Contracts | Expiration Date | Notional Amount at Value | Unrealized Appreciation | ||||||||||||||||
E-Mini S&P MidCap400 Futures Contracts | 42 | 12/19/08 | $ | 2,157,960 | $ | 747,638 |
Cash collateral in the amount of $447,931 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
Swap Agreements
Short MidCap400 had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index | 12/8/08 | $ | (13,400,829 | ) | $ | (2,541,842 | ) | ||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index | 12/8/08 | (6,846,556 | ) | (1,298,916 | ) | ||||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index | 12/8/08 | (5,278,625 | ) | (1,745,601 | ) | ||||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index | 12/8/08 | (4,418,769 | ) | (1,565,010 | ) | ||||||||||
$ | (29,944,779 | ) | $ | (7,151,369 | ) |
See accompanying notes to the financial statements.
158
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short SmallCap600
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 123.7% | |||||||||||
$ | 4,711,537 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $4,711,619 (b) | $ | 4,711,537 | |||||||
4,711,537 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $4,711,655 (c) | 4,711,537 | |||||||||
353,365 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $353,371 (d) | 353,365 | |||||||||
1,177,884 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $1,177,964 (e) | 1,177,884 | |||||||||
2,355,768 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $2,355,928 (f) | 2,355,768 | |||||||||
8,245,189 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $8,245,381 (g) | 8,245,189 | |||||||||
7,067,305 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $7,067,423 (h) | 7,067,305 | |||||||||
6,719,281 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $6,719,421 (i) | 6,719,281 | |||||||||
Total Investments (Cost $35,341,866) † | 35,341,866 | ||||||||||
Liabilities in excess of other assets — (23.7%) | (6,760,727 | ) | |||||||||
Net Assets — 100.0% | $ | 28,581,139 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $4,805,769. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $4,805,769. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $360,447. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $1,201,446. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $2,402,883. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $8,410,101. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully
See accompanying notes to the financial statements.
159
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short SmallCap600 (continued)
collateralized by U.S. government agency securities at the date of this schedule as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $7,208,654. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $6,853,680. 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 agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the S&P SmallCap600 Index | 12/8/08 | $ | (27,474,499 | ) | $ | (6,333,456 | ) | ||||||||
Equity Index Swap Agreement based on the S&P SmallCap600 Index | 12/8/08 | (1,706,707 | ) | (382,886 | ) | ||||||||||
$ | (29,181,206 | ) | $ | (6,716,342 | ) |
See accompanying notes to the financial statements.
160
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short Russell2000
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 119.9% | |||||||||||
$ | 8,189,417 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $8,189,560 (b) | $ | 8,189,417 | |||||||
8,189,417 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $8,189,622 (c) | 8,189,417 | |||||||||
614,206 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $614,216 (d) | 614,206 | |||||||||
2,047,354 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $2,047,493 (e) | 2,047,354 | |||||||||
4,094,708 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $4,094,987 (f) | 4,094,708 | |||||||||
14,331,479 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $14,331,813 (g) | 14,331,479 | |||||||||
12,284,125 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $12,284,330 (h) | 12,284,125 | |||||||||
11,679,204 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $11,679,447 (i) | 11,679,204 | |||||||||
Total Investments (Cost $61,429,910) † | 61,429,910 | ||||||||||
Liabilities in excess of other assets — (19.9%) | (10,198,654 | ) | |||||||||
Net Assets — 100.0% | $ | 51,231,256 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $8,353,208. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $8,353,208. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $626,515. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $2,088,309. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $4,176,602. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $14,618,123. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
161
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short Russell2000 (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $12,529,813. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $11,912,812. 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, 2008:
Number of Contracts | Expiration Date | Notional Amount at Value | Unrealized Appreciation | ||||||||||||||||
E-Mini Russell 2000 Index® Futures Contracts | 126 | 12/18/08 | $ | 5,971,140 | $ | 1,518,400 |
Cash collateral in the amount of $754,796 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
Swap Agreements
Short Russell2000 had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Russell 2000® Index | 12/08/08 | $ | (42,475,950 | ) | $ | (10,258,260 | ) | ||||||||
Equity Index Swap Agreement based on the Russell 2000® Index | 12/08/08 | (2,800,386 | ) | (521,452 | ) | ||||||||||
$ | (45,276,336 | ) | $ | (10,779,712 | ) |
See accompanying notes to the financial statements.
162
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort QQQ®
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 116.6% | |||||||||||
$ | 121,171,516 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $121,173,637 (b) | $ | 121,171,516 | |||||||
121,171,516 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $121,174,545 (c) | 121,171,516 | |||||||||
9,087,864 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $9,088,015 (d) | 9,087,864 | |||||||||
30,292,879 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $30,294,941 (e) | 30,292,879 | |||||||||
60,585,758 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $60,589,881 (f) | 60,585,758 | |||||||||
212,050,152 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $212,055,100 (g) | 212,050,152 | |||||||||
181,757,273 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $181,760,302 (h) | 181,757,273 | |||||||||
172,806,793 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $172,810,393 (i) | 172,806,793 | |||||||||
Total Investments (Cost $908,923,751) † | 908,923,751 | ||||||||||
Liabilities in excess of other assets — (16.6%) | (129,207,755 | ) | |||||||||
Net Assets — 100.0% | $ | 779,715,996 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $123,594,985. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $123,594,985. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $9,269,991. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $30,898,848. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $61,797,473. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $216,291,375. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
163
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort QQQ® (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $185,392,498. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $176,263,283. 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 contracts as of November 30, 2008:
Number of Contracts | Expiration Date | Notional Amount at Value | Unrealized Appreciation | ||||||||||||||||
E-Mini NASDAQ-100® Index Futures Contracts | 2,303 | 12/19/08 | $ | 54,535,040 | $ | 6,705,084 |
Cash collateral in the amount of $9,558,641 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
Swap Agreements
UltraShort QQQ® had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index | 12/08/08 | $ | (687,065,413 | ) | $ | (86,528,493 | ) | ||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index | 12/08/08 | (311,062,290 | ) | (13,284,803 | ) | ||||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index | 12/08/08 | (281,523,202 | ) | (73,921,477 | ) | ||||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index | 12/08/08 | (197,282,746 | ) | (22,832,161 | ) | ||||||||||
Equity Index Swap Agreement based on the NASDAQ-100® Index | 12/08/08 | (28,139,797 | ) | (3,543,546 | ) | ||||||||||
$ | (1,505,073,448 | ) | $ | (200,110,480 | ) |
See accompanying notes to the financial statements.
164
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Dow30SM
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 104.2% | |||||||||||
$ | 88,973,195 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $88,974,752 (b) | $ | 88,973,195 | |||||||
88,973,195 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $88,975,419 (c) | 88,973,195 | |||||||||
6,672,990 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $6,673,101 (d) | 6,672,990 | |||||||||
22,243,299 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $22,244,813 (e) | 22,243,299 | |||||||||
44,486,598 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $44,489,626 (f) | 44,486,598 | |||||||||
155,703,092 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $155,706,725 (g) | 155,703,092 | |||||||||
133,459,793 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $133,462,017 (h) | 133,459,793 | |||||||||
126,887,680 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $126,890,323 (i) | 126,887,680 | |||||||||
Total Investments (Cost $667,399,842) † | 667,399,842 | ||||||||||
Liabilities in excess of other assets — (4.2%) | (27,131,890 | ) | |||||||||
Net Assets — 100.0% | $ | 640,267,952 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $90,752,687. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $90,752,687. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $6,806,721. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $22,688,247. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $45,376,330. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $158,817,316. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
165
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Dow30SM (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $136,129,046. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $129,425,694. 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, 2008:
Number of Contracts | Expiration Date | Notional Amount at Value | Unrealized Appreciation | ||||||||||||||||
E-Mini Dow Jones Futures Contracts | 1,050 | 12/19/08 | $ | 46,284,000 | $ | 3,589,840 |
Cash collateral in the amount of $10,932,056 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
Swap Agreements
UltraShort Dow30SM had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index | 12/08/08 | $ | (396,411,281 | ) | $ | (16,556,577 | ) | ||||||||
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index | 12/08/08 | (302,691,907 | ) | (52,605,598 | ) | ||||||||||
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index | 12/08/08 | (284,644,922 | ) | (41,385,833 | ) | ||||||||||
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index | 12/08/08 | (140,447,531 | ) | — | |||||||||||
Equity Index Swap Agreement based on Dow Jones Industrial AverageTM Index | 12/08/08 | (108,504,594 | ) | (15,789,627 | ) | ||||||||||
$ | (1,232,700,235 | ) | $ | (126,337,635 | ) |
See accompanying notes to the financial statements.
166
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort S&P500®
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 110.0% | |||||||||||
$ | 433,150,796 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $433,158,376 (b) | $ | 433,150,796 | |||||||
433,150,796 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $433,161,625 (c) | 433,150,796 | |||||||||
32,486,310 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $32,486,851 (d) | 32,486,310 | |||||||||
108,287,699 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $108,295,069 (e) | 108,287,699 | |||||||||
216,575,398 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $216,590,137 (f) | 216,575,398 | |||||||||
758,013,892 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $758,031,579 (g) | 758,013,892 | |||||||||
649,726,194 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $649,737,023 (h) | 649,726,194 | |||||||||
617,730,986 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $617,743,855 (i) | 617,730,986 | |||||||||
Total Investments (Cost $3,249,122,071) † | 3,249,122,071 | ||||||||||
Liabilities in excess of other assets — (10.0%) | (296,418,944 | ) | |||||||||
Net Assets — 100.0% | $ | 2,952,703,127 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $441,813,949. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $441,813,949. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $33,137,358. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $110,453,852. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $220,906,906. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $773,174,958. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully
See accompanying notes to the financial statements.
167
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort S&P500® (continued)
collateralized by U.S. government agency securities at the date of this schedule as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $662,720,998. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $630,086,871. 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, 2008:
Number of Contracts | Expiration Date | Notional Amount at Value | Unrealized Appreciation | ||||||||||||||||
E-Mini S&P 500 Futures Contracts | 3,215 | 12/19/08 | $ | 143,670,313 | $ | 5,383,153 |
Cash collateral in the amount of $28,788,761 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
Swap Agreements
UltraShort S&P500® had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the S&P 500® Index | 12/08/08 | $ | (1,565,699,933 | ) | $ | (310,272,057 | ) | ||||||||
Equity Index Swap Agreement based on the S&P 500® Index | 12/08/08 | (1,128,153,378 | ) | — | |||||||||||
Equity Index Swap Agreement based on the S&P 500® Index | 12/08/08 | (1,323,453,990 | ) | (222,334,630 | ) | ||||||||||
Equity Index Swap Agreement based on the S&P 500® Index | 12/08/08 | (919,426,178 | ) | (147,878,765 | ) | ||||||||||
Equity Index Swap Agreement based on the S&P 500® Index | 12/08/08 | (751,351,183 | ) | (43,539,484 | ) | ||||||||||
Equity Index Swap Agreement based on the S&P 500® Index | 12/08/08 | (76,280,705 | ) | (12,278,094 | ) | ||||||||||
$ | (5,764,365,367 | ) | $ | (736,303,030 | ) |
See accompanying notes to the financial statements.
168
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort MidCap400
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 153.0% | |||||||||||
$ | 23,380,103 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $23,380,512 (b) | $ | 23,380,103 | |||||||
23,380,103 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $23,380,688 (c) | 23,380,103 | |||||||||
1,753,508 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $1,753,537 (d) | 1,753,508 | |||||||||
5,845,025 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $5,845,423 (e) | 5,845,025 | |||||||||
11,690,051 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $11,690,847 (f) | 11,690,051 | |||||||||
40,915,180 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $40,916,135 (g) | 40,915,180 | |||||||||
35,070,154 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $35,070,739 (h) | 35,070,154 | |||||||||
33,343,155 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $33,343,850 (i) | 33,343,155 | |||||||||
Total Investments (Cost $175,377,279) † | 175,377,279 | ||||||||||
Liabilities in excess of other assets — (53.0%) | (60,753,213 | ) | |||||||||
Net Assets — 100.0% | $ | 114,624,066 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $23,847,712. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $23,847,712. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $1,788,650. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $5,961,948. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $11,923,852. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $41,733,526. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
169
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort MidCap400 (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $35,771,572. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $34,010,086. 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, 2008:
Number of Contracts | Expiration Date | Notional Amount at Value | Unrealized Appreciation | ||||||||||||||||
E-Mini S&P MidCap400 Futures Contracts | 25 | 12/19/08 | $ | 1,284,500 | $ | 692,024 |
Cash collateral in the amount of $1,293,814 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
Swap Agreements
UltraShort MidCap400 had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index | 12/08/08 | $ | (139,575,657 | ) | $ | (32,526,830 | ) | ||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index | 12/08/08 | (49,176,849 | ) | (16,773,721 | ) | ||||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index | 12/08/08 | (29,927,484 | ) | (5,677,786 | ) | ||||||||||
Equity Index Swap Agreement based on the S&P MidCap400 Index | 12/08/08 | (9,634,434 | ) | (6,370,114 | ) | ||||||||||
$ | (228,314,424 | ) | $ | (61,348,451 | ) |
See accompanying notes to the financial statements.
170
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort SmallCap600
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 154.8% | |||||||||||
$ | 8,389,755 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $8,389,902 (b) | $ | 8,389,755 | |||||||
8,389,754 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $8,389,964 (c) | 8,389,754 | |||||||||
629,232 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $629,242 (d) | 629,232 | |||||||||
2,097,439 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $2,097,582 (e) | 2,097,439 | |||||||||
4,194,877 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $4,195,162 (f) | 4,194,877 | |||||||||
14,682,070 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $14,682,413 (g) | 14,682,070 | |||||||||
12,584,632 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $12,584,842 (h) | 12,584,632 | |||||||||
11,964,912 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $11,965,161 (i) | 11,964,912 | |||||||||
Total Investments (Cost $62,932,671) † | 62,932,671 | ||||||||||
Liabilities in excess of other assets — (54.8%) | (22,275,689 | ) | |||||||||
Net Assets — 100.0% | $ | 40,656,982 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $8,557,552. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $8,557,552. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $641,842. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $2,139,396. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $4,278,775. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $14,975,727. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
171
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort SmallCap600 (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $12,836,330. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $12,204,235. 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, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the S&P SmallCap600 Index | 12/08/08 | $ | (41,692,502 | ) | $ | (13,226,187 | ) | ||||||||
Equity Index Swap Agreement based on the S&P SmallCap600 Index | 12/08/08 | (28,445,401 | ) | (6,264,518 | ) | ||||||||||
Equity Index Swap Agreement based on the S&P SmallCap600 Index | 12/08/08 | (13,634,608 | ) | (2,723,422 | ) | ||||||||||
$ | (83,772,511 | ) | $ | (22,214,127 | ) |
See accompanying notes to the financial statements.
172
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Russell2000
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 157.9% | |||||||||||
$ | 101,296,653 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $101,298,426 (b) | $ | 101,296,653 | |||||||
101,296,653 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $101,299,185 (c) | 101,296,653 | |||||||||
7,597,249 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $7,597,376 (d) | 7,597,249 | |||||||||
25,324,163 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $25,325,886 (e) | 25,324,163 | |||||||||
50,648,327 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $50,651,774 (f) | 50,648,327 | |||||||||
177,269,143 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $177,273,279 (g) | 177,269,143 | |||||||||
151,944,980 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $151,947,512 (h) | 151,944,980 | |||||||||
144,462,580 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $144,465,590 (i) | 144,462,580 | |||||||||
Total Investments (Cost $759,839,748) † | 759,839,748 | ||||||||||
Liabilities in excess of other assets — (57.9%) | (278,754,597 | ) | |||||||||
Net Assets — 100.0% | $ | 481,085,151 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $103,322,618. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $103,322,618. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $7,749,503. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $25,830,740. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $51,661,294. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $180,814,710. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
173
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Russell2000 (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $154,983,945. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $147,352,128. 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, 2008:
Number of Contracts | Expiration Date | Notional Amount at Value | Unrealized Appreciation | ||||||||||||||||
E-Mini Russell 2000 Futures Contracts | 410 | 12/18/08 | $ | 19,429,900 | $ | 2,935,225 |
Cash collateral in the amount of $5,119,495 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
Swap Agreements
UltraShort Russell2000 had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Russell 2000® Index | 12/08/08 | $ | (382,405,999 | ) | $ | (122,853,135 | ) | ||||||||
Equity Index Swap Agreement based on the Russell 2000® Index | 12/08/08 | (351,094,403 | ) | (105,561,645 | ) | ||||||||||
Equity Index Swap Agreement based on the Russell 2000® Index | 12/08/08 | (200,311,691 | ) | (43,155,417 | ) | ||||||||||
Equity Index Swap Agreement based on the Russell 2000® Index | 12/08/08 | (9,665,289 | ) | (1,799,592 | ) | ||||||||||
$ | (943,477,382 | ) | $ | (273,369,789 | ) |
See accompanying notes to the financial statements.
174
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Russell1000 Value
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 157.0% | |||||||||||
$ | 3,884,764 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $3,884,832 (b) | $ | 3,884,764 | |||||||
3,884,764 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $3,884,861 (c) | 3,884,764 | |||||||||
291,357 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $291,362 (d) | 291,357 | |||||||||
971,191 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $971,257 (e) | 971,191 | |||||||||
1,942,382 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $1,942,514 (f) | 1,942,382 | |||||||||
6,798,338 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $6,798,497 (g) | 6,798,338 | |||||||||
5,827,146 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $5,827,243 (h) | 5,827,146 | |||||||||
5,540,194 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $5,540,309 (i) | 5,540,194 | |||||||||
Total Investments (Cost $29,140,136) † | 29,140,136 | ||||||||||
Liabilities in excess of other assets — (57.0%) | (10,578,555 | ) | |||||||||
Net Assets — 100.0% | $ | 18,561,581 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $3,962,461. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $3,962,461. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $297,196. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $990,618. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $1,981,230. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $6,934,311. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
175
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Russell1000 Value (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $5,943,691. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $5,651,009. 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 open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Russell 1000® Value Index | 12/08/08 | $ | (18,140,360 | ) | $ | (4,542,662 | ) | ||||||||
Equity Index Swap Agreement based on the Russell 1000® Value Index | 12/08/08 | (19,479,854 | ) | (6,004,667 | ) | ||||||||||
$ | (37,620,214 | ) | $ | (10,547,329 | ) |
See accompanying notes to the financial statements.
176
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Russell1000 Growth
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 141.3% | |||||||||||
$ | 5,162,788 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $5,162,878 (b) | $ | 5,162,788 | |||||||
5,162,788 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $5,162,917 (c) | 5,162,788 | |||||||||
387,209 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $387,215 (d) | 387,209 | |||||||||
1,290,697 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $1,290,785 (e) | 1,290,697 | |||||||||
2,581,394 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $2,581,570 (f) | 2,581,394 | |||||||||
9,034,880 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $9,035,091 (g) | 9,034,880 | |||||||||
7,744,182 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $7,744,311 (h) | 7,744,182 | |||||||||
7,362,827 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $7,362,980 (i) | 7,362,827 | |||||||||
Total Investments (Cost $38,726,765) † | 38,726,765 | ||||||||||
Liabilities in excess of other assets — (41.3%) | (11,318,990 | ) | |||||||||
Net Assets — 100.0% | $ | 27,407,775 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $5,266,045. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $5,266,045. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $394,969. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $1,316,516. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $2,633,022. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $9,215,586. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully
See accompanying notes to the financial statements.
177
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Russell1000 Growth (continued)
collateralized by U.S. government agency securities at the date of this schedule as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $7,899,069. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $7,510,099. 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 agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Russell 1000® Growth Index | 12/08/08 | $ | (36,037,024 | ) | $ | (8,270,034 | ) | ||||||||
Equity Index Swap Agreement based on the Russell 1000® Growth Index | 12/08/08 | (19,346,617 | ) | (3,012,175 | ) | ||||||||||
$ | (55,383,641 | ) | $ | (11,282,209 | ) |
See accompanying notes to the financial statements.
178
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Russell MidCap Value
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 160.0% | |||||||||||
$ | 2,427,476 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $2,427,518 (b) | $ | 2,427,476 | |||||||
2,427,476 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $2,427,537 (c) | 2,427,476 | |||||||||
182,061 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $182,064 (d) | 182,061 | |||||||||
606,869 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $606,910 (e) | 606,869 | |||||||||
1,213,738 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $1,213,821 (f) | 1,213,738 | |||||||||
4,248,084 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $4,248,183 (g) | 4,248,084 | |||||||||
3,641,215 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $3,641,276 (h) | 3,641,215 | |||||||||
3,461,906 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $3,461,978 (i) | 3,461,906 | |||||||||
Total Investments (Cost $18,208,825) † | 18,208,825 | ||||||||||
Liabilities in excess of other assets — (60.0%) | (6,831,189 | ) | |||||||||
Net Assets — 100.0% | $ | 11,377,636 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $2,476,026. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $2,476,026. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $185,710. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $619,009. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $1,238,013. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $4,333,050. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
179
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Russell MidCap Value (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $3,714,041. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $3,531,151. 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, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Russell Midcap® Value Index | 12/08/08 | $ | (22,649,703 | ) | $ | (6,696,455 | ) | ||||||||
Equity Index Swap Agreement based on the Russell Midcap® Value Index | 12/08/08 | (350,174 | ) | (104,778 | ) | ||||||||||
$ | (22,999,877 | ) | $ | (6,801,233 | ) |
See accompanying notes to the financial statements.
180
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Russell MidCap Growth
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 158.8% | |||||||||||
$ | 2,253,187 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $2,253,226 (b) | $ | 2,253,187 | |||||||
2,253,187 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $2,253,243 (c) | 2,253,187 | |||||||||
168,989 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $168,992 (d) | 168,989 | |||||||||
563,297 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $563,335 (e) | 563,297 | |||||||||
1,126,594 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $1,126,671 (f) | 1,126,594 | |||||||||
3,943,078 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $3,943,170 (g) | 3,943,078 | |||||||||
3,379,781 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $3,379,837 (h) | 3,379,781 | |||||||||
3,213,347 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $3,213,414 (i) | 3,213,347 | |||||||||
Total Investments (Cost $16,901,460) † | 16,901,460 | ||||||||||
Liabilities in excess of other assets — (58.8%) | (6,255,891 | ) | |||||||||
Net Assets — 100.0% | $ | 10,645,569 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $2,298,251. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $2,298,251. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $172,376. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $574,565. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $1,149,126. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $4,021,944. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
181
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Russell MidCap Growth (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $3,447,378. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $3,277,621. 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 agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Russell Midcap® Growth Index | 12/08/08 | $ | (20,749,259 | ) | $ | (6,002,618 | ) | ||||||||
Equity Index Swap Agreement based on the Russell Midcap® Growth Index | 12/08/08 | (880,371 | ) | (223,563 | ) | ||||||||||
$ | (21,629,630 | ) | $ | (6,226,181 | ) |
See accompanying notes to the financial statements.
182
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Russell2000 Value
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 162.2% | |||||||||||
$ | 3,766,569 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $3,766,635 (b) | $ | 3,766,569 | |||||||
3,766,569 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $3,766,663 (c) | 3,766,569 | |||||||||
282,493 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $282,498 (d) | 282,493 | |||||||||
941,642 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $941,706 (e) | 941,642 | |||||||||
1,883,284 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $1,883,412 (f) | 1,883,284 | |||||||||
6,591,496 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $6,591,650 (g) | 6,591,496 | |||||||||
5,649,853 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $5,649,947 (h) | 5,649,853 | |||||||||
5,371,631 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $5,371,743 (i) | 5,371,631 | |||||||||
Total Investments (Cost $28,253,537) † | 28,253,537 | ||||||||||
Liabilities in excess of other assets — (62.2%) | (10,833,244 | ) | |||||||||
Net Assets — 100.0% | $ | 17,420,293 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $3,841,902. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $3,841,902. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $288,154. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $960,478. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $1,920,950. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $6,723,332. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
183
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Russell2000 Value (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $5,762,852. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $5,479,075. 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, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Russell 2000® Value Index | 12/08/08 | $ | (20,334,814 | ) | $ | (3,891,923 | ) | ||||||||
Equity Index Swap Agreement based on the Russell 2000® Value Index | 12/08/08 | (15,203,459 | ) | (6,778,892 | ) | ||||||||||
Equity Index Swap Agreement based on the Russell 2000® Value Index | 12/08/08 | (668,391 | ) | (128,046 | ) | ||||||||||
$ | (36,206,664 | ) | $ | (10,798,861 | ) |
See accompanying notes to the financial statements.
184
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Russell2000 Growth
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 234.1% | |||||||||||
$ | 5,675,031 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $5,675,130 (b) | $ | 5,675,031 | |||||||
5,675,031 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $5,675,173 (c) | 5,675,031 | |||||||||
425,627 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $425,634 (d) | 425,627 | |||||||||
1,418,758 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $1,418,855 (e) | 1,418,758 | |||||||||
2,837,516 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $2,837,709 (f) | 2,837,516 | |||||||||
9,931,306 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $9,931,538 (g) | 9,931,306 | |||||||||
8,512,548 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $8,512,690 (h) | 8,512,548 | |||||||||
8,093,355 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $8,093,524 (i) | 8,093,355 | |||||||||
Total Investments (Cost $42,569,172) † | 42,569,172 | ||||||||||
Liabilities in excess of other assets — (134.1%) | (24,386,799 | ) | |||||||||
Net Assets — 100.0% | $ | 18,182,373 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $5,788,534. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $5,788,534. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $434,157. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $1,447,138. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $2,894,266. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $10,129,942. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
185
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Russell2000 Growth (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $8,682,803. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $8,255,239. 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, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Russell 2000® Growth Index | 12/08/08 | $ | (21,392,922 | ) | $ | (6,671,696 | ) | ||||||||
Equity Index Swap Agreement based on the Russell 2000® Growth Index | 12/08/08 | (16,299,534 | ) | (6,840,983 | ) | ||||||||||
$ | (37,692,456 | ) | $ | (13,512,679 | ) |
See accompanying notes to the financial statements.
186
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short Financials
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 120.4% | |||||||||||
$ | 6,248,590 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $6,248,699 (b) | $ | 6,248,590 | |||||||
6,248,590 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $6,248,746 (c) | 6,248,590 | |||||||||
468,644 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $468,652 (d) | 468,644 | |||||||||
1,562,148 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $1,562,254 (e) | 1,562,148 | |||||||||
3,124,295 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $3,124,508 (f) | 3,124,295 | |||||||||
10,935,033 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $10,935,288 (g) | 10,935,033 | |||||||||
9,372,886 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $9,373,042 (h) | 9,372,886 | |||||||||
8,911,326 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $8,911,512 (i) | 8,911,326 | |||||||||
Total Investments (Cost $46,871,512) † | 46,871,512 | ||||||||||
Liabilities in excess of other assets — (20.4%) | (7,949,444 | ) | |||||||||
Net Assets — 100.0% | $ | 38,922,068 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $6,373,564. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $6,373,564. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $478,036. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $1,593,397. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $3,186,781. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $11,153,745. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
187
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short Financials (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $9,560,348. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $9,089,571. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
Short Financials had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. FinancialsSM Index | 12/08/08 | $ | (15,349,374 | ) | $ | — | |||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. FinancialsSM Index | 12/08/08 | (23,697,543 | ) | (11,056,319 | ) | ||||||||||
$ | (39,046,917 | ) | $ | (11,056,319 | ) |
See accompanying notes to the financial statements.
188
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short Oil & Gas
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 114.4% | |||||||||||
$ | 1,026,484 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $1,026,502 (b) | $ | 1,026,484 | |||||||
1,026,484 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $1,026,510 (c) | 1,026,484 | |||||||||
76,986 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $76,987 (d) | 76,986 | |||||||||
256,620 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $256,637 (e) | 256,620 | |||||||||
513,242 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $513,277 (f) | 513,242 | |||||||||
1,796,346 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $1,796,388 (g) | 1,796,346 | |||||||||
1,539,725 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $1,539,751 (h) | 1,539,725 | |||||||||
1,463,903 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $1,463,933 (i) | 1,463,903 | |||||||||
Total Investments (Cost $7,699,790) † | 7,699,790 | ||||||||||
Liabilities in excess of other assets — (14.4%) | (967,609 | ) | |||||||||
Net Assets — 100.0% | $ | 6,732,181 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $1,047,014. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $1,047,014. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $78,529. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $261,753. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $523,507. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $1,832,275. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized
See accompanying notes to the financial statements.
189
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short Oil & Gas (continued)
by U.S. government agency securities at the date of this schedule as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $1,570,520. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $1,493,184. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
Short Oil & Gas had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & Gas Index | 12/08/08 | $ | (6,246,445 | ) | $ | (1,523,200 | ) | ||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & Gas Index | 12/08/08 | (487,679 | ) | — | |||||||||||
$ | (6,734,124 | ) | $ | (1,523,200 | ) |
See accompanying notes to the financial statements.
190
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Basic Materials
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 184.2% | |||||||||||
$ | 41,989,880 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $41,990,615 (b) | $ | 41,989,880 | |||||||
41,989,880 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $41,990,930 (c) | 41,989,880 | |||||||||
3,149,241 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $3,149,293 (d) | 3,149,241 | |||||||||
10,497,470 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $10,498,184 (e) | 10,497,470 | |||||||||
20,994,940 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $20,996,369 (f) | 20,994,940 | |||||||||
73,482,291 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $73,484,006 (g) | 73,482,291 | |||||||||
62,984,820 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $62,985,870 (h) | 62,984,820 | |||||||||
59,883,187 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $59,884,435 (i) | 59,883,187 | |||||||||
Total Investments (Cost $314,971,709) † | 314,971,709 | ||||||||||
Liabilities in excess of other assets — (84.2%) | (144,018,978 | ) | |||||||||
Net Assets — 100.0% | $ | 170,952,731 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $42,829,691. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $42,829,691. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $3,212,354. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $10,707,458. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $21,414,839. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $74,952,012. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized
See accompanying notes to the financial statements.
191
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Basic Materials (continued)
by U.S. government agency securities at the date of this schedule as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $64,244,544. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $61,080,973. 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, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Basic Materials Index | 12/08/08 | $ | (174,439,163 | ) | $ | (49,821,334 | ) | ||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Basic Materials Index | 12/08/08 | (104,572,608 | ) | (22,969,244 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Basic Materials Index | 12/08/08 | (66,272,213 | ) | (57,951,942 | ) | ||||||||||
$ | (345,283,984 | ) | $ | (130,742,520 | ) |
See accompanying notes to the financial statements.
192
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Consumer Goods
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 131.6% | |||||||||||
$ | 7,367,663 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $7,367,792 (b) | $ | 7,367,663 | |||||||
7,367,663 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $7,367,847 (c) | 7,367,663 | |||||||||
552,575 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $552,584 (d) | 552,575 | |||||||||
1,841,916 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $1,842,041 (e) | 1,841,916 | |||||||||
3,683,830 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $3,684,081 (f) | 3,683,830 | |||||||||
12,893,410 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $12,893,711 (g) | 12,893,410 | |||||||||
11,051,494 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $11,051,678 (h) | 11,051,494 | |||||||||
10,507,273 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $10,507,492 (i) | 10,507,273 | |||||||||
Total Investments (Cost $55,265,824) † | 55,265,824 | ||||||||||
Liabilities in excess of other assets — (31.6%) | (13,262,845 | ) | |||||||||
Net Assets — 100.0% | $ | 42,002,979 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $7,515,019. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $7,515,019. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $563,649. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $1,878,761. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $3,757,508. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $13,151,292. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized
See accompanying notes to the financial statements.
193
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Consumer Goods (continued)
by U.S. government agency securities at the date of this schedule as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $11,272,529. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $10,717,440. 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, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer GoodsSM Index | 12/08/08 | $ | (39,129,481 | ) | $ | (4,600,061 | ) | ||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer GoodsSM Index | 12/08/08 | (25,715,778 | ) | (3,021,552 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer GoodsSM Index | 12/08/08 | (20,871,770 | ) | (5,489,794 | ) | ||||||||||
$ | (85,717,029 | ) | $ | (13,111,407 | ) |
See accompanying notes to the financial statements.
194
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Consumer Services
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 150.0% | |||||||||||
$ | 28,620,298 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $28,620,799 (b) | $ | 28,620,298 | |||||||
28,620,298 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $28,621,014 (c) | 28,620,298 | |||||||||
2,146,522 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $2,146,558 (d) | 2,146,522 | |||||||||
7,155,074 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $7,155,561 (e) | 7,155,074 | |||||||||
14,310,149 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $14,311,123 (f) | 14,310,149 | |||||||||
50,085,522 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $50,086,691 (g) | 50,085,522 | |||||||||
42,930,447 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $42,931,163 (h) | 42,930,447 | |||||||||
40,816,374 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $40,817,224 (i) | 40,816,374 | |||||||||
Total Investments (Cost $214,684,684) † | 214,684,684 | ||||||||||
Liabilities in excess of other assets — (50.0%) | (71,521,190 | ) | |||||||||
Net Assets — 100.0% | $ | 143,163,494 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $29,192,713. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $29,192,713. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $2,189,540. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $7,298,202. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $14,596,352. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $51,087,283. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized
See accompanying notes to the financial statements.
195
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Consumer Services (continued)
by U.S. government agency securities at the date of this schedule as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $43,789,074. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $41,632,785. 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, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer ServicesSM Index | 12/08/08 | $ | (202,094,671 | ) | $ | (59,329,017 | ) | ||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer ServicesSM Index | 12/08/08 | (70,776,771 | ) | (11,714,823 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Consumer ServicesSM Index | 12/08/08 | (17,845,365 | ) | 12,154,635 | |||||||||||
$ | (290,716,807 | ) | $ | (58,889,205 | ) |
See accompanying notes to the financial statements.
196
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Financials
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 88.2% | |||||||||||
$ | 87,415,169 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $87,416,699 (b) | $ | 87,415,169 | |||||||
87,415,169 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $87,417,354 (c) | 87,415,169 | |||||||||
6,556,138 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $6,556,247 (d) | 6,556,138 | |||||||||
21,853,792 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $21,855,279 (e) | 21,853,792 | |||||||||
43,707,585 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $43,710,560 (f) | 43,707,585 | |||||||||
152,976,547 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $152,980,115 (g) | 152,976,547 | |||||||||
131,122,754 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $131,124,939 (h) | 131,122,754 | |||||||||
124,665,727 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $124,668,324 (i) | 124,665,727 | |||||||||
Total Investments (Cost $655,712,881) † | 655,712,881 | ||||||||||
Other assets less liabilities — 11.8% | 87,496,693 | ||||||||||
Net Assets — 100.0% | $ | 743,209,574 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $89,163,500. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $89,163,500. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $6,687,528. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $22,290,948. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $44,581,737. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $156,036,236. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized by U.S. government agency securities at the date
See accompanying notes to the financial statements.
197
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Financials (continued)
of this schedule as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $133,745,266. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $127,159,297. 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, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Financials Index | 12/08/08 | $ | (307,982,756 | ) | $ | — | |||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Financials Index | 12/08/08 | (342,801,735 | ) | (86,072,191 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Financials Index | 12/08/08 | (325,662,210 | ) | (85,633,645 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Financials Index | 12/08/08 | (287,312,056 | ) | (93,379,032 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Financials Index | 12/08/08 | (191,736,544 | ) | (13,108,949 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Financials Index | 12/08/08 | (35,570,045 | ) | (8,932,748 | ) | ||||||||||
$ | (1,491,065,346 | ) | $ | (287,126,565 | ) |
See accompanying notes to the financial statements.
198
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Health Care
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 123.6% | |||||||||||
$ | 2,536,743 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $2,536,787 (b) | $ | 2,536,743 | |||||||
2,536,743 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $2,536,806 (c) | 2,536,743 | |||||||||
190,256 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $190,259 (d) | 190,256 | |||||||||
634,186 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $634,229 (e) | 634,186 | |||||||||
1,268,371 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $1,268,457 (f) | 1,268,371 | |||||||||
4,439,299 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $4,439,403 (g) | 4,439,299 | |||||||||
3,805,114 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $3,805,177 (h) | 3,805,114 | |||||||||
3,617,734 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $3,617,809 (i) | 3,617,734 | |||||||||
Total Investments (Cost $19,028,446) † | 19,028,446 | ||||||||||
Liabilities in excess of other assets — (23.6%) | (3,637,071 | ) | |||||||||
Net Assets — 100.0% | $ | 15,391,375 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%,due 12/3/08 to 10/22/18, which had a total value of $2,587,479. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $2,587,479. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $194,069. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $646,872. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $1,293,738. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $4,528,091. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized
See accompanying notes to the financial statements.
199
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Health Care (continued)
by U.S. government agency securities at the date of this schedule as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $3,881,218. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%,due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $3,690,096. 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, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Health Care Index | 12/08/08 | $ | (24,483,846 | ) | $ | (2,981,464 | ) | ||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Health Care Index | 12/08/08 | (4,612,973 | ) | (435,670 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Health Care Index | 12/08/08 | (2,012,903 | ) | (190,159 | ) | ||||||||||
$ | (31,109,722 | ) | $ | (3,607,293 | ) |
See accompanying notes to the financial statements.
200
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Industrials
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 156.0% | |||||||||||
$ | 18,851,795 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $18,852,125 (b) | $ | 18,851,795 | |||||||
18,851,795 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $18,852,266 (c) | 18,851,795 | |||||||||
1,413,885 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $1,413,909 (d) | 1,413,885 | |||||||||
4,712,949 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $4,713,270 (e) | 4,712,949 | |||||||||
9,425,897 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $9,426,538 (f) | 9,425,897 | |||||||||
32,990,640 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $32,991,410 (g) | 32,990,640 | |||||||||
28,277,692 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $28,278,163 (h) | 28,277,692 | |||||||||
26,885,181 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $26,885,741 (i) | 26,885,181 | |||||||||
Total Investments (Cost $141,409,834) † | 141,409,834 | ||||||||||
Liabilities in excess of other assets — (56.0%) | (50,773,069 | ) | |||||||||
Net Assets — 100.0% | $ | 90,636,765 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $19,228,837. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $19,228,837. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $1,442,220. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $4,807,225. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $9,614,415. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $33,650,488. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized
See accompanying notes to the financial statements.
201
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Industrials (continued)
by U.S. government agency securities at the date of this schedule as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $28,843,258. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%,due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $27,422,940. 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, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swaps Agreement Based on the Dow Jones U.S. IndustrialsSM Index | 12/08/08 | $ | (75,425,354 | ) | $ | (13,609,014 | ) | ||||||||
Equity Index Swaps Agreement Based on the Dow Jones U.S. IndustrialsSM Index | 12/08/08 | (48,538,418 | ) | (12,779,390 | ) | ||||||||||
Equity Index Swaps Agreement Based on the Dow Jones U.S. IndustrialsSM Index | 12/08/08 | (38,304,691 | ) | (9,714,671 | ) | ||||||||||
Equity Index Swaps Agreement Based on the Dow Jones U.S. IndustrialsSM Index | 12/08/08 | (21,832,996 | ) | (13,593,777 | ) | ||||||||||
$ | (184,101,459 | ) | $ | (49,696,852 | ) |
See accompanying notes to the financial statements.
202
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Oil & Gas
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 108.3% | |||||||||||
$ | 88,570,752 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $88,572,302 (b) | $ | 88,570,752 | |||||||
88,570,752 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $88,572,966 (c) | 88,570,752 | |||||||||
6,642,806 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $6,642,917 (d) | 6,642,806 | |||||||||
22,142,688 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $22,144,195 (e) | 22,142,688 | |||||||||
44,285,376 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $44,288,390 (f) | 44,285,376 | |||||||||
154,998,816 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $155,002,433 (g) | 154,998,816 | |||||||||
132,856,128 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $132,858,342 (h) | 132,856,128 | |||||||||
126,313,742 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $126,316,374 (i) | 126,313,742 | |||||||||
Total Investments (Cost $664,381,060) † | 664,381,060 | ||||||||||
Liabilities in excess of other assets — (8.3%) | (50,668,745 | ) | |||||||||
Net Assets — 100.0% | $ | 613,712,315 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $90,342,195. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $90,342,195. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $6,775,932. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $22,585,623. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $45,171,084. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $158,098,953. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully collateralized
See accompanying notes to the financial statements.
203
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Oil & Gas (continued)
by U.S. government agency securities at the date of this schedule as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $135,513,308. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%,due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $128,840,276. 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, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & Gas Index | 12/08/08 | $ | (564,965,405 | ) | $ | (111,423,574 | ) | ||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & Gas Index | 12/08/08 | (275,632,187 | ) | — | |||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & Gas Index | 12/08/08 | (174,848,713 | ) | (57,252,396 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & Gas Index | 12/08/08 | (128,857,765 | ) | (59,551,962 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Oil & Gas Index | 12/08/08 | (94,169,726 | ) | (24,877,645 | ) | ||||||||||
$ | (1,238,473,796 | ) | $ | (253,105,577 | ) |
See accompanying notes to the financial statements.
204
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Real Estate
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 59.2% | |||||||||||
$ | 90,233,737 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $90,235,316 (b) | $ | 90,233,737 | |||||||
90,233,737 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $90,235,993 (c) | 90,233,737 | |||||||||
6,767,530 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $6,767,643 (d) | 6,767,530 | |||||||||
22,558,434 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $22,559,969 (e) | 22,558,434 | |||||||||
45,116,869 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $45,119,939 (f) | 45,116,869 | |||||||||
157,909,040 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $157,912,725 (g) | 157,909,040 | |||||||||
135,350,606 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $135,352,862 (h) | 135,350,606 | |||||||||
128,685,381 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $128,688,062 (i) | 128,685,381 | |||||||||
Total Investments (Cost $676,855,334) † | 676,855,334 | ||||||||||
Other assets less liabilities— 40.8% | 465,889,731 | ||||||||||
Net Assets — 100.0% | $ | 1,142,745,065 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $92,038,440. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $92,038,440. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $6,903,156. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $23,009,686. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $46,019,206. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $161,067,385. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully
See accompanying notes to the financial statements.
205
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Real Estate (continued)
collateralized by U.S. government agency securities at the date of this schedule as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $138,057,676. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%,due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $131,259,353. 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, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Real Estate Index | 12/08/08 | $ | (797,192,357 | ) | $ | — | |||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Real Estate Index | 12/08/08 | (421,078,261 | ) | (48,513,939 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Real Estate Index | 12/08/08 | (474,930,125 | ) | (187,470,282 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Real Estate Index | 12/08/08 | (365,450,406 | ) | (88,287,483 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Real Estate Index | 12/08/08 | (118,925,890 | ) | (2,033,148 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Real Estate Index | 12/08/08 | (34,595,376 | ) | (8,360,280 | ) | ||||||||||
$ | (2,212,172,415 | ) | $ | (334,665,132 | ) |
See accompanying notes to the financial statements.
206
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Semiconductors
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 139.8% | |||||||||||
$ | 8,211,563 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $8,211,707 (b) | $ | 8,211,563 | |||||||
8,211,563 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $8,211,768 (c) | 8,211,563 | |||||||||
615,867 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $615,877 (d) | 615,867 | |||||||||
2,052,891 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $2,053,031 (e) | 2,052,891 | |||||||||
4,105,781 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $4,106,060 (f) | 4,105,781 | |||||||||
14,370,235 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $14,370,570 (g) | 14,370,235 | |||||||||
12,317,344 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $12,317,549 (h) | 12,317,344 | |||||||||
11,710,787 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $11,711,031 (i) | 11,710,787 | |||||||||
Total Investments (Cost $61,596,031) † | 61,596,031 | ||||||||||
Liabilities in excess of other assets — (39.8%) | (17,526,225 | ) | |||||||||
Net Assets — 100.0% | $ | 44,069,806 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $8,375,797. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $8,375,797. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $628,209. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $2,093,956. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $4,187,897. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $14,657,655. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
207
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Semiconductors (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $12,563,696. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%,due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $11,945,027. 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 agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. SemiconductorsSM Index | 12/08/08 | $ | (57,395,174 | ) | $ | (7,794,950 | ) | ||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. SemiconductorsSM Index | 12/08/08 | (26,048,939 | ) | (8,812,487 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. SemiconductorsSM Index | 12/08/08 | (5,912,909 | ) | (802,267 | ) | ||||||||||
$ | (89,357,022 | ) | $ | (17,409,704 | ) |
See accompanying notes to the financial statements.
208
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Technology
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 138.2% | |||||||||||
$ | 14,331,609 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $14,331,860 (b) | $ | 14,331,609 | |||||||
14,331,609 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $14,331,967 (c) | 14,331,609 | |||||||||
1,074,871 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $1,074,889 (d) | 1,074,871 | |||||||||
3,582,902 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $3,583,146 (e) | 3,582,902 | |||||||||
7,165,804 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $7,166,292 (f) | 7,165,804 | |||||||||
25,080,315 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $25,080,900 (g) | 25,080,315 | |||||||||
21,497,413 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $21,497,771 (h) | 21,497,413 | |||||||||
20,438,791 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $20,439,217 (i) | 20,438,791 | |||||||||
Total Investments (Cost $107,503,314) † | 107,503,314 | ||||||||||
Liabilities in excess of other assets — (38.2%) | (29,692,478 | ) | |||||||||
Net Assets — 100.0% | $ | 77,810,836 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $14,618,246. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $14,618,246. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $1,096,412. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $3,654,573. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $7,309,120. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $25,581,947. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully
See accompanying notes to the financial statements.
209
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Technology (continued)
collateralized by U.S. government agency securities at the date of this schedule as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $21,927,371. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%,due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $20,847,609. 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 agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Technology Index | 12/08/08 | $ | (73,213,975 | ) | $ | (9,484,890 | ) | ||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Technology Index | 12/08/08 | (56,245,274 | ) | (7,280,512 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Technology Index | 12/08/08 | (27,412,570 | ) | (11,684,566 | ) | ||||||||||
$ | (156,871,819 | ) | $ | (28,449,968 | ) |
See accompanying notes to the financial statements.
210
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Telecommunications
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 170.5% | |||||||||||
$ | 1,446,863 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $1,446,888 (b) | $ | 1,446,863 | |||||||
1,446,863 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $1,446,899 (c) | 1,446,863 | |||||||||
108,515 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $108,517 (d) | 108,515 | |||||||||
361,716 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $361,741 (e) | 361,716 | |||||||||
723,432 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $723,481 (f) | 723,432 | |||||||||
2,532,010 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $2,532,070 (g) | 2,532,010 | |||||||||
2,170,295 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $2,170,331 (h) | 2,170,295 | |||||||||
2,063,421 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $2,063,464 (i) | 2,063,421 | |||||||||
Total Investments (Cost $10,853,115) † | 10,853,115 | ||||||||||
Liabilities in excess of other assets — (70.5%) | (4,488,956 | ) | |||||||||
Net Assets — 100.0% | $ | 6,364,159 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $1,475,801. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $1,475,801. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $110,690. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $368,952. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $737,901. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $2,582,654. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully
See accompanying notes to the financial statements.
211
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Telecommunications (continued)
collateralized by U.S. government agency securities at the date of this schedule as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $2,213,702. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $2,104,694. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Swap Agreements
UltraShort Telecommunications had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Select Telecommunications Index | 12/08/08 | $ | (3,689,883 | ) | $ | (773,274 | ) | ||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Select Telecommunications Index | 12/08/08 | (3,146,745 | ) | (659,367 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Select Telecommunications Index | 12/08/08 | (2,927,618 | ) | (1,155,886 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. Select Telecommunications Index | 12/08/08 | (3,082,871 | ) | (1,852,209 | ) | ||||||||||
$ | (12,847,117 | ) | $ | (4,440,736 | ) |
See accompanying notes to the financial statements.
212
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Utilities
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 138.6% | |||||||||||
$ | 2,918,887 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $2,918,938 (b) | $ | 2,918,887 | |||||||
2,918,887 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $2,918,960 (c) | 2,918,887 | |||||||||
218,917 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $218,921 (d) | 218,917 | |||||||||
729,722 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $729,772 (e) | 729,722 | |||||||||
1,459,444 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $1,459,543 (f) | 1,459,444 | |||||||||
5,108,052 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $5,108,171 (g) | 5,108,052 | |||||||||
4,378,330 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $4,378,404 (h) | 4,378,330 | |||||||||
4,162,723 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $4,162,810 (i) | 4,162,723 | |||||||||
Total Investments (Cost $21,894,962) † | 21,894,962 | ||||||||||
Liabilities in excess of other assets — (38.6%) | (6,101,522 | ) | |||||||||
Net Assets — 100.0% | $ | 15,793,440 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $2,977,266. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $2,977,266. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $223,304. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $744,319. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $1,488,633. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $5,210,218. The investment in the repurchase agreement was through participation in a pooled account.
(h) Represents the Fund's undivided interest in a joint repurchase agreement. The repurchase agreement was fully
See accompanying notes to the financial statements.
213
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort Utilities (continued)
collateralized by U.S. government agency securities at the date of this schedule as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $4,465,900. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%,due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $4,245,986. 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, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. UtilitiesSM Index | 12/08/08 | $ | (14,914,388 | ) | $ | (3,429,283 | ) | ||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. UtilitiesSM Index | 12/08/08 | (9,360,248 | ) | (1,219,600 | ) | ||||||||||
Equity Index Swap Agreement based on the Dow Jones U.S. UtilitiesSM Index | 12/08/08 | (7,940,397 | ) | (1,034,343 | ) | ||||||||||
$ | (32,215,033 | ) | $ | (5,683,226 | ) |
See accompanying notes to the financial statements.
214
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short MSCI EAFE
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 118.0% | |||||||||||
$ | 9,191,004 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $9,191,165 (b) | $ | 9,191,004 | |||||||
9,191,004 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $9,191,234 (c) | 9,191,004 | |||||||||
689,325 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $689,336 (d) | 689,325 | |||||||||
2,297,751 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $2,297,907 (e) | 2,297,751 | |||||||||
4,595,502 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $4,595,815 (f) | 4,595,502 | |||||||||
16,084,257 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $16,084,632 (g) | 16,084,257 | |||||||||
13,786,506 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $13,786,736 (h) | 13,786,506 | |||||||||
13,107,602 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $13,107,875 (i) | 13,107,602 | |||||||||
Total Investments (Cost $68,942,951) † | 68,942,951 | ||||||||||
Liabilities in excess of other assets — (18.0%) | (10,514,860 | ) | |||||||||
Net Assets — 100.0% | $ | 58,428,091 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $9,374,827. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $9,374,827. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $703,140. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $2,343,714. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $4,687,412. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $16,405,959. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
215
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short MSCI EAFE (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $14,062,242. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $13,369,780. 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, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the MSCI EAFE Index | 12/08/08 | $ | (40,169,493 | ) | $ | (7,928,623 | ) | ||||||||
Equity Index Swap Agreement based on the MSCI EAFE Index | 12/08/08 | (10,654,499 | ) | (1,526,008 | ) | ||||||||||
Equity Index Swap Agreement based on the MSCI EAFE Index | 12/08/08 | (6,928,560 | ) | (993,712 | ) | ||||||||||
$ | (57,752,552 | ) | $ | (10,448,343 | ) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
216
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short MSCI Emerging Markets
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 130.7% | |||||||||||
$ | 6,456,169 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $6,456,282 (b) | $ | 6,456,169 | |||||||
6,456,169 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $6,456,330 (c) | 6,456,169 | |||||||||
484,213 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $484,221 (d) | 484,213 | |||||||||
1,614,043 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $1,614,153 (e) | 1,614,043 | |||||||||
3,228,085 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $3,228,305 (f) | 3,228,085 | |||||||||
11,298,296 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $11,298,560 (g) | 11,298,296 | |||||||||
9,684,254 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $9,684,415 (h) | 9,684,254 | |||||||||
9,207,361 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $9,207,553 (i) | 9,207,361 | |||||||||
Total Investments (Cost $48,428,590) † | 48,428,590 | ||||||||||
Liabilities in excess of other assets — (30.7%) | (11,368,460 | ) | |||||||||
Net Assets — 100.0% | $ | 37,060,130 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $6,585,294. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $6,585,294. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $493,917. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $1,646,329. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $3,292,647. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $11,524,274. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
217
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Short MSCI Emerging Markets (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $9,877,943. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $9,391,527. 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 agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the MSCI Emerging Markets Index | 12/08/08 | $ | (22,560,968 | ) | $ | (5,022,477 | ) | ||||||||
Equity Index Swap Agreement based on the MSCI Emerging Markets Index | 12/08/08 | (14,266,438 | ) | (6,283,719 | ) | ||||||||||
$ | (36,827,406 | ) | $ | (11,306,196 | ) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
218
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort MSCI EAFE
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 140.8% | |||||||||||
$ | 23,721,952 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $23,722,367 (b) | $ | 23,721,952 | |||||||
23,721,952 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $23,722,545 (c) | 23,721,952 | |||||||||
1,779,146 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $1,779,176 (d) | 1,779,146 | |||||||||
5,930,488 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $5,930,892 (e) | 5,930,488 | |||||||||
11,860,976 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $11,861,783 (f) | 11,860,976 | |||||||||
41,513,416 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $41,514,385 (g) | 41,513,416 | |||||||||
35,582,928 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $35,583,521 (h) | 35,582,928 | |||||||||
33,830,676 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $33,831,381 (i) | 33,830,676 | |||||||||
Total Investments (Cost $177,941,534) † | 177,941,534 | ||||||||||
Liabilities in excess of other assets — (40.8%) | (51,534,658 | ) | |||||||||
Net Assets — 100.0% | $ | 126,406,876 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $24,196,399. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $24,196,399. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $1,814,801. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $6,049,120. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $12,098,196. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $42,343,727. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
219
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort MSCI EAFE (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $36,294,602. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $34,507,360. 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, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the MSCI EAFE Index | 12/08/08 | $ | (102,430,523 | ) | $ | (24,659,367 | ) | ||||||||
Equity Index Swap Agreement based on the MSCI EAFE Index | 12/08/08 | (87,113,920 | ) | (12,477,031 | ) | ||||||||||
Equity Index Swap Agreement based on the MSCI EAFE Index | 12/08/08 | (60,238,108 | ) | (14,282,952 | ) | ||||||||||
$ | (249,782,551 | ) | $ | (51,419,350 | ) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
220
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort MSCI Emerging Markets
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 164.4% | |||||||||||
$ | 127,439,302 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $127,441,532 (b) | $ | 127,439,302 | |||||||
127,439,302 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $127,442,488 (c) | 127,439,302 | |||||||||
9,557,948 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $9,558,107 (d) | 9,557,948 | |||||||||
31,859,826 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $31,861,994 (e) | 31,859,826 | |||||||||
63,719,652 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $63,723,988 (f) | 63,719,652 | |||||||||
223,018,779 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $223,023,983 (g) | 223,018,779 | |||||||||
191,158,953 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $191,162,139 (h) | 191,158,953 | |||||||||
181,745,495 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $181,749,281 (i) | 181,745,495 | |||||||||
Total Investments (Cost $955,939,257) † | 955,939,257 | ||||||||||
Liabilities in excess of other assets — (64.4%) | (374,402,048 | ) | |||||||||
Net Assets — 100.0% | $ | 581,537,209 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $129,988,128. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $129,988,128. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $9,749,496. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $32,497,140. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $64,994,044. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $227,479,386. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
221
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort MSCI Emerging Markets (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $194,982,214. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%,due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $185,380,777. 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 agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the MSCI Emerging Markets Index | 12/08/08 | $ | (537,343,107 | ) | $ | (36,510,392 | ) | ||||||||
Equity Index Swap Agreement based on the MSCI Emerging Markets Index | 12/08/08 | (333,364,813 | ) | (109,594,051 | ) | ||||||||||
Equity Index Swap Agreement based on the MSCI Emerging markets Index | 12/08/08 | (179,617,423 | ) | (43,677,634 | ) | ||||||||||
Equity Index Swap Agreement based on the MSCI Emerging Markets Index | 12/08/08 | (103,964,201 | ) | (62,548,119 | ) | ||||||||||
$ | (1,154,289,544 | ) | $ | (252,330,196 | ) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
222
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort MSCI Japan
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 128.0% | |||||||||||
$ | 2,618,139 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $2,618,185 (b) | $ | 2,618,139 | |||||||
2,618,139 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $2,618,204 (c) | 2,618,139 | |||||||||
196,360 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $196,363 (d) | 196,360 | |||||||||
654,535 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $654,580 (e) | 654,535 | |||||||||
1,309,070 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $1,309,159 (f) | 1,309,070 | |||||||||
4,581,743 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $4,581,850 (g) | 4,581,743 | |||||||||
3,927,209 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $3,927,274 (h) | 3,927,209 | |||||||||
3,733,817 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $3,733,895 (i) | 3,733,817 | |||||||||
Total Investments (Cost $19,639,012) † | 19,639,012 | ||||||||||
Liabilities in excess of other assets — (28.0%) | (4,293,794 | ) | |||||||||
Net Assets — 100.0% | $ | 15,345,218 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $2,670,503. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $2,670,503. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $200,295. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $667,628. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $1,335,251. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $4,673,383. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
223
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort MSCI Japan (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $4,005,755. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $3,808,501. 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 agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the MSCI Japan Index | 12/08/08 | $ | (17,618,208 | ) | $ | (2,540,207 | ) | ||||||||
Equity Index Swap Agreement based on the MSCI Japan Index | 12/08/08 | (12,457,572 | ) | (1,729,174 | ) | ||||||||||
$ | (30,075,780 | ) | $ | (4,269,381 | ) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
224
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort FTSE/Xinhua China 25
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 158.2% | |||||||||||
$ | 81,466,249 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $81,467,675 (b) | $ | 81,466,249 | |||||||
81,466,249 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $81,468,286 (c) | 81,466,249 | |||||||||
6,109,969 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $6,110,071 (d) | 6,109,969 | |||||||||
20,366,562 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $20,367,948 (e) | 20,366,562 | |||||||||
40,733,125 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $40,735,897 (f) | 40,733,125 | |||||||||
142,565,936 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $142,569,263 (g) | 142,565,936 | |||||||||
122,199,374 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $122,201,411 (h) | 122,199,374 | |||||||||
116,181,771 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $116,184,191 (i) | 116,181,771 | |||||||||
Total Investments (Cost $611,089,235) † | 611,089,235 | ||||||||||
Liabilities in excess of other assets — (58.2%) | (224,872,404 | ) | |||||||||
Net Assets — 100.0% | $ | 386,216,831 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $83,095,600. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $83,095,600. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $6,232,417. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $20,773,968. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $41,547,788. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $145,417,403. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
225
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort FTSE/Xinhua China 25 (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $124,643,414. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%,due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $118,505,644. 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, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the FTSE/Xinhua China 25 Index | 12/08/08 | $ | (631,620,653 | ) | $ | (129,455,387 | ) | ||||||||
Equity Index Swap Agreement based on the FTSE/Xinhua China 25 Index | 12/08/08 | (73,424,663 | ) | (11,320,842 | ) | ||||||||||
Equity Index Swap Agreement based on the FTSE/Xinhua China 25 Index | 12/08/08 | (28,537,993 | ) | (22,844,025 | ) | ||||||||||
Equity Index Swap Agreement based on the FTSE/Xinhua China 25 Index | 12/08/08 | (40,226,813 | ) | (39,709,627 | ) | ||||||||||
$ | (773,810,122 | ) | $ | (203,329,881 | ) |
†† In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
226
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort 7-10 Year Treasury
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 95.2% | |||||||||||
$ | 11,627,198 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $11,627,401 (b) | $ | 11,627,198 | |||||||
11,627,198 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $11,627,489 (c) | 11,627,198 | |||||||||
872,040 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $872,055 (d) | 872,040 | |||||||||
2,906,799 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $2,906,997 (e) | 2,906,799 | |||||||||
5,813,599 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $5,813,995 (f) | 5,813,599 | |||||||||
20,347,596 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $20,348,071 (g) | 20,347,596 | |||||||||
17,440,797 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $17,441,088 (h) | 17,440,797 | |||||||||
16,581,940 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $16,582,285 (i) | 16,581,940 | |||||||||
Total Investments (Cost $87,217,167) † | 87,217,167 | ||||||||||
Other assets less liabilities — 4.8% | 4,441,244 | ||||||||||
Net Assets — 100.0% | $ | 91,658,411 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $11,859,746. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $11,859,746. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $889,516. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $2,964,946. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $5,929,871. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $20,754,569. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
227
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort 7-10 Year Treasury (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $17,789,620. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $16,913,613. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Futures Contracts Sold
UltraShort 7-10 Year Treasury had the following open short futures contracts as of November 30, 2008:
Number of Contracts | Expiration Date | Notional Amount at Value | Unrealized Depreciation | ||||||||||||||||
E-Mini U.S. Treasury Note Futures Contracts | 93 | 03/20/09 | $ | 11,250,094 | $ | (195,053 | ) |
Cash collateral in the amount of $325,293 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
Swap Agreements
UltraShort 7-10 Year Treasury had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Barclays Capital 7-10 Year U.S. Treasury Index | 12/08/08 | $ | (95,791,949 | ) | $ | (6,697,622 | ) | ||||||||
Equity Index Swap Agreement based on the Barclays Capital 7-10 Year U.S. Treasury Index | 12/08/08 | (77,589,802 | ) | (4,620,275 | ) | ||||||||||
$ | (173,381,751 | ) | $ | (11,317,897 | ) |
See accompanying notes to the financial statements.
228
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort 20+ Year Treasury
Principal Amount | Value | ||||||||||
Repurchase Agreements (a) — 74.1% | |||||||||||
$ | 67,015,189 | Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $67,016,362 (b) | $ | 67,015,189 | |||||||
67,015,189 | Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $67,016,864 (c) | 67,015,189 | |||||||||
5,026,138 | Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $5,026,222 (d) | 5,026,138 | |||||||||
16,753,797 | Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $16,754,937 (e) | 16,753,797 | |||||||||
33,507,595 | Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $33,509,875 (f) | 33,507,595 | |||||||||
117,276,581 | ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $117,279,317 (g) | 117,276,581 | |||||||||
100,522,784 | JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $100,524,459 (h) | 100,522,784 | |||||||||
95,572,626 | UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $95,574,617 (i) | 95,572,626 | |||||||||
Total Investments (Cost $502,689,899) † | 502,689,899 | ||||||||||
Other assets less liabilities — 25.9% | 175,675,372 | ||||||||||
Net Assets — 100.0% | $ | 678,365,271 |
(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.
(b) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $68,355,514. The investment in the repurchase agreement was through participation in a pooled account.
(c) Represents the Fund's 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $68,355,514. The investment in the repurchase agreement was through participation in a pooled account.
(d) Represents the Fund's 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $5,126,866. The investment in the repurchase agreement was through participation in a pooled account.
(e) Represents the Fund's 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $17,088,935. The investment in the repurchase agreement was through participation in a pooled account.
(f) Represents the Fund's 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $34,177,747. The investment in the repurchase agreement was through participation in a pooled account.
(g) Represents the Fund's 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%,due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $119,622,234. The investment in the repurchase agreement was through participation in a pooled account.
See accompanying notes to the financial statements.
229
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
UltraShort 20+ Year Treasury (continued)
(h) Represents the Fund's 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $102,533,283. The investment in the repurchase agreement was through participation in a pooled account.
(i) Represents the Fund's 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $97,484,274. The investment in the repurchase agreement was through participation in a pooled account.
† Tax basis equals book cost.
Futures Contracts Sold
UltraShort 20+ Year Treasury had the following open short futures contracts as of November 30, 2008:
Number of Contracts | Expiration Date | Notional Amount at Value | Unrealized Depreciation | ||||||||||||||||
E-Mini U.S. Treasury Bond Futures Contracts | 1,097 | 03/20/09 | $ | 139,850,359 | $ | (1,727,144 | ) |
Cash collateral in the amount of $4,005,694 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
Swap Agreements
UltraShort 20+ Year Treasury had the following open swap agreements as of November 30, 2008:
Termination Date | Notional Amount at Value | Unrealized Depreciation | |||||||||||||
Equity Index Swap Agreement based on the Barclays Capital 20+ Year U.S. Treasury Index | 12/08/08 | $ | (691,750,163 | ) | $ | (66,361,492 | ) | ||||||||
Equity Index Swap Agreement based on the Barclays Capital 20+ Year U.S. Treasury Index | 12/08/08 | (553,560,866 | ) | (52,420,975 | ) | ||||||||||
$ | (1,245,311,029 | ) | $ | (118,782,467 | ) |
See accompanying notes to the financial statements.
230
ProShares Trust Statements of Assets and Liabilities
November 30, 2008 (Unaudited)
Ultra QQQ® | Ultra Dow30SM | Ultra S&P500® | Ultra MidCap400 | Ultra SmallCap600 | Ultra Russell2000 | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 1,918,872,559 | $ | 1,005,374,742 | $ | 4,105,532,315 | $ | 141,946,635 | $ | 42,563,718 | $ | 359,098,210 | |||||||||||||||
Securities, at value | 1,156,093,683 | 750,913,542 | 3,028,349,013 | 86,244,501 | 27,332,630 | 237,139,559 | |||||||||||||||||||||
Repurchase agreements, at value | 487,408,257 | 208,088,710 | 799,280,731 | 45,011,890 | 11,172,734 | 94,871,042 | |||||||||||||||||||||
Total Investment Securities | 1,643,501,940 | 959,002,252 | 3,827,629,744 | 131,256,391 | 38,505,364 | 332,010,601 | |||||||||||||||||||||
Cash | 9,390,028 | — | — | 966,860 | — | 760,994 | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | 41,850,043 | 20,594,713 | 82,137,433 | 3,172,713 | — | 6,126,815 | |||||||||||||||||||||
Dividends and interest receivable | 1,340,514 | 3,188,264 | 8,953,005 | 165,823 | 20,068 | 346,491 | |||||||||||||||||||||
Receivable for investments sold | 119,555,637 | 37,620,238 | 216,335,007 | 15,396 | 121 | 9,476,346 | |||||||||||||||||||||
Due from counterparty | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | 13,927 | 8,641 | 53,310 | 1,748,979 | — | 967 | |||||||||||||||||||||
Receivable from Advisor | — | — | — | — | — | — | |||||||||||||||||||||
Other receivable | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | 1,497,806 | 4,748,338 | 248,656 | — | 848,832 | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | — | — | |||||||||||||||||||||
Prepaid licensing fees | — | — | 2,188 | 3,618 | — | — | |||||||||||||||||||||
Prepaid expenses | 4,223 | 1,177 | 3,096 | 678 | 135 | 161 | |||||||||||||||||||||
Total Assets | 1,815,656,312 | 1,021,913,091 | 4,139,862,121 | 137,579,114 | 38,525,688 | 349,571,207 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | 4,427,115 | 42,868,668 | — | 19,720 | — | |||||||||||||||||||||
Payable for investments purchased | 48,464,178 | 24,694,531 | 27,843,173 | 9,049,272 | 3,269,320 | 25,709,613 | |||||||||||||||||||||
Payable for capital shares redeemed | 124,531,333 | 60,063,714 | 357,421,935 | — | — | 9,813,057 | |||||||||||||||||||||
Advisory fees payable | 734,435 | 457,463 | 1,906,541 | 29,526 | 585 | 118,686 | |||||||||||||||||||||
Management Services fees payable | 110,980 | 62,318 | 374,828 | 7,593 | 2,523 | 21,282 | |||||||||||||||||||||
Custodian fees payable | 55,495 | 17,932 | 102,481 | 73,285 | 15,929 | 69,634 | |||||||||||||||||||||
Administration fees payable | 27,827 | 21,183 | 30,702 | 8,610 | 9,175 | 9,614 | |||||||||||||||||||||
Trustee fees payable | 642 | 243 | 356 | 40 | 29 | 43 | |||||||||||||||||||||
Licensing fees payable | 210,225 | 47,915 | — | — | 15,810 | 17,398 | |||||||||||||||||||||
Professional fees payable | 29,648 | 16,994 | 32,547 | 11,880 | 9,480 | 12,344 | |||||||||||||||||||||
Payable for variation margin on futures contracts | 1,791,113 | — | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 308,686,959 | 59,617,907 | 194,805,338 | 28,214,373 | 5,451,406 | 36,526,330 | |||||||||||||||||||||
Due to counterparty | 389,249 | 536,480 | 1,282,653 | 237,198 | — | — | |||||||||||||||||||||
Other liabilities | 34,363 | 11,712 | 38,625 | 4,235 | 1,023 | 4,229 | |||||||||||||||||||||
Total Liabilities | 485,066,447 | 149,975,507 | 626,707,847 | 37,636,012 | 8,795,000 | 72,302,230 | |||||||||||||||||||||
NET ASSETS | $ | 1,330,589,865 | $ | 871,937,584 | $ | 3,513,154,274 | $ | 99,943,102 | $ | 29,730,688 | $ | 277,268,977 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 2,781,150,428 | $ | 1,222,293,509 | $ | 4,935,336,498 | $ | 216,040,474 | $ | 66,654,025 | $ | 518,288,902 | |||||||||||||||
Accumulated undistributed net investment income (loss) | (973,282 | ) | 3,345,138 | 9,109,978 | 185,116 | 39,249 | 463,334 | ||||||||||||||||||||
Accumulated net realized gains (losses) on investments | (872,041,062 | ) | (252,451,217 | ) | (990,894,065 | ) | (78,950,129 | ) | (27,452,826 | ) | (182,776,533 | ) | |||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | (275,370,619 | ) | (46,372,490 | ) | (277,902,571 | ) | (10,690,244 | ) | (4,058,354 | ) | (27,087,611 | ) | |||||||||||||||
Futures contracts | 6,511,359 | 4,740,551 | 32,309,772 | 1,572,258 | — | 4,907,215 | |||||||||||||||||||||
Swap agreements | (308,686,959 | ) | (59,617,907 | ) | (194,805,338 | ) | (28,214,373 | ) | (5,451,406 | ) | (36,526,330 | ) | |||||||||||||||
NET ASSETS | $ | 1,330,589,865 | $ | 871,937,584 | $ | 3,513,154,274 | $ | 99,943,102 | $ | 29,730,688 | $ | 277,268,977 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 50,100,001 | 26,400,001 | 131,850,001 | 4,200,001 | 1,425,001 | 14,550,001 | |||||||||||||||||||||
Net Asset Value | $ | 26.56 | $ | 33.03 | $ | 26.65 | $ | 23.80 | $ | 20.86 | $ | 19.06 |
See accompanying notes to the financial statements.
231
ProShares Trust Statements of Assets and Liabilities (continued)
November 30, 2008 (Unaudited)
Ultra Russell1000 Value | Ultra Russell1000 Growth | Ultra Russell MidCap Value | Ultra Russell MidCap Growth | Ultra Russell2000 Value | Ultra Russell2000 Growth | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 19,525,289 | $ | 30,661,979 | $ | 9,531,262 | $ | 13,989,113 | $ | 18,243,847 | $ | 18,378,444 | |||||||||||||||
Securities, at value | 15,980,565 | 16,020,100 | 6,223,177 | 9,322,039 | 12,617,558 | 9,406,683 | |||||||||||||||||||||
Repurchase agreements, at value | 2,509,945 | 11,981,990 | 2,404,382 | 3,451,831 | 4,204,683 | 7,226,379 | |||||||||||||||||||||
Total Investment Securities | 18,490,510 | 28,002,090 | 8,627,559 | 12,773,870 | 16,822,241 | 16,633,062 | |||||||||||||||||||||
Cash | 257,314 | 3,372 | 9,164 | 45,318 | 11,207 | 34,707 | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Dividends and interest receivable | 48,521 | 34,590 | 22,841 | 16,422 | 24,433 | 8,052 | |||||||||||||||||||||
Receivable for investments sold | — | 273,933 | — | — | 264 | 36,781 | |||||||||||||||||||||
Due from counterparty | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | 5,020,339 | — | — | — | — | — | |||||||||||||||||||||
Receivable from Advisor | 21,075 | 9,906 | 18,281 | 17,228 | 37,382 | 31,655 | |||||||||||||||||||||
Other receivable | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | — | — | |||||||||||||||||||||
Prepaid licensing fees | — | — | — | — | — | — | |||||||||||||||||||||
Prepaid expenses | 87 | 111 | 81 | 71 | 88 | 79 | |||||||||||||||||||||
Total Assets | 23,837,846 | 28,324,002 | 8,677,926 | 12,852,909 | 16,895,615 | 16,744,336 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | — | — | — | — | — | |||||||||||||||||||||
Payable for investments purchased | 5,813,596 | — | — | — | 1,775,140 | — | |||||||||||||||||||||
Payable for capital shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Advisory fees payable | — | — | — | — | — | — | |||||||||||||||||||||
Management Services fees payable | — | — | — | — | — | — | |||||||||||||||||||||
Custodian fees payable | 2,884 | 6,491 | 9,492 | 13,944 | 9,811 | 9,887 | |||||||||||||||||||||
Administration fees payable | 14,840 | 13,569 | 15,690 | 15,202 | 14,616 | 14,443 | |||||||||||||||||||||
Trustee fees payable | 7 | 14 | 5 | 63 | 6 | — | |||||||||||||||||||||
Licensing fees payable | 13,015 | 10,096 | 13,534 | 12,167 | 12,920 | 12,999 | |||||||||||||||||||||
Professional fees payable | 9,152 | 9,467 | 9,090 | 9,241 | 9,222 | 9,268 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 5,128 | 8,306,233 | 718,811 | 911,996 | 1,195,825 | 4,593,872 | |||||||||||||||||||||
Due to counterparty | — | — | — | — | — | ||||||||||||||||||||||
Other liabilities | 901 | 802 | 791 | 678 | 770 | 806 | |||||||||||||||||||||
Total Liabilities | 5,859,523 | 8,346,672 | 767,413 | 963,291 | 3,018,310 | 4,641,275 | |||||||||||||||||||||
NET ASSETS | $ | 17,978,323 | $ | 19,977,330 | $ | 7,910,513 | $ | 11,889,618 | $ | 13,877,305 | $ | 12,103,061 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 30,749,228 | $ | 46,411,647 | $ | 19,374,717 | $ | 29,872,583 | $ | 31,027,626 | $ | 33,990,710 | |||||||||||||||
Accumulated undistributed net investment income (loss) | 64,390 | 33,225 | 33,225 | 11,088 | 52,342 | 4,573 | |||||||||||||||||||||
Accumulated net realized gains (losses) on investments | (11,795,387 | ) | (15,501,420 | ) | (9,874,915 | ) | (15,866,814 | ) | (14,585,232 | ) | (15,552,968 | ) | |||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | (1,034,780 | ) | (2,659,889 | ) | (903,703 | ) | (1,215,243 | ) | (1,421,606 | ) | (1,745,382 | ) | |||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (5,128 | ) | (8,306,233 | ) | (718,811 | ) | (911,996 | ) | (1,195,825 | ) | (4,593,872 | ) | |||||||||||||||
NET ASSETS | $ | 17,978,323 | $ | 19,977,330 | $ | 7,910,513 | $ | 11,889,618 | $ | 13,877,305 | $ | 12,103,061 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 975,001 | 900,001 | 525,001 | 750,001 | 825,001 | 675,001 | |||||||||||||||||||||
Net Asset Value | $ | 18.44 | $ | 22.20 | $ | 15.07 | $ | 15.85 | $ | 16.82 | $ | 17.93 |
See accompanying notes to the financial statements.
232
Ultra Basic Materials | Ultra Consumer Goods | Ultra Consumer Services | Ultra Financials | Ultra Health Care | Ultra Industrials | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 358,996,087 | $ | 17,172,383 | $ | 10,146,062 | $ | 2,614,551,375 | $ | 54,772,232 | $ | 18,124,820 | |||||||||||||||
Securities, at value | 239,654,929 | 11,716,313 | 7,250,695 | 2,086,346,600 | 37,291,156 | 9,679,779 | |||||||||||||||||||||
Repurchase agreements, at value | 108,212,033 | 4,058,403 | 2,281,912 | 466,039,863 | 12,003,181 | 7,082,222 | |||||||||||||||||||||
Total Investment Securities | 347,866,962 | 15,774,716 | 9,532,607 | 2,552,386,463 | 49,294,337 | 16,762,001 | |||||||||||||||||||||
Cash | — | — | — | 24,253,942 | — | 104,258 | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Dividends and interest receivable | 774,181 | 25,683 | 12,195 | 5,447,403 | 147,375 | 34,381 | |||||||||||||||||||||
Receivable for investments sold | — | — | — | 71,647,795 | — | — | |||||||||||||||||||||
Due from counterparty | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | 202 | — | — | 27,096,378 | — | — | |||||||||||||||||||||
Receivable from Advisor | — | 10,454 | 15,155 | — | — | 13,700 | |||||||||||||||||||||
Other receivable | 499,088 | 11,639 | — | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | — | — | |||||||||||||||||||||
Prepaid licensing fees | — | — | — | — | — | — | |||||||||||||||||||||
Prepaid expenses | 145 | 107 | — | 742 | 121 | 85 | |||||||||||||||||||||
Total Assets | 349,140,578 | 15,822,599 | 9,559,957 | 2,680,832,723 | 49,441,833 | 16,914,425 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | 594 | 909 | 882 | — | 48,996 | — | |||||||||||||||||||||
Payable for investments purchased | 21,954,891 | 426,030 | 404,965 | 228,626,516 | — | 392,275 | |||||||||||||||||||||
Payable for capital shares redeemed | 966,331 | — | — | 105,334,129 | — | — | |||||||||||||||||||||
Advisory fees payable | 140,519 | — | — | 1,165,199 | 12,487 | — | |||||||||||||||||||||
Management Services fees payable | 20,381 | — | — | 105,640 | 3,753 | — | |||||||||||||||||||||
Custodian fees payable | 6,237 | 4,028 | 3,795 | 29,911 | 2,982 | 3,403 | |||||||||||||||||||||
Administration fees payable | 12,625 | 14,987 | 15,676 | 28,071 | 9,089 | 15,221 | |||||||||||||||||||||
Trustee fees payable | 77 | 4 | 11 | 2,346 | 21 | 4 | |||||||||||||||||||||
Licensing fees payable | 27,242 | 16,007 | 15,525 | 154,763 | 18,036 | 15,866 | |||||||||||||||||||||
Professional fees payable | 9,779 | 9,167 | 9,135 | 35,007 | 9,501 | 9,247 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 37,476,367 | 1,634,448 | 526,029 | 59,596 | 5,632,697 | 4,729,047 | |||||||||||||||||||||
Due to counterparty | — | — | 63,846 | 717,256 | 39,341 | 46,885 | |||||||||||||||||||||
Other liabilities | 1,842 | 900 | 1,049 | 46,336 | 1,072 | 808 | |||||||||||||||||||||
Total Liabilities | 60,616,885 | 2,106,480 | 1,040,913 | 336,304,770 | 5,777,975 | 5,212,756 | |||||||||||||||||||||
NET ASSETS | $ | 288,523,693 | $ | 13,716,119 | $ | 8,519,044 | $ | 2,344,527,953 | $ | 43,663,858 | $ | 11,701,669 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 421,818,805 | $ | 20,099,209 | $ | 15,715,545 | $ | 4,773,871,238 | $ | 71,945,303 | $ | 24,723,060 | |||||||||||||||
Accumulated undistributed net investment income (loss) | 806,562 | 31,313 | 6,075 | 11,953,662 | 118,364 | 51,357 | |||||||||||||||||||||
Accumulated net realized gains (losses) on investments | (85,496,182 | ) | (3,382,288 | ) | (6,063,092 | ) | (2,379,072,439 | ) | (17,289,217 | ) | (6,980,882 | ) | |||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | (11,129,125 | ) | (1,397,667 | ) | (613,455 | ) | (62,164,912 | ) | (5,477,895 | ) | (1,362,819 | ) | |||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (37,476,367 | ) | (1,634,448 | ) | (526,029 | ) | (59,596 | ) | (5,632,697 | ) | (4,729,047 | ) | |||||||||||||||
NET ASSETS | $ | 288,523,693 | $ | 13,716,119 | $ | 8,519,044 | $ | 2,344,527,953 | $ | 43,663,858 | $ | 11,701,669 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 20,175,001 | 375,001 | 450,001 | 367,275,001 | 1,350,001 | 525,001 | |||||||||||||||||||||
Net Asset Value | $ | 14.30 | $ | 36.58 | $ | 18.93 | $ | 6.38 | $ | 32.34 | $ | 22.29 |
See accompanying notes to the financial statements.
233
ProShares Trust Statements of Assets and Liabilities (continued)
November 30, 2008 (Unaudited)
Ultra Oil & Gas | Ultra Real Estate | Ultra Semiconductors | Ultra Technology | Ultra Telecommunications | Ultra Utilities | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 682,489,981 | $ | 140,073,706 | $ | 79,422,056 | $ | 119,826,425 | $ | 6,953,862 | $ | 33,767,056 | |||||||||||||||
Securities, at value | 583,048,946 | 102,667,836 | 41,935,730 | 60,104,985 | 6,916,782 | 25,334,883 | |||||||||||||||||||||
Repurchase agreements, at value | 131,126,064 | 38,189,887 | 26,322,324 | 44,337,978 | 170,970 | 7,572,475 | |||||||||||||||||||||
Total Investment Securities | 714,175,010 | 140,857,723 | 68,258,054 | 104,442,963 | 7,087,752 | 32,907,358 | |||||||||||||||||||||
Cash | 420,083 | — | — | 46 | 1,463,975 | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Dividends and interest receivable | 2,162,015 | 232,903 | 226,032 | 177,707 | 11,532 | 147,828 | |||||||||||||||||||||
Receivable for investments sold | 68,827,410 | 24,686,394 | — | — | 847 | — | |||||||||||||||||||||
Due from counterparty | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | 7,407 | 18,583,344 | — | — | — | 2,672,940 | |||||||||||||||||||||
Receivable from Advisor | — | — | — | — | 5,269 | — | |||||||||||||||||||||
Other receivable | 580,234 | — | — | — | — | 23,064 | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | 95,935 | 141,955 | |||||||||||||||||||||
Prepaid licensing fees | — | — | — | — | — | — | |||||||||||||||||||||
Prepaid expenses | 270 | 236 | 115 | 214 | 56 | 117 | |||||||||||||||||||||
Total Assets | 786,172,429 | 184,360,600 | 68,484,201 | 104,620,930 | 8,665,366 | 35,893,262 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | 157,414 | 45,113 | — | — | — | |||||||||||||||||||||
Payable for investments purchased | 39,887,043 | 28,434,820 | — | — | — | 3,280,458 | |||||||||||||||||||||
Payable for capital shares redeemed | 70,623,392 | 26,515,124 | — | — | — | — | |||||||||||||||||||||
Advisory fees payable | 338,473 | 40,840 | 17,485 | 30,612 | — | — | |||||||||||||||||||||
Management Services fees payable | 48,123 | 7,179 | 4,160 | 6,536 | — | 829 | |||||||||||||||||||||
Custodian fees payable | 14,097 | 7,983 | 3,441 | 6,212 | 348 | 3,748 | |||||||||||||||||||||
Administration fees payable | 18,147 | 8,519 | 6,776 | 8,187 | 956 | 12,257 | |||||||||||||||||||||
Trustee fees payable | 232 | 11 | 20 | 15 | 67 | 65 | |||||||||||||||||||||
Licensing fees payable | 49,076 | 20,555 | 19,331 | 21,505 | 9,641 | 16,876 | |||||||||||||||||||||
Professional fees payable | 11,990 | 9,975 | 10,513 | 10,715 | 17,819 | 9,302 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 28,806,987 | 13,883,766 | 18,751,838 | 31,718,374 | — | 3,171,523 | |||||||||||||||||||||
Due to counterparty | — | 379,900 | 399,055 | 39,280 | 166,071 | — | |||||||||||||||||||||
Other liabilities | 5,257 | 1,643 | 1,342 | 2,209 | 964 | 883 | |||||||||||||||||||||
Total Liabilities | 139,802,817 | 69,467,729 | 19,259,074 | 31,843,645 | 195,866 | 6,495,941 | |||||||||||||||||||||
NET ASSETS | $ | 646,369,612 | $ | 114,892,871 | $ | 49,225,127 | $ | 72,777,285 | $ | 8,469,500 | $ | 29,397,321 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 755,073,649 | $ | 222,909,660 | $ | 143,086,584 | $ | 177,459,490 | $ | 12,864,510 | $ | 41,802,577 | |||||||||||||||
Accumulated undistributed net investment income (loss) | 1,498,992 | 376,391 | 210,299 | 103,339 | 25,910 | 151,948 | |||||||||||||||||||||
Accumulated net realized gains (losses) on investments | (113,081,071 | ) | (95,293,431 | ) | (64,155,916 | ) | (57,683,708 | ) | (4,650,745 | ) | (8,667,938 | ) | |||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | 31,685,029 | 784,017 | (11,164,002 | ) | (15,383,462 | ) | 133,890 | (859,698 | ) | ||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (28,806,987 | ) | (13,883,766 | ) | (18,751,838 | ) | (31,718,374 | ) | 95,935 | (3,029,568 | ) | ||||||||||||||||
NET ASSETS | $ | 646,369,612 | $ | 114,892,871 | $ | 49,225,127 | $ | 72,777,285 | $ | 8,469,500 | $ | 29,397,321 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 19,725,001 | 19,500,001 | 3,750,001 | 3,450,001 | 300,001 | 825,001 | |||||||||||||||||||||
Net Asset Value | $ | 32.77 | $ | 5.89 | $ | 13.13 | $ | 21.09 | $ | 28.23 | $ | 35.63 |
See accompanying notes to the financial statements.
234
Short QQQ® | Short Dow30SM | Short S&P500® | Short MidCap400 | Short SmallCap600 | Short Russell2000 | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 107,806,994 | $ | 215,226,901 | $ | 550,624,255 | $ | 38,816,366 | $ | 35,341,866 | $ | 61,429,910 | |||||||||||||||
Securities, at value | — | — | — | — | — | — | |||||||||||||||||||||
Repurchase agreements, at value | 107,806,994 | 215,226,901 | 550,624,255 | 38,816,366 | 35,341,866 | 61,429,910 | |||||||||||||||||||||
Total Investment Securities | 107,806,994 | 215,226,901 | 550,624,255 | 38,816,366 | 35,341,866 | 61,429,910 | |||||||||||||||||||||
Cash | 6,665 | — | — | — | — | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | 2,011,920 | 2,520,393 | 5,197,688 | 447,931 | — | 754,796 | |||||||||||||||||||||
Dividends and interest receivable | 1,867 | 3,728 | 9,536 | 672 | 612 | 1,064 | |||||||||||||||||||||
Receivable for investments sold | — | — | — | — | — | — | |||||||||||||||||||||
Due from counterparty | — | — | — | 23,232 | — | — | |||||||||||||||||||||
Receivable for capital shares issued | — | — | 2,978 | — | — | — | |||||||||||||||||||||
Receivable from Advisor | — | — | — | — | — | — | |||||||||||||||||||||
Other receivable | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | 78,278 | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | — | — | |||||||||||||||||||||
Prepaid licensing fees | — | — | 6,006 | 6,007 | — | — | |||||||||||||||||||||
Prepaid expenses | 1,170 | 948 | 2,131 | 984 | 121 | 367 | |||||||||||||||||||||
Total Assets | 109,906,894 | 217,751,970 | 555,842,594 | 39,295,192 | 35,342,599 | 62,186,137 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | 19,664 | 36,000 | 7,993 | — | 15,080 | |||||||||||||||||||||
Payable for investments purchased | — | — | — | — | — | — | |||||||||||||||||||||
Payable for capital shares redeemed | — | — | 26,106,837 | — | — | — | |||||||||||||||||||||
Advisory fees payable | 43,483 | 96,001 | 271,277 | 9,498 | 6,261 | 20,140 | |||||||||||||||||||||
Management Services fees payable | 7,969 | 15,307 | 36,289 | 2,845 | 2,417 | 4,516 | |||||||||||||||||||||
Custodian fees payable | 6,998 | 9,606 | 19,116 | 5,901 | 1,728 | 3,425 | |||||||||||||||||||||
Administration fees payable | 7,557 | 9,699 | 15,329 | 6,547 | 8,581 | 5,924 | |||||||||||||||||||||
Trustee fees payable | 56 | 101 | 223 | 67 | 14 | 53 | |||||||||||||||||||||
Licensing fees payable | 2,643 | 13,597 | — | — | 15,810 | 20,796 | |||||||||||||||||||||
Professional fees payable | 11,100 | 13,273 | 16,886 | 10,875 | 9,308 | 10,463 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | 192,910 | 317,308 | 26,968 | — | 91,980 | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 12,913,006 | 29,062,192 | 82,386,827 | 7,151,369 | 6,716,342 | 10,779,712 | |||||||||||||||||||||
Due to counterparty | 13,478 | 1,293,795 | 462,632 | — | — | — | |||||||||||||||||||||
Other liabilities | 5,616 | 6,532 | 24,773 | 5,505 | 999 | 2,792 | |||||||||||||||||||||
Total Liabilities | 13,011,906 | 30,732,677 | 109,693,497 | 7,227,568 | 6,761,460 | 10,954,881 | |||||||||||||||||||||
NET ASSETS | $ | 96,894,988 | $ | 187,019,293 | $ | 446,149,097 | $ | 32,067,624 | $ | 28,581,139 | $ | 51,231,256 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 92,820,379 | $ | 136,571,760 | $ | 349,141,158 | $ | 30,513,390 | $ | 21,099,218 | $ | 27,006,800 | |||||||||||||||
Accumulated undistributed net investment income (loss) | (70,669 | ) | 40,686 | (240,138 | ) | (40,684 | ) | (18,285 | ) | 453,605 | |||||||||||||||||
Accumulated net realized gains (losses) on investments | 14,436,027 | 75,929,960 | 177,831,039 | 7,998,649 | 14,216,548 | 33,032,163 | |||||||||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | 2,622,257 | 3,539,079 | 1,803,865 | 747,638 | — | 1,518,400 | |||||||||||||||||||||
Swap agreements | (12,913,006 | ) | (29,062,192 | ) | (82,386,827 | ) | (7,151,369 | ) | (6,716,342 | ) | (10,779,712 | ) | |||||||||||||||
NET ASSETS | $ | 96,894,988 | $ | 187,019,293 | $ | 446,149,097 | $ | 32,067,624 | $ | 28,581,139 | $ | 51,231,256 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 1,200,001 | 2,400,001 | 5,176,429 | 375,001 | 300,001 | 525,001 | |||||||||||||||||||||
Net Asset Value | $ | 80.75 | $ | 77.92 | $ | 86.19 | $ | 85.51 | $ | 95.27 | $ | 97.58 |
See accompanying notes to the financial statements.
235
ProShares Trust Statements of Assets and Liabilities (continued)
November 30, 2008 (Unaudited)
UltraShort QQQ® | UltraShort Dow30SM | UltraShort S&P500® | UltraShort MidCap400 | UltraShort SmallCap600 | UltraShort Russell2000 | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 908,923,751 | $ | 667,399,842 | $ | 3,249,122,071 | $ | 175,377,279 | $ | 62,932,671 | $ | 759,839,748 | |||||||||||||||
Securities, at value | — | — | — | — | — | — | |||||||||||||||||||||
Repurchase agreements, at value | 908,923,751 | 667,399,842 | 3,249,122,071 | 175,377,279 | 62,932,671 | 759,839,748 | |||||||||||||||||||||
Total Investment Securities | 908,923,751 | 667,399,842 | 3,249,122,071 | 175,377,279 | 62,932,671 | 759,839,748 | |||||||||||||||||||||
Cash | — | 7,410,338 | 70,519,253 | — | — | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | 9,558,641 | 10,932,056 | 28,788,761 | 1,293,814 | — | 5,119,495 | |||||||||||||||||||||
Dividends and interest receivable | 15,742 | 11,559 | 56,273 | 3,037 | 1,090 | 13,160 | |||||||||||||||||||||
Receivable for investments sold | — | — | — | — | — | — | |||||||||||||||||||||
Due from counterparty | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | 84,063,597 | 85,418,245 | 351,250,388 | — | — | 2,098 | |||||||||||||||||||||
Receivable from Advisor | — | — | — | — | — | — | |||||||||||||||||||||
Other receivable | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | 389,966 | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | — | — | |||||||||||||||||||||
Prepaid licensing fees | — | — | 6,007 | 6,007 | — | — | |||||||||||||||||||||
Prepaid expenses | 11,412 | 2,989 | 11,301 | 1,905 | 429 | 3,035 | |||||||||||||||||||||
Total Assets | 1,002,963,109 | 771,175,029 | 3,699,754,054 | 176,682,042 | 62,934,190 | 764,977,536 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | 19,989,615 | — | — | 80,360 | — | 403,362 | |||||||||||||||||||||
Payable for investments purchased | — | — | — | — | — | — | |||||||||||||||||||||
Payable for capital shares redeemed | — | — | — | — | — | 9,252,323 | |||||||||||||||||||||
Advisory fees payable | 423,362 | 398,790 | 1,965,986 | 56,097 | 22,315 | 331,132 | |||||||||||||||||||||
Management Services fees payable | 73,922 | 57,313 | 262,128 | 9,596 | 4,111 | 51,540 | |||||||||||||||||||||
Custodian fees payable | 104,392 | 39,171 | 120,710 | 13,759 | 2,978 | 32,814 | |||||||||||||||||||||
Administration fees payable | 29,977 | 19,461 | 36,950 | 8,557 | 5,432 | 19,741 | |||||||||||||||||||||
Trustee fees payable | 701 | 368 | 1,410 | 131 | 47 | 450 | |||||||||||||||||||||
Licensing fees payable | 49,051 | 55,546 | — | — | 15,810 | 96,434 | |||||||||||||||||||||
Professional fees payable | 60,739 | 24,966 | 58,794 | 13,860 | 10,138 | 28,073 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | 530,250 | 1,148,517 | 16,250 | — | 297,898 | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 200,110,480 | 126,337,635 | 736,303,030 | 61,348,451 | 22,214,127 | 273,369,789 | |||||||||||||||||||||
Due to counterparty | 2,366,523 | 3,428,585 | 7,109,014 | 503,290 | — | — | |||||||||||||||||||||
Other liabilities | 38,351 | 14,992 | 44,388 | 7,625 | 2,250 | 8,829 | |||||||||||||||||||||
Total Liabilities | 223,247,113 | 130,907,077 | 747,050,927 | 62,057,976 | 22,277,208 | 283,892,385 | |||||||||||||||||||||
NET ASSETS | $ | 779,715,996 | $ | 640,267,952 | $ | 2,952,703,127 | $ | 114,624,066 | $ | 40,656,982 | $ | 481,085,151 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 167,875,652 | $ | 413,081,033 | $ | 1,549,032,411 | $ | 50,547,221 | $ | (1,283,934 | ) | $ | (99,379,537 | ) | |||||||||||||
Accumulated undistributed net investment income (loss) | (270,064 | ) | 159,299 | 1,095,640 | (40,874 | ) | 215,400 | 1,084,701 | |||||||||||||||||||
Accumulated net realized gains (losses) on investments | 805,515,804 | 349,775,415 | 2,133,494,953 | 124,774,146 | 63,939,643 | 849,814,551 | |||||||||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | 6,705,084 | 3,589,840 | 5,383,153 | 692,024 | — | 2,935,225 | |||||||||||||||||||||
Swap agreements | (200,110,480 | ) | (126,337,635 | ) | (736,303,030 | ) | (61,348,451 | ) | (22,214,127 | ) | (273,369,789 | ) | |||||||||||||||
NET ASSETS | $ | 779,715,996 | $ | 640,267,952 | $ | 2,952,703,127 | $ | 114,624,066 | $ | 40,656,982 | $ | 481,085,151 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 10,575,001 | 9,000,001 | 33,525,001 | 1,200,001 | 375,001 | 4,500,001 | |||||||||||||||||||||
Net Asset Value | $ | 73.73 | $ | 71.14 | $ | 88.07 | $ | 95.52 | $ | 108.42 | $ | 106.91 |
See accompanying notes to the financial statements.
236
UltraShort Russell1000 Value | UltraShort Russell1000 Growth | UltraShort Russell MidCap Value | UltraShort Russell MidCap Growth | UltraShort Russell2000 Value | UltraShort Russell2000 Growth | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 29,140,136 | $ | 38,726,765 | $ | 18,208,825 | $ | 16,901,460 | $ | 28,253,537 | $ | 42,569,172 | |||||||||||||||
Securities, at value | — | — | — | — | — | — | |||||||||||||||||||||
Repurchase agreements, at value | 29,140,136 | 38,726,765 | 18,208,825 | 16,901,460 | 28,253,537 | 42,569,172 | |||||||||||||||||||||
Total Investment Securities | 29,140,136 | 38,726,765 | 18,208,825 | 16,901,460 | 28,253,537 | 42,569,172 | |||||||||||||||||||||
Cash | — | — | — | — | — | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Dividends and interest receivable | 505 | 671 | 315 | 293 | 489 | 738 | |||||||||||||||||||||
Receivable for investments sold | — | — | — | — | — | — | |||||||||||||||||||||
Due from counterparty | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | — | — | — | — | — | — | |||||||||||||||||||||
Receivable from Advisor | 4,690 | — | 6,702 | 6,977 | 558 | — | |||||||||||||||||||||
Other receivable | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | — | — | |||||||||||||||||||||
Prepaid licensing fees | — | — | — | — | — | — | |||||||||||||||||||||
Prepaid expenses | 62 | 103 | 90 | 89 | 199 | 221 | |||||||||||||||||||||
Total Assets | 29,145,393 | 38,727,539 | 18,215,932 | 16,908,819 | 28,254,783 | 42,570,131 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | — | — | — | — | 10,832,415 | |||||||||||||||||||||
Payable for investments purchased | — | — | — | — | — | — | |||||||||||||||||||||
Payable for capital shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Advisory fees payable | — | 1,376 | — | — | — | 4,461 | |||||||||||||||||||||
Management Services fees payable | — | 1,882 | — | — | — | 2,289 | |||||||||||||||||||||
Custodian fees payable | 1,361 | 1,451 | 1,391 | 1,301 | 1,947 | 2,152 | |||||||||||||||||||||
Administration fees payable | 10,987 | 8,961 | 11,845 | 11,895 | 9,484 | 8,025 | |||||||||||||||||||||
Trustee fees payable | 36 | 76 | 5 | 26 | 21 | 33 | |||||||||||||||||||||
Licensing fees payable | 13,731 | 13,490 | 13,746 | 13,776 | 13,337 | 14,723 | |||||||||||||||||||||
Professional fees payable | 9,360 | 9,298 | 9,213 | 9,233 | 9,362 | 9,694 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 10,547,329 | 11,282,209 | 6,801,233 | 6,226,181 | 10,798,861 | 13,512,679 | |||||||||||||||||||||
Due to counterparty | — | — | — | — | — | — | |||||||||||||||||||||
Other liabilities | 1,008 | 1,021 | 863 | 838 | 1,478 | 1,287 | |||||||||||||||||||||
Total Liabilities | 10,583,812 | 11,319,764 | 6,838,296 | 6,263,250 | 10,834,490 | 24,387,758 | |||||||||||||||||||||
NET ASSETS | $ | 18,561,581 | $ | 27,407,775 | $ | 11,377,636 | $ | 10,645,569 | $ | 17,420,293 | $ | 18,182,373 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 17,678,456 | $ | 13,857,006 | $ | 5,769,279 | $ | 1,510,876 | $ | 13,258,699 | $ | 317,848 | |||||||||||||||
Accumulated undistributed net investment income (loss) | 58,605 | 12,031 | (10,100 | ) | (4,231 | ) | (4,455 | ) | 24,351 | ||||||||||||||||||
Accumulated net realized gains (losses) on investments | 11,371,849 | 24,820,947 | 12,419,690 | 15,365,105 | 14,964,910 | 31,352,853 | |||||||||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (10,547,329 | ) | (11,282,209 | ) | (6,801,233 | ) | (6,226,181 | ) | (10,798,861 | ) | (13,512,679 | ) | |||||||||||||||
NET ASSETS | $ | 18,561,581 | $ | 27,407,775 | $ | 11,377,636 | $ | 10,645,569 | $ | 17,420,293 | $ | 18,182,373 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 150,001 | 225,001 | 75,001 | 75,001 | 150,001 | 150,001 | |||||||||||||||||||||
Net Asset Value | $ | 123.74 | $ | 121.81 | $ | 151.70 | $ | 141.94 | $ | 116.13 | $ | 121.22 |
See accompanying notes to the financial statements.
237
ProShares Trust Statements of Assets and Liabilities (continued)
November 30, 2008 (Unaudited)
Short Financials | Short Oil & Gas | UltraShort Basic Materials | UltraShort Consumer Goods | UltraShort Consumer Services | UltraShort Financials | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 46,871,512 | $ | 7,699,790 | $ | 314,971,709 | $ | 55,265,824 | $ | 214,684,684 | $ | 655,712,881 | |||||||||||||||
Securities, at value | — | — | — | — | — | — | |||||||||||||||||||||
Repurchase agreements, at value | 46,871,512 | 7,699,790 | 314,971,709 | 55,265,824 | 214,684,684 | 655,712,881 | |||||||||||||||||||||
Total Investment Securities | 46,871,512 | 7,699,790 | 314,971,709 | 55,265,824 | 214,684,684 | 655,712,881 | |||||||||||||||||||||
Cash | 3,132,000 | 557,564 | — | — | — | 32,965,489 | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Dividends and interest receivable | 812 | 133 | 5,455 | 957 | 3,718 | 11,356 | |||||||||||||||||||||
Receivable for investments sold | — | — | — | — | — | — | |||||||||||||||||||||
Due from counterparty | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | — | — | 6,399,022 | — | — | 342,643,927 | |||||||||||||||||||||
Receivable from Advisor | — | 6,089 | — | — | — | — | |||||||||||||||||||||
Other receivable | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | — | — | |||||||||||||||||||||
Prepaid licensing fees | 1,263 | 2,959 | — | — | — | — | |||||||||||||||||||||
Prepaid expenses | — | — | 264 | 105 | 152 | 4,851 | |||||||||||||||||||||
Total Assets | 50,005,587 | 8,266,535 | 321,376,450 | 55,266,886 | 214,688,554 | 1,031,338,504 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | — | 13,505,117 | 6 | 11,890,074 | — | |||||||||||||||||||||
Payable for investments purchased | — | — | — | — | — | — | |||||||||||||||||||||
Payable for capital shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Advisory fees payable | 7,882 | — | 123,593 | 15,114 | 99,730 | 520,643 | |||||||||||||||||||||
Management Services fees payable | 3,206 | — | 17,977 | 3,488 | 14,631 | 69,418 | |||||||||||||||||||||
Custodian fees payable | 1,067 | 675 | 6,554 | 1,790 | 4,082 | 48,005 | |||||||||||||||||||||
Administration fees payable | 5,165 | 997 | 10,229 | 5,800 | 8,880 | 27,847 | |||||||||||||||||||||
Trustee fees payable | 33 | 12 | 370 | 136 | 299 | 227 | |||||||||||||||||||||
Licensing fees payable | — | — | 31,838 | 18,438 | 28,043 | 98,782 | |||||||||||||||||||||
Professional fees payable | 8,722 | 8,598 | 13,729 | 9,772 | 11,618 | 48,082 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 11,056,319 | 1,523,200 | 130,742,520 | 13,111,407 | 58,889,205 | 287,126,565 | |||||||||||||||||||||
Due to counterparty | — | — | 5,966,995 | 96,449 | 574,077 | 97,603 | |||||||||||||||||||||
Other liabilities | 1,125 | 872 | 4,797 | 1,507 | 4,421 | 91,758 | |||||||||||||||||||||
Total Liabilities | 11,083,519 | 1,534,354 | 150,423,719 | 13,263,907 | 71,525,060 | 288,128,930 | |||||||||||||||||||||
NET ASSETS | $ | 38,922,068 | $ | 6,732,181 | $ | 170,952,731 | $ | 42,002,979 | $ | 143,163,494 | $ | 743,209,574 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 34,861,472 | $ | 3,274,379 | $ | (59,438,821 | ) | $ | 26,432,647 | $ | 51,612,658 | $ | (704,199,227 | ) | |||||||||||||
Accumulated undistributed net investment income (loss) | (20,540 | ) | (30 | ) | (29,828 | ) | (16,464 | ) | (74,770 | ) | 13,024,533 | ||||||||||||||||
Accumulated net realized gains (losses) on investments | 15,137,455 | 4,981,032 | 361,163,900 | 28,698,203 | 150,514,811 | 1,721,510,833 | |||||||||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (11,056,319 | ) | (1,523,200 | ) | (130,742,520 | ) | (13,111,407 | ) | (58,889,205 | ) | (287,126,565 | ) | |||||||||||||||
NET ASSETS | $ | 38,922,068 | $ | 6,732,181 | $ | 170,952,731 | $ | 42,002,979 | $ | 143,163,494 | $ | 743,209,574 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 450,001 | 75,001 | 2,250,001 | 450,001 | 1,050,001 | 5,550,001 | |||||||||||||||||||||
Net Asset Value | $ | 86.49 | $ | 89.76 | $ | 75.98 | $ | 93.34 | $ | 136.35 | $ | 133.91 |
See accompanying notes to the financial statements.
238
UltraShort Health Care | UltraShort Industrials | UltraShort Oil & Gas | UltraShort Real Estate | UltraShort Semiconductors | UltraShort Technology | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 19,028,446 | $ | 141,409,834 | $ | 664,381,060 | $ | 676,855,334 | $ | 61,596,031 | $ | 107,503,314 | |||||||||||||||
Securities, at value | — | — | — | — | — | — | |||||||||||||||||||||
Repurchase agreements, at value | 19,028,446 | 141,409,834 | 664,381,060 | 676,855,334 | 61,596,031 | 107,503,314 | |||||||||||||||||||||
Total Investment Securities | 19,028,446 | 141,409,834 | 664,381,060 | 676,855,334 | 61,596,031 | 107,503,314 | |||||||||||||||||||||
Cash | — | 37 | 153,510,122 | 158,821,898 | — | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Dividends and interest receivable | 330 | 2,449 | 11,507 | 11,723 | 1,067 | 1,862 | |||||||||||||||||||||
Receivable for investments sold | — | — | — | — | — | — | |||||||||||||||||||||
Due from counterparty | 3,116 | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | — | — | 55,657,241 | 644,270,397 | — | — | |||||||||||||||||||||
Receivable from Advisor | 5,779 | — | — | — | — | — | |||||||||||||||||||||
Other receivable | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | — | — | |||||||||||||||||||||
Prepaid licensing fees | — | — | — | — | — | — | |||||||||||||||||||||
Prepaid expenses | 109 | 85 | — | 1,785 | 107 | 238 | |||||||||||||||||||||
Total Assets | 19,037,780 | 141,412,405 | 873,559,930 | 1,479,961,137 | 61,597,205 | 107,505,414 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | — | — | — | — | — | |||||||||||||||||||||
Payable for investments purchased | — | — | — | — | — | — | |||||||||||||||||||||
Payable for capital shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Advisory fees payable | — | 56,363 | 431,612 | 527,477 | 17,349 | 36,411 | |||||||||||||||||||||
Management Services fees payable | — | 9,342 | 7,283 | 74,323 | 3,652 | 6,175 | |||||||||||||||||||||
Custodian fees payable | 1,472 | 3,029 | 22,226 | 32,170 | 1,871 | 2,529 | |||||||||||||||||||||
Administration fees payable | 11,353 | 7,249 | 21,666 | 21,676 | 5,785 | 6,248 | |||||||||||||||||||||
Trustee fees payable | — | 254 | 670 | 98 | 33 | 82 | |||||||||||||||||||||
Licensing fees payable | 16,062 | 23,358 | 74,032 | 88,297 | 18,282 | 19,873 | |||||||||||||||||||||
Professional fees payable | 9,235 | 10,484 | 38,137 | 27,228 | 9,612 | 9,851 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 3,607,293 | 49,696,852 | 253,105,577 | 334,665,132 | 17,409,704 | 28,449,968 | |||||||||||||||||||||
Due to counterparty | — | 966,143 | 6,133,542 | 1,752,871 | 59,869 | 1,161,418 | |||||||||||||||||||||
Other liabilities | 990 | 2,566 | 12,870 | 26,800 | 1,242 | 2,023 | |||||||||||||||||||||
Total Liabilities | 3,646,405 | 50,775,640 | 259,847,615 | 337,216,072 | 17,527,399 | 29,694,578 | |||||||||||||||||||||
NET ASSETS | $ | 15,391,375 | $ | 90,636,765 | $ | 613,712,315 | $ | 1,142,745,065 | $ | 44,069,806 | $ | 77,810,836 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 10,649,308 | $ | 14,452,174 | $ | 111,692,053 | $ | 427,565,605 | $ | 7,393,199 | $ | 35,306,793 | |||||||||||||||
Accumulated undistributed net investment income (loss) | (6,175 | ) | 44,662 | 1,533,830 | 3,683,823 | 21,839 | 34,105 | ||||||||||||||||||||
Accumulated net realized gains (losses) on investments | 8,355,535 | 125,836,781 | 753,592,009 | 1,046,160,769 | 54,064,472 | 70,919,906 | |||||||||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (3,607,293 | ) | (49,696,852 | ) | (253,105,577 | ) | (334,665,132 | ) | (17,409,704 | ) | (28,449,968 | ) | |||||||||||||||
NET ASSETS | $ | 15,391,375 | $ | 90,636,765 | $ | 613,712,315 | $ | 1,142,745,065 | $ | 44,069,806 | $ | 77,810,836 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 150,001 | 825,001 | 20,325,001 | 9,300,001 | 300,001 | 675,001 | |||||||||||||||||||||
Net Asset Value | $ | 102.61 | $ | 109.86 | $ | 30.19 | $ | 122.88 | $ | 146.90 | $ | 115.28 |
See accompanying notes to the financial statements.
239
ProShares Trust Statements of Assets and Liabilities (continued)
November 30, 2008 (Unaudited)
UltraShort Telecommunications | UltraShort Utilities | Short MSCI EAFE | Short MSCI Emerging Markets | UltraShort MSCI EAFE | UltraShort MSCI Emerging Markets | ||||||||||||||||||||||
ASSETS: | |||||||||||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 10,853,115 | $ | 21,894,962 | $ | 68,942,951 | $ | 48,428,590 | $ | 177,941,534 | $ | 955,939,257 | |||||||||||||||
Securities, at value | — | — | — | — | — | — | |||||||||||||||||||||
Repurchase agreements, at value | 10,853,115 | 21,894,962 | 68,942,951 | 48,428,590 | 177,941,534 | 955,939,257 | |||||||||||||||||||||
Total Investment Securities | 10,853,115 | 21,894,962 | 68,942,951 | 48,428,590 | 177,941,534 | 955,939,257 | |||||||||||||||||||||
Cash | — | — | — | — | — | — | |||||||||||||||||||||
Segregated cash balances with brokers for futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Dividends and interest receivable | 188 | 379 | 1,194 | 838 | 3,082 | 16,556 | |||||||||||||||||||||
Receivable for investments sold | — | — | — | — | — | — | |||||||||||||||||||||
Due from counterparty | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for capital shares issued | — | — | — | — | — | 16,694,581 | |||||||||||||||||||||
Receivable from Advisor | 3,869 | 114 | — | — | — | — | |||||||||||||||||||||
Other receivable | 181 | — | — | — | — | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | — | — | |||||||||||||||||||||
Prepaid licensing fees | — | — | — | — | — | — | |||||||||||||||||||||
Prepaid expenses | 27 | 109 | 35 | 85 | 225 | 763 | |||||||||||||||||||||
Total Assets | 10,857,380 | 21,895,564 | 68,944,180 | 48,429,513 | 177,944,841 | 972,651,157 | |||||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||||||
Cash overdraft | — | — | — | — | 1,585 | 138,390,406 | |||||||||||||||||||||
Payable for investments purchased | — | — | — | — | — | — | |||||||||||||||||||||
Payable for capital shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Advisory fees payable | — | — | 27,347 | 12,629 | 72,861 | 267,256 | |||||||||||||||||||||
Management Services fees payable | — | — | 5,233 | 3,363 | 11,732 | 56,497 | |||||||||||||||||||||
Custodian fees payable | 1,101 | 1,536 | 1,781 | 1,431 | 4,072 | 15,417 | |||||||||||||||||||||
Administration fees payable | 1,088 | 8,253 | 6,608 | 6,392 | 8,882 | 17,876 | |||||||||||||||||||||
Trustee fees payable | 77 | 86 | 70 | 33 | 228 | 230 | |||||||||||||||||||||
Licensing fees payable | 9,796 | 16,623 | 15,414 | 28,533 | 3,279 | 9,316 | |||||||||||||||||||||
Professional fees payable | 17,818 | 9,364 | 9,664 | 9,838 | 11,499 | 15,414 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Unrealized depreciation on swap agreements | 4,440,736 | 5,683,226 | 10,448,343 | 11,306,196 | 51,419,350 | 252,330,196 | |||||||||||||||||||||
Due to counterparty | 21,469 | 382,054 | — | — | — | — | |||||||||||||||||||||
Other liabilities | 1,136 | 982 | 1,629 | 968 | 4,477 | 11,340 | |||||||||||||||||||||
Total Liabilities | 4,493,221 | 6,102,124 | 10,516,089 | 11,369,383 | 51,537,965 | 391,113,948 | |||||||||||||||||||||
NET ASSETS | $ | 6,364,159 | $ | 15,793,440 | $ | 58,428,091 | $ | 37,060,130 | $ | 126,406,876 | $ | 581,537,209 | |||||||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||||||||||
Paid in Capital | $ | 4,634,717 | $ | 552,799 | $ | 39,496,605 | $ | 23,033,573 | $ | 35,623,520 | $ | 566,514,511 | |||||||||||||||
Accumulated undistributed net investment income (loss) | (1,740 | ) | 13,878 | (29,317 | ) | (8,528 | ) | (31,554 | ) | 170,990 | |||||||||||||||||
Accumulated net realized gains (losses) on investments | 6,171,918 | 20,909,989 | 29,409,146 | 25,341,281 | 142,234,260 | 267,181,904 | |||||||||||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (4,440,736 | ) | (5,683,226 | ) | (10,448,343 | ) | (11,306,196 | ) | (51,419,350 | ) | (252,330,196 | ) | |||||||||||||||
NET ASSETS | $ | 6,364,159 | $ | 15,793,440 | $ | 58,428,091 | $ | 37,060,130 | $ | 126,406,876 | $ | 581,537,209 | |||||||||||||||
Shares (unlimited number of shares authorized, no par value) | 75,001 | 225,001 | 525,001 | 375,001 | 900,001 | 8,025,001 | |||||||||||||||||||||
Net Asset Value | $ | 84.85 | $ | 70.19 | $ | 111.29 | $ | 98.83 | $ | 140.45 | $ | 72.47 |
See accompanying notes to the financial statements.
240
UltraShort MSCI Japan | UltraShort FTSE/Xinhua China 25 | UltraShort 7-10 Year Treasury | UltraShort 20+ Year Treasury | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Securities and repurchase agreements, at cost | $ | 19,639,012 | $ | 611,089,235 | $ | 87,217,167 | $ | 502,689,899 | |||||||||||
Securities, at value | — | — | — | — | |||||||||||||||
Repurchase agreements, at value | 19,639,012 | 611,089,235 | 87,217,167 | 502,689,899 | |||||||||||||||
Total Investment Securities | 19,639,012 | 611,089,235 | 87,217,167 | 502,689,899 | |||||||||||||||
Cash | — | — | 11,211,665 | 150,229,782 | |||||||||||||||
Segregated cash balances with brokers for futures contracts | — | — | 325,293 | 4,005,694 | |||||||||||||||
Dividends and interest receivable | 340 | 10,583 | 1,511 | 8,706 | |||||||||||||||
Receivable for investments sold | — | — | — | — | |||||||||||||||
Due from counterparty | — | — | — | — | |||||||||||||||
Receivable for capital shares issued | — | 52,749,501 | 4,401,767 | 141,219,221 | |||||||||||||||
Receivable from Advisor | 5,002 | — | — | — | |||||||||||||||
Other receivable | — | — | — | — | |||||||||||||||
Receivable for variation margin on futures contracts | — | — | — | — | |||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | |||||||||||||||
Prepaid licensing fees | — | — | — | — | |||||||||||||||
Prepaid expenses | 61 | 1,422 | — | — | |||||||||||||||
Total Assets | 19,644,415 | 663,850,741 | 103,157,403 | 798,153,302 | |||||||||||||||
LIABILITIES: | |||||||||||||||||||
Cash overdraft | — | 73,782,170 | — | — | |||||||||||||||
Payable for investments purchased | — | — | — | — | |||||||||||||||
Payable for capital shares redeemed | — | — | — | — | |||||||||||||||
Advisory fees payable | — | 255,794 | 41,852 | 299,641 | |||||||||||||||
Management Services fees payable | — | 37,722 | 7,839 | 42,873 | |||||||||||||||
Custodian fees payable | 1,350 | 15,940 | 2,781 | 8,324 | |||||||||||||||
Administration fees payable | 5,523 | 16,232 | 7,906 | 15,946 | |||||||||||||||
Trustee fees payable | 63 | 279 | 233 | 713 | |||||||||||||||
Licensing fees payable | 9,415 | 168,750 | 35,902 | 81,850 | |||||||||||||||
Professional fees payable | 12,503 | 20,693 | 23,397 | 26,203 | |||||||||||||||
Payable for variation margin on futures contracts | — | — | 56,781 | 518,778 | |||||||||||||||
Unrealized depreciation on swap agreements | 4,269,381 | 203,329,881 | 11,317,897 | 118,782,467 | |||||||||||||||
Due to counterparty | — | — | 2,751 | 5,502 | |||||||||||||||
Other liabilities | 962 | 6,449 | 1,653 | 5,734 | |||||||||||||||
Total Liabilities | 4,299,197 | 277,633,910 | 11,498,992 | 119,788,031 | |||||||||||||||
NET ASSETS | $ | 15,345,218 | $ | 386,216,831 | $ | 91,658,411 | $ | 678,365,271 | |||||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||||
Paid in Capital | $ | 3,124,294 | $ | 304,059,376 | $ | 110,914,342 | $ | 848,010,648 | |||||||||||
Accumulated undistributed net investment income (loss) | 20,863 | 2,359,612 | (53,077 | ) | (338,355 | ) | |||||||||||||
Accumulated net realized gains (losses) on investments | 16,469,442 | 283,127,724 | (7,689,904 | ) | (48,797,411 | ) | |||||||||||||
Net unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investments | — | — | — | — | |||||||||||||||
Futures contracts | — | — | (195,053 | ) | (1,727,144 | ) | |||||||||||||
Swap agreements | (4,269,381 | ) | (203,329,881 | ) | (11,317,897 | ) | (118,782,467 | ) | |||||||||||
NET ASSETS | $ | 15,345,218 | $ | 386,216,831 | $ | 91,658,411 | $ | 678,365,271 | |||||||||||
Shares (unlimited number of shares authorized, no par value) | 150,001 | 7,500,001 | 1,575,001 | 14,025,001 | |||||||||||||||
Net Asset Value | $ | 102.30 | $ | 51.50 | $ | 58.20 | $ | 48.37 |
See accompanying notes to the financial statements.
241
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, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | 3,019,679 | $ | 7,811,970 | $ | 20,007,990 | $ | 894,686 | $ | 205,332 | $ | 1,524,154 | |||||||||||||||
Interest | 1,572,220 | 507,653 | 1,474,273 | 144,772 | 31,284 | 170,164 | |||||||||||||||||||||
Foreign withholding tax on dividends | (18,123 | ) | — | — | — | (69 | ) | (248 | ) | ||||||||||||||||||
Total Investment Income | 4,573,776 | 8,319,623 | 21,482,263 | 1,039,458 | 236,547 | 1,694,070 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 4,534,966 | 1,922,194 | 6,130,468 | 424,720 | 117,342 | 709,072 | |||||||||||||||||||||
Management Services fees (Note 4) | 604,653 | 256,289 | 817,384 | 56,629 | 15,645 | 94,542 | |||||||||||||||||||||
Professional fees | 25,451 | 16,050 | 28,352 | 11,370 | 10,303 | 12,183 | |||||||||||||||||||||
Administration fees (Note 5) | 141,906 | 110,373 | 147,415 | 64,782 | 50,737 | 77,452 | |||||||||||||||||||||
Custodian fees (Note 6) | 106,384 | 35,651 | 222,325 | 87,229 | 30,903 | 160,803 | |||||||||||||||||||||
Printing and Shareholder reports | 78,948 | 29,071 | 75,132 | 11,977 | 2,050 | 8,964 | |||||||||||||||||||||
Licensing fees | 609,793 | 107,657 | 6,393 | 6,393 | 6,394 | 61,282 | |||||||||||||||||||||
Trustee fees | 6,618 | 2,151 | 5,198 | 529 | 106 | 658 | |||||||||||||||||||||
Recoupment of prior expenses waived and/or reimbursed by Advisor (Note 4) | — | — | 305,428 | — | — | — | |||||||||||||||||||||
Other fees | 10,879 | 5,263 | 11,743 | 2,678 | 1,977 | 3,306 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 6,119,598 | 2,484,699 | 7,749,838 | 666,307 | 235,457 | 1,128,262 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) | (399,145 | ) | (51,807 | ) | — | (130,260 | ) | (87,357 | ) | (233,929 | ) | ||||||||||||||||
Total Net Expenses | 5,720,453 | 2,432,892 | 7,749,838 | 536,047 | 148,100 | 894,333 | |||||||||||||||||||||
Net Investment Income (Loss) | (1,146,677 | ) | 5,886,731 | 13,732,425 | 503,411 | 88,447 | 799,737 | ||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | (373,704,081 | ) | (92,639,218 | ) | (350,783,815 | ) | (42,444,140 | ) | (11,650,297 | ) | (84,151,039 | ) | |||||||||||||||
Futures contracts | (140,167,733 | ) | (47,854,063 | ) | (226,613,902 | ) | (10,753,667 | ) | — | (20,787,383 | ) | ||||||||||||||||
Swap agreements | (423,086,804 | ) | (98,243,857 | ) | (454,872,556 | ) | (27,519,044 | ) | (14,165,444 | ) | (78,957,541 | ) | |||||||||||||||
In-kind redemptions of investments | 22,678,253 | 4,055,392 | 13,386,739 | 6,232,569 | — | 3,552,151 | |||||||||||||||||||||
Net realized gain (loss) | (914,280,365 | ) | (234,681,746 | ) | (1,018,883,534 | ) | (74,484,282 | ) | (25,815,741 | ) | (180,343,812 | ) | |||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | (272,855,719 | ) | (49,224,203 | ) | (266,661,129 | ) | (17,331,008 | ) | (4,165,952 | ) | (26,012,794 | ) | |||||||||||||||
Futures contracts | (10,546,571 | ) | 3,226,850 | 25,073,613 | (136,382 | ) | — | 3,928,587 | |||||||||||||||||||
Swap agreements | (264,235,472 | ) | (40,754,303 | ) | (151,045,363 | ) | (28,089,230 | ) | (5,408,611 | ) | (35,195,614 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (547,637,762 | ) | (86,751,656 | ) | (392,632,879 | ) | (45,556,620 | ) | (9,574,563 | ) | (57,279,821 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (1,461,918,127 | ) | (321,433,402 | ) | (1,411,516,413 | ) | (120,040,902 | ) | (35,390,304 | ) | (237,623,633 | ) | |||||||||||||||
Change in Net Assets Resulting from Operations | $ | (1,463,064,804 | ) | $ | (315,546,671 | ) | $ | (1,397,783,988 | ) | $ | (119,537,491 | ) | $ | (35,301,857 | ) | $ | (236,823,896 | ) |
See accompanying notes to the financial statements.
242
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, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | 141,919 | $ | 166,341 | $ | 82,363 | $ | 62,724 | $ | 178,522 | $ | 62,910 | |||||||||||||||
Interest | 6,168 | 41,609 | 5,024 | 10,461 | 12,466 | 23,781 | |||||||||||||||||||||
Foreign withholding tax on dividends | (3 | ) | — | (10 | ) | — | (12 | ) | — | ||||||||||||||||||
Total Investment Income | 148,084 | 207,950 | 87,377 | 73,185 | 190,976 | 86,691 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 33,980 | 91,717 | 21,235 | 45,601 | 59,780 | 62,574 | |||||||||||||||||||||
Management Services fees (Note 4) | 4,531 | 12,229 | 2,831 | 6,080 | 7,970 | 8,343 | |||||||||||||||||||||
Professional fees | 10,032 | 10,264 | 9,981 | 10,091 | 10,110 | 10,134 | |||||||||||||||||||||
Administration fees (Note 5) | 53,300 | 53,423 | 52,904 | 53,012 | 54,784 | 54,683 | |||||||||||||||||||||
Custodian fees (Note 6) | 19,438 | 25,288 | 16,258 | 25,101 | 63,061 | 56,562 | |||||||||||||||||||||
Printing and Shareholder reports | 1,225 | 3,074 | 933 | 1,871 | 1,051 | 1,373 | |||||||||||||||||||||
Licensing fees | 12,247 | 16,557 | 7,659 | 7,598 | 19,107 | 20,348 | |||||||||||||||||||||
Trustee fees | 59 | 109 | 39 | 58 | 57 | 63 | |||||||||||||||||||||
Recoupment of prior expenses waived and/or reimbursed by Advisor (Note 4) | — | — | — | — | — | — | |||||||||||||||||||||
Other fees | 1,831 | 2,006 | 1,790 | 1,947 | 1,869 | 1,884 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 136,643 | 214,667 | 113,630 | 151,359 | 217,789 | 215,964 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) | (93,745 | ) | (98,832 | ) | (86,876 | ) | (93,854 | ) | (142,215 | ) | (137,033 | ) | |||||||||||||||
Total Net Expenses | 42,898 | 115,835 | 26,754 | 57,505 | 75,574 | 78,931 | |||||||||||||||||||||
Net Investment Income (Loss) | 105,186 | 92,115 | 60,623 | 15,680 | 115,402 | 7,760 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | (4,060,418 | ) | (8,707,302 | ) | (3,088,088 | ) | (5,091,554 | ) | (5,645,337 | ) | (7,600,613 | ) | |||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (5,971,483 | ) | (6,578,417 | ) | (3,840,175 | ) | (7,452,200 | ) | (6,286,438 | ) | (7,367,334 | ) | |||||||||||||||
In-kind redemptions of investments | — | 1,036,040 | — | 295,745 | 357,874 | — | |||||||||||||||||||||
Net realized gain (loss) | (10,031,901 | ) | (14,249,679 | ) | (6,928,263 | ) | (12,248,009 | ) | (11,573,901 | ) | (14,967,947 | ) | |||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | (313,711 | ) | (3,725,529 | ) | (724,262 | ) | (2,443,711 | ) | (766,020 | ) | (1,922,502 | ) | |||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | 247,464 | (7,324,557 | ) | (732,955 | ) | (1,218,460 | ) | (1,331,196 | ) | (4,076,177 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (66,247 | ) | (11,050,086 | ) | (1,457,217 | ) | (3,662,171 | ) | (2,097,216 | ) | (5,998,679 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (10,098,148 | ) | (25,299,765 | ) | (8,385,480 | ) | (15,910,180 | ) | (13,671,117 | ) | (20,966,626 | ) | |||||||||||||||
Change in Net Assets Resulting from Operations | $ | (9,992,962 | ) | $ | (25,207,650 | ) | $ | (8,324,857 | ) | $ | (15,894,500 | ) | $ | (13,555,715 | ) | $ | (20,958,866 | ) |
See accompanying notes to the financial statements.
243
ProShares Trust Statements of Operations (continued)
For the Periods Indicated (Unaudited)
Ultra Basic Materials | Ultra Consumer Goods | Ultra Consumer Services | Ultra Financials | Ultra Health Care | Ultra Industrials | ||||||||||||||||||||||
Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | 1,224,108 | $ | 127,491 | $ | 38,354 | $ | 33,190,000 | $ | 349,057 | $ | 109,780 | |||||||||||||||
Interest | 58,613 | 12,786 | 4,935 | 1,816,860 | 33,267 | 20,756 | |||||||||||||||||||||
Foreign withholding tax on dividends | — | — | — | (9,745 | ) | — | — | ||||||||||||||||||||
Total Investment Income | 1,282,721 | 140,277 | 43,289 | 34,997,115 | 382,324 | 130,536 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 311,356 | 37,398 | 21,838 | 6,828,924 | 135,667 | 37,782 | |||||||||||||||||||||
Management Services fees (Note 4) | 41,513 | 4,986 | 2,912 | 910,510 | 18,089 | 5,038 | |||||||||||||||||||||
Professional fees | 10,529 | 10,044 | 9,983 | 32,441 | 10,365 | 10,045 | |||||||||||||||||||||
Administration fees (Note 5) | 57,950 | 51,930 | 52,149 | 151,700 | 50,515 | 52,255 | |||||||||||||||||||||
Custodian fees (Note 6) | 10,340 | 4,756 | 5,664 | 194,681 | 9,367 | 9,313 | |||||||||||||||||||||
Printing and Shareholder reports | 4,097 | 761 | 601 | 90,703 | 2,195 | 1,347 | |||||||||||||||||||||
Licensing fees | 21,746 | 7,134 | 6,304 | 369,350 | 12,375 | 7,155 | |||||||||||||||||||||
Trustee fees | 167 | 51 | 19 | 5,591 | 126 | 68 | |||||||||||||||||||||
Recoupment of prior expenses waived and/or reimbursed by Advisor (Note 4) | — | — | — | 16,672 | — | — | |||||||||||||||||||||
Other fees | 2,085 | 1,836 | 2,097 | 13,604 | 1,967 | 1,867 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 459,783 | 118,896 | 101,567 | 8,614,176 | 240,666 | 124,870 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) | (68,003 | ) | (71,546 | ) | (73,979 | ) | — | (68,999 | ) | (77,221 | ) | ||||||||||||||||
Total Net Expenses | 391,780 | 47,350 | 27,588 | 8,614,176 | 171,667 | 47,649 | |||||||||||||||||||||
Net Investment Income (Loss) | 890,941 | 92,927 | 15,701 | 26,382,939 | 210,657 | 82,887 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | (49,664,115 | ) | (1,056,551 | ) | (2,302,273 | ) | (1,169,473,550 | ) | (6,546,391 | ) | (3,614,974 | ) | |||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (39,794,652 | ) | (1,836,111 | ) | (2,713,315 | ) | (1,405,170,867 | ) | (9,003,038 | ) | (2,455,375 | ) | |||||||||||||||
In-kind redemptions of investments | — | — | — | 191,527,560 | — | — | |||||||||||||||||||||
Net realized gain (loss) | (89,458,767 | ) | (2,892,662 | ) | (5,015,588 | ) | (2,383,116,857 | ) | (15,549,429 | ) | (6,070,349 | ) | |||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | (13,472,937 | ) | (1,267,909 | ) | (186,505 | ) | (9,725,829 | ) | (4,560,380 | ) | (1,584,111 | ) | |||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (39,338,377 | ) | (1,307,304 | ) | (503,825 | ) | 98,002,120 | (4,902,735 | ) | (4,201,375 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (52,811,314 | ) | (2,575,213 | ) | (690,330 | ) | 88,276,291 | (9,463,115 | ) | (5,785,486 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | (142,270,081 | ) | (5,467,875 | ) | (5,705,918 | ) | (2,294,840,566 | ) | (25,012,544 | ) | (11,855,835 | ) | |||||||||||||||
Change in Net Assets Resulting from Operations | $ | (141,379,140 | ) | $ | (5,374,948 | ) | $ | (5,690,217 | ) | $ | (2,268,457,627 | ) | $ | (24,801,887 | ) | $ | (11,772,948 | ) |
See accompanying notes to the financial statements.
244
Ultra Oil & Gas | Ultra Real Estate | Ultra Semiconductors | Ultra Technology | Ultra Telecommunications | Ultra Utilities | ||||||||||||||||||||||
Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | 2,941,591 | $ | 1,893,395 | $ | 522,115 | $ | 372,986 | $ | 132,387 | $ | 335,656 | |||||||||||||||
Interest | 198,254 | 65,801 | 104,685 | 176,344 | 10,988 | 23,302 | |||||||||||||||||||||
Foreign withholding tax on dividends | (166 | ) | (1,806 | ) | — | — | — | — | |||||||||||||||||||
Total Investment Income | 3,139,679 | 1,957,390 | 626,800 | 549,330 | 143,375 | 358,958 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 1,061,970 | 262,804 | 244,273 | 328,526 | 30,385 | 71,630 | |||||||||||||||||||||
Management Services fees (Note 4) | 141,594 | 35,040 | 32,569 | 43,803 | 4,051 | 9,551 | |||||||||||||||||||||
Professional fees | 12,622 | 10,737 | 10,909 | 11,159 | 10,034 | 10,129 | |||||||||||||||||||||
Administration fees (Note 5) | 84,876 | 54,798 | 53,780 | 59,774 | 8,146 | 50,418 | |||||||||||||||||||||
Custodian fees (Note 6) | 45,573 | 13,105 | 11,054 | 23,174 | 1,303 | 4,448 | |||||||||||||||||||||
Printing and Shareholder reports | 10,807 | 4,382 | 6,369 | 9,377 | 6,089 | 1,696 | |||||||||||||||||||||
Licensing fees | 61,779 | 19,156 | 18,167 | 22,661 | 6,760 | 8,960 | |||||||||||||||||||||
Trustee fees | 679 | 235 | 267 | 366 | 45 | 75 | |||||||||||||||||||||
Recoupment of prior expenses waived and/or reimbursed by Advisor (Note 4) | — | — | — | — | — | — | |||||||||||||||||||||
Other fees | 2,999 | 2,248 | 2,481 | 2,613 | 1,872 | 1,910 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 1,422,899 | 402,505 | 379,869 | 501,453 | 68,685 | 158,817 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) | (77,695 | ) | (71,456 | ) | (72,098 | ) | (86,972 | ) | (30,281 | ) | (68,179 | ) | |||||||||||||||
Total Net Expenses | 1,345,204 | 331,049 | 307,771 | 414,481 | 38,404 | 90,638 | |||||||||||||||||||||
Net Investment Income (Loss) | 1,794,475 | 1,626,341 | 319,029 | 134,849 | 104,971 | 268,320 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | (140,913,654 | ) | (44,387,395 | ) | (27,872,461 | ) | (30,528,410 | ) | (2,004,271 | ) | (3,974,400 | ) | |||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (52,983,662 | ) | (49,161,452 | ) | (37,353,263 | ) | (32,864,777 | ) | (4,164,527 | ) | (4,478,668 | ) | |||||||||||||||
In-kind redemptions of investments | 60,211,341 | 635,721 | 5,029,770 | 2,277,779 | — | — | |||||||||||||||||||||
Net realized gain (loss) | (133,685,975 | ) | (92,913,126 | ) | (60,195,954 | ) | (61,115,408 | ) | (6,168,798 | ) | (8,453,068 | ) | |||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | 30,899,982 | (998,510 | ) | (19,003,771 | ) | (18,733,190 | ) | (1,107,702 | ) | (1,853,673 | ) | ||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (33,081,988 | ) | (12,043,054 | ) | (16,432,162 | ) | (27,142,270 | ) | 50,941 | (2,908,453 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (2,182,006 | ) | (13,041,564 | ) | (35,435,933 | ) | (45,875,460 | ) | (1,056,761 | ) | (4,762,126 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (135,867,981 | ) | (105,954,690 | ) | (95,631,887 | ) | (106,990,868 | ) | (7,225,559 | ) | (13,215,194 | ) | |||||||||||||||
Change in Net Assets Resulting from Operations | $ | (134,073,506 | ) | $ | (104,328,349 | ) | $ | (95,312,858 | ) | $ | (106,856,019 | ) | $ | (7,120,588 | ) | $ | (12,946,874 | ) |
See accompanying notes to the financial statements.
245
ProShares Trust Statements of Operations (continued)
For the Periods Indicated (Unaudited)
Short QQQ® | Short Dow30SM | Short S&P500® | Short MidCap400 | Short SmallCap600 | Short Russell2000 | ||||||||||||||||||||||
Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Interest | 631,155 | 1,575,515 | 2,847,354 | 316,842 | 135,389 | 643,270 | |||||||||||||||||||||
Foreign withholding tax on dividends | — | — | — | — | — | — | |||||||||||||||||||||
Total Investment Income | 631,155 | 1,575,515 | 2,847,354 | 316,842 | 135,389 | 643,270 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 326,343 | 778,756 | 1,491,248 | 156,559 | 77,046 | 299,151 | |||||||||||||||||||||
Management Services fees (Note 4) | 43,512 | 103,832 | 198,830 | 20,874 | 10,273 | 39,886 | |||||||||||||||||||||
Professional fees | 11,099 | 12,686 | 15,363 | 10,515 | 10,197 | 11,150 | |||||||||||||||||||||
Administration fees (Note 5) | 46,051 | 61,852 | 82,579 | 40,459 | 40,370 | 44,965 | |||||||||||||||||||||
Custodian fees (Note 6) | 6,571 | 14,055 | 26,222 | 3,679 | 1,936 | 6,092 | |||||||||||||||||||||
Printing and Shareholder reports | 7,587 | 20,478 | 26,550 | 5,668 | 1,767 | 4,887 | |||||||||||||||||||||
Licensing fees | 48,652 | 46,674 | 6,393 | 6,393 | 6,393 | 38,094 | |||||||||||||||||||||
Trustee fees | 478 | 1,047 | 2,224 | 230 | 105 | 549 | |||||||||||||||||||||
Recoupment of prior expenses waived and/or reimbursed by Advisor (Note 4) | — | — | 42,717 | — | — | — | |||||||||||||||||||||
Other fees | 2,442 | 3,435 | 4,946 | 2,132 | 1,927 | 2,487 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 492,735 | 1,042,815 | 1,897,072 | 246,509 | 150,014 | 447,261 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) | (77,345 | ) | (52,156 | ) | — | (47,171 | ) | (51,952 | ) | (66,665 | ) | ||||||||||||||||
Total Net Expenses | 415,390 | 990,659 | 1,897,072 | 199,338 | 98,062 | 380,596 | |||||||||||||||||||||
Net Investment Income (Loss) | 215,765 | 584,856 | 950,282 | 117,504 | 37,327 | 262,674 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | (1,066,704 | ) | (1,085,123 | ) | (1,824,147 | ) | 676,707 | — | (645,074 | ) | |||||||||||||||||
Swap agreements | 44,225,226 | 86,733,085 | 200,352,717 | 23,466,909 | 14,109,330 | 32,097,123 | |||||||||||||||||||||
In-kind redemptions of investments | — | — | — | — | — | — | |||||||||||||||||||||
Net realized gain (loss) | 43,158,522 | 85,647,962 | 198,528,570 | 24,143,616 | 14,109,330 | 31,452,049 | |||||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | 2,854,245 | 3,440,621 | 2,551,038 | 824,781 | — | 1,794,964 | |||||||||||||||||||||
Swap agreements | (11,571,438 | ) | (29,880,697 | ) | (85,351,901 | ) | (6,147,722 | ) | (6,248,716 | ) | (8,750,537 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (8,717,193 | ) | (26,440,076 | ) | (82,800,863 | ) | (5,322,941 | ) | (6,248,716 | ) | (6,955,573 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 34,441,329 | 59,207,886 | 115,727,707 | 18,820,675 | 7,860,614 | 24,496,476 | |||||||||||||||||||||
Change in Net Assets Resulting from Operations | $ | 34,657,094 | $ | 59,792,742 | $ | 116,677,989 | $ | 18,938,179 | $ | 7,897,941 | $ | 24,759,150 |
See accompanying notes to the financial statements.
246
UltraShort QQQ® | UltraShort Dow30SM | UltraShort S&P500® | UltraShort MidCap400 | UltraShort SmallCap600 | UltraShort Russell2000 | ||||||||||||||||||||||
Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Interest | 11,836,058 | 4,380,876 | 19,658,505 | 1,354,169 | 610,328 | 9,048,488 | |||||||||||||||||||||
Foreign withholding tax on dividends | — | — | — | — | — | — | |||||||||||||||||||||
Total Investment Income | 11,836,058 | 4,380,876 | 19,658,505 | 1,354,169 | 610,328 | 9,048,488 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 5,190,105 | 2,262,547 | 10,132,054 | 622,417 | 272,175 | 3,882,491 | |||||||||||||||||||||
Management Services fees (Note 4) | 692,004 | 301,669 | 1,350,921 | 82,988 | 36,289 | 517,658 | |||||||||||||||||||||
Professional fees | 29,852 | 18,419 | 45,463 | 12,521 | 10,972 | 24,809 | |||||||||||||||||||||
Administration fees (Note 5) | 125,528 | 98,835 | 147,464 | 56,633 | 43,537 | 117,371 | |||||||||||||||||||||
Custodian fees (Note 6) | 89,996 | 39,675 | 172,957 | 12,174 | 5,015 | 66,764 | |||||||||||||||||||||
Printing and Shareholder reports | 161,214 | 57,946 | 191,811 | 18,014 | 5,351 | 71,367 | |||||||||||||||||||||
Licensing fees | 697,144 | 125,810 | 6,393 | 6,393 | 6,393 | 507,191 | |||||||||||||||||||||
Trustee fees | 10,599 | 3,951 | 17,016 | 1,531 | 533 | 6,217 | |||||||||||||||||||||
Recoupment of prior expenses waived and/or reimbursed by Advisor (Note 4) | — | — | — | — | — | — | |||||||||||||||||||||
Other fees | 15,574 | 6,943 | 24,485 | 3,388 | 2,395 | 11,196 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 7,012,016 | 2,915,795 | 12,088,564 | 816,059 | 382,660 | 5,205,064 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) | (389,552 | ) | (35,847 | ) | — | (22,452 | ) | (35,682 | ) | (257,856 | ) | ||||||||||||||||
Total Net Expenses | 6,622,464 | 2,879,948 | 12,088,564 | 793,607 | 346,978 | 4,947,208 | |||||||||||||||||||||
Net Investment Income (Loss) | 5,213,594 | 1,500,928 | 7,569,941 | 560,562 | 263,350 | 4,101,280 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | (12,249,899 | ) | (41,066,637 | ) | (112,901,349 | ) | (2,215,975 | ) | — | (5,093,806 | ) | ||||||||||||||||
Swap agreements | 1,293,030,083 | 448,623,532 | 2,448,702,405 | 170,250,105 | 67,583,683 | 831,962,966 | |||||||||||||||||||||
In-kind redemptions of investments | — | — | — | — | — | — | |||||||||||||||||||||
Net realized gain (loss) | 1,280,780,184 | 407,556,895 | 2,335,801,056 | 168,034,130 | 67,583,683 | 826,869,160 | |||||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | 13,571,554 | 1,975,120 | 4,704,750 | 950,364 | — | 5,389,088 | |||||||||||||||||||||
Swap agreements | (125,792,284 | ) | (137,737,501 | ) | (788,331,795 | ) | (51,172,493 | ) | (18,280,258 | ) | (215,931,932 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (112,220,730 | ) | (135,762,381 | ) | (783,627,045 | ) | (50,222,129 | ) | (18,280,258 | ) | (210,542,844 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 1,168,559,454 | 271,794,514 | 1,552,174,011 | 117,812,001 | 49,303,425 | 616,326,316 | |||||||||||||||||||||
Change in Net Assets Resulting from Operations | $ | 1,173,773,048 | $ | 273,295,442 | $ | 1,559,743,952 | $ | 118,372,563 | $ | 49,566,775 | $ | 620,427,596 |
See accompanying notes to the financial statements.
247
ProShares Trust Statements of Operations (continued)
For the Periods Indicated (Unaudited)
UltraShort Russell1000 Value | UltraShort Russell1000 Growth | UltraShort Russell MidCap Value | UltraShort Russell MidCap Growth | UltraShort Russell2000 Value | UltraShort Russell2000 Growth | ||||||||||||||||||||||
Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Interest | 133,956 | 178,364 | 46,637 | 145,870 | 198,916 | 325,438 | |||||||||||||||||||||
Foreign withholding tax on dividends | — | — | — | — | — | — | |||||||||||||||||||||
Total Investment Income | 133,956 | 178,364 | 46,637 | 145,870 | 198,916 | 325,438 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 65,957 | 87,634 | 32,001 | 62,923 | 98,002 | 142,118 | |||||||||||||||||||||
Management Services fees (Note 4) | 8,794 | 11,685 | 4,267 | 8,390 | 13,067 | 18,949 | |||||||||||||||||||||
Professional fees | 10,196 | 10,273 | 10,036 | 10,135 | 10,328 | 10,503 | |||||||||||||||||||||
Administration fees (Note 5) | 41,497 | 40,390 | 41,495 | 41,484 | 40,406 | 40,452 | |||||||||||||||||||||
Custodian fees (Note 6) | 1,764 | 2,099 | 1,244 | 1,721 | 2,263 | 2,945 | |||||||||||||||||||||
Printing and Shareholder reports | 1,112 | 2,175 | 824 | 844 | 3,229 | 3,456 | |||||||||||||||||||||
Licensing fees | 8,736 | 10,135 | 5,555 | 8,935 | 11,764 | 17,796 | |||||||||||||||||||||
Trustee fees | 77 | 112 | 38 | 60 | 248 | 194 | |||||||||||||||||||||
Recoupment of prior expenses waived and/or reimbursed by Advisor (Note 4) | — | — | — | — | — | — | |||||||||||||||||||||
Other fees | 1,906 | 1,952 | 1,820 | 1,889 | 2,011 | 2,141 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 140,039 | 166,455 | 97,280 | 136,381 | 181,318 | 238,554 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) | (56,252 | ) | (54,793 | ) | (56,509 | ) | (56,158 | ) | (56,695 | ) | (57,437 | ) | |||||||||||||||
Total Net Expenses | 83,787 | 111,662 | 40,771 | 80,223 | 124,623 | 181,117 | |||||||||||||||||||||
Net Investment Income (Loss) | 50,169 | 66,702 | 5,866 | 65,647 | 74,293 | 144,321 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | 11,566,126 | 24,626,639 | 12,718,813 | 17,183,427 | 19,571,694 | 33,560,446 | |||||||||||||||||||||
In-kind redemptions of investments | — | — | — | — | — | — | |||||||||||||||||||||
Net realized gain (loss) | 11,566,126 | 24,626,639 | 12,718,813 | 17,183,427 | 19,571,694 | 33,560,446 | |||||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (10,831,108 | ) | (10,936,136 | ) | (7,197,071 | ) | (5,494,281 | ) | (12,977,760 | ) | (9,988,045 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (10,831,108 | ) | (10,936,136 | ) | (7,197,071 | ) | (5,494,281 | ) | (12,977,760 | ) | (9,988,045 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 735,018 | 13,690,503 | 5,521,742 | 11,689,146 | 6,593,934 | 23,572,401 | |||||||||||||||||||||
Change in Net Assets Resulting from Operations | $ | 785,187 | $ | 13,757,205 | $ | 5,527,608 | $ | 11,754,793 | $ | 6,668,227 | $ | 23,716,722 |
See accompanying notes to the financial statements.
248
Short Financials | Short Oil & Gas | UltraShort Basic Materials | UltraShort Consumer Goods | UltraShort Consumer Services | UltraShort Financials | ||||||||||||||||||||||
June 10, 2008* through November 30, 2008 | June 10, 2008* through November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Interest | 134,968 | 91,243 | 2,554,820 | 395,854 | 1,306,733 | 21,300,827 | |||||||||||||||||||||
Foreign withholding tax on dividends | — | — | — | — | — | — | |||||||||||||||||||||
Total Investment Income | 134,968 | 91,243 | 2,554,820 | 395,854 | 1,306,733 | 21,300,827 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 82,626 | 41,524 | 1,130,071 | 189,418 | 664,173 | 8,605,493 | |||||||||||||||||||||
Management Services fees (Note 4) | 11,017 | 5,537 | 150,674 | 25,255 | 88,555 | 1,147,382 | |||||||||||||||||||||
Professional fees | 9,930 | 9,806 | 14,186 | 10,642 | 12,441 | 45,380 | |||||||||||||||||||||
Administration fees (Note 5) | 17,671 | 8,904 | 72,461 | 40,491 | 58,007 | 141,200 | |||||||||||||||||||||
Custodian fees (Note 6) | 1,996 | 1,368 | 19,173 | 3,662 | 10,955 | 148,230 | |||||||||||||||||||||
Printing and Shareholder reports | 9,700 | 7,524 | 19,379 | 4,584 | 10,018 | 126,286 | |||||||||||||||||||||
Licensing fees | 11,716 | 9,524 | 65,411 | 15,242 | 40,563 | 464,101 | |||||||||||||||||||||
Trustee fees | 74 | 52 | 1,146 | 199 | 650 | 10,345 | |||||||||||||||||||||
Recoupment of prior expenses waived and/or reimbursed by Advisor (Note 4) | — | — | — | — | — | 124,301 | |||||||||||||||||||||
Other fees | 2,082 | 2,040 | 4,271 | 2,148 | 3,430 | 22,813 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 146,812 | 86,279 | 1,476,772 | 291,641 | 888,792 | 10,835,531 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) | (41,760 | ) | (33,447 | ) | (32,987 | ) | (50,646 | ) | (42,698 | ) | — | ||||||||||||||||
Total Net Expenses | 105,052 | 52,832 | 1,443,785 | 240,995 | 846,094 | 10,835,531 | |||||||||||||||||||||
Net Investment Income (Loss) | 29,916 | 38,411 | 1,111,035 | 154,859 | 460,639 | 10,465,296 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | (152,600 | ) | — | — | — | — | (17,401,288 | ) | |||||||||||||||||||
Swap agreements | 15,290,055 | 4,981,032 | 442,043,226 | 28,997,578 | 157,701,724 | 1,636,623,451 | |||||||||||||||||||||
In-kind redemptions of investments | — | — | — | — | — | — | |||||||||||||||||||||
Net realized gain (loss) | 15,137,455 | 4,981,032 | 442,043,226 | 28,997,578 | 157,701,724 | 1,619,222,163 | |||||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (11,056,319 | ) | (1,523,200 | ) | (117,206,397 | ) | (13,242,745 | ) | (61,219,813 | ) | (490,874,421 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (11,056,319 | ) | (1,523,200 | ) | (117,206,397 | ) | (13,242,745 | ) | (61,219,813 | ) | (490,874,421 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 4,081,136 | 3,457,832 | 324,836,829 | 15,754,833 | 96,481,911 | 1,128,347,742 | |||||||||||||||||||||
Change in Net Assets Resulting from Operations | $ | 4,111,052 | $ | 3,496,243 | $ | 325,947,864 | $ | 15,909,692 | $ | 96,942,550 | $ | 1,138,813,038 |
*Commencement of investment operations.
See accompanying notes to the financial statements.
249
ProShares Trust Statements of Operations (continued)
For the Periods Indicated (Unaudited)
UltraShort Health Care | UltraShort Industrials | UltraShort Oil & Gas | UltraShort Real Estate | UltraShort Semiconductors | UltraShort Technology | ||||||||||||||||||||||
Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Interest | 116,351 | 821,979 | 13,733,447 | 8,942,328 | 323,084 | 466,154 | |||||||||||||||||||||
Foreign withholding tax on dividends | — | — | — | — | — | — | |||||||||||||||||||||
Total Investment Income | 116,351 | 821,979 | 13,733,447 | 8,942,328 | 323,084 | 466,154 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 56,084 | 418,600 | 5,584,687 | 4,035,849 | 161,278 | 238,699 | |||||||||||||||||||||
Management Services fees (Note 4) | 7,478 | 55,812 | 744,614 | 538,105 | 21,503 | 31,826 | |||||||||||||||||||||
Professional fees | 10,132 | 11,419 | 32,088 | 26,062 | 10,518 | 10,816 | |||||||||||||||||||||
Administration fees (Note 5) | 41,465 | 48,612 | 125,713 | 119,149 | 40,457 | 42,057 | |||||||||||||||||||||
Custodian fees (Note 6) | 1,615 | 7,171 | 92,627 | 68,040 | 3,230 | 4,421 | |||||||||||||||||||||
Printing and Shareholder reports | 2,326 | 10,476 | 112,284 | 60,720 | 3,652 | 5,043 | |||||||||||||||||||||
Licensing fees | 8,131 | 27,465 | 302,991 | 220,386 | 13,741 | 17,870 | |||||||||||||||||||||
Trustee fees | 70 | 387 | 5,703 | 4,710 | 164 | 274 | |||||||||||||||||||||
Recoupment of prior expenses waived and/or reimbursed by Advisor (Note 4) | — | — | 82,137 | 62,523 | — | — | |||||||||||||||||||||
Other fees | 1,866 | 2,509 | 32,065 | 11,086 | 2,090 | 2,251 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 129,167 | 582,451 | 7,114,909 | 5,146,630 | 256,633 | 353,257 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) | (57,839 | ) | (48,651 | ) | — | — | (50,620 | ) | (48,795 | ) | |||||||||||||||||
Total Net Expenses | 71,328 | 533,800 | 7,114,909 | 5,146,630 | 206,013 | 304,462 | |||||||||||||||||||||
Net Investment Income (Loss) | 45,023 | 288,179 | 6,618,538 | 3,795,698 | 117,071 | 161,692 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | 7,029,900 | 130,767,492 | 1,087,822,716 | 1,160,461,867 | 61,064,252 | 75,593,769 | |||||||||||||||||||||
In-kind redemptions of investments | — | — | — | — | — | — | |||||||||||||||||||||
Net realized gain (loss) | 7,029,900 | 130,767,492 | 1,087,822,716 | 1,160,461,867 | 61,064,252 | 75,593,769 | |||||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (3,371,038 | ) | (49,165,978 | ) | (210,264,536 | ) | (367,001,463 | ) | (16,075,665 | ) | (26,112,751 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (3,371,038 | ) | (49,165,978 | ) | (210,264,536 | ) | (367,001,463 | ) | (16,075,665 | ) | (26,112,751 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 3,658,862 | 81,601,514 | 877,558,180 | 793,460,404 | 44,988,587 | 49,481,018 | |||||||||||||||||||||
Change in Net Assets Resulting from Operations | $ | 3,703,885 | $ | 81,889,693 | $ | 884,176,718 | $ | 797,256,102 | $ | 45,105,658 | $ | 49,642,710 |
See accompanying notes to the financial statements.
250
UltraShort Telecommunications | UltraShort Utilities | Short MSCI EAFE | Short MSCI Emerging Markets | UltraShort MSCI EAFE | UltraShort MSCI Emerging Markets | ||||||||||||||||||||||
Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | ||||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Dividends | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Interest | 75,303 | 178,490 | 269,990 | 421,796 | 1,105,573 | 3,396,999 | |||||||||||||||||||||
Foreign withholding tax on dividends | — | — | — | — | — | — | |||||||||||||||||||||
Total Investment Income | 75,303 | 178,490 | 269,990 | 421,796 | 1,105,573 | 3,396,999 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Advisory fees (Note 4) | 34,063 | 87,387 | 166,777 | 194,206 | 570,281 | 1,761,250 | |||||||||||||||||||||
Management Services fees (Note 4) | 4,542 | 11,651 | 22,236 | 25,894 | 76,036 | 234,830 | |||||||||||||||||||||
Professional fees | 10,048 | 10,245 | 10,509 | 10,629 | 12,313 | 15,888 | |||||||||||||||||||||
Administration fees (Note 5) | 7,303 | 40,380 | 30,296 | 40,043 | 54,584 | 87,931 | |||||||||||||||||||||
Custodian fees (Note 6) | 1,277 | 2,096 | 3,306 | 3,746 | 9,919 | 30,710 | |||||||||||||||||||||
Printing and Shareholder reports | 6,069 | 1,803 | 3,406 | 3,525 | 13,786 | 24,069 | |||||||||||||||||||||
Licensing fees | 6,956 | 9,801 | 30,209 | 30,209 | 30,209 | 198,673 | |||||||||||||||||||||
Trustee fees | 47 | 95 | 173 | 440 | 579 | 2,313 | |||||||||||||||||||||
Recoupment of prior waived and/or reimbursed by Advisor (Note 4) | — | — | — | — | — | — | |||||||||||||||||||||
Other fees | 1,868 | 1,934 | 2,003 | 2,217 | 2,943 | 5,239 | |||||||||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 72,173 | 165,392 | 268,915 | 310,909 | 770,650 | 2,360,903 | |||||||||||||||||||||
LESS: | |||||||||||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) | (28,800 | ) | (53,888 | ) | (56,616 | ) | (63,755 | ) | (43,646 | ) | (121,734 | ) | |||||||||||||||
Total Net Expenses | 43,373 | 111,504 | 212,299 | 247,154 | 727,004 | 2,239,169 | |||||||||||||||||||||
Net Investment Income (Loss) | 31,930 | 66,986 | 57,691 | 174,642 | 378,569 | 1,157,830 | |||||||||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | 8,129,630 | 24,565,970 | 28,682,221 | 30,156,933 | 154,929,930 | 327,597,641 | |||||||||||||||||||||
In-kind redemptions of investments | — | — | — | — | — | — | |||||||||||||||||||||
Net realized gain (loss) | 8,129,630 | 24,565,970 | 28,682,221 | 30,156,933 | 154,929,930 | 327,597,641 | |||||||||||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||||||||||
Investments | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | — | |||||||||||||||||||||
Swap agreements | (3,910,351 | ) | (4,835,883 | ) | (10,482,891 | ) | (11,397,770 | ) | (51,807,689 | ) | (231,171,441 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (3,910,351 | ) | (4,835,883 | ) | (10,482,891 | ) | (11,397,770 | ) | (51,807,689 | ) | (231,171,441 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 4,219,279 | 19,730,087 | 18,199,330 | 18,759,163 | 103,122,241 | 96,426,200 | |||||||||||||||||||||
Change in Net Assets Resulting from Operations | $ | 4,251,209 | $ | 19,797,073 | $ | 18,257,021 | $ | 18,933,805 | $ | 103,500,810 | $ | 97,584,030 |
See accompanying notes to the financial statements.
251
ProShares Trust Statements of Operations (continued)
For the Periods Indicated (Unaudited)
UltraShort MSCI Japan | UltraShort FTSE/Xinhua China 25 | UltraShort 7-10 Year Treasury | UltraShort 20+ Year Treasury | ||||||||||||||||
Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | Six Months Ended November 30, 2008 | ||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||
Dividends | $ | — | $ | — | $ | — | $ | — | |||||||||||
Interest | 212,484 | 3,940,522 | 561,916 | 2,006,699 | |||||||||||||||
Foreign withholding tax on dividends | — | — | — | — | |||||||||||||||
Total Investment Income | 212,484 | 3,940,522 | 561,916 | 2,006,699 | |||||||||||||||
EXPENSES: | |||||||||||||||||||
Advisory fees (Note 4) | 103,435 | 1,692,302 | 294,208 | 1,203,351 | |||||||||||||||
Management Services fees (Note 4) | 13,791 | 225,637 | 39,227 | 160,445 | |||||||||||||||
Professional fees | 10,416 | 16,122 | 10,861 | 13,667 | |||||||||||||||
Administration fees (Note 5) | 25,567 | 85,440 | 44,097 | 73,575 | |||||||||||||||
Custodian fees (Note 6) | 2,343 | 34,293 | 5,291 | 19,222 | |||||||||||||||
Printing and Shareholder reports | 1,848 | 23,801 | 11,209 | 25,305 | |||||||||||||||
Licensing fees | 55,277 | 224,498 | 19,851 | 65,308 | |||||||||||||||
Trustee fees | 142 | 4,672 | 220 | 839 | |||||||||||||||
Recoupment of prior expenses waived and/or reimbursed by Advisor (Note 4) | — | — | — | — | |||||||||||||||
Other fees | 2,003 | 6,318 | 2,981 | 6,392 | |||||||||||||||
Total Gross Expenses before fees waived and/or reimbursed | 214,822 | 2,313,083 | 427,945 | 1,568,104 | |||||||||||||||
LESS: | |||||||||||||||||||
Expenses waived and/or reimbursed by Advisor (Note 4) | (83,052 | ) | (160,123 | ) | (54,776 | ) | (44,148 | ) | |||||||||||
Total Net Expenses | 131,770 | 2,152,960 | 373,169 | 1,523,956 | |||||||||||||||
Net Investment Income (Loss) | 80,714 | 1,787,562 | 188,747 | 482,743 | |||||||||||||||
NET REALIZED GAIN (LOSS) ON: | |||||||||||||||||||
Investments | — | — | — | — | |||||||||||||||
Futures contracts | — | — | (688,329 | ) | (6,673,534 | ) | |||||||||||||
Swap agreements | 18,985,533 | 383,012,384 | (7,563,713 | ) | (44,013,870 | ) | |||||||||||||
In-kind redemptions of investments | — | — | — | — | |||||||||||||||
Net realized gain (loss) | 18,985,533 | 383,012,384 | (8,252,042 | ) | (50,687,404 | ) | |||||||||||||
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON: | |||||||||||||||||||
Investments | — | — | — | — | |||||||||||||||
Futures contracts | — | — | (211,698 | ) | (1,769,814 | ) | |||||||||||||
Swap agreements | (3,818,553 | ) | (246,586,481 | ) | (11,317,897 | ) | (118,782,467 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (3,818,553 | ) | (246,586,481 | ) | (11,529,595 | ) | (120,552,281 | ) | |||||||||||
Net realized and unrealized gain (loss) | 15,166,980 | 136,425,903 | (19,781,637 | ) | (171,239,685 | ) | |||||||||||||
Change in Net Assets Resulting from Operations | $ | 15,247,694 | $ | 138,213,465 | �� | $ | (19,592,890 | ) | $ | (170,756,942 | ) |
See accompanying notes to the financial statements.
252
ProShares Trust Statements of Changes in Net Assets
For the Periods Indicated
Ultra QQQ® | Ultra Dow30SM | Ultra S&P500® | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (1,146,677 | ) | $ | 1,116,282 | $ | 5,886,731 | $ | 4,309,923 | $ | 13,732,425 | $ | 8,491,156 | ||||||||||||||
Net realized gain (loss) | (914,280,365 | ) | 111,740,082 | (234,681,746 | ) | (8,786,464 | ) | (1,018,883,534 | ) | 43,490,872 | |||||||||||||||||
Change in net unrealized appreciation (depreciation) | (547,637,762 | ) | (52,493,874 | ) | (86,751,656 | ) | (24,146,827 | ) | (392,632,879 | ) | (73,133,218 | ) | |||||||||||||||
Change in Net Assets Resulting from Operations | (1,463,064,804 | ) | 60,362,490 | (315,546,671 | ) | (28,623,368 | ) | (1,397,783,988 | ) | (21,151,190 | ) | ||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (428,824 | ) | (709,463 | ) | (3,568,699 | ) | (3,530,442 | ) | (6,714,390 | ) | (6,932,294 | ) | |||||||||||||||
Net realized gains on investments | — | (49,276,703 | ) | — | (10,417,771 | ) | — | (24,369,076 | ) | ||||||||||||||||||
Total distributions | (428,824 | ) | (49,986,166 | ) | (3,568,699 | ) | (13,948,213 | ) | (6,714,390 | ) | (31,301,370 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 2,515,233,761 | 1,764,401,728 | 1,204,929,727 | 367,507,066 | 5,218,831,088 | 1,133,280,381 | |||||||||||||||||||||
Cost of shares redeemed | (629,837,714 | ) | (1,114,352,039 | ) | (314,966,786 | ) | (147,801,934 | ) | (1,205,681,116 | ) | (419,904,448 | ) | |||||||||||||||
Change in net assets resulting from capital transactions | 1,885,396,047 | 650,049,689 | 889,962,941 | 219,705,132 | 4,013,149,972 | 713,375,933 | |||||||||||||||||||||
Change in net assets | 421,902,419 | 660,426,013 | 570,847,571 | 177,133,551 | 2,608,651,594 | 660,923,373 | |||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 908,687,446 | $ | 248,261,433 | $ | 301,090,013 | $ | 123,956,462 | $ | 904,502,680 | $ | 243,579,307 | |||||||||||||||
End of period | $ | 1,330,589,865 | $ | 908,687,446 | $ | 871,937,584 | $ | 301,090,013 | $ | 3,513,154,274 | $ | 904,502,680 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | (973,282 | ) | $ | 602,219 | $ | 3,345,138 | $ | 1,027,106 | $ | 9,109,978 | $ | 2,091,943 | ||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 10,050,001 | 2,625,001 | 3,975,001 | 1,275,001 | 12,225,001 | 2,475,001 | |||||||||||||||||||||
Issued | 14,250,000 | 9,600,000 | 9,675,000 | 2,325,000 | 50,925,000 | 7,050,000 | |||||||||||||||||||||
Issued in-kind | 42,150,000 | 10,875,000 | 20,250,000 | 2,175,000 | 108,375,000 | 8,175,000 | |||||||||||||||||||||
Redeemed | (5,550,000 | ) | (2,700,000 | ) | (3,600,000 | ) | (1,275,000 | ) | (14,100,000 | ) | (150,000 | ) | |||||||||||||||
Redemption in-kind | (10,800,000 | ) | (10,350,000 | ) | (3,900,000 | ) | (525,000 | ) | (25,575,000 | ) | (5,325,000 | ) | |||||||||||||||
Shares outstanding, end of period | 50,100,001 | 10,050,001 | 26,400,001 | 3,975,001 | 131,850,001 | 12,225,001 |
(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.
253
ProShares Trust Statements of Changes in Net Assets (continued)
For the Periods Indicated
Ultra MidCap400 | Ultra SmallCap600 | Ultra Russell2000 | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 503,411 | $ | 654,498 | $ | 88,447 | $ | 68,768 | $ | 799,737 | $ | 509,271 | |||||||||||||||
Net realized gain (loss) | (74,484,282 | ) | (785,308 | ) | (25,815,741 | ) | (2,002,000 | ) | (180,343,812 | ) | 366,862 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (45,556,620 | ) | (3,572,915 | ) | (9,574,563 | ) | (850,359 | ) | (57,279,821 | ) | (3,266,497 | ) | |||||||||||||||
Change in Net Assets Resulting from Operations | (119,537,491 | ) | (3,703,725 | ) | (35,301,857 | ) | (2,783,591 | ) | (236,823,896 | ) | (2,390,364 | ) | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (432,054 | ) | (643,279 | ) | (61,260 | ) | (108,583 | ) | (421,795 | ) | (532,306 | ) | |||||||||||||||
Net realized gains on investments | — | (3,629,822 | ) | — | (396,178 | ) | — | (1,169,668 | ) | ||||||||||||||||||
Total distributions | (432,054 | ) | (4,273,101 | ) | (61,260 | ) | (504,761 | ) | (421,795 | ) | (1,701,974 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 136,808,674 | 71,555,346 | 45,607,470 | 12,718,995 | 468,743,796 | 164,107,627 | |||||||||||||||||||||
Cost of shares redeemed | (50,420,244 | ) | (34,040,023 | ) | (2,337,284 | ) | — | (67,394,428 | ) | (76,765,552 | ) | ||||||||||||||||
Change in net assets resulting from capital transactions | 86,388,430 | 37,515,323 | 43,270,186 | 12,718,995 | 401,349,368 | 87,342,075 | |||||||||||||||||||||
Change in net assets | (33,581,115 | ) | 29,538,497 | 7,907,069 | 9,430,643 | 164,103,677 | 83,249,737 | ||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 133,524,217 | $ | 103,985,720 | $ | 21,823,619 | $ | 12,392,976 | $ | 113,165,300 | $ | 29,915,563 | |||||||||||||||
End of period | $ | 99,943,102 | $ | 133,524,217 | $ | 29,730,688 | $ | 21,823,619 | $ | 277,268,977 | $ | 113,165,300 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 185,116 | $ | 113,759 | $ | 39,249 | $ | 12,062 | $ | 463,334 | $ | 85,392 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 1,650,001 | 1,050,001 | 375,001 | 150,001 | 2,025,001 | 375,001 | |||||||||||||||||||||
Issued | 1,950,000 | 300,000 | 750,000 | 225,000 | 8,100,000 | 2,250,000 | |||||||||||||||||||||
Issued in-kind | 1,350,000 | 675,000 | 375,000 | — | 6,750,000 | 675,000 | |||||||||||||||||||||
Redeemed | (225,000 | ) | — | (75,000 | ) | — | (825,000 | ) | (600,000 | ) | |||||||||||||||||
Redemption in-kind | (525,000 | ) | (375,000 | ) | — | — | (1,500,000 | ) | (675,000 | ) | |||||||||||||||||
Shares outstanding, end of period | 4,200,001 | 1,650,001 | 1,425,001 | 375,001 | 14,550,001 | 2,025,001 |
(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.
254
Ultra Russell1000 Value | Ultra Russell1000 Growth | Ultra Russell MidCap Value | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 105,186 | $ | 173,935 | $ | 92,115 | $ | 142,756 | $ | 60,623 | $ | 102,556 | |||||||||||||||
Net realized gain (loss) | (10,031,901 | ) | (2,099,730 | ) | (14,249,679 | ) | (743,436 | ) | (6,928,263 | ) | (3,139,365 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (66,247 | ) | (1,470,980 | ) | (11,050,086 | ) | (496,765 | ) | (1,457,217 | ) | (654,816 | ) | |||||||||||||||
Change in Net Assets Resulting from Operations | (9,992,962 | ) | (3,396,775 | ) | (25,207,650 | ) | (1,097,445 | ) | (8,324,857 | ) | (3,691,625 | ) | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (66,718 | ) | (209,041 | ) | (87,744 | ) | (147,311 | ) | (34,435 | ) | (161,878 | ) | |||||||||||||||
Net realized gains on investments | — | — | — | (765,111 | ) | — | — | ||||||||||||||||||||
Total distributions | (66,718 | ) | (209,041 | ) | (87,744 | ) | (912,422 | ) | (34,435 | ) | (161,878 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 20,249,415 | — | 14,219,037 | 30,583,586 | 12,353,821 | — | |||||||||||||||||||||
Cost of shares redeemed | — | — | (8,890,081 | ) | — | — | (3,479,493 | ) | |||||||||||||||||||
Change in net assets resulting from capital transactions | 20,249,415 | — | 5,328,956 | 30,583,586 | 12,353,821 | (3,479,493 | ) | ||||||||||||||||||||
Change in net assets | 10,189,735 | (3,605,816 | ) | (19,966,438 | ) | 28,573,719 | 3,994,529 | (7,332,996 | ) | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 7,788,588 | $ | 11,394,404 | $ | 39,943,768 | $ | 11,370,049 | $ | 3,915,984 | $ | 11,248,980 | |||||||||||||||
End of period | $ | 17,978,323 | $ | 7,788,588 | $ | 19,977,330 | $ | 39,943,768 | $ | 7,910,513 | $ | 3,915,984 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 64,390 | $ | 25,922 | $ | 33,225 | $ | 28,854 | $ | 33,225 | $ | 7,037 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 150,001 | 150,001 | 600,001 | 150,001 | 75,001 | 150,001 | |||||||||||||||||||||
Issued | 675,000 | — | 375,000 | 450,000 | 300,000 | — | |||||||||||||||||||||
Issued in-kind | 150,000 | — | 75,000 | — | 150,000 | — | |||||||||||||||||||||
Redeemed | — | — | — | — | — | (75,000 | ) | ||||||||||||||||||||
Redemption in-kind | — | — | (150,000 | ) | — | — | — | ||||||||||||||||||||
Shares outstanding, end of period | 975,001 | 150,001 | 900,001 | 600,001 | 525,001 | 75,001 |
(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.
255
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, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 15,680 | $ | 50,011 | $ | 115,402 | $ | 111,087 | $ | 7,760 | $ | 29,643 | |||||||||||||||
Net realized gain (loss) | (12,248,009 | ) | (3,245,588 | ) | (11,573,901 | ) | (2,865,123 | ) | (14,967,947 | ) | (589,537 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) | (3,662,171 | ) | 850,569 | (2,097,216 | ) | (731,385 | ) | (5,998,679 | ) | (840,330 | ) | ||||||||||||||||
Change in Net Assets Resulting from Operations | (15,894,500 | ) | (2,345,008 | ) | (13,555,715 | ) | (3,485,421 | ) | (20,958,866 | ) | (1,400,224 | ) | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (10,110 | ) | (66,314 | ) | (85,885 | ) | (147,693 | ) | (2,210 | ) | (43,313 | ) | |||||||||||||||
Net realized gains on investments | — | (608,405 | ) | — | — | — | (91,541 | ) | |||||||||||||||||||
Total distributions | (10,110 | ) | (674,719 | ) | (85,885 | ) | (147,693 | ) | (2,210 | ) | (134,854 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 11,938,940 | 19,826,441 | 24,655,924 | 3,092,791 | 22,705,058 | 3,545,850 | |||||||||||||||||||||
Cost of shares redeemed | (3,827,150 | ) | (8,565,478 | ) | (7,215,413 | ) | — | (2,760,982 | ) | — | |||||||||||||||||
Change in net assets resulting from capital transactions | 8,111,790 | 11,260,963 | 17,440,511 | 3,092,791 | 19,944,076 | 3,545,850 | |||||||||||||||||||||
Change in net assets | (7,792,820 | ) | 8,241,236 | 3,798,911 | (540,323 | ) | (1,017,000 | ) | 2,010,772 | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 19,682,438 | $ | 11,441,202 | $ | 10,078,394 | $ | 10,618,717 | $ | 13,120,061 | $ | 11,109,289 | |||||||||||||||
End of period | $ | 11,889,618 | $ | 19,682,438 | $ | 13,877,305 | $ | 10,078,394 | $ | 12,103,061 | $ | 13,120,061 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 11,088 | $ | 5,518 | $ | 52,342 | $ | 22,825 | $ | 4,573 | $ | (977 | ) | ||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 300,001 | 150,001 | 225,001 | 150,001 | 225,001 | 150,001 | |||||||||||||||||||||
Issued | 525,000 | 300,000 | 750,000 | 75,000 | 300,000 | 75,000 | |||||||||||||||||||||
Issued in-kind | — | — | 75,000 | — | 225,000 | — | |||||||||||||||||||||
Redeemed | — | (150,000 | ) | — | — | (75,000 | ) | — | |||||||||||||||||||
Redemption in-kind | (75,000 | ) | — | (225,000 | ) | — | — | — | |||||||||||||||||||
Shares outstanding, end of period | 750,001 | 300,001 | 825,001 | 225,001 | 675,001 | 225,001 |
(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.
256
Ultra Basic Materials | Ultra Consumer Goods | Ultra Consumer Services | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 890,941 | $ | 263,618 | $ | 92,927 | $ | 129,028 | $ | 15,701 | $ | 26,673 | |||||||||||||||
Net realized gain (loss) | (89,458,767 | ) | 6,018,669 | (2,892,662 | ) | (488,003 | ) | (5,015,588 | ) | (1,129,135 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (52,811,314 | ) | 2,535,658 | (2,575,213 | ) | (1,001,694 | ) | (690,330 | ) | (659,286 | ) | ||||||||||||||||
Change in Net Assets Resulting from Operations | (141,379,140 | ) | 8,817,945 | (5,374,948 | ) | (1,360,669 | ) | (5,690,217 | ) | (1,761,748 | ) | ||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (180,879 | ) | (243,747 | ) | (71,069 | ) | (179,317 | ) | (11,270 | ) | (49,213 | ) | |||||||||||||||
Net realized gains on investments | — | (3,500,886 | ) | — | (42,213 | ) | — | — | |||||||||||||||||||
Total distributions | (180,879 | ) | (3,744,633 | ) | (71,069 | ) | (221,530 | ) | (11,270 | ) | (49,213 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 417,547,182 | 33,046,111 | 9,308,821 | 5,392,513 | 10,529,803 | — | |||||||||||||||||||||
Cost of shares redeemed | (18,704,280 | ) | (20,570,759 | ) | — | (5,464,148 | ) | — | — | ||||||||||||||||||
Change in net assets resulting from capital transactions | 398,842,902 | 12,475,352 | 9,308,821 | (71,635 | ) | 10,529,803 | — | ||||||||||||||||||||
Change in net assets | 257,282,883 | 17,548,664 | 3,862,804 | (1,653,834 | ) | 4,828,316 | (1,810,961 | ) | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 31,240,810 | $ | 13,692,146 | $ | 9,853,315 | $ | 11,507,149 | $ | 3,690,728 | $ | 5,501,689 | |||||||||||||||
End of period | $ | 288,523,693 | $ | 31,240,810 | $ | 13,716,119 | $ | 9,853,315 | $ | 8,519,044 | $ | 3,690,728 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 806,562 | $ | 96,500 | $ | 31,313 | $ | 9,455 | $ | 6,075 | $ | 1,645 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 300,001 | 150,001 | 150,001 | 150,001 | 75,001 | 75,001 | |||||||||||||||||||||
Issued | 12,750,000 | 375,000 | 225,000 | 75,000 | 225,000 | — | |||||||||||||||||||||
Issued in-kind | 7,950,000 | — | — | — | 150,000 | — | |||||||||||||||||||||
Redeemed | (750,000 | ) | — | — | — | — | — | ||||||||||||||||||||
Redemption in-kind | (75,000 | ) | (225,000 | ) | — | (75,000 | ) | — | — | ||||||||||||||||||
Shares outstanding, end of period | 20,175,001 | 300,001 | 375,001 | 150,001 | 450,001 | 75,001 |
(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.
257
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, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 26,382,939 | $ | 6,323,872 | $ | 210,657 | $ | 143,799 | $ | 82,887 | $ | 112,180 | |||||||||||||||
Net realized gain (loss) | (2,383,116,857 | ) | 4,585,204 | (15,549,429 | ) | (2,100,372 | ) | (6,070,349 | ) | (764,909 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | 88,276,291 | (150,737,738 | ) | (9,463,115 | ) | (2,205,345 | ) | (5,785,486 | ) | (890,724 | ) | ||||||||||||||||
Change in Net Assets Resulting from Operations | (2,268,457,627 | ) | (139,828,662 | ) | (24,801,887 | ) | (4,161,918 | ) | (11,772,948 | ) | (1,543,453 | ) | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (17,364,397 | ) | (3,485,168 | ) | (136,621 | ) | (179,157 | ) | (42,567 | ) | (143,131 | ) | |||||||||||||||
Net realized gains on investments | — | — | — | (198,913 | ) | — | (504,144 | ) | |||||||||||||||||||
Total distributions | (17,364,397 | ) | (3,485,168 | ) | (136,621 | ) | (378,070 | ) | (42,567 | ) | (647,275 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 5,535,119,878 | 1,327,956,005 | 51,169,796 | 10,274,916 | 12,425,108 | 6,763,563 | |||||||||||||||||||||
Cost of shares redeemed | (1,960,411,788 | ) | (139,785,396 | ) | — | — | — | — | |||||||||||||||||||
Change in net assets resulting from capital transactions | 3,574,708,090 | 1,188,170,609 | 51,169,796 | 10,274,916 | 12,425,108 | 6,763,563 | |||||||||||||||||||||
Change in net assets | 1,288,886,066 | 1,044,856,779 | 26,231,288 | 5,734,928 | 609,593 | 4,572,835 | |||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 1,055,641,887 | $ | 10,785,108 | $ | 17,432,570 | $ | 11,697,642 | $ | 11,092,076 | $ | 6,519,241 | |||||||||||||||
End of period | $ | 2,344,527,953 | $ | 1,055,641,887 | $ | 43,663,858 | $ | 17,432,570 | $ | 11,701,669 | $ | 11,092,076 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 11,953,662 | $ | 2,935,120 | $ | 118,364 | $ | 44,328 | $ | 51,357 | $ | 11,037 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 35,475,001 | 150,001 | 300,001 | 150,001 | 150,001 | 75,001 | |||||||||||||||||||||
Issued | 81,825,000 | 35,550,000 | 675,000 | 150,000 | 375,000 | 75,000 | |||||||||||||||||||||
Issued in-kind | 383,625,000 | 4,050,000 | 375,000 | — | — | — | |||||||||||||||||||||
Redeemed | (17,925,000 | ) | (3,600,000 | ) | — | — | — | — | |||||||||||||||||||
Redemption in-kind | (115,725,000 | ) | (675,000 | ) | — | — | — | — | |||||||||||||||||||
Shares outstanding, end of period | 367,275,001 | 35,475,001 | 1,350,001 | 300,001 | 525,001 | 150,001 |
(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.
258
Ultra Oil & Gas | Ultra Real Estate | Ultra Semiconductors | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,794,475 | $ | 462,375 | $ | 1,626,341 | $ | 536,574 | $ | 319,029 | $ | 402,632 | |||||||||||||||
Net realized gain (loss) | (133,685,975 | ) | 28,775,973 | (92,913,126 | ) | 539,055 | (60,195,954 | ) | (2,847,732 | ) | |||||||||||||||||
Change in net unrealized appreciation (depreciation) | (2,182,006 | ) | 3,174,468 | (13,041,564 | ) | (21,984 | ) | (35,435,933 | ) | 4,832,054 | |||||||||||||||||
Change in Net Assets Resulting from Operations | (134,073,506 | ) | 32,412,816 | (104,328,349 | ) | 1,053,645 | (95,312,858 | ) | 2,386,954 | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | — | (856,881 | ) | (1,213,031 | ) | (621,270 | ) | (321,293 | ) | (237,190 | ) | ||||||||||||||||
Net realized gains on investments | — | (6,352,875 | ) | — | — | — | (1,651,670 | ) | |||||||||||||||||||
Total distributions | — | (7,209,756 | ) | (1,213,031 | ) | (621,270 | ) | (321,293 | ) | (1,888,860 | ) | ||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 1,327,899,152 | 135,005,844 | 221,167,388 | 55,230,174 | 85,922,566 | 130,795,974 | |||||||||||||||||||||
Cost of shares redeemed | (625,499,579 | ) | (110,646,820 | ) | (58,264,667 | ) | (2,767,309 | ) | (58,657,449 | ) | (25,475,098 | ) | |||||||||||||||
Change in net assets resulting from capital transactions | 702,399,573 | 24,359,024 | 162,902,721 | 52,462,865 | 27,265,117 | 105,320,876 | |||||||||||||||||||||
Change in net assets | 568,326,067 | 49,562,084 | 57,361,341 | 52,895,240 | (68,369,034 | ) | 105,818,970 | ||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 78,043,545 | $ | 28,481,461 | $ | 57,531,530 | $ | 4,636,290 | $ | 117,594,161 | $ | 11,775,191 | |||||||||||||||
End of period | $ | 646,369,612 | $ | 78,043,545 | $ | 114,892,871 | $ | 57,531,530 | $ | 49,225,127 | $ | 117,594,161 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 1,498,992 | $ | (295,483 | ) | $ | 376,391 | $ | (36,919 | ) | $ | 210,299 | $ | 212,563 | |||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 675,001 | 300,001 | 1,575,001 | 75,001 | 1,950,001 | 150,001 | |||||||||||||||||||||
Issued | 6,075,000 | 1,125,000 | 23,700,000 | 1,050,000 | 1,425,000 | 900,000 | |||||||||||||||||||||
Issued in-kind | 29,100,000 | 225,000 | 375,000 | 525,000 | 1,500,000 | 1,350,000 | |||||||||||||||||||||
Redeemed | (600,000 | ) | (150,000 | ) | (6,000,000 | ) | (75,000 | ) | — | (225,000 | ) | ||||||||||||||||
Redemption in-kind | (15,525,000 | ) | (825,000 | ) | (150,000 | ) | — | (1,125,000 | ) | (225,000 | ) | ||||||||||||||||
Shares outstanding, end of period | 19,725,001 | 675,001 | 19,500,001 | 1,575,001 | 3,750,001 | 1,950,001 |
(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.
259
ProShares Trust Statements of Changes in Net Assets (continued)
For the Periods Indicated
Ultra Technology | Ultra Telecommunications | Ultra Utilities | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | March 25, 2008* through May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 134,849 | $ | 240,561 | $ | 104,971 | $ | 50,695 | $ | 268,320 | $ | 308,827 | |||||||||||||||
Net realized gain (loss) | (61,115,408 | ) | 4,708,502 | (6,168,798 | ) | 1,518,053 | (8,453,068 | ) | (667,637 | ) | |||||||||||||||||
Change in net unrealized appreciation (depreciation) | (45,875,460 | ) | (1,632,404 | ) | (1,056,761 | ) | 1,286,586 | (4,762,126 | ) | (647,668 | ) | ||||||||||||||||
Change in Net Assets Resulting from Operations | (106,856,019 | ) | 3,316,659 | (7,120,588 | ) | 2,855,334 | (12,946,874 | ) | (1,006,478 | ) | |||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (138,872 | ) | (171,737 | ) | (129,756 | ) | — | (181,944 | ) | (355,350 | ) | ||||||||||||||||
Net realized gains on investments | — | (1,583,664 | ) | — | — | — | (955,097 | ) | |||||||||||||||||||
Total distributions | (138,872 | ) | (1,755,401 | ) | (129,756 | ) | — | (181,944 | ) | (1,310,447 | ) | ||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 90,311,597 | 141,329,013 | 6,453,997 | 10,502,380 | 24,765,578 | 6,536,428 | |||||||||||||||||||||
Cost of shares redeemed | (43,883,575 | ) | (15,398,500 | ) | (4,091,867 | ) | — | — | — | ||||||||||||||||||
Change in net assets resulting from capital transactions | 46,428,022 | 125,930,513 | 2,362,130 | 10,502,380 | 24,765,578 | 6,536,428 | |||||||||||||||||||||
Change in net assets | (60,566,869 | ) | 127,491,771 | (4,888,214 | ) | 13,357,714 | 11,636,760 | 4,219,503 | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 133,344,154 | $ | 5,852,383 | $ | 13,357,714 | $ | — | $ | 17,760,561 | $ | 13,541,058 | |||||||||||||||
End of period | $ | 72,777,285 | $ | 133,344,154 | $ | 8,469,500 | $ | 13,357,714 | $ | 29,397,321 | $ | 17,760,561 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 103,339 | $ | 107,362 | $ | 25,910 | $ | 50,695 | $ | 151,948 | $ | 65,572 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 1,875,001 | 75,001 | 150,001 | — | 225,001 | 150,001 | |||||||||||||||||||||
Issued | 2,175,000 | 1,125,000 | 225,000 | 150,001 | 375,000 | 75,000 | |||||||||||||||||||||
Issued in-kind | 375,000 | 900,000 | — | — | 225,000 | — | |||||||||||||||||||||
Redeemed | — | — | (75,000 | ) | — | — | — | ||||||||||||||||||||
Redemption in-kind | (975,000 | ) | (225,000 | ) | — | — | — | — | |||||||||||||||||||
Shares outstanding, end of period | 3,450,001 | 1,875,001 | 300,001 | 150,001 | 825,001 | 225,001 |
* 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.
260
Short QQQ® | Short Dow30SM | Short S&P500® | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 215,765 | $ | 2,521,150 | $ | 584,856 | $ | 3,958,673 | $ | 950,282 | $ | 7,042,581 | |||||||||||||||
Net realized gain (loss) | 43,158,522 | (7,529,402 | ) | 85,647,962 | 3,265,472 | 198,528,570 | 437,291 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (8,717,193 | ) | (186,602 | ) | (26,440,076 | ) | 1,923,750 | (82,800,863 | ) | 3,838,305 | |||||||||||||||||
Change in Net Assets Resulting from Operations | 34,657,094 | (5,194,854 | ) | 59,792,742 | 9,147,895 | 116,677,989 | 11,318,177 | ||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (489,176 | ) | (3,173,510 | ) | (923,747 | ) | (4,378,811 | ) | (2,049,727 | ) | (7,603,043 | ) | |||||||||||||||
Net realized gains on investments | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (489,176 | ) | (3,173,510 | ) | (923,747 | ) | (4,378,811 | ) | (2,049,727 | ) | (7,603,043 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 27,625,767 | 305,003,318 | 156,822,715 | 285,734,793 | 289,994,767 | 517,377,965 | |||||||||||||||||||||
Cost of shares redeemed | (29,388,622 | ) | (324,107,413 | ) | (199,356,138 | ) | (246,518,839 | ) | (265,555,323 | ) | (399,566,249 | ) | |||||||||||||||
Change in net assets resulting from capital transactions | (1,762,855 | ) | (19,104,095 | ) | (42,533,423 | ) | 39,215,954 | 24,439,444 | 117,811,716 | ||||||||||||||||||
Change in net assets | 32,405,063 | (27,472,459 | ) | 16,335,572 | 43,985,038 | 139,067,706 | 121,526,850 | ||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 64,489,925 | $ | 91,962,384 | $ | 170,683,721 | $ | 126,698,683 | $ | 307,081,391 | $ | 185,554,541 | |||||||||||||||
End of period | $ | 96,894,988 | $ | 64,489,925 | $ | 187,019,293 | $ | 170,683,721 | $ | 446,149,097 | $ | 307,081,391 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | (70,669 | ) | $ | 202,742 | $ | 40,686 | $ | 379,577 | $ | (240,138 | ) | $ | 859,307 | |||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 1,200,001 | 1,575,001 | 2,775,001 | 2,175,001 | 4,876,429 | 3,151,429 | |||||||||||||||||||||
Issued | 450,000 | 5,325,000 | 2,250,000 | 4,725,000 | 3,675,000 | 8,175,000 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (450,000 | ) | (5,700,000 | ) | (2,625,000 | ) | (4,125,000 | ) | (3,375,000 | ) | (6,450,000 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 1,200,001 | 1,200,001 | 2,400,001 | 2,775,001 | 5,176,429 | 4,876,429 |
(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.
261
ProShares Trust Statements of Changes in Net Assets (continued)
For the Periods Indicated
Short MidCap400 | Short SmallCap600 | Short Russell2000 | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 117,504 | $ | 2,125,608 | $ | 37,327 | $ | 349,230 | $ | 262,674 | $ | 1,493,731 | |||||||||||||||
Net realized gain (loss) | 24,143,616 | 3,801,561 | 14,109,330 | 891,836 | 31,452,049 | 2,269,560 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (5,322,941 | ) | 777,992 | (6,248,716 | ) | (355,853 | ) | (6,955,573 | ) | (2,039,967 | ) | ||||||||||||||||
Change in Net Assets Resulting from Operations | 18,938,179 | 6,705,161 | 7,897,941 | 885,213 | 24,759,150 | 1,723,324 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (245,046 | ) | (2,942,543 | ) | (96,676 | ) | (467,559 | ) | (289,396 | ) | (1,050,006 | ) | |||||||||||||||
Net realized gains on investments | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (245,046 | ) | (2,942,543 | ) | (96,676 | ) | (467,559 | ) | (289,396 | ) | (1,050,006 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 4,717,905 | 8,501,765 | 10,374,918 | 5,513,584 | 5,447,900 | 159,738,741 | |||||||||||||||||||||
Cost of shares redeemed | (30,059,264 | ) | (84,438,750 | ) | (5,289,186 | ) | — | (60,046,077 | ) | (103,874,393 | ) | ||||||||||||||||
Change in net assets resulting from capital transactions | (25,341,359 | ) | (75,936,985 | ) | 5,085,732 | 5,513,584 | (54,598,177 | ) | 55,864,348 | ||||||||||||||||||
Change in net assets | (6,648,226 | ) | (72,174,367 | ) | 12,886,997 | 5,931,238 | (30,128,423 | ) | 56,537,666 | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 38,715,850 | $ | 110,890,217 | $ | 15,694,142 | $ | 9,762,904 | $ | 81,359,679 | $ | 24,822,013 | |||||||||||||||
End of period | $ | 32,067,624 | $ | 38,715,850 | $ | 28,581,139 | $ | 15,694,142 | $ | 51,231,256 | $ | 81,359,679 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | (40,684 | ) | $ | 86,858 | $ | (18,285 | ) | $ | 41,064 | $ | 453,605 | $ | 480,327 | |||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 675,001 | 1,950,001 | 225,001 | 150,001 | 1,125,001 | 375,001 | |||||||||||||||||||||
Issued | 75,000 | 150,000 | 150,000 | 75,000 | 75,000 | 2,100,000 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (375,000 | ) | (1,425,000 | ) | (75,000 | ) | — | (675,000 | ) | (1,350,000 | ) | ||||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 375,001 | 675,001 | 300,001 | 225,001 | 525,001 | 1,125,001 |
(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.
262
UltraShort QQQ® | UltraShort Dow30SM | UltraShort S&P500® | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 5,213,594 | $ | 50,452,850 | $ | 1,500,928 | $ | 15,627,520 | $ | 7,569,941 | $ | 51,431,805 | |||||||||||||||
Net realized gain (loss) | 1,280,780,184 | (184,122,397 | ) | 407,556,895 | 39,393,048 | 2,335,801,056 | 68,356,900 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (112,220,730 | ) | (14,080,966 | ) | (135,762,381 | ) | 21,840,972 | (783,627,045 | ) | 68,382,424 | |||||||||||||||||
Change in Net Assets Resulting from Operations | 1,173,773,048 | (147,750,513 | ) | 273,295,442 | 76,861,540 | 1,559,743,952 | 188,171,129 | ||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (9,033,786 | ) | (62,103,703 | ) | (3,026,137 | ) | (16,967,361 | ) | (14,045,823 | ) | (50,399,197 | ) | |||||||||||||||
Net realized gains on investments | — | — | (32,000,059 | ) | — | (130,000,245 | ) | — | |||||||||||||||||||
Total distributions | (9,033,786 | ) | (62,103,703 | ) | (35,026,196 | ) | (16,967,361 | ) | (144,046,068 | ) | (50,399,197 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 1,666,602,529 | 4,459,241,465 | 849,668,500 | 1,652,443,636 | 3,266,306,649 | 5,368,924,944 | |||||||||||||||||||||
Cost of shares redeemed | (3,793,662,588 | ) | (4,822,637,376 | ) | (1,006,409,314 | ) | (1,728,883,013 | ) | (4,293,973,872 | ) | (3,883,960,520 | ) | |||||||||||||||
Change in net assets resulting from capital transactions | (2,127,060,059 | ) | (363,395,911 | ) | (156,740,814 | ) | (76,439,377 | ) | (1,027,667,223 | ) | 1,484,964,424 | ||||||||||||||||
Change in net assets | (962,320,797 | ) | (573,250,127 | ) | 81,528,432 | (16,545,198 | ) | 388,030,661 | 1,622,736,356 | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 1,742,036,793 | $ | 2,315,286,920 | $ | 558,739,520 | $ | 575,284,718 | $ | 2,564,672,466 | $ | 941,936,110 | |||||||||||||||
End of period | $ | 779,715,996 | $ | 1,742,036,793 | $ | 640,267,952 | $ | 558,739,520 | $ | 2,952,703,127 | $ | 2,564,672,466 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | (270,064 | ) | $ | 3,550,128 | $ | 159,299 | $ | 1,684,508 | $ | 1,095,640 | $ | 7,571,522 | ||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 46,575,001 | 50,100,001 | 10,575,001 | 11,775,001 | 45,300,001 | 18,450,001 | |||||||||||||||||||||
Issued | 32,400,000 | 105,600,000 | 11,850,000 | 32,175,000 | 39,150,000 | 94,575,000 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (68,400,000 | ) | (109,125,000 | ) | (13,425,000 | ) | (33,375,000 | ) | (50,925,000 | ) | (67,725,000 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 10,575,001 | 46,575,001 | 9,000,001 | 10,575,001 | 33,525,001 | 45,300,001 |
(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.
263
ProShares Trust Statements of Changes in Net Assets (continued)
For the Periods Indicated
UltraShort MidCap400 | UltraShort SmallCap600 | UltraShort Russell2000 | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 560,562 | $ | 6,031,735 | $ | 263,350 | $ | 1,566,766 | $ | 4,101,280 | $ | 17,308,415 | |||||||||||||||
Net realized gain (loss) | 168,034,130 | 6,428,551 | 67,583,683 | (483,213 | ) | 826,869,160 | 40,274,743 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (50,222,129 | ) | (4,173,194 | ) | (18,280,258 | ) | (3,422,068 | ) | (210,542,844 | ) | (55,053,526 | ) | |||||||||||||||
Change in Net Assets Resulting from Operations | 118,372,563 | 8,287,092 | 49,566,775 | (2,338,515 | ) | 620,427,596 | 2,529,632 | ||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (1,145,640 | ) | (7,005,973 | ) | (273,634 | ) | (1,431,668 | ) | (6,533,712 | ) | (12,557,456 | ) | |||||||||||||||
Net realized gains on investments | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (1,145,640 | ) | (7,005,973 | ) | (273,634 | ) | (1,431,668 | ) | (6,533,712 | ) | (12,557,456 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 35,780,348 | 162,921,765 | 48,446,871 | 99,310,763 | 558,851,795 | 1,494,156,801 | |||||||||||||||||||||
Cost of shares redeemed | (218,723,825 | ) | (172,604,609 | ) | (121,374,362 | ) | (53,423,563 | ) | (1,861,397,737 | ) | (524,852,803 | ) | |||||||||||||||
Change in net assets resulting from capital transactions | (182,943,477 | ) | (9,682,844 | ) | (72,927,491 | ) | 45,887,200 | (1,302,545,942 | ) | 969,303,998 | |||||||||||||||||
Change in net assets | (65,716,554 | ) | (8,401,725 | ) | (23,634,350 | ) | 42,117,017 | (688,652,058 | ) | 959,276,174 | |||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 180,340,620 | $ | 188,742,345 | $ | 64,291,332 | $ | 22,174,315 | $ | 1,169,737,209 | $ | 210,461,035 | |||||||||||||||
End of period | $ | 114,624,066 | $ | 180,340,620 | $ | 40,656,982 | $ | 64,291,332 | $ | 481,085,151 | $ | 1,169,737,209 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | (40,874 | ) | $ | 544,204 | $ | 215,400 | $ | 225,684 | $ | 1,084,701 | $ | 3,517,133 | ||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 3,675,001 | 3,825,001 | 975,001 | 375,001 | 17,175,001 | 3,450,001 | |||||||||||||||||||||
Issued | 375,000 | 2,850,000 | 750,000 | 1,350,000 | 7,650,000 | 20,925,000 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (2,850,000 | ) | (3,000,000 | ) | (1,350,000 | ) | (750,000 | ) | (20,325,000 | ) | (7,200,000 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 1,200,001 | 3,675,001 | 375,001 | 975,001 | 4,500,001 | 17,175,001 |
(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.
264
UltraShort Russell1000 Value | UltraShort Russell1000 Growth | UltraShort Russell MidCap Value | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 50,169 | $ | 208,778 | $ | 66,702 | $ | 388,472 | $ | 5,866 | $ | 174,667 | |||||||||||||||
Net realized gain (loss) | 11,566,126 | 260,467 | 24,626,639 | 311,873 | 12,718,813 | 547,599 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (10,831,108 | ) | 349,119 | (10,936,136 | ) | (230,830 | ) | (7,197,071 | ) | 505,028 | |||||||||||||||||
Change in Net Assets Resulting from Operations | 785,187 | 818,364 | 13,757,205 | 469,515 | 5,527,608 | 1,227,294 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (85,092 | ) | (177,234 | ) | (95,217 | ) | (385,532 | ) | (28,746 | ) | (230,163 | ) | |||||||||||||||
Net realized gains on investments | — | — | — | — | — | (49,224 | ) | ||||||||||||||||||||
Total distributions | (85,092 | ) | (177,234 | ) | (95,217 | ) | (385,532 | ) | (28,746 | ) | (279,387 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 37,290,646 | 12,103,507 | 28,832,561 | 20,543,427 | — | — | |||||||||||||||||||||
Cost of shares redeemed | (25,461,661 | ) | (11,578,314 | ) | (29,261,841 | ) | (11,332,883 | ) | — | — | |||||||||||||||||
Change in net assets resulting from capital transactions | 11,828,985 | 525,193 | (429,280 | ) | 9,210,544 | — | — | ||||||||||||||||||||
Change in net assets | 12,529,080 | 1,166,323 | 13,232,708 | 9,294,527 | 5,498,862 | 947,907 | |||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 6,032,501 | $ | 4,866,178 | $ | 14,175,067 | $ | 4,880,540 | $ | 5,878,774 | $ | 4,930,867 | |||||||||||||||
End of period | $ | 18,561,581 | $ | 6,032,501 | $ | 27,407,775 | $ | 14,175,067 | $ | 11,377,636 | $ | 5,878,774 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 58,605 | $ | 93,528 | $ | 12,031 | $ | 40,546 | $ | (10,100 | ) | $ | 12,780 | ||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 75,001 | 75,001 | 225,001 | 75,001 | 75,001 | 75,001 | |||||||||||||||||||||
Issued | 300,000 | 150,000 | 300,000 | 300,000 | — | — | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (225,000 | ) | (150,000 | ) | (300,000 | ) | (150,000 | ) | — | — | |||||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 150,001 | 75,001 | 225,001 | 225,001 | 75,001 | 75,001 |
(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.
265
ProShares Trust Statements of Changes in Net Assets (continued)
For the Periods Indicated
UltraShort Russell MidCap Growth | UltraShort Russell2000 Value | UltraShort Russell2000 Growth | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 65,647 | $ | 185,147 | $ | 74,293 | $ | 831,940 | $ | 144,321 | $ | 859,105 | |||||||||||||||
Net realized gain (loss) | 17,183,427 | (1,254,399 | ) | 19,571,694 | (3,730,696 | ) | 33,560,446 | (1,167,690 | ) | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (5,494,281 | ) | (574,169 | ) | (12,977,760 | ) | 2,284,762 | (9,988,045 | ) | (3,136,127 | ) | ||||||||||||||||
Change in Net Assets Resulting from Operations | 11,754,793 | (1,643,421 | ) | 6,668,227 | (613,994 | ) | 23,716,722 | (3,444,712 | ) | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (101,476 | ) | (255,532 | ) | (154,363 | ) | (741,038 | ) | (262,292 | ) | (776,899 | ) | |||||||||||||||
Net realized gains on investments | — | — | — | (29,288 | ) | — | — | ||||||||||||||||||||
Total distributions | (101,476 | ) | (255,532 | ) | (154,363 | ) | (770,326 | ) | (262,292 | ) | (776,899 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 4,742,153 | 15,771,748 | 21,327,597 | 67,040,376 | 5,881,941 | 39,875,286 | |||||||||||||||||||||
Cost of shares redeemed | (19,416,303 | ) | (5,037,033 | ) | (35,658,956 | ) | (45,567,875 | ) | (56,075,903 | ) | (5,481,603 | ) | |||||||||||||||
Change in net assets resulting from capital transactions | (14,674,150 | ) | 10,734,715 | (14,331,359 | ) | 21,472,501 | (50,193,962 | ) | 34,393,683 | ||||||||||||||||||
Change in net assets | (3,020,833 | ) | 8,835,762 | (7,817,495 | ) | 20,088,181 | (26,739,532 | ) | 30,172,072 | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 13,666,402 | $ | 4,830,640 | $ | 25,237,788 | $ | 5,149,607 | $ | 44,921,905 | $ | 14,749,833 | |||||||||||||||
End of period | $ | 10,645,569 | $ | 13,666,402 | $ | 17,420,293 | $ | 25,237,788 | $ | 18,182,373 | $ | 44,921,905 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | (4,231 | ) | $ | 31,598 | $ | (4,455 | ) | $ | 75,615 | $ | 24,351 | $ | 142,322 | |||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 225,001 | 75,001 | 300,001 | 75,001 | 675,001 | 225,001 | |||||||||||||||||||||
Issued | 75,000 | 225,000 | 225,000 | 750,000 | 75,000 | 525,000 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (225,000 | ) | (75,000 | ) | (375,000 | ) | (525,000 | ) | (600,000 | ) | (75,000 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 75,001 | 225,001 | 150,001 | 300,001 | 150,001 | 675,001 |
(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.
266
Short Financials | Short Oil & Gas | UltraShort Basic Materials | UltraShort Consumer Goods | ||||||||||||||||||||||||
June 10, 2008* through (Unaudited) | June 10, 2008* through (Unaudited) | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 29,916 | $ | 38,411 | $ | 1,111,035 | $ | 1,801,073 | $ | 154,859 | $ | 486,320 | |||||||||||||||
Net realized gain (loss) | 15,137,455 | 4,981,032 | 442,043,226 | (78,486,791 | ) | 28,997,578 | 539,626 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (11,056,319 | ) | (1,523,200 | ) | (117,206,397 | ) | (13,243,922 | ) | (13,242,745 | ) | 236,797 | ||||||||||||||||
Change in Net Assets Resulting from Operations | 4,111,052 | 3,496,243 | 325,947,864 | (89,929,640 | ) | 15,909,692 | 1,262,743 | ||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (50,456 | ) | (38,441 | ) | (1,667,612 | ) | (1,371,965 | ) | (234,621 | ) | (577,495 | ) | |||||||||||||||
Net realized gains on investments | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (50,456 | ) | (38,441 | ) | (1,667,612 | ) | (1,371,965 | ) | (234,621 | ) | (577,495 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 46,893,822 | 16,296,184 | 302,093,129 | 422,737,045 | 46,633,820 | 25,468,946 | |||||||||||||||||||||
Cost of shares redeemed | (12,032,350 | ) | (13,021,805 | ) | (660,786,725 | ) | (134,030,754 | ) | (46,167,171 | ) | (10,003,577 | ) | |||||||||||||||
Change in net assets resulting from capital transactions | 34,861,472 | 3,274,379 | (358,693,596 | ) | 288,706,291 | 466,649 | 15,465,369 | ||||||||||||||||||||
Change in net assets | 38,922,068 | 6,732,181 | (34,413,344 | ) | 197,404,686 | 16,141,720 | 16,150,617 | ||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | — | $ | — | $ | 205,366,075 | $ | 7,961,389 | $ | 25,861,259 | $ | 9,710,642 | |||||||||||||||
End of period | $ | 38,922,068 | $ | 6,732,181 | $ | 170,952,731 | $ | 205,366,075 | $ | 42,002,979 | $ | 25,861,259 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | (20,540 | ) | $ | (30 | ) | $ | (29,828 | ) | $ | 526,749 | $ | (16,464 | ) | $ | 63,298 | |||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | — | — | 7,200,001 | 150,001 | 375,001 | 150,001 | |||||||||||||||||||||
Issued | 600,001 | 225,001 | 7,200,000 | 10,050,000 | 600,000 | 375,000 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (150,000 | ) | (150,000 | ) | (12,150,000 | ) | (3,000,000 | ) | (525,000 | ) | (150,000 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 450,001 | 75,001 | 2,250,001 | 7,200,001 | 450,001 | 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.
267
ProShares Trust Statements of Changes in Net Assets (continued)
For the Periods Indicated
UltraShort Consumer Services | UltraShort Financials | UltraShort Health Care | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 460,639 | $ | 817,821 | $ | 10,465,296 | $ | 25,227,258 | $ | 45,023 | $ | 321,963 | |||||||||||||||
Net realized gain (loss) | 157,701,724 | (5,956,340 | ) | 1,619,222,163 | 107,093,290 | 7,029,900 | 2,403,901 | ||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (61,219,813 | ) | 2,418,682 | (490,874,421 | ) | 204,395,787 | (3,371,038 | ) | (223,108 | ) | |||||||||||||||||
Change in Net Assets Resulting from Operations | 96,942,550 | (2,719,837 | ) | 1,138,813,038 | 336,716,335 | 3,703,885 | 2,502,756 | ||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (732,060 | ) | (767,873 | ) | (6,600,296 | ) | (14,976,578 | ) | (80,306 | ) | (447,946 | ) | |||||||||||||||
Net realized gains on investments | — | (894,336 | ) | — | — | — | — | ||||||||||||||||||||
Total distributions | (732,060 | ) | (1,662,209 | ) | (6,600,296 | ) | (14,976,578 | ) | (80,306 | ) | (447,946 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 199,975,414 | 113,285,949 | 6,208,824,452 | 3,232,898,874 | 5,994,079 | — | |||||||||||||||||||||
Cost of shares redeemed | (253,700,637 | ) | (13,286,484 | ) | (8,762,539,398 | ) | (1,446,139,927 | ) | (5,845,393 | ) | — | ||||||||||||||||
Change in net assets resulting from capital transactions | (53,725,223 | ) | 99,999,465 | (2,553,714,946 | ) | 1,786,758,947 | 148,686 | — | |||||||||||||||||||
Change in net assets | 42,485,267 | 95,617,419 | (1,421,502,204 | ) | 2,108,498,704 | 3,772,265 | 2,054,810 | ||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 100,678,227 | $ | 5,060,808 | $ | 2,164,711,778 | $ | 56,213,074 | $ | 11,619,110 | $ | 9,564,300 | |||||||||||||||
End of period | $ | 143,163,494 | $ | 100,678,227 | $ | 743,209,574 | $ | 2,164,711,778 | $ | 15,391,375 | $ | 11,619,110 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | (74,770 | ) | $ | 196,651 | $ | 13,024,533 | $ | 9,159,533 | $ | (6,175 | ) | $ | 29,108 | |||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 1,200,001 | 75,001 | 19,650,001 | 825,001 | 150,001 | 150,001 | |||||||||||||||||||||
Issued | 1,950,000 | 1,275,000 | 49,500,000 | 32,400,000 | 75,000 | — | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (2,100,000 | ) | (150,000 | ) | (63,600,000 | ) | (13,575,000 | ) | (75,000 | ) | — | ||||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 1,050,001 | 1,200,001 | 5,550,001 | 19,650,001 | 150,001 | 150,001 |
(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.
268
UltraShort Industrials | UltraShort Oil & Gas | UltraShort Real Estate | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 288,179 | $ | 456,926 | $ | 6,618,538 | $ | 7,927,380 | $ | 3,795,698 | $ | 15,076,786 | |||||||||||||||
Net realized gain (loss) | 130,767,492 | (3,174,185 | ) | 1,087,822,716 | (283,033,915 | ) | 1,160,461,867 | (120,574,551 | ) | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (49,165,978 | ) | (400,259 | ) | (210,264,536 | ) | (42,080,486 | ) | (367,001,463 | ) | 36,917,436 | ||||||||||||||||
Change in Net Assets Resulting from Operations | 81,889,693 | (3,117,518 | ) | 884,176,718 | (317,187,021 | ) | 797,256,102 | (68,580,329 | ) | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (409,725 | ) | (434,139 | ) | (8,674,794 | ) | (4,620,172 | ) | (5,773,927 | ) | (8,146,946 | ) | |||||||||||||||
Net realized gains on investments | — | — | (46,000,217 | ) | — | — | — | ||||||||||||||||||||
Total distributions | (409,725 | ) | (434,139 | ) | (54,675,011 | ) | (4,620,172 | ) | (5,773,927 | ) | (8,146,946 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 97,234,298 | 56,248,635 | 1,074,131,056 | 2,993,761,509 | 2,987,860,234 | 1,621,271,332 | |||||||||||||||||||||
Cost of shares redeemed | (116,471,807 | ) | (28,571,556 | ) | (3,618,499,804 | ) | (373,970,138 | ) | (3,440,921,760 | ) | (838,048,812 | ) | |||||||||||||||
Change in net assets resulting from capital transactions | (19,237,509 | ) | 27,677,079 | (2,544,368,748 | ) | 2,619,791,371 | (453,061,526 | ) | 783,222,520 | ||||||||||||||||||
Change in net assets | 62,242,459 | 24,125,422 | (1,714,867,041 | ) | 2,297,984,178 | 338,420,649 | 706,495,245 | ||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 28,394,306 | $ | 4,268,884 | $ | 2,328,579,356 | $ | 30,595,178 | $ | 804,324,416 | $ | 97,829,171 | |||||||||||||||
End of period | $ | 90,636,765 | $ | 28,394,306 | $ | 613,712,315 | $ | 2,328,579,356 | $ | 1,142,745,065 | $ | 804,324,416 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 44,662 | $ | 166,208 | $ | 1,533,830 | $ | 3,590,086 | $ | 3,683,823 | $ | 5,662,052 | |||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 525,001 | 75,001 | 81,075,001 | 600,001 | 9,525,001 | 1,275,001 | |||||||||||||||||||||
Issued | 1,575,000 | 900,000 | 31,725,000 | 89,775,000 | 28,950,000 | 15,600,000 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (1,275,000 | ) | (450,000 | ) | (92,475,000 | ) | (9,300,000 | ) | (29,175,000 | ) | (7,350,000 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 825,001 | 525,001 | 20,325,001 | 81,075,001 | 9,300,001 | 9,525,001 |
(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.
269
ProShares Trust Statements of Changes in Net Assets (continued)
For the Periods Indicated
UltraShort Semiconductors | UltraShort Technology | UltraShort Telecommunications | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | Year Ended May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | March 25, 2008* through May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 117,071 | $ | 374,264 | $ | 161,692 | $ | 586,552 | $ | 31,930 | $ | 21,488 | |||||||||||||||
Net realized gain (loss) | 61,064,252 | (5,712,946 | ) | 75,593,769 | (3,717,386 | ) | 8,129,630 | (1,957,712 | ) | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (16,075,665 | ) | (1,214,718 | ) | (26,112,751 | ) | (2,212,548 | ) | (3,910,351 | ) | (530,385 | ) | |||||||||||||||
Change in Net Assets Resulting from Operations | 45,105,658 | (6,553,400 | ) | 49,642,710 | (5,343,382 | ) | 4,251,209 | (2,466,609 | ) | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (220,525 | ) | (410,036 | ) | (417,102 | ) | (447,255 | ) | (55,158 | ) | — | ||||||||||||||||
Net realized gains on investments | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (220,525 | ) | (410,036 | ) | (417,102 | ) | (447,255 | ) | (55,158 | ) | — | ||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 32,608,729 | 34,532,142 | 56,893,282 | 66,497,255 | 1,419 | 10,502,380 | |||||||||||||||||||||
Cost of shares redeemed | (58,349,135 | ) | (11,890,126 | ) | (68,976,208 | ) | (24,765,673 | ) | (5,869,082 | ) | — | ||||||||||||||||
Change in net assets resulting from capital transactions | (25,740,406 | ) | 22,642,016 | (12,082,926 | ) | 41,731,582 | (5,867,663 | ) | 10,502,380 | ||||||||||||||||||
Change in net assets | 19,144,727 | 15,678,580 | 37,142,682 | 35,940,945 | (1,671,612 | ) | 8,035,771 | ||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 24,925,079 | $ | 9,246,499 | $ | 40,668,154 | $ | 4,727,209 | $ | 8,035,771 | $ | — | |||||||||||||||
End of period | $ | 44,069,806 | $ | 24,925,079 | $ | 77,810,836 | $ | 40,668,154 | $ | 6,364,159 | $ | 8,035,771 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 21,839 | $ | 125,293 | $ | 34,105 | $ | 289,515 | $ | (1,740 | ) | $ | 21,488 | ||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 450,001 | 150,001 | 750,001 | 75,001 | 150,001 | — | |||||||||||||||||||||
Issued | 450,000 | 450,000 | 675,000 | 1,050,000 | — | 150,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (600,000 | ) | (150,000 | ) | (750,000 | ) | (375,000 | ) | (75,000 | ) | — | ||||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 300,001 | 450,001 | 675,001 | 750,001 | 75,001 | 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.
270
UltraShort Utilities | Short MSCI EAFE | Short MSCI Emerging Markets | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 | Year Ended | Six Months Ended November 30, 2008 | October 23, 2007* through | Six Months Ended November 30, 2008 | October 30, 2007* through | ||||||||||||||||||||||
(Unaudited) | May 31, 2008 | (Unaudited) | May 31, 2008 | (Unaudited) | May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 66,986 | $ | 538,301 | $ | 57,691 | $ | 218,836 | $ | 174,642 | $ | 350,732 | |||||||||||||||
Net realized gain (loss) | 24,565,970 | (1,588,496 | ) | 28,682,221 | 726,925 | 30,156,933 | (4,815,652 | ) | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (4,835,883 | ) | (477,026 | ) | (10,482,891 | ) | 34,548 | (11,397,770 | ) | 91,574 | |||||||||||||||||
Change in Net Assets Resulting from Operations | 19,797,073 | (1,527,221 | ) | 18,257,021 | 980,309 | 18,933,805 | (4,373,346 | ) | |||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (107,526 | ) | (563,239 | ) | (189,003 | ) | (116,841 | ) | (299,200 | ) | (234,702 | ) | |||||||||||||||
Net realized gains on investments | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (107,526 | ) | (563,239 | ) | (189,003 | ) | (116,841 | ) | (299,200 | ) | (234,702 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 4,874,051 | 32,147,083 | 68,034,146 | 33,544,897 | 44,357,145 | 56,702,374 | |||||||||||||||||||||
Cost of shares redeemed | (27,855,617 | ) | (27,300,720 | ) | (38,718,128 | ) | (23,364,310 | ) | (78,025,946 | ) | — | ||||||||||||||||
Change in net assets resulting from capital transactions | (22,981,566 | ) | 4,846,363 | 29,316,018 | 10,180,587 | (33,668,801 | ) | 56,702,374 | |||||||||||||||||||
Change in net assets | (3,292,019 | ) | 2,755,903 | 47,384,036 | 11,044,055 | (15,034,196 | ) | 52,094,326 | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 19,085,459 | $ | 16,329,556 | $ | 11,044,055 | $ | — | $ | 52,094,326 | $ | — | |||||||||||||||
End of period | $ | 15,793,440 | $ | 19,085,459 | $ | 58,428,091 | $ | 11,044,055 | $ | 37,060,130 | $ | 52,094,326 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 13,878 | $ | 54,418 | $ | (29,317 | ) | $ | 101,995 | $ | (8,528 | ) | $ | 116,030 | |||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 375,001 | 300,001 | 150,001 | — | 750,001 | — | |||||||||||||||||||||
Issued | 75,000 | 525,000 | 750,000 | 450,001 | 450,000 | 750,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (225,000 | ) | (450,000 | ) | (375,000 | ) | (300,000 | ) | (825,000 | ) | — | ||||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 225,001 | 375,001 | 525,001 | 150,001 | 375,001 | 750,001 |
* 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.
271
ProShares Trust Statements of Changes in Net Assets (continued)
For the Periods Indicated
UltraShort MSCI EAFE | UltraShort MSCI Emerging Markets | UltraShort MSCI Japan | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 (Unaudited) | October 23, 2007* through May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | October 30, 2007* through May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | November 6, 2007* through May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 378,569 | $ | 785,901 | $ | 1,157,830 | $ | 2,518,274 | $ | 80,714 | $ | 226,121 | |||||||||||||||
Net realized gain (loss) | 154,929,930 | (12,695,670 | ) | 327,597,641 | (47,415,706 | ) | 18,985,533 | (2,516,091 | ) | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (51,807,689 | ) | 388,339 | (231,171,441 | ) | (21,158,755 | ) | (3,818,553 | ) | (450,828 | ) | ||||||||||||||||
Change in Net Assets Resulting from Operations | 103,500,810 | (11,521,430 | ) | 97,584,030 | (66,056,187 | ) | 15,247,694 | (2,740,798 | ) | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (941,552 | ) | (254,472 | ) | (2,374,781 | ) | (1,130,333 | ) | (125,308 | ) | (160,664 | ) | |||||||||||||||
Net realized gains on investments | — | — | (13,000,031 | ) | — | — | — | ||||||||||||||||||||
Total distributions | (941,552 | ) | (254,472 | ) | (15,374,812 | ) | (1,130,333 | ) | (125,308 | ) | (160,664 | ) | |||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 251,041,075 | 167,444,573 | 1,177,811,663 | 562,071,889 | 7,560,910 | 29,936,948 | |||||||||||||||||||||
Cost of shares redeemed | (294,290,150 | ) | (88,571,978 | ) | (954,073,822 | ) | (219,295,219 | ) | (27,914,381 | ) | (6,459,183 | ) | |||||||||||||||
Change in net assets resulting from capital transactions | (43,249,075 | ) | 78,872,595 | 223,737,841 | 342,776,670 | (20,353,471 | ) | 23,477,765 | |||||||||||||||||||
Change in net assets | 59,310,183 | 67,096,693 | 305,947,059 | 275,590,150 | (5,231,085 | ) | 20,576,303 | ||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 67,096,693 | $ | — | $ | 275,590,150 | $ | — | $ | 20,576,303 | $ | — | |||||||||||||||
End of period | $ | 126,406,876 | $ | 67,096,693 | $ | 581,537,209 | $ | 275,590,150 | $ | 15,345,218 | $ | 20,576,303 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | (31,554 | ) | $ | 531,429 | $ | 170,990 | $ | 1,387,941 | $ | 20,863 | $ | 65,457 | ||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 900,001 | — | 4,350,001 | — | 300,001 | — | |||||||||||||||||||||
Issued | 2,250,000 | 1,950,001 | 12,825,000 | 7,125,001 | 75,000 | 375,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (2,250,000 | ) | (1,050,000 | ) | (9,150,000 | ) | (2,775,000 | ) | (225,000 | ) | (75,000 | ) | |||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 900,001 | 900,001 | 8,025,001 | 4,350,001 | 150,001 | 300,001 |
* 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.
272
UltraShort FTSE/Xinhua China 25 | UltraShort 7-10 Year Treasury | UltraShort 20+ Year Treasury | |||||||||||||||||||||||||
Six Months Ended November 30, 2008 (Unaudited) | November 6, 2007* through May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | April 29, 2008* through May 31, 2008 | Six Months Ended November 30, 2008 (Unaudited) | April 29, 2008* through May 31, 2008 | ||||||||||||||||||||||
FROM INVESTMENT ACTIVITIES: | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,787,562 | $ | 6,442,114 | $ | 188,747 | $ | 14,256 | $ | 482,743 | $ | 22,595 | |||||||||||||||
Net realized gain (loss) | 383,012,384 | (99,884,660 | ) | (8,252,042 | ) | 562,138 | (50,687,404 | ) | 1,889,993 | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (246,586,481 | ) | 43,256,600 | (11,529,595 | ) | 16,645 | (120,552,281 | ) | 42,670 | ||||||||||||||||||
Change in Net Assets Resulting from Operations | 138,213,465 | (50,185,946 | ) | (19,592,890 | ) | 593,039 | (170,756,942 | ) | 1,955,258 | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income | (3,599,137 | ) | (2,270,927 | ) | (256,080 | ) | — | (843,693 | ) | — | |||||||||||||||||
Net realized gains on investments | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions | (3,599,137 | ) | (2,270,927 | ) | (256,080 | ) | — | (843,693 | ) | — | |||||||||||||||||
CAPITAL TRANSACTIONS (a): | |||||||||||||||||||||||||||
Proceeds from shares issued | 1,237,460,903 | 1,940,057,085 | 98,663,735 | 31,816,614 | 762,564,135 | 90,272,107 | |||||||||||||||||||||
Cost of shares redeemed | (1,659,856,966 | ) | (1,213,601,646 | ) | (19,566,007 | ) | — | (4,825,594 | ) | — | |||||||||||||||||
Change in net assets resulting from capital transactions | (422,396,063 | ) | 726,455,439 | 79,097,728 | 31,816,614 | 757,738,541 | 90,272,107 | ||||||||||||||||||||
Change in net assets | (287,781,735 | ) | 673,998,566 | 59,248,758 | 32,409,653 | 586,137,906 | 92,227,365 | ||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | $ | 673,998,566 | $ | — | $ | 32,409,653 | $ | — | $ | 92,227,365 | $ | — | |||||||||||||||
End of period | $ | 386,216,831 | $ | 673,998,566 | $ | 91,658,411 | $ | 32,409,653 | $ | 678,365,271 | $ | 92,227,365 | |||||||||||||||
Accumulated undistributed net investment income (loss) included in end of period net assets | $ | 2,359,612 | $ | 4,171,187 | $ | (53,077 | ) | $ | 14,256 | $ | (338,355 | ) | $ | 22,595 | |||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Beginning of period | 9,975,001 | — | 450,001 | — | 1,275,001 | — | |||||||||||||||||||||
Issued | 15,375,000 | 23,625,001 | 1,425,000 | 450,001 | 12,825,000 | 1,275,001 | |||||||||||||||||||||
Issued in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Redeemed | (17,850,000 | ) | (13,650,000 | ) | (300,000 | ) | — | (75,000 | ) | — | |||||||||||||||||
Redemption in-kind | — | — | — | — | — | — | |||||||||||||||||||||
Shares outstanding, end of period | 7,500,001 | 9,975,001 | 1,575,001 | 450,001 | 14,025,001 | 1,275,001 |
* 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.
273
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
Ultra QQQ® | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 90.42 | $ | (0.05 | ) | $ | (63.79 | ) | $ | 0.01 | $ | (63.83 | ) | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | 26.56 | (70.61 | )% | (70.77 | )% | ||||||||||||||||||||
Year ended May 31, 2008 | 94.58 | 0.13 | 0.75 | 0.05 | 0.93 | (0.07 | ) | (5.02 | ) | (5.09 | ) | 90.42 | 0.57 | 0.52 | |||||||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 75.75 | 0.52 | (42.73 | ) | 0.02 | (42.19 | ) | (0.53 | ) | — | (0.53 | ) | 33.03 | (56.01 | ) | (56.12 | ) | ||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 97.22 | 1.43 | (18.05 | ) | 0.03 | (16.59 | ) | (1.32 | ) | (3.56 | ) | (4.88 | ) | 75.75 | (17.59 | ) | (17.61 | ) | |||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 73.99 | 0.32 | (47.32 | ) | 0.01 | (46.99 | ) | (0.35 | ) | — | (0.35 | ) | 26.65 | (63.77 | ) | (63.78 | ) | ||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 98.42 | 1.06 | (21.20 | ) | 0.03 | (20.11 | ) | (1.04 | ) | (3.28 | ) | (4.32 | ) | 73.99 | (20.88 | ) | (21.07 | ) | |||||||||||||||||||||||||||||
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 |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
Ultra QQQ® | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.02 | % | 0.95 | % | (0.26 | )% | (0.19 | )% | $ | 1,330,590 | 30 | % | |||||||||||||||
Year ended May 31, 2008 | 1.04 | 0.95 | 0.06 | 0.15 | 908,687 | 39 | |||||||||||||||||||||
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, 2008 (Unaudited) | 0.97 | 0.95 | 2.28 | 2.30 | 871,938 | 42 | |||||||||||||||||||||
Year ended May 31, 2008 | 1.02 | 0.95 | 1.69 | 1.76 | 301,090 | 64 | |||||||||||||||||||||
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, 2008 (Unaudited) | 0.95 | 0.95 | 1.68 | 1.68 | 3,513,154 | 39 | |||||||||||||||||||||
Year ended May 31, 2008 | 0.98 | 0.95 | 1.34 | 1.37 | 904,503 | 18 | |||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 1.11 | 0.95 | 1.32 | 1.48 | 243,579 | 12 |
See accompanying notes to the financial statements.
274
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
Ultra MidCap400 | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 80.92 | $ | 0.22 | $ | (57.22 | ) | $ | 0.14 | $ | (56.86 | ) | $ | (0.26 | ) | $ | — | $ | (0.26 | ) | $ | 23.80 | (70.47 | )% | (70.61 | )% | |||||||||||||||||||||
Year ended May 31, 2008 | 99.03 | 0.58 | (14.44 | ) | 0.01 | (13.85 | ) | (0.54 | ) | (3.72 | ) | (4.26 | ) | 80.92 | (13.85 | ) | (13.82 | ) | |||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||
Ultra SmallCap600 | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 58.20 | 0.11 | (37.36 | ) | 0.01 | (37.24 | ) | (0.10 | ) | — | (0.10 | ) | 20.86 | (64.09 | ) | (63.84 | ) | ||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 82.62 | 0.33 | (21.49 | ) | 0.01 | (21.15 | ) | (0.63 | ) | (2.64 | ) | (3.27 | ) | 58.20 | (25.80 | ) | (26.27 | ) | |||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 55.88 | 0.14 | (36.83 | ) | 0.01 | (36.68 | ) | (0.14 | ) | — | (0.14 | ) | 19.06 | (65.80 | ) | (65.22 | ) | ||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 79.77 | 0.36 | (22.76 | ) | 0.03 | (22.37 | ) | (0.65 | ) | (0.87 | ) | (1.52 | ) | 55.88 | (28.28 | ) | (28.48 | ) | |||||||||||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 70.00 | 0.27 | 9.50 | — | 9.77 | — | — | — | 79.77 | 13.96 | 14.29 |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
Ultra MidCap400 | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.18 | % | 0.95 | % | 0.66 | % | 0.89 | % | $ | 99,943 | 77 | % | |||||||||||||||
Year ended May 31, 2008 | 1.25 | 0.95 | 0.41 | 0.71 | 133,524 | 56 | |||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 1.34 | 0.95 | 0.77 | 1.16 | 103,986 | 28 | |||||||||||||||||||||
Ultra SmallCap600 | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.51 | 0.95 | 0.01 | 0.57 | 29,731 | 118 | |||||||||||||||||||||
Year ended May 31, 2008 | 2.10 | 0.95 | (0.61 | ) | 0.54 | 21,824 | 45 | ||||||||||||||||||||
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, 2008 (Unaudited) | 1.20 | 0.95 | 0.60 | 0.85 | 277,269 | 116 | |||||||||||||||||||||
Year ended May 31, 2008 | 1.49 | 0.95 | 0.11 | 0.65 | 113,165 | 48 | |||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 2.50 | 0.95 | (0.49 | ) | 1.06 | 29,916 | 14 |
See accompanying notes to the financial statements.
275
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
Ultra Russell1000 Value | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 51.92 | $ | 0.33 | $ | (33.45 | ) | $ | 0.01 | $ | (33.11 | ) | $ | (0.37 | ) | $ | — | $ | (0.37 | ) | $ | 18.44 | (64.16 | )% | (64.14 | ) | |||||||||||||||||||||
Year ended May 31, 2008 | 75.96 | 1.16 | (23.81 | ) | — | (h) | (22.65 | ) | (1.39 | ) | — | (1.39 | ) | 51.92 | (30.10 | ) | (30.02 | ) | |||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 66.57 | 0.16 | (44.37 | ) | 0.01 | (44.20 | ) | (0.17 | ) | — | (0.17 | ) | 22.20 | (66.54 | ) | (66.50 | ) | ||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 75.80 | 0.45 | (7.08 | ) | 0.02 | (6.61 | ) | (0.58 | ) | (2.04 | ) | (2.62 | ) | 66.57 | (8.94 | ) | (9.25 | ) | |||||||||||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.20 | 5.60 | — | 5.80 | — | — | — | 75.80 | 8.29 | 8.43 | ||||||||||||||||||||||||||||||||||||
Ultra Russell MidCap Value | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 52.21 | 0.29 | (37.17 | ) | 0.01 | (36.87 | ) | (0.27 | ) | — | (0.27 | ) | 15.07 | (70.95 | ) | (71.01 | ) | ||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 74.99 | 0.81 | (22.39 | ) | 0.01 | (21.57 | ) | (1.21 | ) | — | (1.21 | ) | 52.21 | (28.91 | ) | (29.08 | ) | ||||||||||||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.39 | 4.60 | — | 4.99 | — | — | — | 74.99 | 7.13 | 6.96 |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
Ultra Russell1000 Value | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 3.03 | % | 0.95 | % | 0.25 | % | 2.33 | % | $ | 17,978 | 96 | % | |||||||||||||||
Year ended May 31, 2008 | 2.06 | 0.95 | 0.81 | 1.92 | 7,789 | 36 | |||||||||||||||||||||
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, 2008 (Unaudited) | 1.76 | 0.95 | (0.06 | ) | 0.76 | 19,977 | 74 | ||||||||||||||||||||
Year ended May 31, 2008 | 1.56 | 0.95 | 0.06 | 0.67 | 39,944 | 33 | |||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 2.30 | 0.95 | (0.28 | ) | 1.06 | 11,370 | 2 | ||||||||||||||||||||
Ultra Russell MidCap Value | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 4.03 | 0.95 | (0.93 | ) | 2.15 | 7,911 | 136 | ||||||||||||||||||||
Year ended May 31, 2008 | 2.44 | 0.95 | (0.10 | ) | 1.39 | 3,916 | 59 | ||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 2.21 | 0.95 | 0.82 | 2.07 | 11,249 | 3 |
See accompanying notes to the financial statements.
276
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
Ultra Russell MidCap Growth | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 65.61 | $ | 0.04 | $ | (49.78 | ) | $ | 0.01 | $ | (49.73 | ) | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | 15.85 | (75.83 | )% | (75.95 | )% | |||||||||||||||||||||
Year ended May 31, 2008 | 76.27 | 0.25 | (8.57 | ) | 0.03 | (8.29 | ) | (0.34 | ) | (2.03 | ) | (2.37 | ) | 65.61 | (10.93 | ) | (10.89 | ) | |||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 44.79 | 0.23 | (27.97 | ) | 0.01 | (27.73 | ) | (0.24 | ) | — | (0.24 | ) | 16.82 | (62.22 | ) | (62.91 | ) | ||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 70.79 | 0.63 | (25.70 | ) | — | (h) | (25.07 | ) | (0.93 | ) | — | (0.93 | ) | 44.79 | (35.68 | ) | (35.19 | ) | |||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 58.31 | 0.02 | (40.40 | ) | 0.01 | (40.37 | ) | (0.01 | ) | — | (0.01 | ) | 17.93 | (69.24 | ) | (69.17 | ) | ||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 74.06 | 0.18 | (15.03 | ) | — | (h) | (14.85 | ) | (0.29 | ) | (0.61 | ) | (0.90 | ) | 58.31 | (20.16 | ) | (18.93 | ) | ||||||||||||||||||||||||||||
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 (f) | 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 (c)(g) | ||||||||||||||||||||||
Ultra Russell MidCap Growth | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 2.50 | % | 0.95 | % | (1.29 | )% | 0.26 | % | $ | 11,890 | 121 | % | |||||||||||||||
Year ended May 31, 2008 | 1.95 | 0.95 | (0.62 | ) | 0.38 | 19,682 | 132 | ||||||||||||||||||||
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, 2008 (Unaudited) | 2.74 | 0.95 | (0.34 | ) | 1.45 | 13,877 | 99 | ||||||||||||||||||||
Year ended May 31, 2008 | 2.90 | 0.95 | (0.66 | ) | 1.29 | 10,078 | 84 | ||||||||||||||||||||
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, 2008 (Unaudited) | 2.60 | 0.95 | (1.56 | ) | 0.09 | 12,103 | 107 | ||||||||||||||||||||
Year ended May 31, 2008 | 2.59 | 0.95 | (1.35 | ) | 0.30 | 13,120 | 72 | ||||||||||||||||||||
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.
277
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
Ultra Basic Materials | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 104.14 | $ | 0.23 | $ | (89.82 | ) | $ | 0.02 | $ | (89.57 | ) | $ | (0.27 | ) | $ | — | $ | (0.27 | ) | $ | 14.30 | (86.21 | )% | (86.29 | )% | |||||||||||||||||||||
Year ended May 31, 2008 | 91.28 | 1.10 | 24.52 | 0.04 | 25.66 | (1.13 | ) | (11.67 | ) | (12.80 | ) | 104.14 | 31.61 | 31.03 | |||||||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 65.69 | 0.46 | (29.11 | ) | 0.01 | (28.64 | ) | (0.47 | ) | — | (0.47 | ) | 36.58 | (43.86 | ) | (44.42 | ) | ||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 76.71 | 1.10 | (10.07 | ) | 0.02 | (8.95 | ) | (1.51 | ) | (0.56 | ) | (2.07 | ) | 65.69 | (11.90 | ) | (8.65 | ) | |||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 49.21 | 0.21 | (30.43 | ) | 0.02 | (30.20 | ) | (0.08 | ) | — | (0.08 | ) | 18.93 | (61.46 | ) | (61.92 | ) | ||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 73.35 | 0.36 | (23.84 | ) | — | (h) | (23.48 | ) | (0.66 | ) | — | (0.66 | ) | 49.21 | (32.18 | ) | (30.90 | ) | |||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.16 | 3.19 | — | 3.35 | — | — | — | 73.35 | 4.80 | 3.49 |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
Ultra Basic Materials | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.11 | % | 0.95 | % | 2.00 | % | 2.16 | % | $ | 288,524 | 101 | % | |||||||||||||||
Year ended May 31, 2008 | 1.42 | 0.95 | 0.73 | 1.20 | 31,241 | 46 | |||||||||||||||||||||
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, 2008 (Unaudited) | 2.39 | 0.95 | 0.43 | 1.86 | 13,716 | 44 | |||||||||||||||||||||
Year ended May 31, 2008 | 2.03 | 0.95 | 0.51 | 1.59 | 9,853 | 11 | |||||||||||||||||||||
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, 2008 (Unaudited) | 3.50 | 0.95 | (2.01 | ) | 0.54 | 8,519 | 84 | ||||||||||||||||||||
Year ended May 31, 2008 | 3.04 | 0.95 | (1.46 | ) | 0.63 | 3,691 | 10 | ||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 2.40 | 0.95 | (0.76 | ) | 0.68 | 5,502 | 60 |
See accompanying notes to the financial statements.
278
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
Ultra Financials | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 29.76 | $ | 0.20 | $ | (23.38 | ) | $ | — | (h) | $ | (23.18 | ) | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | $ | 6.38 | (78.35 | )% | (78.53 | )% | ||||||||||||||||||||
Year ended May 31, 2008 | 71.90 | 0.70 | (41.74 | ) | 0.03 | (41.01 | ) | (1.13 | ) | — | (1.13 | ) | 29.76 | (57.74 | ) | (58.00 | ) | ||||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.55 | 1.35 | — | 1.90 | — | — | — | 71.90 | 2.71 | 2.86 | ||||||||||||||||||||||||||||||||||||
Ultra Health Care | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 58.11 | 0.28 | (25.82 | ) | 0.01 | (25.53 | ) | (0.24 | ) | — | (0.24 | ) | 32.34 | (44.08 | ) | (44.66 | ) | ||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 77.98 | 0.71 | (18.21 | ) | 0.01 | (17.49 | ) | (1.05 | ) | (1.33 | ) | (2.38 | ) | 58.11 | (22.95 | ) | (22.76 | ) | |||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 73.95 | 0.33 | (51.78 | ) | 0.01 | (51.44 | ) | (0.22 | ) | — | (0.22 | ) | 22.29 | (69.73 | ) | (69.84 | ) | ||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 86.92 | 0.92 | (9.16 | ) | 0.01 | (8.23 | ) | (1.38 | ) | (3.36 | ) | (4.74 | ) | 73.95 | (9.63 | ) | (9.59 | ) | |||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.34 | 16.58 | — | 16.92 | — | — | — | 86.92 | 24.17 | 24.29 |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
Ultra Financials | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 0.95 | % | 0.95 | % | 2.91 | % | 2.91 | % | $ | 2,344,528 | 94 | % | |||||||||||||||
Year ended May 31, 2008 | 1.04 | 0.95 | 1.98 | 2.07 | 1,055,642 | 15 | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 2.28 | 0.95 | 1.10 | 2.43 | 10,785 | 46 | |||||||||||||||||||||
Ultra Health Care | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.33 | 0.95 | 0.78 | 1.17 | 43,664 | 56 | |||||||||||||||||||||
Year ended May 31, 2008 | 1.75 | 0.95 | 0.29 | 1.09 | 17,433 | 33 | |||||||||||||||||||||
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, 2008 (Unaudited) | 2.49 | 0.95 | 0.11 | 1.65 | 11,702 | 68 | |||||||||||||||||||||
Year ended May 31, 2008 | 2.04 | 0.95 | 0.13 | 1.22 | 11,092 | 30 | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 2.12 | 0.95 | 0.18 | 1.35 | 6,519 | 1 |
See accompanying notes to the financial statements.
279
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
Ultra Oil & Gas | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 115.62 | $ | 0.27 | $ | (83.13 | ) | $ | 0.01 | $ | (82.85 | ) | $ | — | $ | — | $ | — | $ | 32.77 | (71.66 | )% | (71.71 | )% | |||||||||||||||||||||||
Year ended May 31, 2008 | 94.94 | 0.73 | 32.36 | 0.06 | 33.15 | (1.60 | ) | (10.87 | ) | (12.47 | ) | 115.62 | 37.97 | 36.84 | |||||||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 36.53 | 0.35 | (30.41 | ) | 0.01 | (30.05 | ) | (0.59 | ) | — | (0.59 | ) | 5.89 | (83.53 | ) | (81.91 | ) | ||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 61.82 | 0.74 | (24.42 | )(i) | 0.01 | (23.67 | ) | (1.62 | ) | — | (1.62 | ) | 36.53 | (38.58 | ) | (38.66 | ) | ||||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.44 | (8.62 | ) | — | (8.18 | ) | — | — | — | 61.82 | (11.69 | ) | (11.86 | ) | ||||||||||||||||||||||||||||||||
Ultra Semiconductors | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 60.30 | 0.15 | (47.13 | ) | 0.01 | (46.97 | ) | (0.20 | ) | — | (0.20 | ) | 13.13 | (78.13 | ) | (78.30 | ) | ||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 78.50 | 0.68 | (14.62 | )(i) | 0.03 | (13.91 | ) | (0.62 | ) | (3.67 | ) | (4.29 | ) | 60.30 | (18.56 | ) | (18.57 | ) | |||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.28 | 8.22 | — | 8.50 | — | — | — | 78.50 | 12.14 | 12.34 |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
Ultra Oil & Gas | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.00 | % | 0.95 | % | 1.21 | % | 1.27 | % | $ | 646,370 | 182 | % | |||||||||||||||
Year ended May 31, 2008 | 1.19 | 0.95 | 0.48 | 0.72 | 78,044 | 76 | |||||||||||||||||||||
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, 2008 (Unaudited) | 1.16 | 0.95 | 4.46 | 4.67 | 114,893 | 106 | |||||||||||||||||||||
Year ended May 31, 2008 | 1.34 | 0.95 | 1.66 | 2.05 | 57,532 | 23 | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.87 | 0.95 | 1.09 | 2.01 | 4,636 | 114 | |||||||||||||||||||||
Ultra Semiconductors | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.17 | 0.95 | 0.76 | 0.98 | 49,225 | 72 | |||||||||||||||||||||
Year ended May 31, 2008 | 1.27 | 0.95 | 0.80 | 1.12 | 117,594 | 80 | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.94 | 0.95 | 0.17 | 1.16 | 11,775 | 3 |
See accompanying notes to the financial statements.
280
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
Ultra Technology | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 71.12 | $ | 0.06 | $ | (50.02 | ) | $ | 0.01 | $ | (49.95 | ) | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 21.09 | (70.29 | )% | (70.38 | )% | |||||||||||||||||||||
Year ended May 31, 2008 | 78.03 | 0.30 | (4.68 | )(i) | 0.03 | (4.35 | ) | (0.45 | ) | (2.11 | ) | (2.56 | ) | 71.12 | (5.93 | ) | (5.99 | ) | |||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.15 | 7.88 | — | 8.03 | — | — | — | 78.03 | 11.47 | 11.37 | ||||||||||||||||||||||||||||||||||||
Ultra Telecommunications | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 89.05 | 0.69 | (60.20 | ) | 0.01 | (59.50 | ) | (1.32 | ) | — | (1.32 | ) | 28.23 | (67.55 | ) | (67.96 | ) | ||||||||||||||||||||||||||||||
March 25, 2008* through May 31, 2008 | 70.00 | 0.34 | 18.69 | 0.02 | 19.05 | — | — | — | 89.05 | 27.21 | 28.01 | ||||||||||||||||||||||||||||||||||||
Ultra Utilities | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 78.94 | 0.68 | (43.36 | ) | 0.01 | (42.67 | ) | (0.64 | ) | — | (0.64 | ) | 35.63 | (54.40 | ) | (54.60 | ) | ||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 90.27 | 1.68 | (6.76 | ) | — | (h) | (5.08 | ) | (2.01 | ) | (4.24 | ) | (6.25 | ) | 78.94 | (5.75 | ) | (5.92 | ) | ||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.74 | 19.53 | — | 20.27 | — | — | — | 90.27 | 28.96 | 29.24 |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
Ultra Technology | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.15 | % | 0.95 | % | 0.11 | % | 0.31 | % | $ | 72,777 | 81 | % | |||||||||||||||
Year ended May 31, 2008 | 1.23 | 0.95 | 0.15 | 0.43 | 133,344 | 24 | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 2.25 | 0.95 | (0.66 | ) | 0.63 | 5,852 | 63 | ||||||||||||||||||||
Ultra Telecommunications | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.70 | 0.95 | 1.85 | 2.60 | 8,470 | 100 | |||||||||||||||||||||
March 25, 2008* through May 31, 2008 | 2.83 | 0.95 | 0.50 | 2.38 | 13,358 | — | (j) | ||||||||||||||||||||
Ultra Utilities | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.66 | 0.95 | 2.10 | 2.81 | 29,397 | 60 | |||||||||||||||||||||
Year ended May 31, 2008 | 1.61 | 0.95 | 1.50 | 2.16 | 17,761 | 26 | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.88 | 0.95 | 1.73 | 2.66 | 13,541 | — | (j) |
See accompanying notes to the financial statements.
281
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
Short QQQ® | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 53.74 | $ | 0.16 | $ | 27.20 | $ | 0.01 | $ | 27.37 | $ | (0.36 | ) | $ | — | $ | (0.36 | ) | $ | 80.75 | 51.17 | % | 51.65 | % | |||||||||||||||||||||||
Year ended May 31, 2008 | 58.39 | 1.74 | (4.17 | ) | 0.05 | (2.38 | ) | (2.27 | ) | — | (2.27 | ) | 53.74 | (4.16 | ) | (4.43 | ) | ||||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||||||||||||||
Short Dow30SM | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 61.51 | 0.20 | 16.47 | 0.01 | 16.68 | (0.27 | ) | — | (0.27 | ) | 77.92 | 27.19 | 27.08 | ||||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 58.25 | 1.76 | 3.53 | 0.03 | 5.32 | (2.06 | ) | — | (2.06 | ) | 61.51 | 9.33 | 9.47 | ||||||||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 62.97 | 0.18 | 23.41 | 0.01 | 23.60 | (0.38 | ) | — | (0.38 | ) | 86.19 | 37.63 | 37.63 | ||||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 58.88 | 1.72 | 4.47 | 0.03 | 6.22 | (2.13 | ) | — | (2.13 | ) | 62.97 | 10.76 | 10.72 | ||||||||||||||||||||||||||||||||||
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 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
Short QQQ® | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.13 | % | 0.95 | % | 0.32 | % | 0.49 | % | $ | 96,895 | — | % | |||||||||||||||
Year ended May 31, 2008 | 1.16 | 0.95 | 2.82 | 3.03 | 64,490 | — | |||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 1.14 | 0.95 | 4.20 | 4.38 | 91,962 | — | |||||||||||||||||||||
Short Dow30SM | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.00 | 0.95 | 0.51 | 0.56 | 187,019 | — | |||||||||||||||||||||
Year ended May 31, 2008 | 1.05 | 0.95 | 2.82 | 2.92 | 170,684 | — | |||||||||||||||||||||
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, 2008 (Unaudited) | 0.95 | 0.95 | 0.48 | 0.48 | 446,149 | — | |||||||||||||||||||||
Year ended May 31, 2008 | 0.97 | 0.95 | 2.72 | 2.74 | 307,081 | — | |||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 1.08 | 0.95 | 4.20 | 4.33 | 185,555 | — |
See accompanying notes to the financial statements.
282
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
Short MidCap400 | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 57.36 | $ | 0.19 | $ | 28.31 | $ | 0.01 | $ | 28.51 | $ | (0.36 | ) | $ | — | $ | (0.36 | ) | $ | 85.51 | 49.96 | % | 49.76 | % | |||||||||||||||||||||||
Year ended May 31, 2008 | 56.87 | 2.06 | 1.14 | 0.01 | 3.21 | (2.72 | ) | — | (2.72 | ) | 57.36 | 5.55 | 5.52 | ||||||||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 69.75 | 0.15 | 25.74 | 0.01 | 25.90 | (0.38 | ) | — | (0.38 | ) | 95.27 | 37.29 | 36.56 | ||||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 65.09 | 2.03 | 5.59 | — | (h) | 7.62 | (2.96 | ) | — | (2.96 | ) | 69.75 | 11.89 | 11.73 | |||||||||||||||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 70.00 | 1.05 | (5.96 | ) | — | (4.91 | ) | — | — | — | 65.09 | (7.01 | ) | (6.84 | ) | ||||||||||||||||||||||||||||||||
Short Russell2000 | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 72.32 | 0.26 | 25.25 | 0.01 | 25.52 | (0.26 | ) | — | (0.26 | ) | 97.58 | 35.39 | 34.98 | ||||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 66.19 | 1.88 | 6.03 | 0.04 | 7.95 | (1.82 | ) | — | (1.82 | ) | 72.32 | 12.14 | 12.20 | ||||||||||||||||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 70.00 | 1.02 | (4.83 | ) | — | (3.81 | ) | — | — | — | 66.19 | (5.44 | ) | (5.29 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
Short MidCap400 | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.17 | % | 0.95 | % | 0.34 | % | 0.56 | % | $ | 32,068 | — | % | |||||||||||||||
Year ended May 31, 2008 | 1.11 | 0.95 | 3.26 | 3.42 | 38,716 | — | |||||||||||||||||||||
June 19, 2006* through May 31, 2007 | 1.07 | 0.95 | 4.24 | 4.36 | 110,890 | — | |||||||||||||||||||||
Short SmallCap600 | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.45 | 0.95 | (0.14 | ) | 0.36 | 28,581 | — | ||||||||||||||||||||
Year ended May 31, 2008 | 1.54 | 0.95 | 2.26 | 2.85 | 15,694 | — | |||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 1.89 | 0.95 | 3.49 | 4.43 | 9,763 | — | |||||||||||||||||||||
Short Russell2000 | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.12 | 0.95 | 0.49 | 0.66 | 51,231 | — | |||||||||||||||||||||
Year ended May 31, 2008 | 1.14 | 0.95 | 2.32 | 2.51 | 81,360 | — | |||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 1.70 | 0.95 | 3.52 | 4.27 | 24,822 | — |
See accompanying notes to the financial statements.
283
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
UltraShort QQQ® | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 37.40 | $ | 0.18 | $ | 36.41 | $ | 0.03 | $ | 36.62 | $ | (0.29 | ) | $ | — | $ | (0.29 | ) | $ | 73.73 | 98.36 | % | 98.47 | % | |||||||||||||||||||||||
Year ended May 31, 2008 | 46.21 | 1.40 | (8.55 | ) | 0.05 | (7.10 | ) | (1.71 | ) | — | (1.71 | ) | 37.40 | (15.71 | ) | (15.43 | ) | ||||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 52.84 | 0.17 | 22.06 | 0.03 | 22.26 | (0.31 | ) | (3.65 | ) | (3.96 | ) | 71.14 | 43.09 | 42.94 | |||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 48.86 | 1.58 | 4.05 | 0.07 | 5.70 | (1.72 | ) | — | (1.72 | ) | 52.84 | 11.92 | 12.21 | ||||||||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 56.62 | 0.21 | 35.40 | 0.03 | 35.64 | (0.36 | ) | (3.83 | ) | (4.19 | ) | 88.07 | 64.97 | 65.48 | |||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 51.05 | 1.56 | 5.63 | 0.06 | 7.25 | (1.68 | ) | — | (1.68 | ) | 56.62 | 14.38 | 14.27 | ||||||||||||||||||||||||||||||||||
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 (f) | 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 (c)(g) | ||||||||||||||||||||||
UltraShort QQQ® | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.01 | % | 0.95 | % | 0.69 | % | 0.75 | % | $ | 779,716 | — | % | |||||||||||||||
Year ended May 31, 2008 | 1.02 | 0.95 | 3.17 | 3.24 | 1,742,037 | — | |||||||||||||||||||||
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, 2008 (Unaudited) | 0.96 | 0.95 | 0.48 | 0.50 | 640,268 | — | |||||||||||||||||||||
Year ended May 31, 2008 | 0.98 | 0.95 | 3.03 | 3.06 | 558,740 | — | |||||||||||||||||||||
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, 2008 (Unaudited) | 0.89 | 0.89 | 0.56 | 0.56 | 2,952,703 | — | |||||||||||||||||||||
Year ended May 31, 2008 | 0.91 | 0.91 | 2.74 | 2.74 | 2,564,672 | — | |||||||||||||||||||||
July 11, 2006* through May 31, 2007 | 0.96 | 0.95 | 4.33 | 4.35 | 941,936 | — |
See accompanying notes to the financial statements.
284
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
UltraShort MidCap400 | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 49.07 | $ | 0.22 | $ | 46.57 | $ | 0.02 | $ | 46.81 | $ | (0.36 | ) | $ | — | $ | (0.36 | ) | $ | 95.52 | 95.86 | % | 96.01 | % | |||||||||||||||||||||||
Year ended May 31, 2008 | 49.34 | 1.71 | 0.07 | 0.02 | 1.80 | (2.07 | ) | — | (2.07 | ) | 49.07 | 3.26 | 3.47 | ||||||||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 65.94 | 0.28 | 42.38 | 0.04 | 42.70 | (0.22 | ) | — | (0.22 | ) | 108.42 | 64.92 | 63.28 | ||||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 59.13 | 1.93 | 6.92 | (i) | 0.04 | 8.89 | (2.08 | ) | — | (2.08 | ) | 65.94 | 15.08 | 15.14 | |||||||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 68.11 | 0.31 | 38.83 | 0.03 | 39.17 | (0.37 | ) | — | (0.37 | ) | 106.91 | 57.78 | 56.77 | ||||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 61.00 | 1.91 | 6.81 | (i) | 0.04 | 8.76 | (1.65 | ) | — | (1.65 | ) | 68.11 | 14.39 | 13.81 | |||||||||||||||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 70.00 | 0.95 | (9.95 | ) | — | (9.00 | ) | — | — | — | 61.00 | (12.86 | ) | (13.04 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
UltraShort MidCap400 | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 0.98 | % | 0.95 | % | 0.64 | % | 0.67 | % | $ | 114,624 | — | % | |||||||||||||||
Year ended May 31, 2008 | 0.98 | 0.95 | 3.02 | 3.05 | 180,341 | — | |||||||||||||||||||||
July 11, 2006* through May 31, 2007 | 1.05 | 0.95 | 4.29 | 4.39 | 188,742 | — | |||||||||||||||||||||
UltraShort SmallCap600 | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.05 | 0.95 | 0.62 | 0.72 | 40,657 | — | |||||||||||||||||||||
Year ended May 31, 2008 | 1.09 | 0.95 | 2.55 | 2.69 | 64,291 | — | |||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 1.59 | 0.95 | 3.87 | 4.51 | 22,174 | — | |||||||||||||||||||||
UltraShort Russell2000 | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.00 | 0.95 | 0.74 | 0.79 | 481,085 | — | |||||||||||||||||||||
Year ended May 31, 2008 | 1.02 | 0.95 | 2.53 | 2.60 | 1,169,737 | — | |||||||||||||||||||||
January 23, 2007* through May 31, 2007 | 1.08 | 0.95 | 4.02 | 4.15 | 210,461 | — |
See accompanying notes to the financial statements.
285
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
UltraShort Russell1000 Value | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 80.43 | $ | 0.30 | $ | 43.53 | $ | 0.08 | $ | 43.91 | $ | (0.60 | ) | $ | — | $ | (0.60 | ) | $ | 123.74 | 54.82 | % | 56.06 | % | |||||||||||||||||||||||
Year ended May 31, 2008 | 64.88 | 2.30 | 15.55 | 0.06 | 17.91 | (2.36 | ) | — | (2.36 | ) | 80.43 | 28.19 | 28.22 | ||||||||||||||||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.87 | (5.99 | ) | — | (5.12 | ) | — | — | — | 64.88 | (7.31 | ) | (7.70 | ) | ||||||||||||||||||||||||||||||||
UltraShort Russell1000 Growth | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 63.00 | 0.25 | 58.83 | 0.05 | 59.13 | (0.32 | ) | — | (0.32 | ) | 121.81 | 94.14 | 96.94 | ||||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 65.07 | �� | 1.92 | (1.29 | )(i) | 0.03 | 0.66 | (2.73 | ) | — | (2.73 | ) | 63.00 | 0.75 | 1.11 | ||||||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 78.38 | 0.08 | 73.62 | — | 73.70 | (0.38 | ) | — | (0.38 | ) | 151.70 | 94.37 | 95.10 | ||||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 65.74 | 2.33 | 14.04 | — | 16.37 | (3.07 | ) | (0.66 | ) | (3.73 | ) | 78.38 | 25.08 | 31.85 | |||||||||||||||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.89 | (5.15 | ) | — | (4.26 | ) | — | — | — | 65.74 | (6.09 | ) | (5.79 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
UltraShort Russell1000 Value | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.59 | % | 0.95 | % | (0.07 | )% | 0.57 | % | $ | 18,562 | — | % | |||||||||||||||
Year ended May 31, 2008 | 1.93 | 0.95 | 2.00 | 2.98 | 6,033 | — | |||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 2.37 | 0.95 | 3.03 | 4.45 | 4,866 | — | |||||||||||||||||||||
UltraShort Russell1000 Growth | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.42 | 0.95 | 0.10 | 0.57 | 27,408 | — | |||||||||||||||||||||
Year ended May 31, 2008 | 1.50 | 0.95 | 2.28 | 2.83 | 14,175 | — | |||||||||||||||||||||
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, 2008 (Unaudited) | 2.27 | 0.95 | (1.18 | ) | 0.14 | 11,378 | — | ||||||||||||||||||||
Year ended May 31, 2008 | 2.05 | 0.95 | 1.75 | 2.85 | 5,879 | — | |||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 2.37 | 0.95 | 3.12 | 4.53 | 4,931 | — |
See accompanying notes to the financial statements.
286
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
UltraShort Russell MidCap Growth | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 60.74 | $ | 0.65 | $ | 81.04 | $ | 0.06 | $ | 81.75 | $ | (0.55 | ) | $ | — | $ | (0.55 | ) | $ | 141.94 | 135.22 | % | 139.38 | % | |||||||||||||||||||||||
Year ended May 31, 2008 | 64.41 | 1.84 | (2.15 | ) | 0.05 | (0.26 | ) | (3.41 | ) | — | (3.41 | ) | 60.74 | (0.82 | ) | (0.88 | ) | ||||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 84.13 | 0.27 | 32.25 | 0.05 | 32.57 | (0.57 | ) | — | (0.57 | ) | 116.13 | 38.99 | 37.90 | ||||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 68.66 | 2.40 | 16.30 | (i) | 0.07 | 18.77 | (3.22 | ) | (0.08 | ) | (3.30 | ) | 84.13 | 27.75 | 27.63 | ||||||||||||||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.96 | (2.30 | ) | — | (1.34 | ) | — | — | — | 68.66 | (1.91 | ) | (1.61 | ) | ||||||||||||||||||||||||||||||||
UltraShort Russell2000 Growth | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 66.55 | 0.31 | 54.79 | 0.03 | 55.13 | (0.46 | ) | — | (0.46 | ) | 121.22 | 83.29 | 85.61 | ||||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 65.55 | 2.01 | 1.15 | (i) | 0.02 | 3.18 | (2.18 | ) | — | (2.18 | ) | 66.55 | 4.76 | 4.50 | |||||||||||||||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 70.00 | 0.92 | (5.37 | ) | — | (4.45 | ) | — | — | — | 65.55 | (6.36 | ) | (6.17 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
UltraShort Russell MidCap Growth | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.62 | % | 0.95 | % | 0.11 | % | 0.78 | % | $ | 10,646 | — | % | |||||||||||||||
Year ended May 31, 2008 | 1.92 | 0.95 | 1.75 | 2.72 | 13,666 | — | |||||||||||||||||||||
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, 2008 (Unaudited) | 1.38 | 0.95 | 0.13 | 0.57 | 17,420 | — | |||||||||||||||||||||
Year ended May 31, 2008 | 1.26 | 0.95 | 2.34 | 2.65 | 25,238 | — | |||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 2.12 | 0.95 | 3.59 | 4.76 | 5,150 | — | |||||||||||||||||||||
UltraShort Russell2000 Growth | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.25 | 0.95 | 0.46 | 0.76 | 18,182 | — | |||||||||||||||||||||
Year ended May 31, 2008 | 1.24 | 0.95 | 2.45 | 2.74 | 44,922 | — | |||||||||||||||||||||
February 20, 2007* through May 31, 2007 | 1.78 | 0.95 | 3.84 | 4.66 | 14,750 | — |
See accompanying notes to the financial statements.
287
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
Short Financials | |||||||||||||||||||||||||||||||||||||||||||||||
June 10, 2008* through November 30, 2008 | $ | 70.00 | $ | 0.10 | $ | 16.52 | $ | — | (h) | $ | 16.62 | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | $ | 86.49 | 23.81 | % | 24.24 | % | ||||||||||||||||||||||
Short Oil & Gas | |||||||||||||||||||||||||||||||||||||||||||||||
June 10, 2008* through November 30, 2008 | 70.00 | 0.27 | 19.65 | 0.01 | 19.93 | (0.17 | ) | — | (0.17 | ) | 89.76 | 28.49 | 30.08 | ||||||||||||||||||||||||||||||||||
UltraShort Basic Materials | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 28.52 | 0.15 | 47.51 | 0.03 | 47.69 | (0.23 | ) | — | (0.23 | ) | 75.98 | 168.03 | 171.15 | ||||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 53.08 | 0.82 | (23.66 | ) | 0.06 | (22.78 | ) | (1.78 | ) | — | (1.78 | ) | 28.52 | (44.32 | ) | (43.75 | ) | ||||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 68.96 | 0.24 | 24.47 | 0.03 | 24.74 | (0.36 | ) | — | (0.36 | ) | 93.34 | 36.02 | 37.16 | ||||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 64.74 | 1.84 | 4.90 | 0.03 | 6.77 | (2.55 | ) | — | (2.55 | ) | 68.96 | 10.70 | 11.15 | ||||||||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 1.02 | (6.28 | ) | — | (5.26 | ) | — | — | — | 64.74 | (7.51 | ) | (7.57 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
Short Financials | |||||||||||||||||||||||||||
June 10, 2008* through November 30, 2008 | 1.33 | % | 0.95 | % | (0.11 | )% | 0.27 | % | $ | 38,922 | — | % | |||||||||||||||
Short Oil & Gas | |||||||||||||||||||||||||||
June 10, 2008* through November 30, 2008 | 1.55 | 0.95 | 0.09 | 0.69 | 6,732 | — | |||||||||||||||||||||
UltraShort Basic Materials | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 0.97 | 0.95 | 0.71 | 0.73 | 170,953 | — | |||||||||||||||||||||
Year ended May 31, 2008 | 1.08 | 0.95 | 2.07 | 2.20 | 205,366 | — | |||||||||||||||||||||
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, 2008 (Unaudited) | 1.15 | 0.95 | 0.41 | 0.61 | 42,003 | — | |||||||||||||||||||||
Year ended May 31, 2008 | 1.38 | 0.95 | 2.29 | 2.72 | 25,861 | — | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.91 | 0.95 | 3.52 | 4.47 | 9,711 | — |
See accompanying notes to the financial statements.
288
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
UltraShort Consumer Services | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 83.90 | $ | 0.28 | $ | 52.51 | $ | 0.06 | $ | 52.85 | $ | (0.40 | ) | $ | — | $ | (0.40 | ) | $ | 136.35 | 63.17 | % | 64.19 | % | |||||||||||||||||||||||
Year ended May 31, 2008 | 67.48 | 1.83 | 19.97 | (i) | 0.06 | 21.86 | (3.06 | ) | (2.38 | ) | (5.44 | ) | 83.90 | 32.97 | 33.27 | ||||||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 1.06 | (3.58 | ) | — | (2.52 | ) | — | — | — | 67.48 | (3.60 | ) | (3.70 | ) | ||||||||||||||||||||||||||||||||
UltraShort Financials | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 110.16 | 0.57 | 23.43 | 0.10 | 24.10 | (0.35 | ) | — | (0.35 | ) | 133.91 | 21.93 | 22.66 | ||||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 68.14 | 2.28 | 41.76 | 0.08 | 44.12 | (2.10 | ) | — | (2.10 | ) | 110.16 | 65.66 | 66.41 | ||||||||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 77.46 | 0.25 | 25.43 | 0.01 | 25.69 | (0.54 | ) | — | (0.54 | ) | 102.61 | 33.33 | 34.89 | ||||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 63.76 | 2.15 | 14.54 | — | (h) | 16.69 | (2.99 | ) | — | (2.99 | ) | 77.46 | 26.90 | 32.49 | |||||||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 1.02 | (7.26 | ) | — | (6.24 | ) | — | — | — | 63.76 | (8.91 | ) | (9.09 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
UltraShort Consumer Services | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.00 | % | 0.95 | % | 0.47 | % | 0.52 | % | $ | 143,163 | — | % | |||||||||||||||
Year ended May 31, 2008 | 1.15 | 0.95 | 1.87 | 2.07 | 100,678 | — | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.94 | 0.95 | 3.56 | 4.55 | 5,601 | — | |||||||||||||||||||||
UltraShort Financials | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 0.94 | 0.94 | 0.91 | 0.91 | 743,210 | — | |||||||||||||||||||||
Year ended May 31, 2008 | 0.96 | 0.95 | 2.24 | 2.25 | 2,164,712 | — | |||||||||||||||||||||
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, 2008 (Unaudited) | 1.72 | 0.95 | (0.17 | ) | 0.60 | 15,391 | — | ||||||||||||||||||||
Year ended May 31, 2008 | 1.63 | 0.95 | 2.34 | 3.02 | 11,619 | — | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.91 | 0.95 | 3.53 | 4.49 | 9,564 | — |
See accompanying notes to the financial statements.
289
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
UltraShort Industrials | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 54.08 | $ | 0.20 | $ | 55.80 | $ | 0.03 | $ | 56.03 | $ | (0.25 | ) | $ | — | $ | (0.25 | ) | $ | 109.86 | 103.89 | % | 103.73 | % | |||||||||||||||||||||||
Year ended May 31, 2008 | 56.92 | 1.46 | (2.09 | ) | 0.07 | (0.56 | ) | (2.28 | ) | — | (2.28 | ) | 54.08 | (1.09 | ) | (0.87 | ) | ||||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 28.72 | 0.15 | 3.34 | 0.02 | 3.51 | (0.24 | ) | (1.80 | ) | (2.04 | ) | 30.19 | 11.15 | 11.57 | |||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 50.99 | 0.62 | (21.92 | ) | 0.02 | (21.28 | ) | (0.99 | ) | — | (0.99 | ) | 28.72 | (42.37 | ) | (42.21 | ) | ||||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.94 | (19.95 | ) | — | (19.01 | ) | — | — | — | 50.99 | (27.16 | ) | (27.16 | ) | ||||||||||||||||||||||||||||||||
UltraShort Real Estate | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 84.44 | 0.34 | 38.54 | 0.07 | 38.95 | (0.51 | ) | — | (0.51 | ) | 122.88 | 46.30 | 43.90 | ||||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 76.73 | 2.66 | 6.61 | (i) | 0.09 | 9.36 | (1.65 | ) | — | (1.65 | ) | 84.44 | 12.03 | 12.33 | |||||||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 1.10 | 5.63 | — | 6.73 | — | — | — | 76.73 | 9.61 | 9.90 |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
UltraShort Industrials | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.04 | % | 0.95 | % | 0.43 | % | 0.51 | % | $ | 90,637 | — | % | |||||||||||||||
Year ended May 31, 2008 | 1.36 | 0.95 | 2.03 | 2.44 | 28,394 | — | |||||||||||||||||||||
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, 2008 (Unaudited) | 0.95 | 0.95 | 0.88 | 0.88 | 613,712 | — | |||||||||||||||||||||
Year ended May 31, 2008 | 0.99 | 0.95 | 1.78 | 1.82 | 2,328,579 | — | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.59 | 0.95 | 3.87 | 4.51 | 30,595 | — | |||||||||||||||||||||
UltraShort Real Estate | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 0.95 | 0.95 | 0.70 | 0.70 | 1,142,745 | — | |||||||||||||||||||||
Year ended May 31, 2008 | 0.98 | 0.95 | 2.66 | 2.69 | 804,324 | — | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.24 | 0.95 | 4.00 | 4.29 | 97,829 | — |
See accompanying notes to the financial statements.
290
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
UltraShort Semiconductors | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 55.39 | $ | 0.23 | $ | 91.59 | $ | 0.04 | $ | 91.86 | $ | (0.35 | ) | $ | — | $ | (0.35 | ) | $ | 146.90 | 166.46 | % | 167.46 | % | |||||||||||||||||||||||
Year ended May 31, 2008 | 61.64 | 1.69 | (5.48 | ) | 0.05 | (3.74 | ) | (2.51 | ) | — | (2.51 | ) | 55.39 | (6.11 | ) | (5.58 | ) | ||||||||||||||||||||||||||||||
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, 2008 (Unaudited) | 54.22 | 0.20 | 61.31 | 0.02 | 61.53 | (0.47 | ) | — | (0.47 | ) | 115.28 | 114.13 | 113.06 | ||||||||||||||||||||||||||||||||||
Year ended May 31, 2008 | 63.03 | 1.42 | (7.45 | ) | 0.05 | (5.98 | ) | (2.83 | ) | — | (2.83 | ) | 54.22 | (9.69 | ) | (9.66 | ) | ||||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 1.06 | (8.03 | ) | — | (6.97 | ) | — | — | — | 63.03 | (9.96 | ) | (9.71 | ) | ||||||||||||||||||||||||||||||||
UltraShort Telecommunications | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 53.57 | 0.04 | 31.80 | — | (h) | 31.84 | (0.56 | ) | — | (0.56 | ) | 84.85 | 59.62 | 63.43 | |||||||||||||||||||||||||||||||||
March 25, 2008* through May 31, 2008 | 70.00 | 0.14 | (16.59 | ) | 0.02 | (16.43 | ) | — | — | — | 53.57 | (23.47 | ) | (23.74 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
UltraShort Semiconductors | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.18 | % | 0.95 | % | 0.31 | % | 0.54 | % | $ | 44,070 | — | % | |||||||||||||||
Year ended May 31, 2008 | 1.46 | 0.95 | 2.13 | 2.64 | 24,925 | — | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.94 | 0.95 | 3.57 | 4.55 | 9,246 | — | |||||||||||||||||||||
UltraShort Technology | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.10 | 0.95 | 0.35 | 0.50 | 77,811 | — | |||||||||||||||||||||
Year ended May 31, 2008 | 1.22 | 0.95 | 1.93 | 2.20 | 40,668 | — | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 1.95 | 0.95 | 3.56 | 4.55 | 4,727 | — | |||||||||||||||||||||
UltraShort Telecommunications | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.58 | 0.95 | 0.07 | 0.70 | 6,364 | — | |||||||||||||||||||||
March 25, 2008* through May 31, 2008 | 3.21 | 0.95 | (1.01 | ) | 1.25 | 8,036 | — |
See accompanying notes to the financial statements.
291
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
UltraShort Utilities | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 50.89 | $ | 0.19 | $ | 19.35 | $ | 0.02 | $ | 19.56 | $ | (0.26 | ) | $ | — | $ | (0.26 | ) | $ | 70.19 | 38.55 | % | 40.04 | % | |||||||||||||||||||||||
Year ended May 31, 2008 | 54.43 | 1.81 | (3.46 | ) | 0.05 | (1.60 | ) | (1.94 | ) | — | (1.94 | ) | 50.89 | (3.36 | ) | (3.16 | ) | ||||||||||||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 70.00 | 0.88 | (16.45 | ) | — | (h) | (15.57 | ) | — | — | — | 54.43 | (22.24 | ) | (22.39 | ) | |||||||||||||||||||||||||||||||
Short MSCI EAFE | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 73.63 | 0.13 | 37.82 | 0.03 | 37.98 | (0.32 | ) | — | (0.32 | ) | 111.29 | 51.71 | 51.05 | ||||||||||||||||||||||||||||||||||
October 23, 2007* through May 31, 2008 | 70.00 | 1.06 | 3.07 | 0.02 | 4.15 | (0.52 | ) | — | (0.52 | ) | 73.63 | 5.92 | 6.05 | ||||||||||||||||||||||||||||||||||
Short MSCI Emerging Markets | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 69.46 | 0.30 | 29.48 | 0.02 | 29.80 | (0.43 | ) | — | (0.43 | ) | 98.83 | 43.01 | 44.49 | ||||||||||||||||||||||||||||||||||
October 30, 2007* through May 31, 2008 | 70.00 | 0.82 | (0.74 | ) | 0.01 | 0.09 | (0.63 | ) | — | (0.63 | ) | 69.46 | 0.06 | (0.59 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
UltraShort Utilities | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.41 | % | 0.95 | % | 0.11 | % | 0.57 | % | $ | 15,793 | — | % | |||||||||||||||
Year ended May 31, 2008 | 1.43 | 0.95 | 2.70 | 3.18 | 19,085 | — | |||||||||||||||||||||
January 30, 2007* through May 31, 2007 | 2.00 | 0.95 | 3.44 | 4.49 | 16,330 | — | |||||||||||||||||||||
Short MSCI EAFE | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.20 | 0.95 | — | 0.26 | 58,428 | — | |||||||||||||||||||||
October 23, 2007* through May 31, 2008 | 1.90 | 0.95 | 1.38 | 2.33 | 11,044 | — | |||||||||||||||||||||
Short MSCI Emerging Markets | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.20 | 0.95 | 0.43 | 0.67 | 37,060 | — | |||||||||||||||||||||
October 30, 2007* through May 31, 2008 | 1.48 | 0.95 | 1.35 | 1.88 | 52,094 | — |
See accompanying notes to the financial statements.
292
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
UltraShort MSCI EAFE | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 74.55 | $ | 0.29 | $ | 66.04 | $ | 0.09 | $ | 66.42 | $ | (0.52 | ) | $ | — | $ | (0.52 | ) | $ | 140.45 | 89.33 | % | 87.20 | % | |||||||||||||||||||||||
October 23, 2007* through May 31, 2008 | 70.00 | 0.97 | 3.92 | (i) | 0.07 | 4.96 | (0.41 | ) | — | (0.41 | ) | 74.55 | 7.06 | 7.29 | |||||||||||||||||||||||||||||||||
UltraShort MSCI Emerging Markets | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 63.35 | 0.23 | 12.74 | 0.09 | 13.06 | (0.54 | ) | (3.40 | ) | (3.94 | ) | 72.47 | 19.06 | 20.85 | |||||||||||||||||||||||||||||||||
October 30, 2007* through May 31, 2008 | 70.00 | 0.85 | (7.02 | ) | 0.06 | (6.11 | ) | (0.54 | ) | — | (0.54 | ) | 63.35 | (8.87 | ) | (9.60 | ) | ||||||||||||||||||||||||||||||
UltraShort MSCI Japan | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 68.59 | 0.28 | 33.77 | 0.03 | 34.08 | (0.37 | ) | — | (0.37 | ) | 102.30 | 49.80 | 47.78 | ||||||||||||||||||||||||||||||||||
November 6, 2007* through May 31, 2008 | 70.00 | 0.95 | (1.65 | ) | 0.03 | (0.67 | ) | (0.74 | ) | — | (0.74 | ) | 68.59 | (1.10 | ) | (0.98 | ) | ||||||||||||||||||||||||||||||
UltraShort FTSE/Xinhua China 25 | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 67.57 | 0.33 | (15.84 | ) | 0.06 | (15.45 | ) | (0.62 | ) | — | (0.62 | ) | 51.50 | (23.24 | ) | (23.78 | ) | ||||||||||||||||||||||||||||||
November 6, 2007* through May 31, 2008 | 70.00 | 0.98 | (3.01 | ) | 0.08 | (1.95 | ) | (0.48 | ) | — | (0.48 | ) | 67.57 | (2.91 | ) | (2.78 | ) |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
UltraShort MSCI EAFE | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.01 | % | 0.95 | % | 0.44 | % | 0.49 | % | $ | 126,407 | — | % | |||||||||||||||
October 23, 2007* through May 31, 2008 | 1.20 | 0.95 | 1.70 | 1.95 | 67,097 | — | |||||||||||||||||||||
UltraShort MSCI Emerging Markets | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.00 | 0.95 | 0.44 | 0.49 | 581,537 | — | |||||||||||||||||||||
October 30, 2007* through May 31, 2008 | 1.01 | 0.95 | 1.87 | 1.93 | 275,590 | — | |||||||||||||||||||||
UltraShort MSCI Japan | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.55 | 0.95 | (0.02 | ) | 0.58 | 15,345 | — | ||||||||||||||||||||
November 6, 2007* through May 31, 2008 | 2.15 | 0.95 | 0.93 | 2.13 | 20,576 | — | |||||||||||||||||||||
UltraShort FTSE/Xinhua China 25 | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.02 | 0.95 | 0.72 | 0.79 | 386,217 | — | |||||||||||||||||||||
November 6, 2007* through May 31, 2008 | 1.05 | 0.95 | 2.06 | 2.16 | 673,999 | — |
See accompanying notes to the financial statements.
293
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 (c) | |||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Transaction fees (b) | Total from investment operations | Net investment income | Net realized gains | Total distributions | Net asset value, end of period | Net asset value (d) | Market value (e) | |||||||||||||||||||||||||||||||||||||
UltraShort 7-10 Year Treasury | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | $ | 72.02 | $ | 0.16 | $ | (13.79 | ) | $ | 0.02 | $ | (13.61 | ) | $ | (0.21 | ) | $ | — | $ | (0.21 | ) | $ | 58.20 | (18.93 | )% | (18.80 | )% | |||||||||||||||||||||
April 29, 2008* through May 31, 2008 | 70.00 | 0.06 | 1.93 | 0.03 | 2.02 | — | — | — | 72.02 | 2.89 | 3.23 | ||||||||||||||||||||||||||||||||||||
UltraShort 20+ Year Treasury | |||||||||||||||||||||||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 72.34 | 0.09 | (23.92 | ) | 0.03 | (23.80 | ) | (0.17 | ) | — | (0.17 | ) | 48.37 | (32.96 | ) | (33.27 | ) | ||||||||||||||||||||||||||||||
April 29, 2008* through May 31, 2008 | 70.00 | 0.05 | 2.25 | 0.04 | 2.34 | — | — | — | 72.34 | 3.34 | 3.89 |
RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (f) | 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 (c)(g) | ||||||||||||||||||||||
UltraShort 7-10 Year Treasury | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 1.09 | % | 0.95 | % | 0.34 | % | 0.48 | % | $ | 91,658 | — | % | |||||||||||||||
April 29, 2008* through May 31, 2008 | 3.55 | 0.95 | (1.66 | ) | 0.94 | 32,410 | — | ||||||||||||||||||||
UltraShort 20+ Year Treasury | |||||||||||||||||||||||||||
Six Months ended November 30, 2008 (Unaudited) | 0.98 | 0.95 | 0.27 | 0.30 | 678,365 | — | |||||||||||||||||||||
April 29, 2008* through May 31, 2008 | 2.37 | 0.95 | (0.62 | ) | 0.80 | 92,227 | — |
See accompanying notes to the financial statements.
294
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) Includes transaction fees associated with the issuance and redemption of Creation Units. Prior to the fiscal year ended May 31, 2008, these amounts were included under the caption "Net realized and unrealized gains (losses) on investments".
(c) Not annualized for periods less than one year.
(d) 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.
(e) 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 NYSE Arca (prior to November 12, 2008, trading occurred on the American Stock Exchange). Market value may be greater or less than net asset value, depending on the Fund's closing price on the NYSE Arca.
(f) Annualized for periods less than one year.
(g) 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. In-Kind transactions are not included in the portfolio turnover calculations.
(h) Per share amount is less than $0.005
(i) The amount shown for a share outstanding throughout the period is not in accordance 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.
(j) Less than 0.5%.
See accompanying notes to the financial statements.
295
ProShares Trust Notes to Financial Statements
November 30, 2008 (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 64 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 ("GAAP"). The preparation of financial statements in accordance with GAAP 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 Stock Market, 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 appropriat e in accordance with procedures approved by the Trust's Board of Trustees (the "Board").
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.
Derivatives (e.g., futures and swap agreements) are generally valued using third party pricing services or other procedures approved by the Board. Future 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, and for non-exchange traded derivatives, fair valuation procedures as described below may be applied.
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 Board. Fair value pricing may require subjective determinations about the value of a security. While the Trust's policy is intended to result in a calculation of a Fund's NAV that fairly reflects security values as of the time of pricing, the Trust cannot ensure that fair values determined by the Advisor or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a for ced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold and the differences could be material to the financial statements.
In September 2006, the Financial Accounting Standards Board ("FASB") released Statement of Financial Accounting Standards No. 157, ("FAS 157"). FAS 157 requires disclosure surrounding the various inputs that are used in determining the value of the Funds' investments. These inputs are summarized into the three broad levels listed below:
• Level 1 — Quoted prices in active markets for identical assets.
• Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
296
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
• Level 3 — Significant unobservable inputs (including each Funds' own assumptions in determining the fair value of investments).
The following is a summary of the inputs used to value each Fund's net assets as of November 30, 2008:
LEVEL 1 - Quoted Prices | LEVEL 2 - Other Significant Observable Inputs | Total | |||||||||||||||||||||||||||||
Investment Securities | Other Financial Instruments* | Investment Securities | Repurchase Agreements | Other Financial Instruments* | Investment Securities, including Repurchase Agreements | Other Financial Instruments* | |||||||||||||||||||||||||
Ultra QQQ® | $ | 1,156,093,683 | $ | 6,511,359 | — | $ | 487,408,257 | $ | (308,686,959 | ) | $ | 1,643,501,940 | $ | (302,175,600 | ) | ||||||||||||||||
Ultra Dow30SM | 750,913,542 | 4,740,551 | — | 208,088,710 | (59,617,907 | ) | 959,002,252 | (54,877,356 | ) | ||||||||||||||||||||||
Ultra S&P500® | 3,028,349,013 | 32,309,772 | — | 799,280,731 | (194,805,338 | ) | 3,827,629,744 | (162,495,566 | ) | ||||||||||||||||||||||
Ultra MidCap400 | 86,244,501 | 1,572,258 | — | 45,011,890 | (28,214,373 | ) | 131,256,391 | (26,642,115 | ) | ||||||||||||||||||||||
Ultra SmallCap600 | 27,332,630 | — | — | 11,172,734 | (5,451,406 | ) | 38,505,364 | (5,451,406 | ) | ||||||||||||||||||||||
Ultra Russell2000 | 237,139,559 | 4,907,215 | — | 94,871,042 | (36,526,330 | ) | 332,010,601 | (31,619,115 | ) | ||||||||||||||||||||||
Ultra Russell1000 Value | 15,980,565 | — | — | 2,509,945 | (5,128 | ) | 18,490,510 | (5,128 | ) | ||||||||||||||||||||||
Ultra Russell1000 Growth | 16,020,100 | — | — | 11,981,990 | (8,306,233 | ) | 28,002,090 | (8,306,233 | ) | ||||||||||||||||||||||
Ultra Russell MidCap Value | 6,223,177 | — | — | 2,404,382 | (718,811 | ) | 8,627,559 | (718,811 | ) | ||||||||||||||||||||||
Ultra Russell MidCap Growth | 9,322,039 | — | — | 3,451,831 | (911,996 | ) | 12,773,870 | (911,996 | ) | ||||||||||||||||||||||
Ultra Russell2000 Value | 12,617,558 | — | — | 4,204,683 | (1,195,825 | ) | 16,822,241 | (1,195,825 | ) | ||||||||||||||||||||||
Ultra Russell2000 Growth | 9,406,683 | — | — | 7,226,379 | (4,593,872 | ) | 16,633,062 | (4,593,872 | ) | ||||||||||||||||||||||
Ultra Basic Materials | 239,654,929 | — | — | 108,212,033 | (37,476,367 | ) | 347,866,962 | (37,476,367 | ) | ||||||||||||||||||||||
Ultra Consumer Goods | 11,716,313 | — | — | 4,058,403 | (1,634,448 | ) | 15,774,716 | (1,634,448 | ) | ||||||||||||||||||||||
Ultra Consumer Services | 7,250,695 | — | — | 2,281,912 | (526,029 | ) | 9,532,607 | (526,029 | ) | ||||||||||||||||||||||
Ultra Financials | 2,086,346,600 | — | — | 466,039,863 | (59,596 | ) | 2,552,386,463 | (59,596 | ) | ||||||||||||||||||||||
Ultra Health Care | 37,291,156 | — | — | 12,003,181 | (5,632,697 | ) | 49,294,337 | (5,632,697 | ) | ||||||||||||||||||||||
Ultra Industrials | 9,679,779 | — | — | 7,082,222 | (4,729,047 | ) | 16,762,001 | (4,729,047 | ) | ||||||||||||||||||||||
Ultra Oil & Gas | 583,048,946 | — | — | 131,126,064 | (28,806,987 | ) | 714,175,010 | (28,806,987 | ) | ||||||||||||||||||||||
Ultra Real Estate | 102,667,836 | — | — | 38,189,887 | (13,883,766 | ) | 140,857,723 | (13,883,766 | ) | ||||||||||||||||||||||
Ultra Semiconductors | 41,935,730 | — | — | 26,322,324 | (18,751,838 | ) | 68,258,054 | (18,751,838 | ) | ||||||||||||||||||||||
Ultra Technology | 60,104,985 | — | — | 44,337,978 | (31,718,374 | ) | 104,442,963 | (31,718,374 | ) | ||||||||||||||||||||||
Ultra Telecommunications | 6,916,782 | — | — | 170,970 | 95,935 | 7,087,752 | 95,935 | ||||||||||||||||||||||||
Ultra Utilities | 25,334,883 | — | — | 7,572,475 | (3,029,568 | ) | 32,907,358 | (3,029,568 | ) | ||||||||||||||||||||||
Short QQQ® | — | 2,622,257 | — | 107,806,994 | (12,913,006 | ) | 107,806,994 | (10,290,749 | ) | ||||||||||||||||||||||
Short Dow30SM | — | 3,539,079 | — | 215,226,901 | (29,062,192 | ) | 215,226,901 | (25,523,113 | ) | ||||||||||||||||||||||
Short S&P500® | — | 1,803,865 | — | 550,624,255 | (82,386,827 | ) | 550,624,255 | (80,582,962 | ) | ||||||||||||||||||||||
Short MidCap400 | — | 747,638 | — | 38,816,366 | (7,151,369 | ) | 38,816,366 | (6,403,731 | ) |
297
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
LEVEL 1 - Quoted Prices | LEVEL 2 - Other Significant Observable Inputs | Total | |||||||||||||||||||||||||||||
Investment Securities | Other Financial Instruments* | Investment Securities | Repurchase Agreements | Other Financial Instruments* | Investment Securities, including Repurchase Agreements | Other Financial Instruments* | |||||||||||||||||||||||||
Short SmallCap600 | — | $ | — | — | $ | 35,341,866 | $ | (6,716,342 | ) | $ | 35,341,866 | $ | (6,716,342 | ) | |||||||||||||||||
Short Russell2000 | — | 1,518,400 | — | 61,249,910 | (10,779,712 | ) | 61,249,910 | (9,261,312 | ) | ||||||||||||||||||||||
UltraShort QQQ® | — | 6,705,084 | — | 908,923,751 | (200,110,480 | ) | 908,923,751 | (193,405,396 | ) | ||||||||||||||||||||||
UltraShort Dow30SM | — | 3,589,840 | — | 667,399,842 | (126,337,635 | ) | 667,399,842 | (122,747,795 | ) | ||||||||||||||||||||||
UltraShort S&P500® | — | 5,383,153 | — | 3,249,122,071 | (736,303,030 | ) | 3,249,122,071 | (730,919,877 | ) | ||||||||||||||||||||||
UltraShort MidCap400 | — | 692,024 | — | 175,377,279 | (61,348,451 | ) | 175,377,279 | (60,656,427 | ) | ||||||||||||||||||||||
UltraShort SmallCap600 | — | — | — | 62,932,671 | (22,214,127 | ) | 62,932,671 | (22,214,127 | ) | ||||||||||||||||||||||
UltraShort Russell2000 | — | 2,935,225 | — | 759,839,748 | (273,369,789 | ) | 759,839,748 | (270,434,564 | ) | ||||||||||||||||||||||
UltraShort Russell1000 Value | — | — | — | 29,140,136 | (10,547,329 | ) | 29,140,136 | (10,547,329 | ) | ||||||||||||||||||||||
UltraShort Russell1000 Growth | — | — | — | 38,726,765 | (11,282,209 | ) | 38,726,765 | (11,282,209 | ) | ||||||||||||||||||||||
UltraShort Russell MidCap Value | — | — | — | 18,208,825 | (6,801,233 | ) | 18,208,825 | (6,801,233 | ) | ||||||||||||||||||||||
UltraShort Russell MidCap Growth | — | — | — | 16,901,460 | (6,226,181 | ) | 16,901,460 | (6,226,181 | ) | ||||||||||||||||||||||
UltraShort Russell2000 Value | — | — | — | 28,253,537 | (10,798,861 | ) | 28,253,537 | (10,798,861 | ) | ||||||||||||||||||||||
UltraShort Russell2000 Growth | — | — | — | 42,569,172 | (13,512,679 | ) | 42,569,172 | (13,512,679 | ) | ||||||||||||||||||||||
Short Financials | — | — | — | 46,871,512 | (11,056,319 | ) | 46,871,512 | (11,056,319 | ) | ||||||||||||||||||||||
Short Oil & Gas | — | — | — | 7,699,790 | (1,523,200 | ) | 7,699,790 | (1,523,200 | ) | ||||||||||||||||||||||
UltraShort Basic Materials | — | — | — | 314,971,709 | (130,742,520 | ) | 314,971,709 | (130,742,520 | ) | ||||||||||||||||||||||
UltraShort Consumer Goods | — | — | — | 55,265,824 | (13,111,407 | ) | 55,265,824 | (13,111,407 | ) | ||||||||||||||||||||||
UltraShort Consumer Services | — | — | — | 214,684,684 | (58,889,205 | ) | 214,684,684 | (58,889,205 | ) | ||||||||||||||||||||||
UltraShort Financials | — | — | — | 655,712,881 | (287,126,565 | ) | 655,712,881 | (287,126,565 | ) | ||||||||||||||||||||||
UltraShort Health Care | — | — | — | 19,028,446 | (3,607,293 | ) | 19,028,446 | (3,607,293 | ) | ||||||||||||||||||||||
UltraShort Industrials | — | — | — | 141,409,834 | (49,696,852 | ) | 141,409,834 | (49,696,852 | ) | ||||||||||||||||||||||
UltraShort Oil & Gas | — | — | — | 664,381,060 | (253,105,577 | ) | 664,381,060 | (253,105,577 | ) |
298
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
LEVEL 1 - Quoted Prices | LEVEL 2 - Other Significant Observable Inputs | Total | |||||||||||||||||||||||||||||
Investment Securities | Other Financial Instruments* | Investment Securities | Repurchase Agreements | Other Financial Instruments* | Investment Securities, including Repurchase Agreements | Other Financial Instruments* | |||||||||||||||||||||||||
UltraShort Real Estate | — | — | — | $ | 676,855,334 | $ | (334,665,132 | ) | $ | 676,855,334 | $ | (334,665,132 | ) | ||||||||||||||||||
UltraShort Semiconductors | — | — | — | 61,596,031 | (17,409,704 | ) | 61,596,031 | (17,409,704 | ) | ||||||||||||||||||||||
UltraShort Technology | — | — | — | 107,503,314 | (28,449,968 | ) | 107,503,314 | (28,449,968 | ) | ||||||||||||||||||||||
UltraShort Telecommunications | — | — | — | 10,853,115 | (4,440,736 | ) | 10,853,115 | (4,440,736 | ) | ||||||||||||||||||||||
UltraShort Utilities | — | — | — | 21,894,962 | (5,683,226 | ) | 21,894,962 | (5,683,226 | ) | ||||||||||||||||||||||
Short MSCI EAFE | — | — | — | 68,942,951 | (10,448,343 | ) | 68,942,951 | (10,448,343 | ) | ||||||||||||||||||||||
Short MSCI Emerging Markets | — | — | — | 48,428,590 | (11,306,196 | ) | 48,428,590 | (11,306,196 | ) | ||||||||||||||||||||||
UltraShort MSCI EAFE | — | — | — | 177,941,534 | (51,419,350 | ) | 177,941,534 | (51,419,350 | ) | ||||||||||||||||||||||
UltraShort MSCI Emerging Markets | — | — | — | 955,939,257 | (252,330,196 | ) | 955,939,257 | (252,330,196 | ) | ||||||||||||||||||||||
UltraShort MSCI Japan | — | — | — | 19,639,012 | (4,269,381 | ) | 19,639,012 | (4,269,381 | ) | ||||||||||||||||||||||
UltraShort FTSE/Xinhua China 25 | — | — | — | 611,089,235 | (203,329,881 | ) | 611,089,235 | (203,329,881 | ) | ||||||||||||||||||||||
UltraShort 7-10 Year Treasury | — | $ | (195,053 | ) | — | 87,217,167 | (11,317,897 | ) | 87,217,167 | (11,512,950 | ) | ||||||||||||||||||||
UltraShort 20+ Year Treasury | — | (1,727,144 | ) | — | 502,689,899 | (118,782,467 | ) | 502,689,899 | (120,509,611 | ) |
* Other financial instruments are derivative instruments, such as future and swap contracts, which are valued at unrealized appreciation/depreciation on the instrument.
At November 30, 2008 there were no Level 3 Portfolio investments for which significant unobservable inputs were used to determine fair value.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
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.
299
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (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 is required to 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 and interest income 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 r ights to the collateral.
Real Estate Investment Trusts ("REITs")
The Funds may own shares of REITs which report information on the source of their distributions annually. A portion of distributions received from REITs during the period is estimated to be dividend income, and a portion is estimated to be return of capital and is recorded as a reduction of their cost. These estimates are adjusted when the actual source of distributions is disclosed by the REITs.
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, which is typically cash or U.S. government securities. Brokers may establish deposit requirements which are higher than exchange minimums. 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
300
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
the Fund 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.
Pursuant to valuation procedures approved by the Board, 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".
The Funds 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.
The Funds collateralize swap agreements with certain securities as indicated on the Schedule of Portfolio Investments of each of the Funds, respectively. Such collateral is held for the benefit of the counterparty in a segregated account at the Custodian to protect the counterparty against non-payment by the Funds. In the event of a default by the counterparty, the Funds will seek return of this collateral and may incur certain costs exercising its right with respect to the collateral.
The Funds remain subject to credit risk with respect to the amount it expects to receive from counterparties, as those amounts are not similarly collateralized by the counterparty. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
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 GAAP. 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.
301
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
Effective November 30, 2007, the Funds adopted FASB 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 increase in a liability for taxes paya ble (or a reduction of a tax refund receivable), including the recognition of any related interest and penalties as an operating expense.
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 scheduled at this time.
As of November 30, 2008, Management of the Funds has reviewed all open tax years and major jurisdictions and concluded the adoption of FIN 48 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. On an ongoing basis management will monitor its tax positions taken under FIN 48 to determine if adjustment to conclusions are necessary based on factors including but not limited to further implementation on guidance expected from FASB and on-going analysis of tax law, regulation, and interpretations thereof.
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, 2008, were as follows:
Fund | Distributions paid from ordinary income | Distributions paid from net long term capital gains | Total Distributions | ||||||||||||
ULTRA QQQ® | $ | 46,783,473 | $ | 3,631,517 | $ | 50,414,990 | |||||||||
ULTRA Dow30SM | 16,164,689 | 334,415 | 16,499,104 | ||||||||||||
ULTRA S&P500® | 34,676,459 | 1,376,224 | 36,052,683 | ||||||||||||
ULTRA MidCap400 | 3,983,796 | 370,140 | 4,353,936 | ||||||||||||
ULTRA SmallCap600 | 491,430 | 4,886 | 496,316 | ||||||||||||
ULTRA Russell2000 | 1,851,371 | 30,956 | 1,882,327 | ||||||||||||
ULTRA Russell1000 Value | 161,018 | — | 161,018 | ||||||||||||
ULTRA Russell1000 Growth | 940,593 | — | 940,593 | ||||||||||||
ULTRA Russell MidCap Value | 89,616 | — | 89,616 | ||||||||||||
ULTRA Russell MidCap Growth | 653,276 | 867 | 654,143 | ||||||||||||
ULTRA Russell2000 Value | 132,124 | — | 132,124 | ||||||||||||
ULTRA Russell2000 Growth | 107,509 | 1,171 | 108,680 | ||||||||||||
ULTRA Basic Materials | 3,799,636 | — | 3,799,636 | ||||||||||||
ULTRA Consumer Goods | 171,297 | — | 171,297 | ||||||||||||
UTLRA Consumer Services | 30,584 | — | 30,584 | ||||||||||||
ULTRA Financials | 20,582,432 | — | 20,582,432 | ||||||||||||
ULTRA Health Care | 406,615 | — | 406,615 | ||||||||||||
ULTRA Industrials | 626,189 | — | 626,189 | ||||||||||||
ULTRA Oil & Gas | 6,970,659 | — | 6,970,659 | ||||||||||||
ULTRA Real Estate | 1,685,331 | — | 1,685,331 | ||||||||||||
ULTRA Semiconductors | 2,139,549 | — | 2,139,549 |
302
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
Fund | Distributions paid from ordinary income | Distributions paid from net long term capital gains | Total Distributions | ||||||||||||
ULTRA Technology | $ | 1,852,476 | �� | $ | 1,852,476 | ||||||||||
ULTRA Telecommunications | 129,756 | — | 129,756 | ||||||||||||
ULTRA Utilities | 1,300,435 | — | 1,300,435 | ||||||||||||
SHORT QQQ® | 1,604,409 | — | 1,604,409 | ||||||||||||
SHORT Dow30SM | 2,894,063 | — | 2,894,063 | ||||||||||||
SHORT S&P500® | 5,494,293 | — | 5,494,293 | ||||||||||||
SHORT MidCap400 | 1,014,577 | — | 1,014,577 | ||||||||||||
SHORT SmallCap600 | 275,441 | — | 275,441 | ||||||||||||
SHORT Russell2000 | 746,634 | — | 746,634 | ||||||||||||
ULTRASHORT QQQ® | 30,365,928 | — | 30,365,928 | ||||||||||||
ULTRASHORT Dow30SM | 42,152,241 | — | 42,152,241 | ||||||||||||
ULTRASHORT S&P500® | 171,060,888 | — | 171,060,888 | ||||||||||||
ULTRASHORT MidCap400 | 4,083,703 | — | 4,083,703 | ||||||||||||
ULTRASHORT SmallCap600 | 998,698 | — | 998,698 | ||||||||||||
ULTRASHORT Russell2000 | 13,206,912 | — | 13,206,912 | ||||||||||||
ULTRASHORT Russell1000 Value | 108,052 | — | 108,052 | ||||||||||||
ULTRASHORT Russell1000 Growth | 316,751 | — | 316,751 | ||||||||||||
ULTRASHORT Russell MidCap Value | 148,576 | — | 148,576 | ||||||||||||
ULTRASHORT Russell MidCap Growth | 162,288 | — | 162,288 | ||||||||||||
ULTRASHORT Russell2000 Value | 639,929 | — | 639,929 | ||||||||||||
ULTRASHORT Russell2000 Growth | 605,611 | — | 605,611 | ||||||||||||
SHORT Financials | 50,456 | — | 50,456 | ||||||||||||
SHORT Oil & Gas | 38,441 | — | 38,441 | ||||||||||||
ULTRASHORT Basic Materials | 2,693,863 | — | 2,693,863 | ||||||||||||
ULTRASHORT Consumer Goods | 526,632 | — | 526,632 | ||||||||||||
ULTRASHORT Consumer Services | 2,170,290 | — | 2,170,290 | ||||||||||||
ULTRASHORT Financials | 17,064,335 | — | 17,064,335 | ||||||||||||
ULTRASHORT Health Care | 239,612 | — | 239,612 | ||||||||||||
ULTRASHORT Industrials | 677,727 | — | 677,727 | ||||||||||||
ULTRASHORT Oil & Gas | 58,418,685 | — | 58,418,685 | ||||||||||||
ULTRASHORT Real Estate | 9,223,976 | — | 9,223,976 | ||||||||||||
ULTRASHORT Semiconductors | 366,531 | — | 366,531 | ||||||||||||
ULTRASHORT Technology | 690,835 | — | 690,835 | ||||||||||||
ULTRASHORT Telecommunications | 55,158 | — | 55,158 | ||||||||||||
ULTRASHORT Utilities | 236,113 | — | 236,113 | ||||||||||||
SHORT MSCI EAFE | 305,844 | — | 305,844 | ||||||||||||
SHORT MSCI Emerging Markets | 533,903 | — | 533,903 | ||||||||||||
ULTRASHORT MSCI EAFE | 1,196,024 | — | 1,196,024 | ||||||||||||
ULTRASHORT MSCI Emerging Markets | 16,505,144 | — | 16,505,144 | ||||||||||||
ULTRASHORT MSCI Japan | 285,972 | — | 285,972 | ||||||||||||
ULTRASHORT FTSE/Xinhua China 25 | 5,870,064 | — | 5,870,064 | ||||||||||||
ULTRASHORT 7-10 Year Treasury | 256,080 | — | 256,080 | ||||||||||||
ULTRASHORT 20+ Year Treasury | 843,693 | — | 843,693 |
303
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
The amount and character of income and gains to be distributed are determined in accordance with the income tax regulations which may differ from GAAP. 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, 2008, 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® | — | — | $ | (370,458,053 | ) | $ | (218,669,214 | ) | |||||||||||
ULTRA Dow30SM | $ | 651,814 | — | (115,862,986 | ) | (58,070,756 | ) | ||||||||||||
ULTRA S&P500® | — | — | (401,495,613 | ) | (245,814,276 | ) | |||||||||||||
ULTRA MidCap400 | — | — | (28,941,997 | ) | (22,758,978 | ) | |||||||||||||
ULTRA SmallCap600 | 12,509 | — | (8,968,811 | ) | (8,648,132 | ) | |||||||||||||
ULTRA Russell2000 | 97,855 | — | (53,931,982 | ) | (57,340,388 | ) | |||||||||||||
ULTRA Russell1000 Value | 16,502 | — | (7,047,533 | ) | (2,723,766 | ) | |||||||||||||
ULTRA Russell1000 Growth | — | — | (6,712,676 | ) | (4,974,519 | ) | |||||||||||||
ULTRA Russell MidCap Value | — | — | (5,885,138 | ) | (1,589,677 | ) | |||||||||||||
ULTRA Russell MidCap Growth | — | — | (9,575,870 | ) | (2,803,703 | ) | |||||||||||||
ULTRA Russell2000 Value | 4,325 | — | (7,594,206 | ) | (2,907,107 | ) | |||||||||||||
ULTRA Russell2000 Growth | — | — | (7,690,674 | ) | (2,158,758 | ) | |||||||||||||
ULTRA Basic Materials | 88,932 | — | (17,760,290 | ) | (10,869,347 | ) | |||||||||||||
ULTRA Consumer Goods | 16,888 | — | (1,220,447 | ) | (51 | ) | |||||||||||||
UTLRA Consumer Services | — | �� | — | (2,808,707 | ) | (1,296,027 | ) | ||||||||||||
ULTRA Financials | — | — | (959,770,428 | ) | (673,749,999 | ) | |||||||||||||
ULTRA Health Care | — | — | (6,475,018 | ) | (4,405,036 | ) | |||||||||||||
ULTRA Industrials | 24,263 | — | (2,472,714 | ) | (1,728,053 | ) | |||||||||||||
ULTRA Oil & Gas | — | — | (50,312,715 | ) | (82,920,926 | ) | |||||||||||||
ULTRA Real Estate | — | — | (37,318,955 | ) | (13,917,328 | ) | |||||||||||||
ULTRA Semiconductors | — | — | (25,351,357 | ) | (11,037,383 | ) | |||||||||||||
ULTRA Technology | — | — | (18,015,490 | ) | (17,527,187 | ) | |||||||||||||
ULTRA Telecommunications | 18,745 | — | (2,651,560 | ) | (1,437,125 | ) | |||||||||||||
ULTRA Utilities | 39,447 | — | (3,780,785 | ) | (2,885,072 | ) | |||||||||||||
SHORT QQQ® | 4,857,257 | $ | 248,327 | — | — | ||||||||||||||
SHORT Dow30SM | 20,334,270 | 644,258 | — | — | |||||||||||||||
SHORT S&P500® | 57,351,304 | 184,764 | — | — | |||||||||||||||
SHORT MidCap400 | 3,831,811 | 407,411 | — | — | |||||||||||||||
SHORT SmallCap600 | 7,266,783 | — | — | — | |||||||||||||||
SHORT Russell2000 | 16,407,383 | 179,153 | — | — | |||||||||||||||
ULTRASHORT QQQ® | 104,079,878 | — | — | — | |||||||||||||||
ULTRASHORT Dow30SM | 139,678,614 | — | — | — | |||||||||||||||
ULTRASHORT S&P500® | 386,940,019 | — | — | — | |||||||||||||||
ULTRASHORT MidCap400 | 23,260,891 | — | — | — |
304
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
ULTRASHORT SmallCap600 | $ | 10,792,861 | — | — | — | ||||||||||||||
ULTRASHORT Russell2000 | 133,518,103 | — | — | — | |||||||||||||||
ULTRASHORT Russell1000 Value | 2,158,640 | — | — | — | |||||||||||||||
ULTRASHORT Russell1000 Growth | 7,425,631 | — | — | — | |||||||||||||||
ULTRASHORT Russell MidCap Value | 4,496,613 | — | — | — | |||||||||||||||
ULTRASHORT Russell MidCap Growth | 4,034,603 | — | — | — | |||||||||||||||
ULTRASHORT Russell2000 Value | 2,291,569 | — | — | — | |||||||||||||||
ULTRASHORT Russell2000 Growth | 8,174,999 | — | — | — | |||||||||||||||
SHORT Financials | 1,805,528 | — | — | — | |||||||||||||||
SHORT Oil & Gas | 1,823,555 | — | — | — | |||||||||||||||
ULTRASHORT Basic Materials | 45,864,172 | — | — | — | |||||||||||||||
ULTRASHORT Consumer Goods | 8,488,762 | — | — | — | |||||||||||||||
ULTRASHORT Consumer Services | 38,162,510 | — | — | — | |||||||||||||||
ULTRASHORT Financials | — | — | — | — | |||||||||||||||
ULTRASHORT Health Care | 4,449,637 | — | — | — | |||||||||||||||
ULTRASHORT Industrials | 39,519,604 | — | — | — | |||||||||||||||
ULTRASHORT Oil & Gas | 75,696,956 | — | — | — | |||||||||||||||
ULTRASHORT Real Estate | 100,188,744 | — | — | — | |||||||||||||||
ULTRASHORT Semiconductors | 12,716,081 | — | — | — | |||||||||||||||
ULTRASHORT Technology | 19,878,347 | — | — | — | |||||||||||||||
ULTRASHORT Telecommunications | 3,207,853 | — | — | — | |||||||||||||||
ULTRASHORT Utilities | 10,305,421 | — | — | — | |||||||||||||||
SHORT MSCI EAFE | 8,530,601 | — | — | — | |||||||||||||||
SHORT MSCI Emerging Markets | 2,875,899 | — | — | — | |||||||||||||||
ULTRASHORT MSCI EAFE | 18,091,171 | — | — | — | |||||||||||||||
ULTRASHORT MSCI Emerging Markets | — | — | — | — | |||||||||||||||
ULTRASHORT MSCI Japan | 1,824,093 | — | — | — | |||||||||||||||
ULTRASHORT FTSE/Xinhua China 25 | — | — | — | — | |||||||||||||||
ULTRASHORT 7-10 Year Treasury | 3,260 | — | $ | (5,030,158 | ) | — | |||||||||||||
ULTRASHORT 20+ Year Treasury | — | — | (45,632,259 | ) | — |
For the tax year ended October 31, 2008, 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, 2015 | Expiring October 31, 2016 | |||||||||
ULTRA QQQ® | — | $ | 370,458,053 | ||||||||
ULTRA Dow30SM | — | 115,862,986 | |||||||||
ULTRA S&P500® | — | 401,495,613 |
305
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
Fund | Expiring October 31, 2015 | Expiring October 31, 2016 | |||||||||
ULTRA MidCap400 | — | $ | 28,941,997 | ||||||||
ULTRA SmallCap600 | — | 8,968,811 | |||||||||
ULTRA Russell2000 | — | 53,931,982 | |||||||||
ULTRA Russell1000 Value | — | 7,047,533 | |||||||||
ULTRA Russell1000 Growth | — | 6,712,676 | |||||||||
ULTRA Russell MidCap Value | — | 5,885,138 | |||||||||
ULTRA Russell MidCap Growth | — | 9,575,870 | |||||||||
ULTRA Russell2000 Value | $ | 984,619 | 6,609,587 | ||||||||
ULTRA Russell2000 Growth | — | 7,690,674 | |||||||||
ULTRA Basic Materials | — | 17,760,290 | |||||||||
ULTRA Consumer Goods | — | 1,220,447 | |||||||||
UTLRA Consumer Services | 291,486 | 2,517,221 | |||||||||
ULTRA Financials | 317,962 | 959,452,466 | |||||||||
ULTRA Health Care | — | 6,475,018 | |||||||||
ULTRA Industrials | — | 2,472,714 | |||||||||
ULTRA Oil & Gas | — | 50,312,715 | |||||||||
ULTRA Real Estate | 1,156,071 | 36,162,884 | |||||||||
ULTRA Semiconductors | — | 25,351,357 | |||||||||
ULTRA Technology | — | 18,015,490 | |||||||||
ULTRA Telecommunications | — | 2,651,560 | |||||||||
ULTRA Utilities | — | 3,780,785 | |||||||||
ULTRASHORT 7-10 Year Treasury | — | 5,030,158 | |||||||||
ULTRASHORT 20+ Year Treasury | — | 45,632,259 |
New Accounting Pronouncements
In September 2008, FASB Staff Position FAS 133-1 and FIN 45-4, "Disclosures about Credit Derivatives and Certain Guarantees: An Amendment of FASB Statement No. 133 and FASB Interpretation No. 45; and Clarification of the Effective Date of FASB Statement No. 161" ("Amendment") was issued and is effective for annual and interim reporting periods ending after November 15, 2008. The Amendment requires enhanced disclosures regarding a fund's credit derivatives holdings, including credit default swaps, credit spread options, and hybrid financial instruments containing embedded credit derivatives. Management has evaluated the Amendment and determined that it will have no impact on the Funds' financial statement disclosures.
In addition, in March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities" ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about Funds' derivative and hedging activities. Management is currently evaluating the impact the adoption of SFAS 161 will have on the Funds' financial statement disclosures.
3. Securities Transactions, Related Income and Allocations
Throughout the reporting period, investment transactions are accounted for no later than one business day following the trade date. For financial reporting purposes, investment transactions are accounted for on trade date on the last business day of the reporting period. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount. Dividend income is recorded on the ex-dividend date. Gains or losses realized on sales of securities are determined using the specific identification method by comparing the identified cost of the security lot sold with the net sales proceeds.
306
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
4. Advisory and Management Service Fees
The Advisor serves as the Trust's investment advisor 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.
This expense limitation remains in effect until September 30, 2009, after which it may be terminated or revised.
For the six months ended November 30, 2008, advisory and management services fees waivers and expense reimbursements were as follows:
Fund | Advisory Fees Waived | Management Services Fees Waived | Expense Reimbursements | ||||||||||||
ULTRA QQQ® | $ | 399,145 | — | — | |||||||||||
ULTRA Dow30SM | 51,807 | — | — | ||||||||||||
ULTRA S&P500® | — | — | — | ||||||||||||
ULTRA MidCap400 | 130,260 | — | — | ||||||||||||
ULTRA SmallCap600 | 87,357 | — | — | ||||||||||||
ULTRA Russell2000 | 233,929 | — | — | ||||||||||||
ULTRA Russell1000 Value | 33,980 | $ | 4,531 | $ | 55,234 | ||||||||||
ULTRA Russell1000 Growth | 91,717 | 7,115 | — | ||||||||||||
ULTRA Russell MidCap Value | 21,235 | 2,831 | 62,810 | ||||||||||||
ULTRA Russell MidCap Growth | 45,601 | 6,080 | 42,173 | ||||||||||||
ULTRA Russell2000 Value | 59,780 | 7,970 | 74,465 | ||||||||||||
ULTRA Russell2000 Growth | 62,574 | 8,343 | 66,116 | ||||||||||||
ULTRA Basic Materials | 68,003 | — | — | ||||||||||||
ULTRA Consumer Goods . | 37,398 | 4,986 | 29,162 | ||||||||||||
UTLRA Consumer Services | 21,838 | 2,912 | 49,229 | ||||||||||||
ULTRA Financials | — | — | — | ||||||||||||
ULTRA Health Care | 68,999 | — | — | ||||||||||||
ULTRA Industrials | 37,782 | 5,038 | 34,401 | ||||||||||||
ULTRA Oil & Gas | 77,695 | — | — | ||||||||||||
ULTRA Real Estate | 71,456 | — | — | ||||||||||||
ULTRA Semiconductors | 72,098 | — | — | ||||||||||||
ULTRA Technology | 86,972 | — | — | ||||||||||||
ULTRA Telecommunications | 30,281 | — | — | ||||||||||||
ULTRA Utilities | 68,179 | — | — | ||||||||||||
SHORT QQQ® | 77,345 | — | — | ||||||||||||
SHORT Dow30SM | 52,156 | — | — | ||||||||||||
SHORT S&P500® | — | — | — |
307
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
Fund | Advisory Fees Waived | Management Services Fees Waived | Expense Reimbursements | ||||||||||||
SHORT MidCap400 | $ | 47,171 | — | — | |||||||||||
SHORT SmallCap600 | 51,952 | — | — | ||||||||||||
SHORT Russell2000 | 66,665 | — | — | ||||||||||||
ULTRASHORT QQQ® | 389,552 | — | — | ||||||||||||
ULTRASHORT Dow30SM | 35,847 | — | — | ||||||||||||
ULTRASHORT S&P500® | — | — | — | ||||||||||||
ULTRASHORT MidCap400 | 22,452 | — | — | ||||||||||||
ULTRASHORT SmallCap600 | 35,682 | — | — | ||||||||||||
ULTRASHORT Russell2000 | 257,856 | — | — | ||||||||||||
ULTRASHORT Russell1000 Value | 56,252 | — | — | ||||||||||||
ULTRASHORT Russell1000 Growth | 54,793 | — | — | ||||||||||||
ULTRASHORT Russell MidCap Value | 32,001 | $ | 4,267 | $ | 20,241 | ||||||||||
ULTRASHORT Russell MidCap Growth | 56,158 | — | — | ||||||||||||
ULTRASHORT Russell2000 Value | 56,695 | — | — | ||||||||||||
ULTRASHORT Russell2000 Growth | 57,437 | — | — | ||||||||||||
SHORT Financials | 41,760 | — | — | ||||||||||||
SHORT Oil & Gas | 33,447 | — | — | ||||||||||||
ULTRASHORT Basic Materials | 32,987 | — | — | ||||||||||||
ULTRASHORT Consumer Goods | 50,646 | — | — | ||||||||||||
ULTRASHORT Consumer Services | 42,698 | — | — | ||||||||||||
ULTRASHORT Financials | — | — | — | ||||||||||||
ULTRASHORT Health Care | 56,084 | 1,755 | — | ||||||||||||
ULTRASHORT Industrials | 48,651 | — | — | ||||||||||||
ULTRASHORT Oil & Gas | — | — | — | ||||||||||||
ULTRASHORT Real Estate | — | — | — | ||||||||||||
ULTRASHORT Semiconductors | 50,620 | — | — | ||||||||||||
ULTRASHORT Technology | 48,795 | — | — | ||||||||||||
ULTRASHORT Telecommunications | 28,800 | — | — | ||||||||||||
ULTRASHORT Utilities | 53,888 | — | — | ||||||||||||
SHORT MSCI EAFE | 56,616 | — | — | ||||||||||||
SHORT MSCI Emerging Markets | 63,755 | — | — | ||||||||||||
ULTRASHORT MSCI EAFE | 43,646 | — | — | ||||||||||||
ULTRASHORT MSCI Emerging Markets | 121,734 | — | — | ||||||||||||
ULTRASHORT MSCI Japan | 83,052 | — | — | ||||||||||||
ULTRASHORT FTSE/Xinhua China 25 | 160,123 | — | — | ||||||||||||
ULTRASHORT 7-10 Year Treasury | 54,776 | — | — | ||||||||||||
ULTRASHORT 20+ Year Treasury | 44,148 | — | — |
308
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
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, 2008, the amounts that the Advisor may potentially recoup are as follows:
Fund | Expires 2012 | Expires 2013 | Expires 2014 | Total Amount Eligible for Recoupment | |||||||||||||||
ULTRA QQQ® | $ | 228,566 | $ | 669,160 | $ | 399,145 | $ | 1,296,871 | |||||||||||
ULTRA Dow30SM | 158,554 | 175,665 | 51,807 | 386,026 | |||||||||||||||
ULTRA S&P500® | — | 74,933 | — | 74,933 | |||||||||||||||
ULTRA MidCap400 | 209,933 | 286,266 | 130,260 | 626,459 | |||||||||||||||
ULTRA SmallCap600 | 41,031 | 185,155 | 87,357 | 313,543 | |||||||||||||||
ULTRA Russell2000 | 161,781 | 421,746 | 233,929 | 817,456 | |||||||||||||||
ULTRA Russell1000 Value | — | 138,086 | 93,745 | 231,831 | |||||||||||||||
ULTRA Russell1000 Growth | — | 169,173 | 98,832 | 268,005 | |||||||||||||||
ULTRA Russell MidCap Value | 21,550 | 124,013 | 86,876 | 232,439 | |||||||||||||||
ULTRA Russell MidCap Growth | 29,898 | 138,001 | 93,854 | 261,753 | |||||||||||||||
ULTRA Russell2000 Value | — | 214,809 | 142,215 | 357,024 | |||||||||||||||
ULTRA Russell2000 Growth | — | 210,666 | 137,033 | 347,699 | |||||||||||||||
ULTRA Basic Materials | 39,506 | 104,346 | 68,003 | 211,855 | |||||||||||||||
ULTRA Consumer Goods | 38,119 | 87,973 | 71,546 | 197,638 | |||||||||||||||
UTLRA Consumer Services | 47,434 | 88,154 | 73,979 | 209,567 | |||||||||||||||
ULTRA Financials | — | 241,751 | 60,578 | 302,329 | |||||||||||||||
ULTRA Health Care | 37,543 | 105,375 | 68,999 | 211,917 | |||||||||||||||
ULTRA Industrials | 41,102 | 100,475 | 77,221 | 218,798 | |||||||||||||||
ULTRA Oil & Gas | 45,444 | 156,021 | 77,695 | 279,160 | |||||||||||||||
ULTRA Real Estate | 46,989 | 103,041 | 71,456 | 221,486 | |||||||||||||||
ULTRA Semiconductors | 36,242 | 115,778 | 72,098 | 224,118 | |||||||||||||||
ULTRA Technology | 42,523 | 158,319 | 86,972 | 287,814 | |||||||||||||||
ULTRA Telecommunications | — | 40,177 | 30,281 | 70,458 | |||||||||||||||
ULTRA Utilities | 38,375 | 94,092 | 68,179 | 200,646 | |||||||||||||||
SHORT QQQ® | 164,375 | 175,126 | 77,345 | 416,846 | |||||||||||||||
SHORT Dow30SM | 154,968 | 136,313 | 52,156 | 343,437 | |||||||||||||||
SHORT S&P500® | 84,877 | 68,241 | — | 153,118 | |||||||||||||||
SHORT MidCap400 | 116,362 | 101,610 | 47,171 | 265,143 | |||||||||||||||
SHORT SmallCap600 | 33,570 | 72,503 | 51,952 | 158,025 | |||||||||||||||
SHORT Russell2000 | 32,031 | 112,810 | 66,665 | 211,506 | |||||||||||||||
ULTRASHORT QQQ® | 136,708 | 1,218,267 | 389,552 | 1,744,527 | |||||||||||||||
ULTRASHORT Dow30SM | 143,501 | 178,085 | 38,230 | 359,816 | |||||||||||||||
ULTRASHORT S&P500® | — | — | — | — | |||||||||||||||
ULTRASHORT MidCap400 | 95,012 | 64,392 | 22,452 | 181,856 | |||||||||||||||
ULTRASHORT SmallCap600 | 37,182 | 83,320 | 35,682 | 156,183 | |||||||||||||||
ULTRASHORT Russell2000 | — | 479,976 | 257,856 | 737,832 | |||||||||||||||
ULTRASHORT Russell1000 Value | 27,166 | 68,549 | 56,252 | 151,967 |
309
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
Fund | Expires 2012 | Expires 2013 | Expires 2014 | Total Amount Eligible for Recoupment | |||||||||||||||
ULTRASHORT Russell1000 Growth | $ | 27,174 | $ | 75,997 | $ | 54,793 | $ | 157,964 | |||||||||||
ULTRASHORT Russell MidCap Value | 27,187 | 67,544 | 56,509 | 151,240 | |||||||||||||||
ULTRASHORT Russell MidCap Growth | 28,193 | 66,332 | 56,158 | 150,683 | |||||||||||||||
ULTRASHORT Russell2000 Value | 27,854 | 98,279 | 56,695 | 182,828 | |||||||||||||||
ULTRASHORT Russell2000 Growth | 28,943 | 91,988 | 57,437 | 178,368 | |||||||||||||||
SHORT Financials | — | — | 41,760 | 41,760 | |||||||||||||||
SHORT Oil & Gas | — | — | 33,447 | 33,447 | |||||||||||||||
ULTRASHORT Basic Materials | 32,123 | 105,658 | 32,987 | 170,768 | |||||||||||||||
ULTRASHORT Consumer Goods | 32,621 | 76,732 | 50,646 | 159,999 | |||||||||||||||
ULTRASHORT Consumer Services | 32,412 | 80,646 | 42,698 | 155,757 | |||||||||||||||
ULTRASHORT Financials | — | — | — | — | |||||||||||||||
ULTRASHORT Health Care | 32,629 | 72,915 | 57,839 | 163,383 | |||||||||||||||
ULTRASHORT Industrials | 32,149 | 77,479 | 48,651 | 158,279 | |||||||||||||||
ULTRASHORT Oil & Gas | — | 62,886 | 50,264 | 113,150 | |||||||||||||||
ULTRASHORT Real Estate | — | 139,849 | — | 139,849 | |||||||||||||||
ULTRASHORT Semiconductors | 26,324 | 78,925 | 50,620 | 155,869 | |||||||||||||||
ULTRASHORT Technology | 32,468 | 72,554 | 48,795 | 153,817 | |||||||||||||||
ULTRASHORT Telecommunications | — | 38,939 | 28,800 | 67,739 | |||||||||||||||
ULTRASHORT Utilities | 32,116 | 80,644 | 53,888 | 166,648 | |||||||||||||||
SHORT MSCI EAFE | — | 88,988 | 56,616 | 145,604 | |||||||||||||||
SHORT MSCI Emerging Markets | — | 98,166 | 63,755 | 161,921 | |||||||||||||||
ULTRASHORT MSCI EAFE | — | 101,030 | 43,646 | 144,676 | |||||||||||||||
ULTRASHORT MSCI Emerging Markets | — | 46,278 | 156,479 | 202,757 | |||||||||||||||
ULTRASHORT MSCI Japan | — | 127,339 | 83,052 | 210,391 | |||||||||||||||
ULTRASHORT FTSE/Xinhua China 25 | — | 293,892 | 160,123 | 454,015 | |||||||||||||||
ULTRASHORT 7-10 Year Treasury | — | 39,350 | 54,776 | 94,126 | |||||||||||||||
ULTRASHORT 20+ Year Treasury | — | 40,250 | 44,148 | 84,398 |
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.
310
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
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. Cash may be substituted equivalent to the value of securities which may not be available in sufficient quantity for delivery or which may not be eligible for trading by an authorized participant. 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. The maximum additional variable transaction fee for in-kind and cash purchases and redemptions is 0.10% of the amount invested. 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 accounts or on their order. Investors who use the services of a broker or other such intermediary may pay additional fees for such services.
Transaction fees which are included in the proceeds from shares issued on the Statements of Changes in Net Assets were as follows:
Fund | Six Months Ended November 30, 2008 | Year Ended May 31, 2008 | |||||||||
ULTRA QQQ® | $ | 145,398 | $ | 398,553 | |||||||
ULTRA Dow30SM | 223,857 | 86,781 | |||||||||
ULTRA S&P500® | 352,127 | 219,860 | |||||||||
ULTRA MidCap400 | 332,379 | 9,616 | |||||||||
ULTRA SmallCap600 | 8,184 | 2,771 | |||||||||
ULTRA Russell2000 | 30,269 | 40,142 | |||||||||
ULTRA Russell1000 Value | 3,636 | — | |||||||||
ULTRA Russell1000 Growth | 3,258 | 6,770 | |||||||||
ULTRA Russell MidCap Value | 1,941 | 1,363 | |||||||||
ULTRA Russell MidCap Growth | 2,741 | 6,915 | |||||||||
ULTRA Russell2000 Value | 5,774 | 673 | |||||||||
ULTRA Russell2000 Growth | 4,021 | 801 |
311
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
Fund | Six Months Ended November 30, 2008 | Year Ended May 31, 2008 | |||||||||
ULTRA Basic Materials | $ | 81,705 | $ | 8,714 | |||||||
ULTRA Consumer Goods | 2.029 | 1,818 | |||||||||
ULTRA Consumer Services | 1,683 | — | |||||||||
ULTRA Financials | 308,161 | 247,108 | |||||||||
ULTRA Health Care | 3,926 | 2,240 | |||||||||
ULTRA Industrials | 2,592 | 1,510 | |||||||||
ULTRA Oil & Gas | 95,412 | 36,002 | |||||||||
ULTRA Real Estate | 61,654 | 10,680 | |||||||||
ULTRA Semiconductors | 19,643 | 19,750 | |||||||||
ULTRA Technology | 12,297 | 26,507 | |||||||||
ULTRA Telecommunications | 2,262 | 2,310 | |||||||||
ULTRA Utilities | 3,939 | 737 | |||||||||
SHORT QQQ® | 7,040 | 70,970 | |||||||||
SHORT Dow30SM | 40,664 | 58,476 | |||||||||
SHORT S&P500® | 61,957 | 104,682 | |||||||||
SHORT MidCap400 | 3,843 | 11,379 | |||||||||
SHORT SmallCap600 | 1,767 | 619 | |||||||||
SHORT Russell2000 | 7,530 | 29,561 | |||||||||
ULTRASHORT QQQ® | 854,780 | 1,868,551 | |||||||||
ULTRASHORT Dow30SM | 239,895 | 737,418 | |||||||||
ULTRASHORT S&P500® | 1,006,133 | 1,973,091 | |||||||||
ULTRASHORT MidCap400 | 50,213 | 73,669 | |||||||||
ULTRASHORT SmallCap600 | 37,647 | 35,632 | |||||||||
ULTRASHORT Russell2000 | 447,810 | 359,401 | |||||||||
ULTRASHORT Russell1000 Value | 13,362 | 5,226 | |||||||||
ULTRASHORT Russell1000 Growth | 12,725 | 6,905 | |||||||||
ULTRASHORT Russell MidCap Value | — | — | |||||||||
ULTRASHORT Russell MidCap Growth | 5,558 | 4,549 | |||||||||
ULTRASHORT Russell2000 Value | 12,407 | 24,919 | |||||||||
ULTRASHORT Russell2000 Growth | 13,870 | 10,419 | |||||||||
SHORT Financials | 1,352 | — | |||||||||
SHORT Oil & Gas | 1,521 | — | |||||||||
ULTRASHORT Basic Materials | 207,323 | 123,890 | |||||||||
ULTRASHORT Consumer Goods | 21,591 | 7,799 | |||||||||
ULTRASHORT Consumer Services | 100,646 | 27,728 | |||||||||
ULTRASHORT Financials | 1,858,349 | 917,107 | |||||||||
ULTRASHORT Health Care | 1,344 | — | |||||||||
ULTRASHORT Industrials | 46,596 | 22,322 | |||||||||
ULTRASHORT Oil & Gas | 765,227 | 281,515 | |||||||||
ULTRASHORT Real Estate | 767,190 | 496,253 | |||||||||
ULTRASHORT Semiconductors | 20,551 | 9,956 |
312
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
Fund | Six Months Ended November 30, 2008 | Year Ended May 31, 2008 | |||||||||
ULTRASHORT Technology | $ | 16,610 | $ | 21,175 | |||||||
ULTRASHORT Telecommunications | 1,419 | 2,310 | |||||||||
ULTRASHORT Utilities | 6,747 | 14,227 | |||||||||
SHORT MSCI EAFE | 11,668 | 4,273 | |||||||||
SHORT MSCI Emerging Markets | 13,397 | 6,263 | |||||||||
ULTRASHORT MSCI EAFE | 116,688 | 56,405 | |||||||||
ULTRASHORT MSCI Emerging Markets | 473,580 | 179,557 | |||||||||
ULTRASHORT MSCI Japan | 7,171 | 8,070 | |||||||||
ULTRASHORT FTSE/Xinhua China 25 | 348,984 | 546,780 | |||||||||
ULTRASHORT 7-10 Year Treasury | 26,045 | 6,976 | |||||||||
ULTRASHORT 20+ Year Treasury | 170,682 | 19,760 |
10. Investment Transactions
For the periods ended November 30, 2008, 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® | $ | 319,420,503 | $ | 680,621,068 | |||||||
ULTRA Dow30SM | 197,567,304 | 311,841,492 | |||||||||
ULTRA S&P500® | 593,416,732 | 830,279,689 | |||||||||
ULTRA MidCap400 | 82,950,012 | 101,045,599 | |||||||||
ULTRA SmallCap600 | 35,326,297 | 30,972,545 | |||||||||
ULTRA Russell2000 | 212,048,082 | 221,879,938 | |||||||||
ULTRA Russell1000 Value | 16,997,244 | 8,662,513 | |||||||||
ULTRA Russell1000 Growth | 17,334,013 | 19,124,726 | |||||||||
ULTRA Russell Mid Cap Value | 7,706,003 | 7,306,390 | |||||||||
ULTRA Russell Mid Cap Growth | 17,051,648 | 14,233,919 | |||||||||
ULTRA Russell2000 Value | 28,251,603 | 14,325,671 | |||||||||
ULTRA Russell2000 Growth | 16,675,322 | 22,948,529 | |||||||||
ULTRA Basic Materials | 203,374,890 | 92,944,344 | |||||||||
ULTRA Consumer Goods | 9,312,246 | 4,100,563 | |||||||||
ULTRA Consumer Services | 5,160,851 | 5,065,903 | |||||||||
ULTRA Financials | 1,577,931,399 | 2,769,991,267 | |||||||||
ULTRA Health Care | 32,374,298 | 18,544,564 | |||||||||
ULTRA Industrials | 12,042,095 | 6,692,746 | |||||||||
ULTRA Oil & Gas | 489,739,047 | 505,008,357 | |||||||||
ULTRA Real Estate | 166,001,674 | 75,546,040 | |||||||||
ULTRA Semiconductors | 46,425,455 | 72,880,783 | |||||||||
ULTRA Technology | 77,672,762 | 68,112,058 | |||||||||
ULTRA Telecommunications | 7,533,760 | 8,428,717 | |||||||||
ULTRA Utilities | 14,970,147 | 11,360,214 |
313
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
11. In-Kind Transactions
During the period presented in this report, 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, 2008, 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® | $ | 483,721,530 | $ | 22,678,253 | |||||||
ULTRA Dow30SM | 155,794,779 | 4,055,392 | |||||||||
ULTRA S&P500® | 797,300,772 | 13,386,739 | |||||||||
ULTRA MidCap400 | 36,809,588 | 6,232,569 | |||||||||
ULTRA Russell2000 | 35,234,097 | 3,552,151 | |||||||||
ULTRA Russell1000 Growth | 8,890,070 | 1,036,040 | |||||||||
ULTRA Russell MidCap Growth | 3,827,145 | 295,745 | |||||||||
ULTRA Russell2000 Value | 7,215,413 | 357,874 | |||||||||
ULTRA Financials | 1,766,988,474 | 191,527,559 | |||||||||
ULTRA Oil & Gas | 604,271,242 | 60,211,341 | |||||||||
ULTRA Real Estate | 4,523,795 | 635,721 | |||||||||
ULTRA Semiconductors | 58,657,449 | 5,029,770 | |||||||||
ULTRA Technology | 43,883,575 | 2,277,780 |
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, 2008, the fair value of the securities received for subscriptions were as follows:
Fund | Fair Value | ||||||
ULTRA QQQ® | $ | 1,912,269,479 | |||||
ULTRA Dow30SM | 881,956,170 | ||||||
ULTRA S&P500® | 3,734,003,334 | ||||||
ULTRA MidCap400 | 78,307,846 | ||||||
ULTRA SmallCap600 | 20,091,133 | ||||||
ULTRA Russell2000 | 242,826,348 | ||||||
ULTRA Russell1000 Value | 4,774,503 | ||||||
ULTRA Russell1000 Growth | 1,974,629 | ||||||
ULTRA MidCap Value | 6,270,744 | ||||||
ULTRA Russell2000 Value | 3,139,340 | ||||||
ULTRA Russell2000 Growth | 11,808,391 | ||||||
ULTRA Basic Materials | 161,863,548 | ||||||
ULTRA Consumer Services | 6,391,746 | ||||||
ULTRA Financials | 4,829,423,265 | ||||||
ULTRA Health Care | 19,328,411 | ||||||
ULTRA Oil & Gas | 1,079,572,996 |
314
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
Fund | Fair Value | ||||||
ULTRA Real Estate | $ | 7,358,999 | |||||
ULTRA Semiconductors | 51,739,509 | ||||||
ULTRA Technology | 20,148,712 | ||||||
ULTRA Utilities | 12,252,955 |
12. Risk
Refer to the Prospectus and the Statement of Additional Information for additional description of the risks associated with the Funds, including graphs which illustrate the impact of leverage on Fund performance.
Concentration Risk
Each Ultra Sector and Short Sector, Ultra Russell2000 Growth and UltraShort FTSE/ Xinhua China 25 will typically concentrate its investments in issuers of one or more particular industries to the same extent that its underlying index is so concentrated and to the extent permitted by applicable regulatory guidance. There is a risk that those issuers (or industry sector) will perform poorly and negatively impact a Fund. Concentration risk results from maintaining exposure (long or short) to issuers conducting business in a specific industry. The risk of concentrating investments in a limited number of issuers in a particular industry is that a Fund will be more susceptible to the risks associated with that industry than a Fund that does not concentrate its investments.
Correlation Risk
A number of factors may affect a Fund's ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. A failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund's correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the use of leveraged investment techniques, income items, accounting standards and disruptions or illiquidity in the markets for the securities or financial instruments in which the Fund invests. A Fund may not have investment exposure to all securities in its underlying benchmark index, or its weighting of investment exposure to such stocks or industries may be different from that of the index. In addition, a Fund may invest in securities or financial instruments not included in the index underlyi ng its benchmark. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder the Funds' ability to meet their daily investment objective on that day. Each Fund seeks to rebalance its portfolio daily to keep leverage consistent with each Fund's daily investment objective.
Certain Funds are "leveraged" funds in the sense that they have investment objectives to match a multiple of the performance of an index on a given day. These Funds are subject to all of the correlation risks described above. In addition, there is a special form of correlation risk that derives from these Funds' use of leverage, which is that for periods greater than one day, the use of leverage tends to cause the performance of a Fund to be either greater than or less than the index performance times the stated multiple in the fund objective, before accounting for fees and fund expenses. In general, given a particular index return, increased volatility of the index will cause a decrease in the performance relative to the index performance times the stated fund multiple.
Counterparty Risk
A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to financial instruments and repurchase agreements entered into by the Fund. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances. The Funds typically enter into transactions with counterparties whose credit rating is investment grade, as determined by a nationally recognized statistical rating organization, or, if unrated, judged by the Advisor to be of comparable quality.
315
ProShares Trust Notes to Financial Statements (cont.)
November 30, 2008 (Unaudited)
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 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.
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 true market value in the judgment of ProShare Advisors. Such a situation may prevent a Fund from limiting losses, realizing gains or achieving a high correlation or inverse correlation with its underlying index.
13. 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.
14. Credit Risk
On September 15, 2008, Lehman Brothers Holdings, Inc. filed a petition for Chapter 11 bankruptcy. Prior thereto, the Funds transacted business with subsidiaries of Lehman (together with Lehman Brothers Holdings, Inc., "Lehman") whereby Lehman acted as a counterparty to certain derivative transactions and as a broker-dealer for certain investment transactions. All derivative and brokerage transactions with Lehman were terminated and executed, respectively, prior to September 15, 2008, but certain settlement payments were not due to be made until on or after September 15. Settlement of these transactions has been delayed due to Lehman's bankruptcy.
To the extent that Lehman, the Securities Investor Protection Corporation ("SIPC") and/or any clearing agency (the "Potential Paying Parties") fail to pay the Funds in connection with the settlement of such transactions, the Advisor has agreed to reimburse the Funds for any such losses. Management, on behalf of the Funds, is pursuing the collection of the full amounts directly from the Potential Paying Parties. Any shortfall in payments received therefrom will be paid by the Advisor in support of the full carrying value of these outstanding receivables on the Funds' financial statements. The Funds believe that the Advisor has a sufficient financial ability to cover any shortfall in payments from the Potential Paying Parties, including the full amount of such outstanding balances if necessary. Accordingly, management estimates the full amounts owed to the Funds to be recoverable from the Potential Paying Parties and/or the Advisor.
15. Subsequent Event
Effective January 15, 2009, the name of the following Funds changed as below.
NEW NAME | OLD NAME | ||||||
ProShares UltraShort 7-10 Year Treasury | ProShares UltraShort Lehman 7-10 Year Treasury | ||||||
ProShares UltraShort 20+ Year Treasury | ProShares UltraShort Lehman 20+ Year Treasury | ||||||
316
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 September 30, 2009. After such date, the expense waiver and reimbursement 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 16, 2008, 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 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.
317
ProShares Trust Board Approval of Investment Advisory Agreements
(Unaudited)
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 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 associated cost s 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.
318
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 prior twelve-month period ended June 30, is available by August 31 of each year, 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.
319
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 and Company, Inc and have been licensed for use for certain purposes by Proshares. "NASDAQ-100® Index" is a trademark to 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.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 3. Audit Committee Financial Expert.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 4. Principal Accountant Fees and Services.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 5. Audit Committee of Listed Registrants.
Not Applicable to Registrant.
Item 6. Schedule of Investments
For those Funds which utilized the Summary Schedule of Investments in the semi-annual report, full schedules of investments are included below.
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra S&P500®
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) - 86.2% |
|
|
| |
|
| Consumer Discretionary - 6.9% |
|
|
| |
|
|
|
|
|
| |
33,671 |
| Abercrombie & Fitch Co., Class A |
| $ | 650,860 |
|
123,615 |
| Amazon.com, Inc.* |
| 5,278,361 |
| |
41,068 |
| Apollo Group, Inc., Class A* |
| 3,155,665 |
| |
41,671 |
| AutoNation, Inc.* |
| 355,870 |
| |
14,823 |
| Autozone, Inc.* |
| 1,618,968 |
| |
100,714 |
| Bed Bath & Beyond, Inc.* |
| 2,043,487 |
| |
130,663 |
| Best Buy Co., Inc. |
| 2,706,031 |
| |
31,692 |
| Big Lots, Inc.* |
| 555,244 |
| |
23,125 |
| Black & Decker Corp. |
| 981,425 |
| |
168,986 |
| Carnival Corp. |
| 3,548,706 |
| |
262,942 |
| CBS Corp., Class B |
| 1,751,194 |
| |
47,795 |
| Centex Corp. |
| 437,802 |
| |
130,258 |
| Coach, Inc.* |
| 2,331,618 |
| |
1,128,595 |
| Comcast Corp., Class A |
| 19,569,837 |
| |
54,336 |
| Darden Restaurants, Inc. |
| 993,806 |
| |
211,291 |
| DIRECTV Group, Inc. (The)* |
| 4,650,515 |
| |
106,509 |
| DR Horton, Inc. |
| 731,717 |
| |
103,866 |
| Eastman Kodak Co. |
| 786,266 |
| |
80,889 |
| Expedia, Inc.* |
| 679,468 |
| |
54,017 |
| Family Dollar Stores, Inc. |
| 1,500,592 |
| |
874,628 |
| Ford Motor Co.* |
| 2,352,749 |
| |
58,034 |
| Fortune Brands, Inc. |
| 2,193,685 |
| |
63,148 |
| GameStop Corp., Class A* |
| 1,379,784 |
| |
88,274 |
| Gannett Co., Inc. |
| 768,867 |
| |
181,607 |
| Gap, Inc. (The) |
| 2,364,523 |
| |
217,847 |
| General Motors Corp. |
| 1,141,518 |
| |
62,606 |
| Genuine Parts Co. |
| 2,451,025 |
| |
93,331 |
| Goodyear Tire & Rubber Co. (The)* |
| 600,118 |
| |
126,846 |
| H&R Block, Inc. |
| 2,426,564 |
| |
91,010 |
| Harley-Davidson, Inc. |
| 1,548,080 |
| |
22,690 |
| Harman International Industries, Inc. |
| 341,485 |
| |
48,603 |
| Hasbro, Inc. |
| 1,302,560 |
| |
656,879 |
| Home Depot, Inc. |
| 15,180,474 |
| |
119,736 |
| International Game Technology |
| 1,282,373 |
| |
184,227 |
| Interpublic Group of Cos., Inc.* |
| 753,488 |
| |
85,861 |
| JC Penney Co., Inc. |
| 1,630,500 |
| |
229,649 |
| Johnson Controls, Inc. |
| 4,055,601 |
| |
32,290 |
| Jones Apparel Group, Inc. |
| 165,648 |
| |
29,149 |
| KB Home |
| 339,003 |
| |
117,769 |
| Kohl’s Corp.* |
| 3,846,336 |
| |
62,153 |
| Leggett & Platt, Inc. |
| 907,434 |
| |
54,721 |
| Lennar Corp., Class A |
| 389,066 |
| |
36,632 |
| Liz Claiborne, Inc. |
| 104,401 |
| |
566,889 |
| Lowe’s Cos., Inc. |
| 11,711,927 |
| |
110,427 |
| Ltd Brands, Inc. |
| 1,028,075 |
| |
162,670 |
| Macy’s, Inc. |
| 1,207,011 |
| |
114,227 |
| Marriott International, Inc., Class A |
| 1,917,871 |
| |
139,462 |
| Mattel, Inc. |
| 1,906,446 |
| |
434,976 |
| McDonald’s Corp. |
| 25,554,840 |
| |
122,809 |
| McGraw-Hill Cos., Inc. (The) |
| 3,070,225 |
| |
13,982 |
| Meredith Corp. |
| 225,670 |
| |
45,041 |
| New York Times Co. (The), Class A |
| 339,609 |
| |
107,211 |
| Newell Rubbermaid, Inc. |
| 1,432,339 |
| |
887,933 |
| News Corp., Class A |
| 7,014,671 |
| |
151,752 |
| Nike, Inc., Class B |
| 8,080,794 |
| |
61,617 |
| Nordstrom, Inc. |
| 700,585 |
| |
106,313 |
| Office Depot, Inc.* |
| 209,437 |
| |
123,343 |
| Omnicom Group, Inc. |
| 3,489,374 |
| |
21,976 |
| Polo Ralph Lauren Corp. |
| 949,363 |
| |
82,606 |
| Pulte Homes, Inc. |
| 879,754 |
| |
50,706 |
| RadioShack Corp. |
| 499,454 |
| |
34,701 |
| Scripps Networks Interactive, Inc., Class A |
| 964,341 |
| |
21,991 |
| Sears Holdings Corp.* |
| 797,174 |
| |
38,133 |
| Sherwin-Williams Co. (The) |
| 2,247,178 |
| |
22,225 |
| Snap-On, Inc. |
| 801,211 |
| |
30,403 |
| Stanley Works (The) |
| 966,511 |
| |
275,033 |
| Staples, Inc. |
| 4,774,573 |
| |
282,598 |
| Starbucks Corp.* |
| 2,523,600 |
| |
72,233 |
| Starwood Hotels & Resorts Worldwide, Inc. |
| 1,217,848 |
| |
291,864 |
| Target Corp. |
| 9,853,329 |
| |
48,004 |
| Tiffany & Co. |
| 949,999 |
| |
1,385,701 |
| Time Warner, Inc. |
| 12,540,594 |
| |
162,186 |
| TJX Cos., Inc. |
| 3,701,085 |
| |
33,708 |
| VF Corp. |
| 1,762,591 |
| |
240,109 |
| Viacom, Inc., Class B* |
| 3,822,535 |
| |
725,719 |
| Walt Disney Co. (The) |
| 16,343,192 |
| |
2,396 |
| Washington Post Co. (The), Class B |
| 948,576 |
| |
28,796 |
| Whirlpool Corp. |
| 1,133,987 |
| |
68,631 |
| Wyndham Worldwide Corp. |
| 328,056 |
| |
23,759 |
| Wynn Resorts Ltd.* |
| 946,083 |
| |
181,262 |
| Yum! Brands, Inc. |
| 4,883,198 |
| |
|
|
|
| 243,575,820 |
| |
|
| Consumer Staples - 11.3% |
|
|
| |
|
|
|
|
|
| |
796,598 |
| Altria Group, Inc. |
| 12,809,296 |
| |
249,228 |
| Archer-Daniels-Midland Co. |
| 6,823,863 |
| |
164,706 |
| Avon Products, Inc. |
| 3,475,297 |
| |
37,938 |
| Brown-Forman Corp., Class B |
| 1,665,099 |
| |
81,981 |
| Campbell Soup Co. |
| 2,627,491 |
| |
53,450 |
| Clorox Co. |
| 3,162,102 |
| |
768,847 |
| Coca-Cola Co. (The) |
| 36,035,859 |
| |
122,591 |
| Coca-Cola Enterprises, Inc. |
| 1,125,385 |
| |
195,552 |
| Colgate-Palmolive Co. |
| 12,724,569 |
| |
175,179 |
| ConAgra Foods, Inc. |
| 2,583,890 |
| |
74,991 |
| Constellation Brands, Inc., Class A* |
| 956,885 |
| |
168,177 |
| Costco Wholesale Corp. |
| 8,656,070 |
| |
555,062 |
| CVS/Caremark Corp. |
| 16,057,944 |
| |
58,915 |
| Dean Foods Co.* |
| 857,802 |
| |
98,066 |
| Dr Pepper Snapple Group, Inc.* |
| 1,582,785 |
| |
44,403 |
| Estee Lauder Cos., Inc. (The), Class A |
| 1,238,844 |
| |
129,967 |
| General Mills, Inc. |
| 8,210,015 |
| |
64,120 |
| Hershey Co. (The) |
| 2,308,320 |
| |
120,796 |
| HJ Heinz Co. |
| 4,691,717 |
| |
45,596 |
| JM Smucker Co. (The) |
| 2,068,690 |
| |
96,825 |
| Kellogg Co. |
| 4,205,110 |
| |
160,555 |
| Kimberly-Clark Corp. |
| 9,278,473 |
| |
587,138 |
| Kraft Foods, Inc., Class A |
| 15,976,025 |
| |
253,271 |
| Kroger Co. (The) |
| 7,005,476 |
| |
67,278 |
| Lorillard, Inc. |
| 4,065,609 |
| |
49,872 |
| McCormick & Co., Inc. (Non-Voting) |
| 1,484,689 |
| |
58,247 |
| Molson Coors Brewing Co., Class B |
| 2,590,244 |
| |
52,841 |
| Pepsi Bottling Group, Inc. |
| 955,894 |
| |
605,464 |
| PepsiCo, Inc. |
| 34,329,809 |
| |
797,167 |
| Philip Morris International, Inc. |
| 33,608,561 |
| |
1,158,532 |
| Procter & Gamble Co. |
| 74,551,534 |
| |
65,759 |
| Reynolds American, Inc. |
| 2,701,380 |
| |
168,326 |
| Safeway, Inc. |
| 3,669,507 |
| |
273,229 |
| Sara Lee Corp. |
| 2,508,242 |
| |
82,074 |
| SUPERVALU, Inc. |
| 977,501 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
232,815 |
| SYSCO Corp. |
| $ | 5,459,512 |
|
116,001 |
| Tyson Foods, Inc., Class A |
| 778,367 |
| |
57,026 |
| UST, Inc. |
| 3,920,537 |
| |
382,832 |
| Walgreen Co. |
| 9,471,264 |
| |
867,250 |
| Wal-Mart Stores, Inc. |
| 48,461,930 |
| |
54,267 |
| Whole Foods Market, Inc. |
| 574,145 |
| |
|
|
|
| 396,235,732 |
| |
|
| Energy - 12.3% |
|
|
| |
|
|
|
|
|
| |
181,155 |
| Anadarko Petroleum Corp. |
| 7,436,413 |
| |
129,339 |
| Apache Corp. |
| 9,997,905 |
| |
119,155 |
| Baker Hughes, Inc. |
| 4,150,169 |
| |
113,827 |
| BJ Services Co. |
| 1,364,786 |
| |
39,949 |
| Cabot Oil & Gas Corp. |
| 1,197,272 |
| |
84,168 |
| Cameron International Corp.* |
| 1,775,945 |
| |
201,667 |
| Chesapeake Energy Corp. |
| 3,464,639 |
| |
794,632 |
| Chevron Corp. |
| 62,783,874 |
| |
587,741 |
| ConocoPhillips |
| 30,868,157 |
| |
70,886 |
| CONSOL Energy, Inc. |
| 2,053,567 |
| |
170,895 |
| Devon Energy Corp. |
| 12,362,544 |
| |
271,179 |
| El Paso Corp. |
| 2,004,013 |
| |
55,375 |
| ENSCO International, Inc. |
| 1,794,704 |
| |
96,259 |
| EOG Resources, Inc. |
| 8,183,940 |
| |
2,008,804 |
| Exxon Mobil Corp. |
| 161,005,642 |
| |
339,083 |
| Halliburton Co. |
| 5,967,861 |
| |
109,408 |
| Hess Corp. |
| 5,912,408 |
| |
272,851 |
| Marathon Oil Corp. |
| 7,143,239 |
| |
32,679 |
| Massey Energy Co. |
| 510,446 |
| |
73,639 |
| Murphy Oil Corp. |
| 3,243,798 |
| |
108,356 |
| Nabors Industries Ltd.* |
| 1,571,162 |
| |
161,416 |
| National Oilwell Varco, Inc.* |
| 4,566,459 |
| |
104,091 |
| Noble Corp. |
| 2,788,598 |
| |
66,755 |
| Noble Energy, Inc. |
| 3,489,951 |
| |
316,031 |
| Occidental Petroleum Corp. |
| 17,109,918 |
| |
105,195 |
| Peabody Energy Corp. |
| 2,464,719 |
| |
46,307 |
| Pioneer Natural Resources Co. |
| 929,845 |
| |
59,908 |
| Range Resources Corp. |
| 2,484,385 |
| |
43,748 |
| Rowan Cos., Inc. |
| 759,028 |
| |
463,916 |
| Schlumberger Ltd. |
| 23,539,098 |
| |
83,602 |
| Smith International, Inc. |
| 2,444,522 |
| |
132,723 |
| Southwestern Energy Co.* |
| 4,561,689 |
| |
237,794 |
| Spectra Energy Corp. |
| 3,866,530 |
| |
45,211 |
| Sunoco, Inc. |
| 1,796,685 |
| |
53,367 |
| Tesoro Corp. |
| 490,443 |
| |
123,440 |
| Transocean, Inc.* |
| 8,255,667 |
| |
202,304 |
| Valero Energy Corp. |
| 3,712,278 |
| |
263,251 |
| Weatherford International Ltd.* |
| 3,361,715 |
| |
222,840 |
| Williams Cos., Inc. |
| 3,614,465 |
| |
212,465 |
| XTO Energy, Inc. |
| 8,124,662 |
| |
|
|
|
| 433,153,141 |
| |
|
| Financials - 11.5% |
|
|
| |
|
|
|
|
|
| |
184,233 |
| Aflac, Inc. |
| 8,529,988 |
| |
209,475 |
| Allstate Corp. (The) |
| 5,329,044 |
| |
80,110 |
| American Capital Ltd. |
| 339,666 |
| |
448,439 |
| American Express Co. |
| 10,453,113 |
| |
1,039,917 |
| American International Group, Inc. |
| 2,090,233 |
| |
83,826 |
| Ameriprise Financial, Inc. |
| 1,547,428 |
| |
107,417 |
| AON Corp. |
| 4,865,990 |
| |
33,067 |
| Apartment Investment & Management Co., Class A (REIT) |
| 379,278 |
| |
45,855 |
| Assurant, Inc. |
| 998,263 |
| |
29,750 |
| AvalonBay Communities, Inc. (REIT) |
| 1,804,932 |
| |
1,939,686 |
| Bank of America Corp. |
| 31,519,898 |
| |
443,261 |
| Bank of New York Mellon Corp. (The) |
| 13,390,915 |
| |
212,535 |
| BB&T Corp. |
| 6,369,674 |
| |
46,372 |
| Boston Properties, Inc. (REIT) |
| 2,476,265 |
| |
145,330 |
| Capital One Financial Corp. |
| 5,000,805 |
| |
82,967 |
| CB Richard Ellis Group, Inc., Class A* |
| 378,330 |
| |
360,795 |
| Charles Schwab Corp. (The) |
| 6,613,372 |
| |
139,475 |
| Chubb Corp. |
| 7,163,436 |
| |
62,851 |
| Cincinnati Financial Corp. |
| 1,837,763 |
| |
110,417 |
| CIT Group, Inc. |
| 368,793 |
| |
2,105,987 |
| Citigroup, Inc. |
| 17,458,632 |
| |
26,003 |
| CME Group, Inc. |
| 5,511,336 |
| |
58,260 |
| Comerica, Inc. |
| 1,313,763 |
| |
46,509 |
| Developers Diversified Realty Corp. (REIT) |
| 223,243 |
| |
185,413 |
| Discover Financial Services |
| 1,896,775 |
| |
207,803 |
| E*Trade Financial Corp.* |
| 280,534 |
| |
104,762 |
| Equity Residential (REIT) |
| 3,187,908 |
| |
34,027 |
| Federated Investors, Inc., Class B |
| 675,436 |
| |
223,377 |
| Fifth Third Bancorp |
| 2,135,484 |
| |
78,025 |
| First Horizon National Corp. |
| 834,087 |
| |
58,881 |
| Franklin Resources, Inc. |
| 3,577,021 |
| |
167,511 |
| Genworth Financial, Inc., Class A |
| 242,891 |
| |
168,101 |
| Goldman Sachs Group, Inc. (The) |
| 13,278,298 |
| |
116,534 |
| Hartford Financial Services Group, Inc. |
| 984,712 |
| |
97,314 |
| HCP, Inc. (REIT) |
| 2,011,480 |
| |
200,911 |
| Host Hotels & Resorts, Inc. (REIT) |
| 1,510,851 |
| |
200,998 |
| Hudson City Bancorp, Inc. |
| 3,358,677 |
| |
141,584 |
| Huntington Bancshares, Inc./OH |
| 1,132,672 |
| |
29,197 |
| IntercontinentalExchange, Inc.* |
| 2,148,899 |
| |
149,536 |
| Invesco Ltd. |
| 1,876,677 |
| |
61,758 |
| Janus Capital Group, Inc. |
| 503,328 |
| |
1,424,883 |
| JPMorgan Chase & Co. |
| 45,111,796 |
| |
191,325 |
| Keycorp |
| 1,794,628 |
| |
87,833 |
| Kimco Realty Corp. (REIT) |
| 1,242,837 |
| |
54,887 |
| Legg Mason, Inc. |
| 989,064 |
| |
68,390 |
| Leucadia National Corp. |
| 1,337,025 |
| |
99,342 |
| Lincoln National Corp. |
| 1,363,966 |
| |
140,016 |
| Loews Corp. |
| 3,835,038 |
| |
29,793 |
| M&T Bank Corp. |
| 1,914,200 |
| |
198,447 |
| Marsh & McLennan Cos., Inc. |
| 5,060,399 |
| |
100,359 |
| Marshall & Ilsley Corp. |
| 1,550,547 |
| |
75,644 |
| MBIA, Inc. |
| 442,517 |
| |
592,333 |
| Merrill Lynch & Co., Inc. |
| 7,830,642 |
| |
294,582 |
| MetLife, Inc. |
| 8,472,178 |
| |
76,353 |
| Moody’s Corp. |
| 1,657,624 |
| |
428,915 |
| Morgan Stanley |
| 6,326,496 |
| |
52,575 |
| Nasdaq OMX Group, Inc. (The)* |
| 1,130,362 |
| |
809,434 |
| National City Corp. |
| 1,626,962 |
| |
85,421 |
| Northern Trust Corp. |
| 3,919,970 |
| |
102,820 |
| NYSE Euronext |
| 2,448,144 |
| |
134,214 |
| People’s United Financial, Inc. |
| 2,559,461 |
| |
66,147 |
| Plum Creek Timber Co., Inc. (REIT) |
| 2,354,172 |
| |
134,039 |
| PNC Financial Services Group, Inc. |
| 7,073,238 |
| |
100,240 |
| Principal Financial Group, Inc. |
| 1,384,314 |
| |
261,235 |
| Progressive Corp. (The) |
| 3,923,750 |
| |
101,473 |
| Prologis (REIT) |
| 388,642 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
165,083 |
| Prudential Financial, Inc. |
| $ | 3,582,301 |
|
48,464 |
| Public Storage (REIT) |
| 3,387,149 |
| |
268,669 |
| Regions Financial Corp. |
| 2,737,737 |
| |
86,968 |
| Simon Property Group, Inc. (REIT) |
| 4,130,980 |
| |
180,772 |
| SLM Corp.* |
| 1,664,910 |
| |
210,179 |
| Sovereign Bancorp, Inc.* |
| 519,142 |
| |
166,950 |
| State Street Corp. |
| 7,030,264 |
| |
136,768 |
| SunTrust Banks, Inc. |
| 4,339,649 |
| |
100,065 |
| T. Rowe Price Group, Inc. |
| 3,423,224 |
| |
33,753 |
| Torchmark Corp. |
| 1,220,171 |
| |
228,538 |
| Travelers Cos., Inc. (The) |
| 9,975,684 |
| |
673,673 |
| U.S. Bancorp |
| 18,175,698 |
| |
133,613 |
| Unum Group |
| 1,990,834 |
| |
53,006 |
| Vornado Realty Trust (REIT) |
| 2,833,171 |
| |
834,926 |
| Wachovia Corp. |
| 4,692,284 |
| |
1,437,411 |
| Wells Fargo & Co. |
| 41,526,804 |
| |
120,272 |
| XL Capital Ltd., Class A |
| 604,968 |
| |
44,341 |
| Zions Bancorporation |
| 1,414,034 |
| |
|
|
|
| 404,586,866 |
| |
|
| Health Care - 12.1% |
|
|
| |
|
|
|
|
|
| |
596,174 |
| Abbott Laboratories |
| 31,233,556 |
| |
182,449 |
| Aetna, Inc. |
| 3,981,037 |
| |
118,908 |
| Allergan, Inc. |
| 4,480,453 |
| |
61,361 |
| AmerisourceBergen Corp. |
| 1,923,667 |
| |
409,167 |
| Amgen, Inc.* |
| 22,725,135 |
| |
42,125 |
| Barr Pharmaceuticals, Inc.* |
| 2,754,554 |
| |
242,764 |
| Baxter International, Inc. |
| 12,842,216 |
| |
94,186 |
| Becton Dickinson & Co. |
| 5,983,637 |
| |
112,322 |
| Biogen Idec, Inc.* |
| 4,752,344 |
| |
580,343 |
| Boston Scientific Corp.* |
| 3,580,716 |
| |
765,659 |
| Bristol-Myers Squibb Co. |
| 15,849,141 |
| |
138,938 |
| Cardinal Health, Inc. |
| 4,518,264 |
| |
175,976 |
| Celgene Corp.* |
| 9,168,350 |
| |
26,319 |
| Cephalon, Inc.* |
| 1,933,920 |
| |
106,257 |
| Cigna Corp. |
| 1,286,772 |
| |
57,268 |
| Coventry Health Care, Inc.* |
| 714,132 |
| |
194,036 |
| Covidien Ltd. |
| 7,150,227 |
| |
38,420 |
| CR Bard, Inc. |
| 3,151,593 |
| |
40,418 |
| DaVita, Inc.* |
| 2,031,004 |
| |
57,498 |
| Dentsply International, Inc. |
| 1,499,548 |
| |
386,930 |
| Eli Lilly & Co. |
| 13,213,659 |
| |
95,394 |
| Express Scripts, Inc.* |
| 5,486,109 |
| |
117,900 |
| Forest Laboratories, Inc.* |
| 2,850,822 |
| |
103,948 |
| Genzyme Corp.* |
| 6,654,751 |
| |
355,784 |
| Gilead Sciences, Inc.* |
| 15,935,565 |
| |
61,605 |
| Hospira, Inc.* |
| 1,849,998 |
| |
65,290 |
| Humana, Inc.* |
| 1,973,717 |
| |
70,326 |
| IMS Health, Inc. |
| 924,787 |
| |
15,067 |
| Intuitive Surgical, Inc.* |
| 1,996,830 |
| |
1,080,755 |
| Johnson & Johnson |
| 63,310,628 |
| |
95,336 |
| King Pharmaceuticals, Inc.* |
| 916,179 |
| |
43,040 |
| Laboratory Corp. of America Holdings* |
| 2,727,014 |
| |
66,735 |
| Life Technologies Corp.* |
| 1,741,784 |
| |
106,705 |
| McKesson Corp. |
| 3,728,273 |
| |
195,537 |
| Medco Health Solutions, Inc.* |
| 8,212,554 |
| |
436,362 |
| Medtronic, Inc. |
| 13,317,768 |
| |
828,596 |
| Merck & Co., Inc. |
| 22,140,085 |
| |
21,361 |
| Millipore Corp.* |
| 1,082,148 |
| |
117,740 |
| Mylan, Inc.* |
| 1,107,933 |
| |
35,237 |
| Patterson Cos., Inc.* |
| 663,160 |
| |
46,244 |
| PerkinElmer, Inc. |
| 835,167 |
| |
2,607,141 |
| Pfizer, Inc. |
| 42,835,327 |
| |
61,189 |
| Quest Diagnostics, Inc. |
| 2,849,572 |
| |
628,749 |
| Schering-Plough Corp. |
| 10,569,271 |
| |
132,191 |
| St. Jude Medical, Inc.* |
| 3,705,314 |
| |
95,657 |
| Stryker Corp. |
| 3,722,970 |
| |
160,387 |
| Tenet Healthcare Corp.* |
| 194,068 |
| |
162,017 |
| Thermo Fisher Scientific, Inc.* |
| 5,780,767 |
| |
470,957 |
| UnitedHealth Group, Inc. |
| 9,894,807 |
| |
48,301 |
| Varian Medical Systems, Inc.* |
| 1,949,428 |
| |
38,269 |
| Waters Corp.* |
| 1,577,831 |
| |
40,446 |
| Watson Pharmaceuticals, Inc.* |
| 960,592 |
| |
197,757 |
| WellPoint, Inc.* |
| 7,040,149 |
| |
515,770 |
| Wyeth |
| 18,572,878 |
| |
87,048 |
| Zimmer Holdings, Inc.* |
| 3,248,631 |
| |
|
|
|
| 425,130,802 |
| |
|
| Industrials - 9.5% |
|
|
| |
|
|
|
|
|
| |
270,298 |
| 3M Co. |
| 18,091,045 |
| |
131,069 |
| Allied Waste Industries, Inc.* |
| 1,407,681 |
| |
41,189 |
| Avery Dennison Corp. |
| 1,280,978 |
| |
286,277 |
| Boeing Co. |
| 12,203,989 |
| |
109,257 |
| Burlington Northern Santa Fe Corp. |
| 8,370,179 |
| |
235,404 |
| Caterpillar, Inc. |
| 9,649,210 |
| |
65,767 |
| CH Robinson Worldwide, Inc. |
| 3,359,378 |
| |
51,147 |
| Cintas Corp. |
| 1,228,551 |
| |
67,307 |
| Cooper Industries Ltd., Class A |
| 1,624,791 |
| |
157,664 |
| CSX Corp. |
| 5,871,407 |
| |
78,432 |
| Cummins, Inc. |
| 2,006,291 |
| |
98,689 |
| Danaher Corp. |
| 5,491,056 |
| |
165,086 |
| Deere & Co. |
| 5,746,644 |
| |
72,598 |
| Dover Corp. |
| 2,165,598 |
| |
64,322 |
| Eaton Corp. |
| 2,980,681 |
| |
300,103 |
| Emerson Electric Co. |
| 10,770,697 |
| |
49,631 |
| Equifax, Inc. |
| 1,263,109 |
| |
82,352 |
| Expeditors International of Washington, Inc. |
| 2,753,027 |
| |
49,985 |
| Fastenal Co. |
| 1,924,922 |
| |
120,436 |
| FedEx Corp. |
| 8,508,803 |
| |
22,201 |
| Flowserve Corp. |
| 1,117,376 |
| |
69,283 |
| Fluor Corp. |
| 3,155,148 |
| |
153,672 |
| General Dynamics Corp. |
| 7,940,232 |
| |
4,059,292 |
| General Electric Co. |
| 69,698,044 |
| |
48,411 |
| Goodrich Corp. |
| 1,629,030 |
| |
287,882 |
| Honeywell International, Inc. |
| 8,020,393 |
| |
154,647 |
| Illinois Tool Works, Inc. |
| 5,276,556 |
| |
123,227 |
| Ingersoll-Rand Co., Ltd., Class A |
| 1,932,199 |
| |
70,272 |
| ITT Corp. |
| 2,941,586 |
| |
47,303 |
| Jacobs Engineering Group, Inc.* |
| 2,117,755 |
| |
46,998 |
| L-3 Communications Holdings, Inc. |
| 3,156,856 |
| |
128,755 |
| Lockheed Martin Corp. |
| 9,928,298 |
| |
50,316 |
| Manitowoc Co., Inc. (The) |
| 396,490 |
| |
139,299 |
| Masco Corp. |
| 1,334,484 |
| |
47,992 |
| Monster Worldwide, Inc.* |
| 550,468 |
| |
145,102 |
| Norfolk Southern Corp. |
| 7,178,196 |
| |
130,532 |
| Northrop Grumman Corp. |
| 5,345,285 |
| |
140,545 |
| PACCAR, Inc. |
| 3,916,989 |
| |
46,400 |
| Pall Corp. |
| 1,276,464 |
| |
64,813 |
| Parker Hannifin Corp. |
| 2,662,518 |
| |
80,381 |
| Pitney Bowes, Inc. |
| 1,986,215 |
| |
53,870 |
| Precision Castparts Corp. |
| 3,377,649 |
| |
81,206 |
| R.R. Donnelley & Sons Co. |
| 1,036,189 |
| |
161,272 |
| Raytheon Co. |
| 7,870,074 |
| |
60,253 |
| Robert Half International, Inc. |
| 1,258,685 |
| |
56,370 |
| Rockwell Automation, Inc. |
| 1,755,925 |
| |
61,649 |
| Rockwell Collins, Inc. |
| 2,100,998 |
| |
21,783 |
| Ryder System, Inc. |
| 782,228 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
283,862 |
| Southwest Airlines Co. |
| $ | 2,455,406 |
|
32,977 |
| Stericycle, Inc.* |
| 1,889,582 |
| |
96,147 |
| Textron, Inc. |
| 1,464,319 |
| |
183,641 |
| Tyco International Ltd. |
| 3,838,097 |
| |
196,954 |
| Union Pacific Corp. |
| 9,855,578 |
| |
389,853 |
| United Parcel Service, Inc., Class B |
| 22,455,533 |
| |
372,942 |
| United Technologies Corp. |
| 18,098,875 |
| |
189,694 |
| Waste Management, Inc. |
| 5,539,065 |
| |
25,026 |
| WW Grainger, Inc. |
| 1,766,085 |
| |
|
|
|
| 333,802,907 |
| |
|
| Information Technology - 13.0% |
|
|
| |
|
|
|
|
|
| |
205,136 |
| Adobe Systems, Inc.* |
| 4,750,950 |
| |
234,873 |
| Advanced Micro Devices, Inc.* |
| 554,300 |
| |
37,598 |
| Affiliated Computer Services, Inc., Class A* |
| 1,520,839 |
| |
138,229 |
| Agilent Technologies, Inc.* |
| 2,602,852 |
| |
65,386 |
| Akamai Technologies, Inc.* |
| 802,286 |
| |
116,330 |
| Altera Corp. |
| 1,711,214 |
| |
68,385 |
| Amphenol Corp., Class A |
| 1,587,900 |
| |
112,403 |
| Analog Devices, Inc. |
| 1,922,091 |
| |
342,580 |
| Apple, Inc.* |
| 31,746,889 |
| |
518,963 |
| Applied Materials, Inc. |
| 4,971,666 |
| |
86,989 |
| Autodesk, Inc.* |
| 1,443,148 |
| |
196,884 |
| Automatic Data Processing, Inc. |
| 8,084,057 |
| |
73,526 |
| BMC Software, Inc.* |
| 1,835,209 |
| |
170,704 |
| Broadcom Corp., Class A* |
| 2,613,478 |
| |
152,291 |
| CA, Inc. |
| 2,564,580 |
| |
34,912 |
| Ciena Corp.* |
| 258,349 |
| |
2,284,610 |
| Cisco Systems, Inc.* |
| 37,787,449 |
| |
70,543 |
| Citrix Systems, Inc.* |
| 1,880,676 |
| |
112,752 |
| Cognizant Technology Solutions Corp., Class A* |
| 2,164,838 |
| |
58,486 |
| Computer Sciences Corp.* |
| 1,629,420 |
| |
98,580 |
| Compuware Corp.* |
| 625,983 |
| |
47,052 |
| Convergys Corp.* |
| 295,957 |
| |
610,252 |
| Corning, Inc. |
| 5,498,371 |
| |
674,073 |
| Dell, Inc.* |
| 7,529,395 |
| |
422,516 |
| eBay, Inc.* |
| 5,547,635 |
| |
123,352 |
| Electronic Arts, Inc.* |
| 2,351,089 |
| |
800,824 |
| EMC Corp.* |
| 8,464,710 |
| |
73,395 |
| Fidelity National Information Services, Inc. |
| 1,260,926 |
| |
63,402 |
| Fiserv, Inc.* |
| 2,164,544 |
| |
92,411 |
| Google, Inc., Class A* |
| 27,072,727 |
| |
51,830 |
| Harris Corp. |
| 1,807,830 |
| |
947,186 |
| Hewlett-Packard Co. |
| 33,416,722 |
| |
2,174,312 |
| Intel Corp. |
| 30,005,506 |
| |
523,968 |
| International Business Machines Corp. |
| 42,755,789 |
| |
124,165 |
| Intuit, Inc.* |
| 2,751,496 |
| |
81,220 |
| Jabil Circuit, Inc. |
| 534,428 |
| |
82,915 |
| JDS Uniphase Corp.* |
| 225,529 |
| |
210,218 |
| Juniper Networks, Inc.* |
| 3,653,589 |
| |
66,979 |
| Kla-Tencor Corp. |
| 1,259,875 |
| |
30,327 |
| Lexmark International, Inc., Class A* |
| 793,961 |
| |
85,625 |
| Linear Technology Corp. |
| 1,708,219 |
| |
248,953 |
| LSI Corp.* |
| 667,194 |
| |
27,902 |
| Mastercard, Inc., Class A |
| 4,054,161 |
| |
87,331 |
| MEMC Electronic Materials, Inc.* |
| 1,311,712 |
| |
71,193 |
| Microchip Technology, Inc. |
| 1,317,071 |
| |
294,308 |
| Micron Technology, Inc.* |
| 806,404 |
| |
3,036,925 |
| Microsoft Corp. |
| 61,406,624 |
| |
55,101 |
| Molex, Inc. |
| 749,374 |
| |
876,190 |
| Motorola, Inc. |
| 3,776,379 |
| |
75,413 |
| National Semiconductor Corp. |
| 829,543 |
| |
126,667 |
| NetApp, Inc.* |
| 1,710,004 |
| |
133,510 |
| Novell, Inc.* |
| 607,470 |
| |
38,339 |
| Novellus Systems, Inc.* |
| 475,020 |
| |
215,281 |
| NVIDIA Corp.* |
| 1,608,149 |
| |
1,515,536 |
| Oracle Corp.* |
| 24,384,974 |
| |
124,098 |
| Paychex, Inc. |
| 3,507,009 |
| |
50,724 |
| QLogic Corp.* |
| 538,689 |
| |
634,626 |
| QUALCOMM, Inc. |
| 21,304,395 |
| |
40,274 |
| Salesforce.com, Inc.* |
| 1,152,642 |
| |
86,954 |
| SanDisk Corp.* |
| 695,632 |
| |
291,198 |
| Sun Microsystems, Inc.* |
| 923,098 |
| |
324,466 |
| Symantec Corp.* |
| 3,903,326 |
| |
153,804 |
| Tellabs, Inc.* |
| 641,363 |
| |
69,070 |
| Teradata Corp.* |
| 927,610 |
| |
65,277 |
| Teradyne, Inc.* |
| 247,400 |
| |
506,990 |
| Texas Instruments, Inc. |
| 7,893,834 |
| |
76,473 |
| Total System Services, Inc. |
| 1,091,270 |
| |
182,634 |
| Tyco Electronics Ltd. |
| 3,009,808 |
| |
74,726 |
| VeriSign, Inc.* |
| 1,613,334 |
| |
281,975 |
| Western Union Co. (The) |
| 3,741,808 |
| |
337,261 |
| Xerox Corp. |
| 2,357,454 |
| |
106,933 |
| Xilinx, Inc. |
| 1,749,424 |
| |
535,988 |
| Yahoo!, Inc.* |
| 6,169,222 |
| |
|
|
|
| 457,327,869 |
| |
|
| Materials - 2.6% |
|
|
| |
|
|
|
|
|
| |
82,012 |
| Air Products & Chemicals, Inc. |
| 3,916,893 |
| |
43,408 |
| AK Steel Holding Corp. |
| 342,055 |
| |
314,641 |
| Alcoa, Inc. |
| 3,385,537 |
| |
38,823 |
| Allegheny Technologies, Inc. |
| 890,988 |
| |
37,444 |
| Ball Corp. |
| 1,364,834 |
| |
38,554 |
| Bemis Co., Inc. |
| 1,041,729 |
| |
21,799 |
| CF Industries Holdings, Inc. |
| 1,147,281 |
| |
357,756 |
| Dow Chemical Co. (The) |
| 6,636,374 |
| |
27,990 |
| Eastman Chemical Co. |
| 920,871 |
| |
67,855 |
| Ecolab, Inc. |
| 2,604,953 |
| |
348,871 |
| EI Du Pont de Nemours & Co. |
| 8,742,707 |
| |
148,497 |
| Freeport-McMoRan Copper & Gold, Inc. |
| 3,562,443 |
| |
30,396 |
| International Flavors & Fragrances, Inc. |
| 928,294 |
| |
165,319 |
| International Paper Co. |
| 2,058,221 |
| |
66,130 |
| MeadWestvaco Corp. |
| 771,076 |
| |
212,753 |
| Monsanto Co. |
| 16,850,038 |
| |
176,562 |
| Newmont Mining Corp. |
| 5,941,311 |
| |
122,433 |
| Nucor Corp. |
| 4,368,409 |
| |
50,613 |
| Pactiv Corp.* |
| 1,264,819 |
| |
63,439 |
| PPG Industries, Inc. |
| 2,786,241 |
| |
121,873 |
| Praxair, Inc. |
| 7,196,601 |
| |
47,936 |
| Rohm & Haas Co. |
| 3,279,302 |
| |
61,202 |
| Sealed Air Corp. |
| 968,828 |
| |
48,661 |
| Sigma-Aldrich Corp. |
| 2,097,776 |
| |
32,905 |
| Titanium Metals Corp. |
| 278,047 |
| |
45,502 |
| United States Steel Corp. |
| 1,383,261 |
| |
42,435 |
| Vulcan Materials Co. |
| 2,545,251 |
| |
81,776 |
| Weyerhaeuser Co. |
| 3,076,413 |
| |
|
|
|
| 90,350,553 |
| |
|
| Telecommunication Services - 3.3% |
|
|
| |
|
|
|
|
|
| |
152,320 |
| American Tower Corp., Class A* |
| 4,149,197 |
| |
2,279,198 |
| AT&T, Inc. |
| 65,093,895 |
| |
39,583 |
| CenturyTel, Inc. |
| 1,051,325 |
| |
55,035 |
| Embarq Corp. |
| 1,796,342 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| ||
|
| Common Stocks (a) (continued) |
|
|
| ||
122,170 |
| Frontier Communications Corp. |
| $ | 1,065,322 |
| |
574,060 |
| Qwest Communications International, Inc. |
| 1,836,992 |
| ||
1,103,941 |
| Sprint Nextel Corp. |
| 3,079,995 |
| ||
1,101,346 |
| Verizon Communications, Inc. |
| 35,958,947 |
| ||
169,964 |
| Windstream Corp. |
| 1,505,881 |
| ||
|
|
|
| 115,537,896 |
| ||
|
| Utilities - 3.7% |
|
|
| ||
|
|
|
|
|
| ||
260,221 |
| AES Corp. (The)* |
| 2,001,099 |
| ||
65,277 |
| Allegheny Energy, Inc. |
| 2,301,014 |
| ||
81,295 |
| Ameren Corp. |
| 2,892,476 |
| ||
155,528 |
| American Electric Power Co., Inc. |
| 4,866,471 |
| ||
132,205 |
| Centerpoint Energy, Inc. |
| 1,709,411 |
| ||
87,070 |
| CMS Energy Corp. |
| 884,631 |
| ||
105,665 |
| Consolidated Edison, Inc. |
| 4,267,809 |
| ||
68,998 |
| Constellation Energy Group, Inc. |
| 1,688,381 |
| ||
224,248 |
| Dominion Resources, Inc. |
| 8,256,811 |
| ||
63,037 |
| DTE Energy Co. |
| 2,344,346 |
| ||
489,154 |
| Duke Energy Corp. |
| 7,611,236 |
| ||
195,473 |
| Dynegy, Inc., Class A* |
| 435,905 |
| ||
125,995 |
| Edison International |
| 4,208,233 |
| ||
74,147 |
| Entergy Corp. |
| 6,309,910 |
| ||
254,301 |
| Exelon Corp. |
| 14,294,259 |
| ||
117,887 |
| FirstEnergy Corp. |
| 6,905,820 |
| ||
157,964 |
| FPL Group, Inc. |
| 7,702,325 |
| ||
29,523 |
| Integrys Energy Group, Inc. |
| 1,304,326 |
| ||
17,482 |
| Nicor, Inc. |
| 712,916 |
| ||
105,990 |
| NiSource, Inc. |
| 1,277,180 |
| ||
83,502 |
| Pepco Holdings, Inc. |
| 1,502,201 |
| ||
138,684 |
| PG&E Corp. |
| 5,275,539 |
| ||
39,012 |
| Pinnacle West Capital Corp. |
| 1,185,965 |
| ||
144,801 |
| PPL Corp. |
| 4,907,306 |
| ||
101,266 |
| Progress Energy, Inc. |
| 4,019,248 |
| ||
196,720 |
| Public Service Enterprise Group, Inc. |
| 6,078,648 |
| ||
67,047 |
| Questar Corp. |
| 2,158,243 |
| ||
95,288 |
| Sempra Energy |
| 4,447,091 |
| ||
297,868 |
| Southern Co. |
| 10,818,566 |
| ||
82,218 |
| TECO Energy, Inc. |
| 1,068,834 |
| ||
45,236 |
| Wisconsin Energy Corp. |
| 1,965,957 |
| ||
172,529 |
| Xcel Energy, Inc. |
| 3,245,270 |
| ||
|
|
|
| 128,647,427 |
| ||
|
| Total Common Stock |
| 3,028,349,013 |
| ||
|
|
|
|
|
| ||
Principal |
|
|
|
|
| ||
|
| Repurchase Agreements - 22.8% |
|
|
| ||
$ | 106,554,656 |
| Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $106,556,521 (b) |
|
| 106,554,656 |
|
106,554,656 |
| Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $106,557,320 (c) |
| 106,554,656 |
| ||
7,991,599 |
| Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $7,991,732 (d) |
| 7,991,599 |
| ||
26,638,664 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $26,640,477 (e) |
| 26,638,664 |
| ||
53,277,328 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $53,280,954 (f) |
| 53,277,328 |
| ||
186,470,648 |
| ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $186,474,999 (g) |
| 186,470,648 |
| ||
159,831,984 |
| JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $159,834,648 (h) |
| 159,831,984 |
| ||
151,961,196 |
| UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $151,964,362(i) |
| 151,961,196 |
| ||
|
| Total Repurchase Agreements |
| 799,280,731 |
| ||
|
| Total Investments |
| 3,827,629,744 |
| ||
|
| Liabilities in excess of other assets — (9.0)% |
| (314,475,470 | ) | ||
|
| Net Assets — 100.0% |
| $ | 3,513,154,274 |
| |
* |
| Non-income producing security. |
(a) |
| A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. |
(b) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $108,685,783. The investment in the repurchase agreement was through participation in a pooled account. |
(c) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $108,685,783. The investment in the repurchase agreement was through participation in a pooled account. |
(d) |
| Represents the Fund’s 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $8,151,756. The investment in the repurchase agreement was through participation in a pooled account. |
(e) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $27,171,535. The investment in the repurchase agreement was through participation in a pooled account. |
See accompanying notes to the financial statements.
(f) |
| Represents the Fund’s 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $54,342,875. The investment in the repurchase agreement was through participation in a pooled account. |
(g) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $190,200,255. The investment in the repurchase agreement was through participation in a pooled account. |
(h) |
| Represents the Fund’s 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $163,028,693. The investment in the repurchase agreement was through participation in a pooled account. |
(i) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $155,000,731. The investment in the repurchase agreement was through participation in a pooled account. |
REIT |
| Real Estate Investment Trust |
As of November 30, 2008, 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 |
| $ | 16,293,766 |
|
Aggregate gross unrealized depreciation |
| (540,010,613 | ) | |
Net unrealized depreciation |
| $ | (523,716,847 | ) |
Federal income tax cost of investments |
| $ | 4,351,346,591 |
|
Futures Contracts Purchased
Ultra S&P500® had the following open long futures contracts as of November 30, 2008:
|
| Number of |
| Expiration |
| Notional |
| Unrealized |
| ||
|
|
|
|
|
|
|
|
|
| ||
E-Mini S&P500 Futures Contracts |
| 13,097 |
| 12/19/08 |
| $ | 585,272,188 |
| $ | 32,309,772 |
|
Cash collateral in the amount of $82,137,433 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
See accompanying notes to the financial statements.
Swap Agreements
Ultra S&P500® had the following open swap agreements as of November 30, 2008:
|
| Termination |
| Notional Amount |
| Unrealized |
| ||
Equity Index Swap Agreement based on the S&P 500® Index |
| 12/08/08 |
| $ | 562,345 |
| $ | (4,665 | ) |
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement based on the S&P 500® Index |
| 12/08/08 |
| 225,155,963 |
| (167,147,078 | ) | ||
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement based on the S&P 500® Index |
| 12/08/08 |
| 416,940,758 |
| — |
| ||
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement based on the S&P 500® Index |
| 12/08/08 |
| 948,661,534 |
| (27,653,595 | ) | ||
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement based on the S&P 500® Index |
| 12/08/08 |
| 1,816,569,828 |
| — |
| ||
|
|
|
|
|
|
|
| ||
|
|
|
| $ | 3,407,890,428 |
| $ | (194,805,338 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra MidCap400
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) - 86.3% |
|
|
| |
|
| Consumer Discretionary - 11.6% |
|
|
| |
|
|
|
|
|
| |
6,240 |
| 99 Cents Only Stores* |
| $ | 67,267 |
|
12,720 |
| Advance Auto Parts, Inc. |
| 386,179 |
| |
8,893 |
| Aeropostale, Inc.* |
| 134,462 |
| |
27,378 |
| American Eagle Outfitters, Inc. |
| 262,829 |
| |
6,033 |
| American Greetings Corp., Class A |
| 69,500 |
| |
7,590 |
| AnnTaylor Stores Corp.* |
| 34,079 |
| |
9,806 |
| ArvinMeritor, Inc. |
| 38,734 |
| |
4,889 |
| Barnes & Noble, Inc. |
| 77,148 |
| |
11,684 |
| Belo Corp., Class A |
| 22,550 |
| |
3,218 |
| Blyth, Inc. |
| 26,677 |
| |
4,116 |
| Bob Evans Farms, Inc. |
| 69,025 |
| |
8,047 |
| Borders Group, Inc. |
| 8,610 |
| |
15,455 |
| BorgWarner, Inc. |
| 365,665 |
| |
7,591 |
| Boyd Gaming Corp. |
| 33,400 |
| |
13,479 |
| Brinker International, Inc. |
| 89,501 |
| |
5,604 |
| Brink’s Home Security Holdings, Inc.* |
| 112,080 |
| |
8,613 |
| Callaway Golf Co. |
| 86,733 |
| |
9,776 |
| Career Education Corp.* |
| 180,661 |
| |
29,297 |
| Carmax, Inc.* |
| 222,950 |
| |
7,941 |
| Cheesecake Factory (The)* |
| 57,811 |
| |
23,473 |
| Chico’s FAS, Inc.* |
| 59,856 |
| |
4,385 |
| Chipotle Mexican Grill, Inc., Class A* |
| 217,408 |
| |
6,288 |
| Coldwater Creek, Inc.* |
| 12,073 |
| |
8,487 |
| Collective Brands, Inc.* |
| 64,926 |
| |
11,352 |
| Corinthian Colleges, Inc.* |
| 182,540 |
| |
8,168 |
| DeVry, Inc. |
| 469,497 |
| |
11,282 |
| Dick’s Sporting Goods, Inc.* |
| 142,266 |
| |
12,021 |
| Dollar Tree, Inc.* |
| 509,210 |
| |
10,698 |
| DreamWorks Animation SKG, Inc., Class A* |
| 247,124 |
| |
20,605 |
| Foot Locker, Inc. |
| 138,672 |
| |
5,514 |
| Furniture Brands International, Inc. |
| 17,976 |
| |
18,874 |
| Gentex Corp. |
| 165,525 |
| |
8,010 |
| Guess?, Inc. |
| 105,972 |
| |
12,467 |
| Hanesbrands, Inc.* |
| 161,074 |
| |
5,042 |
| Harte-Hanks, Inc. |
| 30,101 |
| |
6,733 |
| Hovnanian Enterprises, Inc., Class A* |
| 14,745 |
| |
3,759 |
| International Speedway Corp., Class A |
| 97,546 |
| |
4,186 |
| ITT Educational Services, Inc.* |
| 377,075 |
| |
6,891 |
| J. Crew Group, Inc.* |
| 69,875 |
| |
5,744 |
| John Wiley & Sons, Inc., Class A |
| 206,554 |
| |
10,078 |
| Lamar Advertising Co., Class A* |
| 149,860 |
| |
4,632 |
| Life Time Fitness, Inc.* |
| 69,341 |
| |
6,518 |
| Marvel Entertainment, Inc.* |
| 191,955 |
| |
4,113 |
| Matthews International Corp., Class A |
| 167,934 |
| |
4,869 |
| MDC Holdings, Inc. |
| 150,939 |
| |
4,291 |
| Modine Manufacturing Co. |
| 20,640 |
| |
7,459 |
| Mohawk Industries, Inc.* |
| 229,290 |
| |
5,747 |
| NetFlix, Inc.* |
| 132,066 |
| |
722 |
| NVR, Inc.* |
| 313,529 |
| |
17,816 |
| O’Reilly Automotive, Inc.* |
| 464,463 |
| |
8,738 |
| Pacific Sunwear of California* |
| 13,194 |
| |
16,839 |
| PetSmart, Inc. |
| 295,524 |
| |
6,834 |
| Phillips-Van Heusen Corp. |
| 119,185 |
| |
5,173 |
| priceline.com, Inc.* |
| 356,937 |
| |
5,730 |
| Regis Corp. |
| 62,973 |
| |
8,864 |
| Rent-A-Center, Inc.* |
| 145,458 |
| |
17,489 |
| Ross Stores, Inc. |
| 463,459 |
| |
5,666 |
| Ryland Group, Inc. |
| 96,152 |
| |
18,870 |
| Saks, Inc.* |
| 81,330 |
| |
3,520 |
| Scholastic Corp. |
| 53,750 |
| |
8,644 |
| Scientific Games Corp., Class A* |
| 129,746 |
| |
34,194 |
| Service Corp. International |
| 199,009 |
| |
8,945 |
| Sotheby’s |
| 88,913 |
| |
1,894 |
| Strayer Education, Inc. |
| 453,821 |
| |
4,714 |
| Thor Industries, Inc. |
| 73,727 |
| |
6,267 |
| Timberland Co., Class A* |
| 63,610 |
| |
17,325 |
| Toll Brothers, Inc.* |
| 345,287 |
| |
8,261 |
| Tupperware Brands Corp. |
| 162,494 |
| |
4,845 |
| Under Armour, Inc., Class A* |
| 111,387 |
| |
15,128 |
| Urban Outfitters, Inc.* |
| 274,876 |
| |
6,126 |
| Warnaco Group, Inc. (The)* |
| 109,655 |
| |
62,156 |
| Wendy’s/Arby’s Group, Inc., Class A |
| 249,867 |
| |
11,510 |
| Williams-Sonoma, Inc. |
| 80,685 |
| |
|
|
|
| 11,556,932 |
| |
|
| Consumer Staples - 3.7% |
|
|
| |
|
|
|
|
|
| |
11,255 |
| Alberto-Culver Co. |
| 241,645 |
| |
7,890 |
| BJ’s Wholesale Club, Inc.* |
| 282,304 |
| |
9,279 |
| Church & Dwight Co., Inc. |
| 551,544 |
| |
9,900 |
| Corn Products International, Inc. |
| 271,260 |
| |
7,730 |
| Energizer Holdings, Inc.* |
| 335,637 |
| |
10,639 |
| Flowers Foods, Inc. |
| 284,912 |
| |
9,823 |
| Hansen Natural Corp.* |
| 292,234 |
| |
9,320 |
| Hormel Foods Corp. |
| 247,539 |
| |
2,667 |
| Lancaster Colony Corp. |
| 80,410 |
| |
7,220 |
| NBTY, Inc.* |
| 105,195 |
| |
7,617 |
| PepsiAmericas, Inc. |
| 127,661 |
| |
7,473 |
| Ralcorp Holdings, Inc.* |
| 467,511 |
| |
5,197 |
| Ruddick Corp. |
| 142,190 |
| |
15,548 |
| Smithfield Foods, Inc.* |
| 105,882 |
| |
3,438 |
| Tootsie Roll Industries, Inc. |
| 89,216 |
| |
3,380 |
| Universal Corp. |
| 108,059 |
| |
|
|
|
| 3,733,199 |
| |
|
| Energy - 5.8% |
|
|
| |
|
|
|
|
|
| |
19,198 |
| Arch Coal, Inc. |
| 295,265 |
| |
4,915 |
| Bill Barrett Corp.* |
| 109,949 |
| |
11,044 |
| Cimarex Energy Co. |
| 313,318 |
| |
6,116 |
| Comstock Resources, Inc.* |
| 256,444 |
| |
32,830 |
| Denbury Resources, Inc.* |
| 312,870 |
| |
7,086 |
| Encore Acquisition Co.* |
| 187,354 |
| |
8,745 |
| Exterran Holdings, Inc.* |
| 153,475 |
| |
16,940 |
| FMC Technologies, Inc.* |
| 465,342 |
| |
12,912 |
| Forest Oil Corp.* |
| 225,314 |
| |
13,810 |
| Frontier Oil Corp. |
| 164,891 |
| |
12,215 |
| Helix Energy Solutions Group, Inc.* |
| 78,543 |
| |
13,991 |
| Helmerich & Payne, Inc. |
| 354,812 |
| |
11,816 |
| Mariner Energy, Inc.* |
| 129,858 |
| |
17,576 |
| Newfield Exploration Co.* |
| 396,866 |
| |
7,368 |
| Oceaneering International, Inc.* |
| 190,242 |
| |
3,355 |
| Overseas Shipholding Group, Inc. |
| 124,336 |
| |
8,431 |
| Patriot Coal Corp.* |
| 71,411 |
| |
20,827 |
| Patterson-UTI Energy, Inc. |
| 260,129 |
| |
14,305 |
| Plains Exploration & Production Co.* |
| 331,161 |
| |
23,011 |
| Pride International, Inc.* |
| 373,008 |
| |
15,057 |
| Quicksilver Resources, Inc.* |
| 93,805 |
| |
16,487 |
| Southern Union Co. |
| 226,531 |
| |
10,745 |
| Superior Energy Services, Inc.* |
| 181,053 |
| |
6,856 |
| Tidewater, Inc. |
| 270,675 |
| |
6,278 |
| Unit Corp.* |
| 180,053 |
| |
|
|
|
| 5,746,705 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
|
| Financials - 17.1% |
|
|
| |
|
|
|
|
|
| |
5,431 |
| Affiliated Managers Group, Inc.* |
| $ | 152,068 |
|
4,272 |
| Alexandria Real Estate Equities, Inc. (REIT) |
| 189,164 |
| |
13,032 |
| AMB Property Corp. (REIT) |
| 224,411 |
| |
9,955 |
| American Financial Group, Inc./OH |
| 203,978 |
| |
15,466 |
| AmeriCredit Corp.* |
| 113,675 |
| |
18,909 |
| Apollo Investment Corp. |
| 160,537 |
| |
12,403 |
| Arthur J. Gallagher & Co. |
| 307,594 |
| |
16,957 |
| Associated Banc-Corp |
| 368,476 |
| |
10,702 |
| Astoria Financial Corp. |
| 197,559 |
| |
9,533 |
| Bancorpsouth, Inc. |
| 212,014 |
| |
6,349 |
| Bank of Hawaii Corp. |
| 283,229 |
| |
6,788 |
| BRE Properties, Inc. (REIT) |
| 199,296 |
| |
15,337 |
| Brown & Brown, Inc. |
| 305,206 |
| |
7,066 |
| Camden Property Trust (REIT) |
| 187,037 |
| |
6,577 |
| Cathay General Bancorp |
| 134,960 |
| |
5,342 |
| City National Corp./CA |
| 234,407 |
| |
26,879 |
| Colonial BancGroup, Inc. (The) |
| 67,466 |
| |
8,750 |
| Commerce Bancshares, Inc./MO |
| 383,338 |
| |
5,805 |
| Cousins Properties, Inc. (REIT) |
| 62,578 |
| |
7,856 |
| Cullen/Frost Bankers, Inc. |
| 425,874 |
| |
19,529 |
| Duke Realty Corp. (REIT) |
| 160,333 |
| |
15,427 |
| Eaton Vance Corp. |
| 294,964 |
| |
4,233 |
| Equity One, Inc. (REIT) |
| 70,056 |
| |
3,401 |
| Essex Property Trust, Inc. (REIT) |
| 294,085 |
| |
8,200 |
| Everest Re Group Ltd. |
| 643,372 |
| |
7,836 |
| Federal Realty Investment Trust (REIT) |
| 453,234 |
| |
28,116 |
| Fidelity National Financial, Inc., Class A |
| 346,670 |
| |
12,314 |
| First American Corp. |
| 295,782 |
| |
15,575 |
| First Niagara Financial Group, Inc. |
| 241,568 |
| |
10,754 |
| FirstMerit Corp. |
| 236,588 |
| |
23,207 |
| Fulton Financial Corp. |
| 258,062 |
| |
6,780 |
| Hanover Insurance Group, Inc. (The) |
| 273,370 |
| |
15,250 |
| HCC Insurance Holdings, Inc. |
| 355,478 |
| |
13,549 |
| Health Care REIT, Inc. (REIT) |
| 514,862 |
| |
8,396 |
| Highwoods Properties, Inc. (REIT) |
| 200,497 |
| |
5,192 |
| Horace Mann Educators Corp. |
| 44,236 |
| |
12,492 |
| Hospitality Properties Trust (REIT) |
| 143,158 |
| |
15,965 |
| Jefferies Group, Inc. |
| 198,605 |
| |
5,369 |
| Jones Lang LaSalle, Inc. |
| 127,943 |
| |
13,041 |
| Liberty Property Trust (REIT) |
| 249,344 |
| |
9,922 |
| Macerich Co. (The) (REIT) |
| 133,550 |
| |
8,743 |
| Mack-Cali Realty Corp. (REIT) |
| 165,855 |
| |
4,729 |
| Mercury General Corp. |
| 215,122 |
| |
12,869 |
| Nationwide Health Properties, Inc. (REIT) |
| 291,226 |
| |
45,701 |
| New York Community Bancorp, Inc. |
| 596,398 |
| |
30,673 |
| Old Republic International Corp. |
| 314,705 |
| |
3,254 |
| PacWest Bancorp |
| 86,556 |
| |
7,701 |
| Philadelphia Consolidated Holding Co.* |
| 473,227 |
| |
9,226 |
| PMI Group, Inc. (The) |
| 15,407 |
| |
5,253 |
| Potlatch Corp. (REIT) |
| 140,150 |
| |
9,294 |
| Protective Life Corp. |
| 86,620 |
| |
12,761 |
| Raymond James Financial, Inc. |
| 280,359 |
| |
10,456 |
| Rayonier, Inc. (REIT) |
| 349,230 |
| |
13,474 |
| Realty Income Corp. (REIT) |
| 272,040 |
| |
9,304 |
| Regency Centers Corp. (REIT) |
| 331,315 |
| |
9,469 |
| Reinsurance Group of America, Inc. |
| 384,441 |
| |
17,828 |
| SEI Investments Co. |
| 275,621 |
| |
6,498 |
| StanCorp Financial Group, Inc. |
| 216,448 |
| |
4,319 |
| SVB Financial Group* |
| 172,976 |
| |
37,311 |
| Synovus Financial Corp. |
| 310,428 |
| |
15,331 |
| TCF Financial Corp. |
| 256,028 |
| |
18,087 |
| UDR, Inc. (REIT) |
| 273,656 |
| |
6,590 |
| Unitrin, Inc. |
| 126,133 |
| |
11,399 |
| Waddell & Reed Financial, Inc., Class A |
| 153,203 |
| |
11,681 |
| Washington Federal, Inc. |
| 197,292 |
| |
6,986 |
| Webster Financial Corp. |
| 104,790 |
| |
9,940 |
| Weingarten Realty Investors (REIT) |
| 141,744 |
| |
3,854 |
| Westamerica Bancorporation |
| 204,879 |
| |
8,949 |
| Wilmington Trust Corp. |
| 216,476 |
| |
18,623 |
| WR Berkley Corp. |
| 529,452 |
| |
|
|
|
| 17,130,401 |
| |
|
| Health Care - 9.1% |
|
|
| |
|
|
|
|
|
| |
6,920 |
| Advanced Medical Optics, Inc.* |
| 40,205 |
| |
9,340 |
| Affymetrix, Inc.* |
| 25,592 |
| |
8,270 |
| Beckman Coulter, Inc. |
| 360,407 |
| |
2,537 |
| Bio-Rad Laboratories, Inc., Class A* |
| 188,144 |
| |
9,021 |
| Cerner Corp.* |
| 324,576 |
| |
9,017 |
| Charles River Laboratories International, Inc.* |
| 205,588 |
| |
12,746 |
| Community Health Systems, Inc.* |
| 166,463 |
| |
8,378 |
| Covance, Inc.* |
| 327,412 |
| |
7,475 |
| Edwards Lifesciences Corp.* |
| 372,031 |
| |
15,992 |
| Endo Pharmaceuticals Holdings, Inc.* |
| 351,664 |
| |
7,209 |
| Gen-Probe, Inc.* |
| 265,652 |
| |
32,492 |
| Health Management Associates, Inc., Class A* |
| 47,438 |
| |
14,269 |
| Health Net, Inc.* |
| 128,564 |
| |
11,886 |
| Henry Schein, Inc.* |
| 424,687 |
| |
8,314 |
| Hill-Rom Holdings, Inc. |
| 170,770 |
| |
34,069 |
| Hologic, Inc.* |
| 479,010 |
| |
7,899 |
| Idexx Laboratories, Inc.* |
| 244,158 |
| |
3,976 |
| Kindred Healthcare, Inc.* |
| 42,662 |
| |
7,526 |
| Kinetic Concepts, Inc.* |
| 162,863 |
| |
7,076 |
| LifePoint Hospitals, Inc.* |
| 141,944 |
| |
9,760 |
| Lincare Holdings, Inc.* |
| 233,557 |
| |
7,541 |
| Medicis Pharmaceutical Corp., Class A |
| 92,226 |
| |
13,830 |
| Omnicare, Inc. |
| 333,441 |
| |
15,879 |
| PDL BioPharma, Inc. |
| 152,121 |
| |
10,322 |
| Perrigo Co. |
| 355,180 |
| |
15,835 |
| Pharmaceutical Product Development, Inc. |
| 417,094 |
| |
7,398 |
| Psychiatric Solutions, Inc.* |
| 187,169 |
| |
10,048 |
| Resmed, Inc.* |
| 365,144 |
| |
14,476 |
| Sepracor, Inc.* |
| 170,238 |
| |
7,854 |
| STERIS Corp. |
| 217,163 |
| |
5,138 |
| Techne Corp. |
| 318,607 |
| |
5,273 |
| Teleflex, Inc. |
| 249,835 |
| |
3,029 |
| United Therapeutics Corp.* |
| 166,080 |
| |
6,762 |
| Universal Health Services, Inc., Class B |
| 251,208 |
| |
10,835 |
| Valeant Pharmaceuticals International* |
| 211,066 |
| |
3,904 |
| Varian, Inc.* |
| 142,886 |
| |
11,220 |
| VCA Antech, Inc.* |
| 213,741 |
| |
19,813 |
| Vertex Pharmaceuticals, Inc.* |
| 487,202 |
| |
5,541 |
| WellCare Health Plans, Inc.* |
| 49,647 |
| |
|
|
|
| 9,083,435 |
| |
|
| Industrials - 12.5% |
|
|
| |
|
|
|
|
|
| |
12,195 |
| AGCO Corp.* |
| 300,241 |
| |
15,568 |
| Airtran Holdings, Inc.* |
| 53,087 |
| |
4,791 |
| Alaska Air Group, Inc.* |
| 109,953 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
5,500 |
| Alexander & Baldwin, Inc. |
| $ | 142,175 |
|
4,382 |
| Alliant Techsystems, Inc.* |
| 360,200 |
| |
14,189 |
| Ametek, Inc. |
| 495,622 |
| |
13,184 |
| BE Aerospace, Inc.* |
| 107,845 |
| |
5,604 |
| Brink’s Co. (The) |
| 121,999 |
| |
9,954 |
| Bucyrus International, Inc. |
| 194,402 |
| |
8,111 |
| Carlisle Cos., Inc. |
| 172,197 |
| |
2,661 |
| Clean Harbors, Inc.* |
| 167,989 |
| |
6,077 |
| Con-way, Inc. |
| 169,974 |
| |
8,693 |
| Copart, Inc.* |
| 231,842 |
| |
4,525 |
| Corporate Executive Board Co. (The) |
| 104,347 |
| |
16,670 |
| Corrections Corp. of America* |
| 301,560 |
| |
6,437 |
| Crane Co. |
| 95,396 |
| |
6,854 |
| Deluxe Corp. |
| 72,104 |
| |
10,454 |
| Donaldson Co., Inc. |
| 357,736 |
| |
7,260 |
| Dun & Bradstreet Corp. |
| 580,800 |
| |
5,236 |
| Dycom Industries, Inc.* |
| 31,102 |
| |
6,316 |
| Federal Signal Corp. |
| 44,338 |
| |
6,477 |
| GATX Corp. |
| 182,328 |
| |
7,988 |
| Graco, Inc. |
| 171,423 |
| |
4,378 |
| Granite Construction, Inc. |
| 187,772 |
| |
11,207 |
| Harsco Corp. |
| 281,856 |
| |
7,407 |
| Herman Miller, Inc. |
| 108,957 |
| |
5,881 |
| HNI Corp. |
| 78,511 |
| |
7,471 |
| Hubbell, Inc., Class B |
| 223,383 |
| |
10,974 |
| IDEX Corp. |
| 252,402 |
| |
10,856 |
| JB Hunt Transport Services, Inc. |
| 291,049 |
| |
24,315 |
| JetBlue Airways Corp.* |
| 127,411 |
| |
14,332 |
| Joy Global, Inc. |
| 333,792 |
| |
12,086 |
| Kansas City Southern* |
| 264,925 |
| |
22,582 |
| KBR, Inc. |
| 310,954 |
| |
3,650 |
| Kelly Services, Inc., Class A |
| 42,523 |
| |
10,187 |
| Kennametal, Inc. |
| 190,497 |
| |
6,333 |
| Korn/Ferry International* |
| 77,959 |
| |
5,696 |
| Lincoln Electric Holdings, Inc. |
| 260,250 |
| |
10,555 |
| Manpower, Inc. |
| 332,271 |
| |
3,949 |
| Mine Safety Appliances Co. |
| 96,553 |
| |
12,368 |
| MPS Group, Inc.* |
| 81,876 |
| |
6,019 |
| MSC Industrial Direct Co., Class A |
| 208,318 |
| |
6,167 |
| Navigant Consulting, Inc.* |
| 116,618 |
| |
4,536 |
| Nordson Corp. |
| 147,193 |
| |
9,908 |
| Oshkosh Corp. |
| 69,356 |
| |
13,149 |
| Pentair, Inc. |
| 326,884 |
| |
26,228 |
| Quanta Services, Inc.* |
| 426,467 |
| |
20,569 |
| Republic Services, Inc. |
| 493,656 |
| |
5,500 |
| Rollins, Inc. |
| 95,260 |
| |
11,913 |
| Roper Industries, Inc. |
| 545,258 |
| |
11,100 |
| Shaw Group, Inc. (The)* |
| 204,240 |
| |
7,205 |
| SPX Corp. |
| 268,891 |
| |
12,921 |
| Terex Corp.* |
| 184,254 |
| |
7,654 |
| Thomas & Betts Corp.* |
| 145,350 |
| |
11,291 |
| Timken Co. |
| 163,832 |
| |
10,858 |
| Trinity Industries, Inc. |
| 161,458 |
| |
7,883 |
| United Rentals, Inc.* |
| 63,616 |
| |
11,232 |
| URS Corp.* |
| 426,367 |
| |
6,436 |
| Wabtec Corp. |
| 248,365 |
| |
5,661 |
| Werner Enterprises, Inc. |
| 98,388 |
| |
7,617 |
| YRC Worldwide, Inc.* |
| 30,316 |
| |
|
|
|
| 12,535,688 |
| |
|
| Information Technology - 11.8% |
|
|
| |
|
|
|
|
|
| |
53,889 |
| 3Com Corp.* |
| 108,317 |
| |
4,573 |
| ACI Worldwide, Inc.* |
| 71,796 |
| |
8,988 |
| Acxiom Corp. |
| 67,500 |
| |
15,654 |
| ADC Telecommunications, Inc.* |
| 111,300 |
| |
7,424 |
| Adtran, Inc. |
| 105,421 |
| |
2,210 |
| Advent Software, Inc.* |
| 49,283 |
| |
8,943 |
| Alliance Data Systems Corp.* |
| 387,321 |
| |
11,822 |
| Ansys, Inc.* |
| 341,183 |
| |
15,907 |
| Arrow Electronics, Inc.* |
| 219,517 |
| |
59,328 |
| Atmel Corp.* |
| 166,118 |
| |
20,000 |
| Avnet, Inc.* |
| 284,800 |
| |
5,953 |
| Avocent Corp.* |
| 111,976 |
| |
18,674 |
| Broadridge Financial Solutions, Inc. |
| 212,884 |
| |
34,605 |
| Cadence Design Systems, Inc.* |
| 133,575 |
| |
9,338 |
| CommScope, Inc.* |
| 105,426 |
| |
11,719 |
| Cree, Inc.* |
| 186,098 |
| |
8,747 |
| Diebold, Inc. |
| 244,916 |
| |
4,921 |
| Digital River, Inc.* |
| 103,981 |
| |
5,685 |
| DST Systems, Inc.* |
| 214,950 |
| |
10,701 |
| F5 Networks, Inc.* |
| 266,455 |
| |
5,679 |
| Factset Research Systems, Inc. |
| 227,160 |
| |
6,438 |
| Fair Isaac Corp. |
| 91,033 |
| |
16,621 |
| Fairchild Semiconductor International, Inc.* |
| 66,318 |
| |
18,507 |
| Flir Systems, Inc.* |
| 574,087 |
| |
19,578 |
| Foundry Networks, Inc.* |
| 303,263 |
| |
7,867 |
| Gartner, Inc.* |
| 120,837 |
| |
10,611 |
| Global Payments, Inc. |
| 383,800 |
| |
4,001 |
| Imation Corp. |
| 53,133 |
| |
22,057 |
| Ingram Micro, Inc., Class A* |
| 237,554 |
| |
22,591 |
| Integrated Device Technology, Inc.* |
| 116,795 |
| |
9,681 |
| International Rectifier Corp.* |
| 113,171 |
| |
16,446 |
| Intersil Corp., Class A |
| 149,001 |
| |
11,444 |
| Jack Henry & Associates, Inc. |
| 210,684 |
| |
16,680 |
| Lam Research Corp.* |
| 336,936 |
| |
11,095 |
| Lender Processing Services, Inc. |
| 244,756 |
| |
11,089 |
| Macrovision Solutions Corp.* |
| 130,407 |
| |
2,756 |
| Mantech International Corp., Class A* |
| 149,981 |
| |
20,115 |
| McAfee, Inc.* |
| 610,088 |
| |
12,278 |
| Mentor Graphics Corp.* |
| 83,245 |
| |
11,928 |
| Metavante Technologies, Inc.* |
| 205,997 |
| |
7,530 |
| National Instruments Corp. |
| 181,548 |
| |
21,749 |
| NCR Corp.* |
| 330,150 |
| |
10,470 |
| NeuStar, Inc., Class A* |
| 200,500 |
| |
14,439 |
| Palm, Inc.* |
| 34,509 |
| |
15,335 |
| Parametric Technology Corp.* |
| 177,273 |
| |
6,502 |
| Plantronics, Inc. |
| 82,640 |
| |
11,316 |
| Polycom, Inc.* |
| 213,080 |
| |
34,790 |
| RF Micro Devices, Inc.* |
| 46,271 |
| |
25,593 |
| SAIC, Inc.* |
| 455,555 |
| |
8,207 |
| Semtech Corp.* |
| 92,903 |
| |
6,355 |
| Silicon Laboratories, Inc.* |
| 133,201 |
| |
5,658 |
| SRA International, Inc., Class A* |
| 84,983 |
| |
10,700 |
| Sybase, Inc.* |
| 263,648 |
| |
19,156 |
| Synopsys, Inc.* |
| 307,071 |
| |
6,714 |
| Tech Data Corp.* |
| 117,092 |
| |
16,074 |
| Trimble Navigation Ltd.* |
| 327,267 |
| |
11,515 |
| Valueclick, Inc.* |
| 71,048 |
| |
24,789 |
| Vishay Intertechnology, Inc.* |
| 108,080 |
| |
29,446 |
| Western Digital Corp.* |
| 359,241 |
| |
9,227 |
| Wind River Systems, Inc.* |
| 76,953 |
| |
8,671 |
| Zebra Technologies Corp., Class A* |
| 183,478 |
| |
|
|
|
| 11,747,554 |
| |
|
| Materials - 5.8% |
|
|
| |
|
|
|
|
|
| |
10,964 |
| Airgas, Inc. |
| 391,963 |
| |
12,155 |
| Albemarle Corp. |
| 247,111 |
| |
9,020 |
| Aptargroup, Inc. |
| 301,629 |
| |
8,790 |
| Ashland, Inc. |
| 83,945 |
| |
8,541 |
| Cabot Corp. |
| 176,713 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
5,902 |
| Carpenter Technology Corp. |
| $ | 98,327 |
|
32,227 |
| Chemtura Corp. |
| 53,819 |
| |
15,091 |
| Cliffs Natural Resources, Inc. |
| 358,411 |
| |
15,228 |
| Commercial Metals Co. |
| 182,431 |
| |
6,327 |
| Cytec Industries, Inc. |
| 139,384 |
| |
5,814 |
| Ferro Corp. |
| 37,384 |
| |
9,947 |
| FMC Corp. |
| 434,684 |
| |
4,532 |
| Greif, Inc., Class A |
| 150,236 |
| |
12,085 |
| Louisiana-Pacific Corp. |
| 27,916 |
| |
9,002 |
| Lubrizol Corp. |
| 316,150 |
| |
5,502 |
| Martin Marietta Materials, Inc. |
| 482,195 |
| |
2,514 |
| Minerals Technologies, Inc. |
| 118,032 |
| |
10,026 |
| Olin Corp. |
| 164,226 |
| |
13,775 |
| Packaging Corp. of America |
| 205,661 |
| |
8,475 |
| Reliance Steel & Aluminum Co. |
| 174,755 |
| |
17,314 |
| RPM International, Inc. |
| 207,595 |
| |
5,755 |
| Scotts Miracle-Gro Co. (The), Class A |
| 186,232 |
| |
6,421 |
| Sensient Technologies Corp. |
| 154,361 |
| |
13,232 |
| Sonoco Products Co. |
| 332,123 |
| |
21,500 |
| Steel Dynamics, Inc. |
| 177,590 |
| |
14,122 |
| Temple-Inland, Inc. |
| 44,626 |
| |
13,582 |
| Terra Industries, Inc. |
| 199,791 |
| |
13,271 |
| Valspar Corp. |
| 260,377 |
| |
7,958 |
| Worthington Industries, Inc. |
| 105,682 |
| |
|
|
|
| 5,813,349 |
| |
|
| Telecommunication Services - 0.5% |
|
|
| |
|
|
|
|
|
| |
31,314 |
| Cincinnati Bell, Inc.* |
| 54,173 |
| |
14,158 |
| Telephone & Data Systems, Inc. |
| 459,427 |
| |
|
|
|
| 513,600 |
| |
|
| Utilities - 8.4% |
|
|
| |
|
|
|
|
|
| |
10,196 |
| AGL Resources, Inc. |
| 307,002 |
| |
14,684 |
| Alliant Energy Corp. |
| 467,979 |
| |
17,931 |
| Aqua America, Inc. |
| 388,923 |
| |
5,106 |
| Black Hills Corp. |
| 131,786 |
| |
15,103 |
| DPL, Inc. |
| 314,444 |
| |
9,535 |
| Energen Corp. |
| 293,678 |
| |
17,401 |
| Equitable Resources, Inc. |
| 580,671 |
| |
15,792 |
| Great Plains Energy, Inc. |
| 296,732 |
| |
11,265 |
| Hawaiian Electric Industries, Inc. |
| 307,197 |
| |
6,021 |
| Idacorp, Inc. |
| 183,038 |
| |
24,366 |
| MDU Resources Group, Inc. |
| 495,361 |
| |
10,836 |
| National Fuel Gas Co. |
| 352,495 |
| |
20,682 |
| Northeast Utilities |
| 481,891 |
| |
14,199 |
| NSTAR |
| 504,064 |
| |
31,124 |
| NV Energy, Inc. |
| 295,056 |
| |
12,271 |
| OGE Energy Corp. |
| 325,059 |
| |
13,883 |
| Oneok, Inc. |
| 407,327 |
| |
11,490 |
| PNM Resources, Inc. |
| 120,070 |
| |
17,245 |
| Puget Energy, Inc. |
| 422,158 |
| |
15,555 |
| SCANA Corp. |
| 540,536 |
| |
14,317 |
| UGI Corp. | �� | 334,445 |
| |
10,768 |
| Vectren Corp. |
| 303,227 |
| |
14,378 |
| Westar Energy, Inc. |
| 290,867 |
| |
6,638 |
| WGL Holdings, Inc. |
| 239,632 |
| |
|
|
|
| 8,383,638 |
| |
|
| Total Common Stock |
| 86,244,501 |
| |
Principal |
|
|
|
|
| ||
|
| Repurchase Agreements - 45.0% |
|
|
| ||
$ | 6,000,678 |
| Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $6,000,783(b) |
| 6,000,678 |
| |
6,000,678 |
| Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $6,000,828(c) |
| 6,000,678 |
| ||
450,051 |
| Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $450,059(d) |
| 450,051 |
| ||
1,500,170 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $1,500,272(e) |
| 1,500,170 |
| ||
3,000,339 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $3,000,543(f) |
| 3,000,339 |
| ||
10,501,187 |
| ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $10,501,432(g) |
| 10,501,187 |
| ||
9,001,017 |
| JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $9,001,167(h) |
| 9,001,017 |
| ||
8,557,770 |
| UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $8,557,948(i) |
| 8,557,770 |
| ||
|
| Total Repurchase Agreements |
| 45,011,890 |
| ||
|
| Total Investments |
| 131,256,391 |
| ||
|
| Liabilities in excess of other assets — (31.3)% |
| (31,313,289 | ) | ||
|
| Net Assets — 100.0% |
| $ | 99,943,102 |
| |
* |
| Non-income producing security. |
(a) |
| A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. |
(b) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $6,120,693. The investment in the repurchase agreement was through participation in a pooled account. |
See accompanying notes to the financial statements.
(c) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $6,120,693. The investment in the repurchase agreement was through participation in a pooled account. |
(d) |
| Represents the Fund’s 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $459,070. The investment in the repurchase agreement was through participation in a pooled account. |
(e) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $1,530,179. The investment in the repurchase agreement was through participation in a pooled account. |
(f) |
| Represents the Fund’s 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $3,060,346. The investment in the repurchase agreement was through participation in a pooled account. |
(g) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $10,711,222. The investment in the repurchase agreement was through participation in a pooled account. |
(h) |
| Represents the Fund’s 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $9,181,041. The investment in the repurchase agreement was through participation in a pooled account. |
(i) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $8,728,943. The investment in the repurchase agreement was through participation in a pooled account. |
See accompanying notes to the financial statements.
As of November 30, 2008, 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 |
| $ | 367,084 |
|
Aggregate gross unrealized depreciation |
| (33,820,032 | ) | |
Net unrealized depreciation |
| $ | (33,452,948 | ) |
Federal income tax cost of investments |
| $ | 164,709,339 |
|
Futures Contracts Purchased
Ultra MidCap400 had the following open long futures contracts as of November 30, 2008:
|
| Number of |
| Expiration |
| Notional |
| Unrealized |
| ||
|
|
|
|
|
|
|
|
|
| ||
E-Mini S&P MidCap400 Futures Contracts |
| 419 |
| 12/19/08 |
| $ | 21,528,220 |
| $ | 1,572,258 |
|
Cash collateral in the amount of $3,172,713 was pledged to a cover margin requirements for open futures contracts as of November 30, 2008.
Swap Agreements
Ultra MidCap400 had the following open swap agreements as of November 30, 2008:
|
| Termination |
| Notional Amount |
| Unrealized |
| ||
Equity Index Swap Agreement based on the S&P MidCap400 Index |
| 12/08/08 |
| $ | 514,008 |
| $ | (11,279 | ) |
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement based on the S&P MidCap400 Index |
| 12/08/08 |
| 15,216,505 |
| (226,506 | ) | ||
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement based on the S&P MidCap400 Index |
| 12/08/08 |
| 41,195,511 |
| (857,959 | ) | ||
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement based on the S&P MidCap400 Index |
| 12/08/08 |
| 33,881,371 |
| (27,118,629 | ) | ||
|
|
|
|
|
|
|
| ||
|
|
|
| $ | 90,807,395 |
| $ | (28,214,373 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra SmallCap600
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) - 91.9% |
|
|
| |
|
| Consumer Discretionary - 11.8% |
|
|
| |
|
|
|
|
|
| |
1,051 |
| 4Kids Entertainment, Inc.* |
| $ | 3,164 |
|
4,707 |
| Aaron Rents, Inc. |
| 124,406 |
| |
1,548 |
| AH Belo Corp., Class A |
| 3,127 |
| |
2,340 |
| Arbitron, Inc. |
| 32,830 |
| |
1,047 |
| Arctic Cat, Inc. |
| 6,334 |
| |
1,627 |
| Audiovox Corp., Class A* |
| 9,453 |
| |
1,030 |
| Bassett Furniture Industries, Inc. |
| 4,378 |
| |
1,897 |
| Big 5 Sporting Goods Corp. |
| 7,190 |
| |
1,290 |
| Blue Nile, Inc.* |
| 30,779 |
| |
3,730 |
| Brown Shoe Co., Inc. |
| 21,037 |
| |
7,734 |
| Brunswick Corp. |
| 20,959 |
| |
2,076 |
| Buckle, Inc. (The) |
| 39,153 |
| |
1,570 |
| Buffalo Wild Wings, Inc.* |
| 36,047 |
| |
3,467 |
| Cabela’s, Inc.* |
| 21,669 |
| |
2,163 |
| California Pizza Kitchen, Inc.* |
| 16,763 |
| |
1,242 |
| Capella Education Co.* |
| 74,346 |
| |
4,953 |
| Carter’s, Inc.* |
| 93,661 |
| |
2,611 |
| Cato Corp. (The), Class A |
| 36,450 |
| |
1,959 |
| CBRL Group, Inc. |
| 37,867 |
| |
1,996 |
| CEC Entertainment, Inc.* |
| 34,351 |
| |
6,864 |
| Champion Enterprises, Inc.* |
| 5,011 |
| |
1,842 |
| Charlotte Russe Holding, Inc.* |
| 9,210 |
| |
2,134 |
| Childrens Place Retail Stores, Inc. (The)* |
| 50,042 |
| |
3,129 |
| Christopher & Banks Corp. |
| 10,545 |
| |
4,630 |
| CKE Restaurants, Inc. |
| 33,336 |
| |
2,488 |
| Coinstar, Inc.* |
| 46,177 |
| |
7,314 |
| CROCS, Inc.* |
| 9,289 |
| |
1,149 |
| Deckers Outdoor Corp.* |
| 68,526 |
| |
1,362 |
| DineEquity, Inc. |
| 17,338 |
| |
3,987 |
| Dress Barn, Inc.* |
| 31,218 |
| |
1,722 |
| Drew Industries, Inc.* |
| 24,211 |
| |
2,537 |
| Ethan Allen Interiors, Inc. |
| 35,036 |
| |
2,595 |
| EW Scripps Co., Class A |
| 7,603 |
| |
4,836 |
| Finish Line (The), Class A |
| 25,679 |
| |
3,998 |
| Fossil, Inc.* |
| 60,770 |
| |
3,526 |
| Fred’s, Inc., Class A |
| 40,549 |
| |
1,695 |
| Genesco, Inc.* |
| 22,815 |
| |
2,047 |
| Group 1 Automotive, Inc. |
| 21,473 |
| |
2,553 |
| Gymboree Corp.* |
| 64,208 |
| |
1,630 |
| Haverty Furniture Cos., Inc. |
| 13,839 |
| |
2,512 |
| Hibbett Sports, Inc.* |
| 35,771 |
| |
5,506 |
| Hillenbrand, Inc. |
| 87,656 |
| |
3,864 |
| HOT Topic, Inc.* |
| 31,762 |
| |
3,445 |
| HSN, Inc.* |
| 12,884 |
| |
5,098 |
| Iconix Brand Group, Inc.* |
| 43,180 |
| |
3,445 |
| Interval Leisure Group, Inc.* |
| 18,259 |
| |
5,001 |
| Jack in the Box, Inc.* |
| 87,518 |
| |
2,419 |
| Jakks Pacific, Inc.* |
| 43,300 |
| |
2,237 |
| Jo-Ann Stores, Inc.* |
| 31,050 |
| |
1,607 |
| JOS. A. Bank Clothiers, Inc.* |
| 31,417 |
| |
2,369 |
| K-Swiss, Inc., Class A |
| 29,849 |
| |
1,098 |
| Landry’s Restaurants, Inc. |
| 12,726 |
| |
4,574 |
| La-Z-Boy, Inc. |
| 15,048 |
| |
1,294 |
| Libbey, Inc. |
| 2,588 |
| |
1,454 |
| Lithia Motors, Inc., Class A |
| 3,868 |
| |
6,684 |
| Live Nation, Inc.* |
| 32,685 |
| |
11,963 |
| LKQ Corp.* |
| 124,654 |
| |
1,234 |
| M/I Homes, Inc. |
| 13,006 |
| |
1,644 |
| Maidenform Brands, Inc.* |
| 15,223 |
| |
1,864 |
| Marcus Corp. |
| 24,027 |
| |
1,631 |
| MarineMax, Inc.* |
| 4,534 |
| |
4,561 |
| Men’s Wearhouse, Inc. (The) |
| 48,529 |
| |
2,712 |
| Meritage Homes Corp.* |
| 33,629 |
| |
1,235 |
| Midas, Inc.* |
| 10,226 |
| |
2,636 |
| Monaco Coach Corp. |
| 2,214 |
| |
1,011 |
| Monarch Casino & Resort, Inc.* |
| 9,099 |
| |
1,584 |
| Movado Group, Inc. |
| 21,384 |
| |
2,046 |
| Multimedia Games, Inc.* |
| 4,706 |
| |
424 |
| National Presto Industries, Inc. |
| 27,819 |
| |
2,036 |
| Nautilus, Inc.* |
| 5,986 |
| |
2,610 |
| NutriSystem, Inc. |
| 36,566 |
| |
1,884 |
| O’Charleys, Inc. |
| 3,994 |
| |
6,701 |
| OfficeMax, Inc. |
| 36,520 |
| |
1,208 |
| Oxford Industries, Inc. |
| 7,248 |
| |
2,688 |
| Panera Bread Co., Class A* |
| 119,455 |
| |
1,907 |
| Papa John’s International, Inc.* |
| 33,792 |
| |
1,048 |
| Peet’s Coffee & Tea, Inc.* |
| 23,653 |
| |
3,906 |
| PEP Boys-Manny Moe & Jack |
| 17,577 |
| |
1,049 |
| Perry Ellis International, Inc.* |
| 5,686 |
| |
2,091 |
| PetMed Express, Inc.* |
| 37,492 |
| |
2,099 |
| PF Chang’s China Bistro, Inc.* |
| 39,314 |
| |
5,294 |
| Pinnacle Entertainment, Inc.* |
| 30,176 |
| |
2,868 |
| Polaris Industries, Inc. |
| 78,296 |
| |
4,218 |
| Pool Corp. |
| 72,676 |
| |
679 |
| Pre-Paid Legal Services, Inc.* |
| 27,160 |
| |
11,203 |
| Quiksilver, Inc.* |
| 15,684 |
| |
1,518 |
| RC2 Corp.* |
| 16,136 |
| |
1,488 |
| Red Robin Gourmet Burgers, Inc.* |
| 18,139 |
| |
4,653 |
| Ruby Tuesday, Inc.* |
| 5,351 |
| |
1,481 |
| Russ Berrie & Co., Inc.* |
| 3,036 |
| |
1,793 |
| Ruth’s Hospitality Group, Inc.* |
| 2,672 |
| |
4,895 |
| Shuffle Master, Inc.* |
| 20,951 |
| |
2,933 |
| Skechers U.S.A., Inc., Class A* |
| 35,313 |
| |
602 |
| Skyline Corp. |
| 13,888 |
| |
2,470 |
| Sonic Automotive, Inc., Class A |
| 7,953 |
| |
5,318 |
| Sonic Corp.* |
| 44,937 |
| |
2,891 |
| Spartan Motors, Inc. |
| 8,615 |
| |
3,411 |
| Stage Stores, Inc. |
| 19,716 |
| |
1,354 |
| Stamps.com, Inc.* |
| 11,996 |
| |
1,051 |
| Standard Motor Products, Inc. |
| 2,617 |
| |
10,163 |
| Standard Pacific Corp.* |
| 19,615 |
| |
2,525 |
| Steak N Shake Co. (The)* |
| 11,161 |
| |
2,238 |
| Stein Mart, Inc. |
| 3,491 |
| |
1,812 |
| Sturm Ruger & Co., Inc.* |
| 10,709 |
| |
2,052 |
| Superior Industries International, Inc. |
| 25,096 |
| |
4,645 |
| Texas Roadhouse, Inc., Class A* |
| 25,966 |
| |
3,445 |
| Ticketmaster Entertainment, Inc.* |
| 13,746 |
| |
2,826 |
| Tractor Supply Co.* |
| 108,462 |
| |
1,617 |
| True Religion Apparel, Inc.* |
| 20,358 |
| |
2,653 |
| Tuesday Morning Corp.* |
| 2,971 |
| |
2,187 |
| Tween Brands, Inc.* |
| 8,398 |
| |
1,262 |
| Unifirst Corp. |
| 34,970 |
| |
1,224 |
| Universal Electronics, Inc.* |
| 20,318 |
| |
1,900 |
| Universal Technical Institute, Inc.* |
| 36,537 |
| |
1,393 |
| Volcom, Inc.* |
| 14,041 |
| |
2,560 |
| Winnebago Industries |
| 15,053 |
| |
4,423 |
| WMS Industries, Inc.* |
| 109,027 |
| |
4,318 |
| Wolverine World Wide, Inc. |
| 83,208 |
| |
3,121 |
| Zale Corp.* |
| 18,508 |
| |
1,765 |
| Zumiez, Inc.* |
| 15,250 |
| |
|
|
|
| 3,508,930 |
| |
|
| Consumer Staples - 3.4% |
|
|
| |
|
|
|
|
|
| |
7,838 |
| Alliance One International, Inc.* |
| 24,298 |
| |
1,598 |
| Andersons, Inc. (The) |
| 20,231 |
| |
874 |
| Boston Beer Co., Inc., Class A* |
| 28,038 |
| |
1,111 |
| Cal-Maine Foods, Inc. |
| 28,008 |
| |
4,474 |
| Casey’s General Stores, Inc. |
| 132,654 |
| |
6,275 |
| Central Garden and Pet Co., Class A* |
| 26,230 |
| |
1,653 |
| Chattem, Inc.* |
| 119,958 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
7,226 |
| Darling International, Inc.* |
| $ | 36,130 |
|
1,406 |
| Diamond Foods, Inc. |
| 42,489 |
| |
2,662 |
| Great Atlantic & Pacific Tea Co.* |
| 13,842 |
| |
1,544 |
| Green Mountain Coffee Roasters, Inc.* |
| 56,109 |
| |
3,548 |
| Hain Celestial Group, Inc.* |
| 55,846 |
| |
1,253 |
| J&J Snack Foods Corp. |
| 37,264 |
| |
2,779 |
| Lance, Inc. |
| 54,274 |
| |
1,383 |
| Mannatech, Inc. |
| 3,112 |
| |
1,134 |
| Nash Finch Co. |
| 50,871 |
| |
1,544 |
| Sanderson Farms, Inc. |
| 48,142 |
| |
1,952 |
| Spartan Stores, Inc. |
| 46,301 |
| |
3,543 |
| Spectrum Brands, Inc.* |
| 673 |
| |
2,777 |
| TreeHouse Foods, Inc.* |
| 66,065 |
| |
3,785 |
| United Natural Foods, Inc.* |
| 68,168 |
| |
1,455 |
| WD-40 Co. |
| 41,613 |
| |
|
|
|
| 1,000,316 |
| |
|
| Energy - 4.3% |
|
|
| |
|
|
|
|
|
| |
4,912 |
| Atwood Oceanics, Inc.* |
| 88,907 |
| |
2,047 |
| Basic Energy Services, Inc.* |
| 23,500 |
| |
2,562 |
| Bristow Group, Inc.* |
| 57,978 |
| |
1,795 |
| CARBO Ceramics, Inc. |
| 85,981 |
| |
2,697 |
| Dril-Quip, Inc.* |
| 53,077 |
| |
1,260 |
| Gulf Island Fabrication, Inc. |
| 18,157 |
| |
2,033 |
| Hornbeck Offshore Services, Inc.* |
| 34,317 |
| |
7,573 |
| ION Geophysical Corp.* |
| 22,719 |
| |
1,309 |
| Lufkin Industries, Inc. |
| 64,547 |
| |
2,306 |
| Matrix Service Co.* |
| 17,618 |
| |
1,785 |
| NATCO Group, Inc., Class A* |
| 32,362 |
| |
4,393 |
| Oil States International, Inc.* |
| 94,098 |
| |
3,693 |
| Penn Virginia Corp. |
| 110,901 |
| |
1,306 |
| Petroleum Development Corp.* |
| 25,075 |
| |
3,824 |
| Petroquest Energy, Inc.* |
| 26,806 |
| |
4,386 |
| Pioneer Drilling Co.* |
| 32,193 |
| |
1,839 |
| SEACOR Holdings, Inc.* |
| 121,613 |
| |
5,480 |
| St. Mary Land & Exploration Co. |
| 110,203 |
| |
3,054 |
| Stone Energy Corp.* |
| 50,757 |
| |
1,462 |
| Superior Well Services, Inc.* |
| 14,985 |
| |
2,715 |
| Swift Energy Co.* |
| 58,020 |
| |
6,598 |
| Tetra Technologies, Inc.* |
| 31,802 |
| |
2,580 |
| World Fuel Services Corp. |
| 93,654 |
| |
|
|
|
| 1,269,270 |
| |
|
| Financials - 17.9% |
|
|
| |
|
|
|
|
|
| |
2,856 |
| Acadia Realty Trust (REIT) |
| 39,927 |
| |
1,592 |
| Anchor Bancorp Wisconsin, Inc. |
| 4,665 |
| |
4,253 |
| Bank Mutual Corp. |
| 43,593 |
| |
722 |
| BankAtlantic Bancorp, Inc., Class A |
| 1,986 |
| |
6,988 |
| BioMed Realty Trust, Inc. (REIT) |
| 65,128 |
| |
5,058 |
| Boston Private Financial Holdings, Inc. |
| 34,951 |
| |
5,144 |
| Brookline Bancorp, Inc. |
| 58,076 |
| |
2,472 |
| Cascade Bancorp |
| 16,810 |
| |
2,560 |
| Cash America International, Inc. |
| 69,146 |
| |
3,924 |
| Cedar Shopping Centers, Inc. (REIT) |
| 18,443 |
| |
2,538 |
| Central Pacific Financial Corp. |
| 32,486 |
| |
4,218 |
| Colonial Properties Trust (REIT) |
| 23,916 |
| |
1,603 |
| Columbia Banking System, Inc. |
| 16,110 |
| |
2,635 |
| Community Bank System, Inc. |
| 60,763 |
| |
2,747 |
| Corus Bankshares, Inc. |
| 3,269 |
| |
3,634 |
| Delphi Financial Group, Inc., Class A |
| 43,971 |
| |
8,135 |
| DiamondRock Hospitality Co. (REIT) |
| 30,262 |
| |
2,319 |
| Dime Community Bancshares |
| 31,283 |
| |
5,599 |
| East West Bancorp, Inc. |
| 82,865 |
| |
2,216 |
| EastGroup Properties, Inc. (REIT) |
| 71,422 |
| |
2,895 |
| Entertainment Properties Trust (REIT) |
| 71,014 |
| |
7,234 |
| Extra Space Storage, Inc. (REIT) |
| 64,021 |
| |
2,250 |
| Financial Federal Corp. |
| 43,245 |
| |
6,693 |
| First Bancorp/Puerto Rico |
| 73,221 |
| |
2,271 |
| First Cash Financial Services, Inc.* |
| 35,019 |
| |
5,690 |
| First Commonwealth Financial Corp. |
| 68,337 |
| |
2,806 |
| First Financial Bancorp |
| 35,075 |
| |
1,834 |
| First Financial Bankshares, Inc. |
| 95,826 |
| |
4,289 |
| First Midwest Bancorp, Inc./IL |
| 78,960 |
| |
1,045 |
| FirstFed Financial Corp.* |
| 3,940 |
| |
4,473 |
| Flagstar Bancorp, Inc. |
| 3,176 |
| |
3,143 |
| Forestar Group, Inc.* |
| 14,552 |
| |
4,142 |
| Frontier Financial Corp. |
| 11,846 |
| |
5,237 |
| Glacier Bancorp, Inc. |
| 93,114 |
| |
1,550 |
| Greenhill & Co., Inc. |
| 105,555 |
| |
3,935 |
| Guaranty Financial Group, Inc.* |
| 10,624 |
| |
2,076 |
| Hancock Holding Co. |
| 89,496 |
| |
3,283 |
| Hanmi Financial Corp. |
| 7,715 |
| |
1,171 |
| Home Bancshares, Inc./AR |
| 30,938 |
| |
2,812 |
| Home Properties, Inc. (REIT) |
| 109,668 |
| |
1,687 |
| Independent Bank Corp./MI |
| 4,217 |
| |
1,352 |
| Infinity Property & Casualty Corp. |
| 62,043 |
| |
5,072 |
| Inland Real Estate Corp. (REIT) |
| 56,654 |
| |
3,845 |
| Investment Technology Group, Inc.* |
| 64,327 |
| |
1,676 |
| Irwin Financial Corp. |
| 3,168 |
| |
2,886 |
| Kilroy Realty Corp. (REIT) |
| 87,936 |
| |
2,570 |
| Kite Realty Group Trust (REIT) |
| 10,049 |
| |
4,757 |
| LaBranche & Co., Inc.* |
| 23,309 |
| |
3,564 |
| LaSalle Hotel Properties (REIT) |
| 31,434 |
| |
5,701 |
| Lexington Realty Trust (REIT) |
| 27,650 |
| |
2,042 |
| LTC Properties, Inc. (REIT) |
| 39,778 |
| |
5,852 |
| Medical Properties Trust, Inc. (REIT) |
| 36,458 |
| |
2,426 |
| Mid-America Apartment Communities, Inc. (REIT) |
| 89,835 |
| |
1,959 |
| Nara Bancorp, Inc. |
| 21,275 |
| |
3,501 |
| National Financial Partners Corp. |
| 5,567 |
| |
7,027 |
| National Penn Bancshares, Inc. |
| 108,075 |
| |
6,527 |
| National Retail Properties, Inc. (REIT) |
| 87,527 |
| |
1,170 |
| Navigators Group, Inc.* |
| 63,531 |
| |
5,837 |
| Old National Bancorp/IN |
| 100,280 |
| |
3,761 |
| optionsXpress Holdings, Inc. |
| 52,992 |
| |
1,351 |
| Parkway Properties, Inc./MD (REIT) |
| 18,468 |
| |
3,509 |
| Pennsylvania Real Estate Investment Trust (REIT) |
| 15,791 |
| |
1,387 |
| Piper Jaffray Cos.* |
| 52,553 |
| |
1,358 |
| Portfolio Recovery Associates, Inc.* |
| 45,846 |
| |
3,897 |
| Post Properties, Inc. (REIT) |
| 61,105 |
| |
1,901 |
| Presidential Life Corp. |
| 20,455 |
| |
2,410 |
| PrivateBancorp, Inc. |
| 75,096 |
| |
2,959 |
| ProAssurance Corp.* |
| 161,532 |
| |
3,620 |
| Prosperity Bancshares, Inc. |
| 119,496 |
| |
2,926 |
| Provident Bankshares Corp. |
| 27,563 |
| |
1,313 |
| PS Business Parks, Inc. (REIT) |
| 62,578 |
| |
2,387 |
| Rewards Network, Inc.* |
| 7,400 |
| |
1,560 |
| RLI Corp. |
| 90,979 |
| |
1,439 |
| Safety Insurance Group, Inc. |
| 50,480 |
| |
4,642 |
| Selective Insurance Group |
| 106,580 |
| |
10,098 |
| Senior Housing Properties Trust (REIT) |
| 140,665 |
| |
3,047 |
| Signature Bank/NY* |
| 90,801 |
| |
6,423 |
| South Financial Group, Inc. (The) |
| 27,747 |
| |
1,939 |
| Sovran Self Storage, Inc. (REIT) |
| 52,663 |
| |
1,587 |
| Sterling Bancorp/NY, Class N |
| 20,647 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
6,458 |
| Sterling Bancshares, Inc./TX |
| $ | 43,269 |
|
4,592 |
| Sterling Financial Corp./WA |
| 24,429 |
| |
1,603 |
| Stewart Information Services Corp. |
| 18,755 |
| |
2,100 |
| Stifel Financial Corp.* |
| 90,321 |
| |
7,588 |
| Susquehanna Bancshares, Inc. |
| 115,945 |
| |
2,420 |
| SWS Group, Inc. |
| 35,380 |
| |
2,794 |
| Tanger Factory Outlet Centers (REIT) |
| 102,372 |
| |
1,795 |
| Tower Group, Inc. |
| 40,944 |
| |
2,838 |
| TradeStation Group, Inc.* |
| 19,923 |
| |
6,692 |
| Trustco Bank Corp./NY |
| 70,868 |
| |
9,739 |
| UCBH Holdings, Inc. |
| 45,189 |
| |
2,601 |
| UMB Financial Corp. |
| 124,354 |
| |
5,307 |
| Umpqua Holdings Corp. |
| 70,265 |
| |
3,318 |
| United Bankshares, Inc. |
| 110,324 |
| |
3,554 |
| United Community Banks, Inc./GA |
| 46,842 |
| |
1,982 |
| United Fire & Casualty Co. |
| 42,395 |
| |
1,884 |
| Urstadt Biddle Properties, Inc., Class A (REIT) |
| 29,654 |
| |
5,651 |
| Whitney Holding Corp./LA |
| 99,062 |
| |
1,717 |
| Wilshire Bancorp, Inc. |
| 11,779 |
| |
2,084 |
| Wintrust Financial Corp. |
| 42,993 |
| |
1,447 |
| World Acceptance Corp.* |
| 28,318 |
| |
3,290 |
| Zenith National Insurance Corp. |
| 108,537 |
| |
|
|
|
| 5,340,882 |
| |
|
| Health Care - 12.8% |
|
|
| |
|
|
|
|
|
| |
1,921 |
| Abaxis, Inc.* |
| 25,472 |
| |
953 |
| Air Methods Corp.* |
| 15,105 |
| |
3,685 |
| Alpharma, Inc., Class A* |
| 133,029 |
| |
2,368 |
| Amedisys, Inc.* |
| 92,092 |
| |
6,447 |
| American Medical Systems Holdings, Inc.* |
| 56,734 |
| |
4,679 |
| AMERIGROUP Corp.* |
| 114,916 |
| |
2,971 |
| AMN Healthcare Services, Inc.* |
| 26,501 |
| |
2,796 |
| Amsurg Corp.* |
| 55,724 |
| |
1,184 |
| Analogic Corp. |
| 46,247 |
| |
2,482 |
| Arqule, Inc.* |
| 8,414 |
| |
2,350 |
| Arthrocare Corp.* |
| 30,738 |
| |
2,133 |
| Biolase Technology, Inc.* |
| 2,133 |
| |
2,570 |
| Cambrex Corp.* |
| 8,944 |
| |
3,357 |
| Catalyst Health Solutions, Inc.* |
| 75,533 |
| |
3,809 |
| Centene Corp.* |
| 70,467 |
| |
2,023 |
| Chemed Corp. |
| 82,457 |
| |
2,541 |
| Conmed Corp.* |
| 59,739 |
| |
3,976 |
| Cooper Cos., Inc. (The) |
| 53,278 |
| |
722 |
| Corvel Corp.* |
| 15,956 |
| |
2,710 |
| Cross Country Healthcare, Inc.* |
| 23,604 |
| |
2,465 |
| CryoLife, Inc.* |
| 22,431 |
| |
4,987 |
| Cubist Pharmaceuticals, Inc.* |
| 122,481 |
| |
2,044 |
| Cyberonics, Inc.* |
| 28,064 |
| |
1,174 |
| Datascope Corp. |
| 61,295 |
| |
1,598 |
| Dionex Corp.* |
| 81,961 |
| |
4,802 |
| Eclipsys Corp.* |
| 63,002 |
| |
2,858 |
| Enzo Biochem, Inc.* |
| 14,547 |
| |
2,528 |
| Gentiva Health Services, Inc.* |
| 63,781 |
| |
2,019 |
| Greatbatch, Inc.* |
| 51,020 |
| |
2,238 |
| Haemonetics Corp.* |
| 127,991 |
| |
4,393 |
| Healthspring, Inc.* |
| 64,094 |
| |
2,969 |
| Healthways, Inc.* |
| 24,019 |
| |
2,216 |
| HMS Holdings Corp.* |
| 65,372 |
| |
1,113 |
| ICU Medical, Inc.* |
| 33,668 |
| |
6,194 |
| Immucor, Inc.* |
| 150,328 |
| |
1,713 |
| Integra LifeSciences Holdings Corp.* |
| 53,942 |
| |
2,826 |
| Invacare Corp. |
| 41,768 |
| |
2,931 |
| inVentiv Health, Inc.* |
| 35,260 |
| |
1,168 |
| Kendle International, Inc.* |
| 23,909 |
| |
1,030 |
| Kensey Nash Corp.* |
| 19,034 |
| |
819 |
| Landauer, Inc. |
| 47,027 |
| |
1,629 |
| LCA-Vision, Inc. |
| 6,451 |
| |
1,302 |
| LHC Group, Inc.* |
| 43,461 |
| |
3,583 |
| Magellan Health Services, Inc.* |
| 117,702 |
| |
2,921 |
| Martek Biosciences Corp.* |
| 81,642 |
| |
1,723 |
| Medcath Corp.* |
| 12,716 |
| |
2,975 |
| Mentor Corp. |
| 48,046 |
| |
3,554 |
| Meridian Bioscience, Inc. |
| 84,692 |
| |
2,464 |
| Merit Medical Systems, Inc.* |
| 35,753 |
| |
1,261 |
| Molina Healthcare, Inc.* |
| 29,873 |
| |
1,062 |
| MWI Veterinary Supply, Inc.* |
| 26,497 |
| |
2,454 |
| Natus Medical, Inc.* |
| 31,190 |
| |
2,200 |
| Noven Pharmaceuticals, Inc.* |
| 25,190 |
| |
2,889 |
| Odyssey HealthCare, Inc.* |
| 23,603 |
| |
2,738 |
| Omnicell, Inc.* |
| 31,049 |
| |
1,568 |
| Osteotech, Inc.* |
| 3,073 |
| |
3,642 |
| Owens & Minor, Inc. |
| 151,252 |
| |
1,593 |
| Palomar Medical Technologies, Inc.* |
| 14,417 |
| |
3,051 |
| Par Pharmaceutical Cos., Inc.* |
| 35,575 |
| |
4,871 |
| Parexel International Corp.* |
| 40,527 |
| |
4,024 |
| Pediatrix Medical Group, Inc.* |
| 125,227 |
| |
1,712 |
| PharmaNet Development Group, Inc.* |
| 2,072 |
| |
2,686 |
| PharMerica Corp.* |
| 44,641 |
| |
3,778 |
| Phase Forward, Inc.* |
| 52,401 |
| |
5,483 |
| PSS World Medical, Inc.* |
| 95,349 |
| |
5,525 |
| Regeneron Pharmaceuticals, Inc.* |
| 85,417 |
| |
1,592 |
| RehabCare Group, Inc.* |
| 23,164 |
| |
2,256 |
| Res-Care, Inc.* |
| 29,441 |
| |
4,234 |
| Salix Pharmaceuticals Ltd.* |
| 34,295 |
| |
4,168 |
| Savient Pharmaceuticals, Inc.* |
| 15,422 |
| |
1,340 |
| SurModics, Inc.* |
| 30,472 |
| |
3,156 |
| Symmetry Medical, Inc.* |
| 28,278 |
| |
2,934 |
| Theragenics Corp.* |
| 4,284 |
| |
6,170 |
| Viropharma, Inc.* |
| 69,721 |
| |
2,872 |
| West Pharmaceutical Services, Inc. |
| 101,956 |
| |
1,858 |
| Zoll Medical Corp.* |
| 33,091 |
| |
|
|
|
| 3,810,017 |
| |
|
| Industrials - 17.8% |
|
|
| |
|
|
|
|
|
| |
1,989 |
| A.O. Smith Corp. |
| 65,120 |
| |
3,416 |
| AAR Corp.* |
| 57,867 |
| |
3,894 |
| ABM Industries, Inc. |
| 65,692 |
| |
3,586 |
| Acuity Brands, Inc. |
| 96,679 |
| |
1,997 |
| Administaff, Inc. |
| 34,109 |
| |
2,344 |
| Albany International Corp., Class A |
| 36,051 |
| |
2,545 |
| Apogee Enterprises, Inc. |
| 19,851 |
| |
3,216 |
| Applied Industrial Technologies, Inc. |
| 61,297 |
| |
1,131 |
| Applied Signal Technology, Inc. |
| 17,745 |
| |
2,227 |
| Arkansas Best Corp. |
| 59,127 |
| |
1,734 |
| Astec Industries, Inc.* |
| 52,453 |
| |
1,857 |
| ATC Technology Corp.* |
| 32,107 |
| |
805 |
| Axsys Technologies, Inc.* |
| 56,197 |
| |
4,074 |
| Baldor Electric Co. |
| 67,139 |
| |
3,840 |
| Barnes Group, Inc. |
| 51,418 |
| |
3,810 |
| Belden, Inc. |
| 66,370 |
| |
2,385 |
| Bowne & Co., Inc. |
| 8,491 |
| |
4,748 |
| Brady Corp., Class A |
| 98,046 |
| |
4,389 |
| Briggs & Stratton Corp. |
| 61,797 |
| |
2,272 |
| C&D Technologies, Inc.* |
| 3,249 |
| |
746 |
| Cascade Corp. |
| 20,157 |
| |
1,213 |
| CDI Corp. |
| 12,409 |
| |
2,314 |
| Ceradyne, Inc.* |
| 60,766 |
| |
4,471 |
| Clarcor, Inc. |
| 143,564 |
| |
980 |
| Consolidated Graphics, Inc.* |
| 14,083 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
1,372 |
| Cubic Corp. |
| $ | 36,276 |
|
3,966 |
| Curtiss-Wright Corp. |
| 132,464 |
| |
5,764 |
| EMCOR Group, Inc.* |
| 90,898 |
| |
1,768 |
| EnPro Industries, Inc.* |
| 33,009 |
| |
2,618 |
| Esterline Technologies Corp.* |
| 96,630 |
| |
2,557 |
| Forward Air Corp. |
| 59,118 |
| |
1,667 |
| G&K Services, Inc., Class A |
| 39,008 |
| |
4,697 |
| Gardner Denver, Inc.* |
| 116,251 |
| |
4,293 |
| GenCorp, Inc.* |
| 12,278 |
| |
4,465 |
| Geo Group, Inc. (The)* |
| 86,174 |
| |
2,383 |
| Gibraltar Industries, Inc. |
| 30,741 |
| |
3,636 |
| Griffon Corp.* |
| 29,088 |
| |
3,793 |
| Healthcare Services Group |
| 60,309 |
| |
4,918 |
| Heartland Express, Inc. |
| 75,934 |
| |
1,458 |
| Heidrick & Struggles International, Inc. |
| 30,181 |
| |
3,319 |
| HUB Group, Inc., Class A* |
| 88,617 |
| |
2,162 |
| II-VI, Inc.* |
| 43,499 |
| |
2,471 |
| Insituform Technologies, Inc., Class A* |
| 40,055 |
| |
4,970 |
| Interface, Inc., Class A |
| 27,534 |
| |
2,432 |
| John Bean Technologies Corp. |
| 21,231 |
| |
2,237 |
| Kaman Corp. |
| 52,704 |
| |
3,019 |
| Kaydon Corp. |
| 93,136 |
| |
4,767 |
| Kirby Corp.* |
| 121,225 |
| |
5,146 |
| Knight Transportation, Inc. |
| 81,101 |
| |
4,670 |
| Landstar System, Inc. |
| 150,094 |
| |
374 |
| Lawson Products |
| 8,538 |
| |
4,141 |
| Lennox International, Inc. |
| 114,457 |
| |
1,069 |
| Lindsay Corp. |
| 41,595 |
| |
1,463 |
| Lydall, Inc.* |
| 7,725 |
| |
2,705 |
| Magnetek, Inc.* |
| 5,789 |
| |
3,071 |
| Mobile Mini, Inc.* |
| 39,892 |
| |
3,766 |
| Moog, Inc., Class A* |
| 121,190 |
| |
3,279 |
| Mueller Industries, Inc. |
| 76,401 |
| |
1,738 |
| NCI Building Systems, Inc.* |
| 26,452 |
| |
2,436 |
| Old Dominion Freight Line, Inc.* |
| 57,977 |
| |
3,134 |
| On Assignment, Inc.* |
| 18,020 |
| |
5,171 |
| Orbital Sciences Corp.* |
| 88,941 |
| |
3,319 |
| Quanex Building Products Corp. |
| 30,734 |
| |
2,842 |
| Regal-Beloit Corp. |
| 95,605 |
| |
3,048 |
| Robbins & Myers, Inc. |
| 68,580 |
| |
1,407 |
| School Specialty, Inc.* |
| 22,540 |
| |
3,308 |
| Simpson Manufacturing Co., Inc. |
| 86,008 |
| |
5,033 |
| Skywest, Inc. |
| 76,502 |
| |
4,655 |
| Spherion Corp.* |
| 10,474 |
| |
1,121 |
| Standard Register Co. (The) |
| 6,289 |
| |
1,104 |
| Standex International Corp. |
| 23,272 |
| |
2,950 |
| SYKES Enterprises, Inc.* |
| 54,722 |
| |
3,144 |
| Teledyne Technologies, Inc.* |
| 127,709 |
| |
5,241 |
| Tetra Tech, Inc.* |
| 105,030 |
| |
3,139 |
| Toro Co. |
| 89,273 |
| |
1,697 |
| Tredegar Corp. |
| 26,677 |
| |
1,450 |
| Triumph Group, Inc. |
| 49,590 |
| |
3,825 |
| TrueBlue, Inc.* |
| 28,343 |
| |
2,060 |
| United Stationers, Inc.* |
| 65,529 |
| |
1,469 |
| Universal Forest Products, Inc. |
| 30,893 |
| |
1,551 |
| Valmont Industries, Inc. |
| 85,770 |
| |
1,852 |
| Viad Corp. |
| 49,467 |
| |
1,723 |
| Vicor Corp. |
| 9,976 |
| |
1,132 |
| Volt Information Sciences, Inc.* |
| 6,883 |
| |
2,716 |
| Wabash National Corp. |
| 13,390 |
| |
6,842 |
| Waste Connections, Inc.* |
| 193,150 |
| |
2,498 |
| Watsco, Inc. |
| 98,271 |
| |
3,811 |
| Watson Wyatt Worldwide, Inc., Class A |
| 153,659 |
| |
2,572 |
| Watts Water Technologies, Inc., Class A |
| 57,870 |
| |
4,806 |
| Woodward Governor Co. |
| 102,079 |
| |
|
|
|
| 5,284,601 |
| |
|
| Information Technology - 14.7% |
|
|
| |
|
|
|
|
|
| |
2,276 |
| Actel Corp.* |
| 21,076 |
| |
10,626 |
| Adaptec, Inc.* |
| 29,859 |
| |
2,880 |
| Advanced Energy Industries, Inc.* |
| 22,406 |
| |
2,008 |
| Agilysys, Inc. |
| 7,610 |
| |
2,628 |
| Anixter International, Inc.* |
| 72,007 |
| |
10,837 |
| Arris Group, Inc.* |
| 77,918 |
| |
2,757 |
| ATMI, Inc.* |
| 32,863 |
| |
2,682 |
| Avid Technology, Inc.* |
| 33,579 |
| |
9,086 |
| Axcelis Technologies, Inc.* |
| 5,361 |
| |
1,221 |
| Bankrate, Inc.* |
| 33,541 |
| |
1,046 |
| Bel Fuse, Inc., Class B |
| 20,387 |
| |
5,870 |
| Benchmark Electronics, Inc.* |
| 74,432 |
| |
1,552 |
| Black Box Corp. |
| 37,993 |
| |
3,844 |
| Blackbaud, Inc. |
| 48,050 |
| |
3,438 |
| Blue Coat Systems, Inc.* |
| 30,564 |
| |
4,540 |
| Brightpoint, Inc.* |
| 18,705 |
| |
5,611 |
| Brooks Automation, Inc.* |
| 21,658 |
| |
2,046 |
| Cabot Microelectronics Corp.* |
| 50,679 |
| |
2,669 |
| CACI International, Inc., Class A* |
| 118,530 |
| |
762 |
| Catapult Communications Corp.* |
| 4,122 |
| |
3,404 |
| Checkpoint Systems, Inc.* |
| 39,350 |
| |
4,707 |
| Ciber, Inc.* |
| 20,193 |
| |
3,705 |
| Cognex Corp. |
| 50,499 |
| |
2,054 |
| Cohu, Inc. |
| 23,005 |
| |
2,134 |
| Comtech Telecommunications Corp.* |
| 101,216 |
| |
3,794 |
| Concur Technologies, Inc.* |
| 104,145 |
| |
3,081 |
| CSG Systems International, Inc.* |
| 51,884 |
| |
2,968 |
| CTS Corp. |
| 16,413 |
| |
6,134 |
| Cybersource Corp.* |
| 56,924 |
| |
2,618 |
| Cymer, Inc.* |
| 61,497 |
| |
13,380 |
| Cypress Semiconductor Corp.* |
| 49,907 |
| |
2,995 |
| Daktronics, Inc. |
| 27,284 |
| |
3,594 |
| DealerTrack Holdings, Inc.* |
| 42,589 |
| |
2,263 |
| Digi International, Inc.* |
| 20,865 |
| |
2,848 |
| Diodes, Inc.* |
| 13,300 |
| |
2,451 |
| DSP Group, Inc.* |
| 14,020 |
| |
2,378 |
| Electro Scientific Industries, Inc.* |
| 16,194 |
| |
1,387 |
| EMS Technologies, Inc.* |
| 33,579 |
| |
5,254 |
| Epicor Software Corp.* |
| 21,541 |
| |
3,139 |
| EPIQ Systems, Inc.* |
| 50,977 |
| |
3,769 |
| Exar Corp.* |
| 25,403 |
| |
1,467 |
| FARO Technologies, Inc.* |
| 21,110 |
| |
3,239 |
| FEI Co.* |
| 65,816 |
| |
2,106 |
| Gerber Scientific, Inc.* |
| 5,054 |
| |
2,090 |
| Gevity HR, Inc. |
| 3,323 |
| |
8,361 |
| Harmonic, Inc.* |
| 43,059 |
| |
2,151 |
| Heartland Payment Systems, Inc. |
| 36,954 |
| |
1,681 |
| Hittite Microwave Corp.* |
| 49,119 |
| |
2,026 |
| Hutchinson Technology, Inc.* |
| 5,673 |
| |
7,852 |
| Informatica Corp.* |
| 108,986 |
| |
3,054 |
| Infospace, Inc. |
| 23,852 |
| |
4,020 |
| Insight Enterprises, Inc.* |
| 16,361 |
| |
1,508 |
| Integral Systems, Inc.* |
| 36,192 |
| |
4,057 |
| Interwoven, Inc.* |
| 52,782 |
| |
1,922 |
| Intevac, Inc.* |
| 9,495 |
| |
3,029 |
| Itron, Inc.* |
| 143,514 |
| |
3,868 |
| j2 Global Communications, Inc.* |
| 75,503 |
| |
2,397 |
| JDA Software Group, Inc.* |
| 31,592 |
| |
1,214 |
| Keithley Instruments, Inc. |
| 2,707 |
| |
2,523 |
| Knot, Inc. (The)* |
| 18,973 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| ||
|
| Common Stocks (a) (continued) |
|
|
| ||
5,981 |
| Kopin Corp.* |
| $ | 12,560 |
| |
4,725 |
| Kulicke & Soffa Industries, Inc.* |
| 6,662 |
| ||
1,912 |
| Littelfuse, Inc.* |
| 28,757 |
| ||
1,535 |
| LoJack Corp.* |
| 6,063 |
| ||
2,161 |
| Manhattan Associates, Inc.* |
| 33,171 |
| ||
1,641 |
| MAXIMUS, Inc. |
| 51,527 |
| ||
2,007 |
| Mercury Computer Systems, Inc.* |
| 5,499 |
| ||
3,361 |
| Methode Electronics, Inc. |
| 28,434 |
| ||
4,352 |
| Micrel, Inc. |
| 32,205 |
| ||
7,121 |
| Micros Systems, Inc.* |
| 118,565 |
| ||
6,991 |
| Microsemi Corp.* |
| 136,255 |
| ||
4,339 |
| MKS Instruments, Inc.* |
| 62,091 |
| ||
1,495 |
| MTS Systems Corp. |
| 38,885 |
| ||
3,130 |
| Netgear, Inc.* |
| 37,873 |
| ||
2,554 |
| Network Equipment Technologies, Inc.* |
| 8,735 |
| ||
3,186 |
| Newport Corp.* |
| 18,511 |
| ||
2,801 |
| Novatel Wireless, Inc.* |
| 10,728 |
| ||
1,799 |
| Park Electrochemical Corp. |
| 31,986 |
| ||
1,696 |
| PC-Tel, Inc. |
| 10,244 |
| ||
2,837 |
| Perficient, Inc.* |
| 8,653 |
| ||
2,231 |
| Pericom Semiconductor Corp.* |
| 12,070 |
| ||
2,468 |
| Phoenix Technologies Ltd.* |
| 8,243 |
| ||
3,468 |
| Plexus Corp.* |
| 57,846 |
| ||
3,636 |
| Progress Software Corp.* |
| 77,374 |
| ||
1,564 |
| Quality Systems, Inc. |
| 47,029 |
| ||
2,429 |
| Radiant Systems, Inc.* |
| 11,902 |
| ||
1,993 |
| Radisys Corp.* |
| 11,958 |
| ||
1,584 |
| Rogers Corp.* |
| 44,669 |
| ||
2,707 |
| Rudolph Technologies, Inc.* |
| 8,933 |
| ||
2,322 |
| Scansource, Inc.* |
| 39,497 |
| ||
1,171 |
| SI International, Inc.* |
| 35,762 |
| ||
14,552 |
| Skyworks Solutions, Inc.* |
| 78,435 |
| ||
2,460 |
| Smith Micro Software, Inc.* |
| 12,571 |
| ||
2,342 |
| Sonic Solutions, Inc.* |
| 2,998 |
| ||
1,600 |
| SPSS, Inc.* |
| 39,104 |
| ||
1,970 |
| Standard Microsystems Corp.* |
| 30,023 |
| ||
1,019 |
| Startek, Inc.* |
| 2,344 |
| ||
1,855 |
| Stratasys, Inc.* |
| 20,702 |
| ||
1,127 |
| Supertex, Inc.* |
| 23,498 |
| ||
3,970 |
| Symmetricom, Inc.* |
| 16,595 |
| ||
2,966 |
| Synaptics, Inc.* |
| 65,163 |
| ||
1,634 |
| SYNNEX Corp.* |
| 17,092 |
| ||
6,845 |
| Take-Two Interactive Software, Inc.* |
| 83,167 |
| ||
2,708 |
| Taleo Corp., Class A* |
| 17,494 |
| ||
3,620 |
| Technitrol, Inc. |
| 12,670 |
| ||
5,808 |
| Tekelec* |
| 71,148 |
| ||
5,893 |
| THQ, Inc.* |
| 27,933 |
| ||
1,172 |
| Tollgrade Communications, Inc.* |
| 5,684 |
| ||
12,763 |
| TriQuint Semiconductor, Inc.* |
| 32,929 |
| ||
3,778 |
| TTM Technologies, Inc.* |
| 19,306 |
| ||
2,752 |
| Tyler Technologies, Inc.* |
| 34,758 |
| ||
2,068 |
| Ultratech, Inc.* |
| 25,953 |
| ||
7,163 |
| United Online, Inc. |
| 47,491 |
| ||
6,402 |
| Varian Semiconductor Equipment Associates, Inc.* |
| 117,797 |
| ||
2,837 |
| Veeco Instruments, Inc.* |
| 16,823 |
| ||
2,379 |
| Viasat, Inc.* |
| 50,982 |
| ||
3,969 |
| Websense, Inc.* |
| 64,179 |
| ||
3,423 |
| Wright Express Corp.* |
| 38,954 |
| ||
|
|
|
| 4,370,670 |
| ||
|
| Materials - 3.5% |
|
|
| ||
|
|
|
|
|
| ||
1,466 |
| AM Castle & Co. |
| 13,311 |
| ||
1,980 |
| AMCOL International Corp. |
| 39,877 |
| ||
2,197 |
| Arch Chemicals, Inc. |
| 63,449 |
| ||
1,606 |
| Balchem Corp. |
| 41,804 |
| ||
1,794 |
| Brush Engineered Materials, Inc.* |
| 20,774 |
| ||
3,459 |
| Buckeye Technologies, Inc.* |
| 15,600 |
| ||
4,388 |
| Calgon Carbon Corp.* |
| 56,035 |
| ||
3,243 |
| Century Aluminum Co.* |
| 26,430 |
| ||
937 |
| Deltic Timber Corp. |
| 44,901 |
| ||
3,839 |
| Eagle Materials, Inc. |
| 80,619 |
| ||
2,642 |
| Georgia Gulf Corp. |
| 5,548 |
| ||
4,274 |
| HB Fuller Co. |
| 75,821 |
| ||
3,709 |
| Headwaters, Inc.* |
| 21,067 |
| ||
1,051 |
| Material Sciences Corp.* |
| 1,576 |
| ||
2,483 |
| Myers Industries, Inc. |
| 15,097 |
| ||
1,293 |
| Neenah Paper, Inc. |
| 10,577 |
| ||
1,110 |
| NewMarket Corp. |
| 37,163 |
| ||
789 |
| Olympic Steel, Inc. |
| 13,807 |
| ||
2,690 |
| OM Group, Inc.* |
| 53,074 |
| ||
991 |
| Penford Corp. |
| 11,169 |
| ||
8,237 |
| PolyOne Corp.* |
| 23,311 |
| ||
939 |
| Quaker Chemical Corp. |
| 12,029 |
| ||
3,371 |
| Rock-Tenn Co., Class A |
| 113,839 |
| ||
2,032 |
| RTI International Metals, Inc.* |
| 24,425 |
| ||
2,332 |
| Schulman A., Inc. |
| 31,645 |
| ||
1,376 |
| Schweitzer-Mauduit International, Inc. |
| 25,373 |
| ||
621 |
| Stepan Co. |
| 28,554 |
| ||
2,430 |
| Texas Industries, Inc. |
| 74,990 |
| ||
4,311 |
| Wausau Paper Corp. |
| 44,360 |
| ||
1,848 |
| Zep, Inc. |
| 33,467 |
| ||
|
|
|
| 1,059,692 |
| ||
|
| Telecommunication Services - 0.2% |
|
|
| ||
|
|
|
|
|
| ||
7,853 |
| Fairpoint Communications, Inc. |
| 27,485 |
| ||
3,891 |
| General Communication, Inc., Class A* |
| 30,467 |
| ||
|
|
|
| 57,952 |
| ||
|
| Utilities - 5.5% |
|
|
| ||
|
|
|
|
|
| ||
2,301 |
| Allete, Inc. |
| 78,740 |
| ||
1,525 |
| American States Water Co. |
| 53,421 |
| ||
7,990 |
| Atmos Energy Corp. |
| 199,191 |
| ||
4,725 |
| Avista Corp. |
| 83,491 |
| ||
912 |
| Central Vermont Public Service Corp. |
| 17,228 |
| ||
1,388 |
| CH Energy Group, Inc. |
| 60,711 |
| ||
5,297 |
| Cleco Corp. |
| 124,850 |
| ||
3,958 |
| El Paso Electric Co.* |
| 71,323 |
| ||
1,941 |
| Laclede Group, Inc. (The) |
| 102,252 |
| ||
3,713 |
| New Jersey Resources Corp. |
| 149,114 |
| ||
2,331 |
| Northwest Natural Gas Co. |
| 116,433 |
| ||
6,469 |
| Piedmont Natural Gas Co. |
| 217,358 |
| ||
2,627 |
| South Jersey Industries, Inc. |
| 102,453 |
| ||
3,840 |
| Southwest Gas Corp. |
| 99,456 |
| ||
2,223 |
| UIL Holdings Corp. |
| 66,223 |
| ||
3,137 |
| Unisource Energy Corp. |
| 88,056 |
| ||
|
|
|
| 1,630,300 |
| ||
|
| Total Common Stock |
|
|
| ||
|
| (Cost $31,390,984) |
| 27,332,630 |
| ||
|
|
|
|
|
| ||
Principal |
|
|
|
|
| ||
|
| Repurchase Agreements - 37.6% |
|
|
| ||
$ | 1,489,473 |
| Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $1,489,499(b) |
| 1,489,473 |
| |
1,489,473 |
| Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $1,489,510(c) |
| 1,489,473 |
| ||
See accompanying notes to the financial statements.
111,710 |
| Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $111,712 (d) |
| 111,710 |
| |
372,368 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $372,393 (e) |
| 372,368 |
| |
744,736 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $744,787 (f) |
| 744,736 |
| |
2,606,577 |
| ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $2,606,638 (g) |
| 2,606,577 |
| |
2,234,209 |
| JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $2,234,246 (h) |
| 2,234,209 |
| |
2,124,188 |
| UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $2,124,232(i) |
| 2,124,188 |
| |
|
| Total Repurchase Agreements |
| 11,172,734 |
| |
|
| Total Investments |
| 38,505,364 |
| |
|
| Liabilities in excess of other assets — (29.5)% |
| (8,774,676 | ) | |
|
| Net Assets — 100.0% |
| $ | 29,730,688 |
|
* |
| Non-income producing security. |
(a) |
| A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. |
(b) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $1,519,263. The investment in the repurchase agreement was through participation in a pooled account. |
(c) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $1,519,263. The investment in the repurchase agreement was through participation in a pooled account. |
(d) |
| Represents the Fund’s 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $113,949. The investment in the repurchase agreement was through participation in a pooled account. |
(e) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $379,817. The investment in the repurchase agreement was through participation in a pooled account. |
(f) |
| Represents the Fund’s 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $759,631. The investment in the repurchase agreement was through participation in a pooled account. |
(g) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $2,658,711. The investment in the repurchase agreement was through participation in a pooled account. |
(h) |
| Represents the Fund’s 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $2,278,894. The investment in the repurchase agreement was through participation in a pooled account. |
(i) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $2,166,676. The investment in the repurchase agreement was through participation in a pooled account. |
See accompanying notes to the financial statements.
REIT Real Estate Investment Trust
As of November 30, 2008, 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 |
| $ | 56,491 |
|
Aggregate gross unrealized depreciation |
| (12,762,279 | ) | |
Net unrealized depreciation |
| $ | (12,705,788 | ) |
Federal income tax cost of investments |
| $ | 51,211,152 |
|
Swap Agreements
Ultra SmallCap600 had the following open swap agreements as of November 30, 2008:
|
| Termination |
| Notional Amount |
| Unrealized |
| ||
Equity Index Swap Agreement based on the S&P SmallCap 600 Index |
| 12/08/08 |
| $ | 4,413,537 |
| $ | (3,086,463 | ) |
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement based on the S&P SmallCap 600 Index |
| 12/08/08 |
| 27,028,209 |
| (2,364,943 | ) | ||
|
|
|
|
|
|
|
| ||
|
|
|
| $ | 31,441,746 |
| $ | (5,451,406 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell2000
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) - 85.5% |
|
|
| |
|
| Consumer Discretionary - 9.1% |
|
|
| |
|
|
|
|
|
| |
8,724 |
| 1-800-FLOWERS.COM, Inc., Class A* |
| $ | 32,540 |
|
15,662 |
| 99 Cents Only Stores* |
| 168,836 |
| |
15,134 |
| Aaron Rents, Inc. |
| 399,992 |
| |
22,317 |
| Aeropostale, Inc.* |
| 337,433 |
| |
8,420 |
| AFC Enterprises, Inc.* |
| 33,933 |
| |
6,835 |
| AH Belo Corp., Class A |
| 13,807 |
| |
6,375 |
| Ambassadors Group, Inc. |
| 57,757 |
| |
11,303 |
| American Apparel, Inc.* |
| 48,038 |
| |
15,369 |
| American Axle & Manufacturing Holdings, Inc. |
| 38,730 |
| |
15,158 |
| American Greetings Corp., Class A |
| 174,620 |
| |
3,670 |
| American Public Education, Inc.* |
| 145,185 |
| |
3,346 |
| America’s Car-Mart, Inc.* |
| 31,252 |
| |
7,389 |
| Amerigon, Inc.* |
| 27,561 |
| |
8,476 |
| Ameristar Casinos, Inc. |
| 64,926 |
| |
9,108 |
| Arbitron, Inc. |
| 127,785 |
| |
412 |
| Aristotle Corp. (The)* |
| 1,520 |
| |
24,591 |
| ArvinMeritor, Inc. |
| 97,134 |
| |
10,656 |
| Asbury Automotive Group, Inc. |
| 53,600 |
| |
5,813 |
| Audiovox Corp., Class A* |
| 33,774 |
| |
18,255 |
| Bally Technologies, Inc.* |
| 337,170 |
| |
13,086 |
| Beazer Homes USA, Inc.* |
| 23,686 |
| |
12,816 |
| Bebe Stores, Inc. |
| 79,203 |
| |
29,734 |
| Belo Corp., Class A |
| 57,387 |
| |
1,926 |
| Bidz.com, Inc.* |
| 7,338 |
| |
7,281 |
| Big 5 Sporting Goods Corp. |
| 27,595 |
| |
5,801 |
| BJ’s Restaurants, Inc.* |
| 56,734 |
| |
59,041 |
| Blockbuster, Inc., Class A* |
| 70,259 |
| |
4,450 |
| Blue Nile, Inc.* |
| 106,177 |
| |
4,282 |
| Bluegreen Corp.* |
| 13,317 |
| |
8,152 |
| Blyth, Inc. |
| 67,580 |
| |
10,348 |
| Bob Evans Farms, Inc. |
| 173,536 |
| |
20,192 |
| Borders Group, Inc. |
| 21,605 |
| |
3,123 |
| Brookfield Homes Corp. |
| 14,803 |
| |
14,118 |
| Brown Shoe Co., Inc. |
| 79,625 |
| |
29,223 |
| Brunswick Corp. |
| 79,194 |
| |
7,738 |
| Buckle, Inc. (The) |
| 145,939 |
| |
5,939 |
| Buffalo Wild Wings, Inc.* |
| 136,359 |
| |
5,536 |
| Build-A-Bear Workshop, Inc.* |
| 24,635 |
| |
13,100 |
| Cabela’s, Inc.* |
| 81,875 |
| |
3,764 |
| Cache, Inc.* |
| 7,716 |
| |
7,027 |
| California Pizza Kitchen, Inc.* |
| 54,459 |
| |
22,118 |
| Callaway Golf Co. |
| 222,728 |
| |
4,746 |
| Capella Education Co.* |
| 284,096 |
| |
18,880 |
| Carter’s, Inc.* |
| 357,021 |
| |
12,433 |
| Casual Male Retail Group, Inc.* |
| 7,957 |
| |
9,233 |
| Cato Corp. (The), Class A |
| 128,893 |
| |
2,162 |
| Cavco Industries, Inc.* |
| 65,422 |
| |
7,392 |
| CBRL Group, Inc. |
| 142,887 |
| |
6,720 |
| CEC Entertainment, Inc.* |
| 115,651 |
| |
25,924 |
| Champion Enterprises, Inc.* |
| 18,925 |
| |
6,956 |
| Charlotte Russe Holding, Inc.* |
| 34,780 |
| |
37,799 |
| Charming Shoppes, Inc.* |
| 56,698 |
| |
136,111 |
| Charter Communications, Inc., Class A* |
| 25,861 |
| |
19,926 |
| Cheesecake Factory (The)* |
| 145,061 |
| |
2,514 |
| Cherokee, Inc. |
| 40,450 |
| |
58,873 |
| Chico’s FAS, Inc.* |
| 150,126 |
| |
7,794 |
| Childrens Place Retail Stores, Inc. (The)* |
| 182,769 |
| |
11,764 |
| Christopher & Banks Corp. |
| 39,645 |
| |
3,189 |
| Churchill Downs, Inc. |
| 111,806 |
| |
9,954 |
| Cinemark Holdings, Inc. |
| 74,954 |
| |
60,460 |
| Citadel Broadcasting Corp.* |
| 10,883 |
| |
4,757 |
| Citi Trends, Inc.* |
| 58,511 |
| |
17,468 |
| CKE Restaurants, Inc. |
| 125,770 |
| |
17,559 |
| CKX, Inc.* |
| 77,260 |
| |
9,310 |
| Coinstar, Inc.* |
| 172,794 |
| |
18,988 |
| Coldwater Creek, Inc.* |
| 36,457 |
| |
21,330 |
| Collective Brands, Inc.* |
| 163,174 |
| |
4,129 |
| Columbia Sportswear Co. |
| 130,270 |
| |
3,275 |
| Conn’s, Inc.* |
| 20,174 |
| |
19,658 |
| Cooper Tire & Rubber Co. |
| 94,162 |
| |
3,140 |
| Core-Mark Holding Co., Inc.* |
| 63,177 |
| |
28,411 |
| Corinthian Colleges, Inc.* |
| 456,849 |
| |
8,553 |
| Cox Radio, Inc., Class A* |
| 49,607 |
| |
27,769 |
| CROCS, Inc.* |
| 35,267 |
| |
3,631 |
| Crown Media Holdings, Inc., Class A* |
| 7,734 |
| |
2,615 |
| CSS Industries, Inc. |
| 59,622 |
| |
8,798 |
| Cumulus Media, Inc., Class A* |
| 7,742 |
| |
33,022 |
| Dana Holding Corp.* |
| 31,371 |
| |
4,350 |
| Deckers Outdoor Corp.* |
| 259,434 |
| |
31,694 |
| Denny’s Corp.* |
| 58,951 |
| |
19,030 |
| Dillard’s, Inc., Class A |
| 69,650 |
| |
5,804 |
| DineEquity, Inc. |
| 73,885 |
| |
8,494 |
| Dolan Media Co.* |
| 36,609 |
| |
13,078 |
| Domino’s Pizza, Inc.* |
| 50,481 |
| |
3,655 |
| Dorman Products, Inc.* |
| 43,568 |
| |
4,666 |
| Dover Downs Gaming & Entertainment, Inc. |
| 16,844 |
| |
5,056 |
| Dover Motorsports, Inc. |
| 7,584 |
| |
15,019 |
| Dress Barn, Inc.* |
| 117,599 |
| |
6,572 |
| Drew Industries, Inc.* |
| 92,402 |
| |
27,885 |
| Drugstore.Com* |
| 27,885 |
| |
4,468 |
| DSW, Inc., Class A* |
| 44,903 |
| |
1,464 |
| Einstein Noah Restaurant Group, Inc.* |
| 7,305 |
| |
8,577 |
| Entercom Communications Corp., Class A |
| 9,349 |
| |
19,848 |
| Entravision Communications Corp., Class A* |
| 15,283 |
| |
8,213 |
| Ethan Allen Interiors, Inc. |
| 113,422 |
| |
25,112 |
| Exide Technologies* |
| 113,004 |
| |
4,582 |
| FGX International Holdings Ltd.* |
| 47,011 |
| |
14,229 |
| Finish Line (The), Class A |
| 75,556 |
| |
2,226 |
| Fisher Communications, Inc. |
| 49,862 |
| |
25,446 |
| Fleetwood Enterprises, Inc.* |
| 3,817 |
| |
15,129 |
| Fossil, Inc.* |
| 229,961 |
| |
13,327 |
| Fred’s, Inc., Class A |
| 153,260 |
| |
4,035 |
| Fuel Systems Solutions, Inc.* |
| 139,571 |
| |
3,263 |
| Fuqi International, Inc.* |
| 20,296 |
| |
13,863 |
| Furniture Brands International, Inc. |
| 45,193 |
| |
4,406 |
| G-III Apparel Group Ltd.* |
| 34,940 |
| |
5,993 |
| Gaiam, Inc., Class A* |
| 30,804 |
| |
13,636 |
| Gaylord Entertainment Co.* |
| 125,315 |
| |
6,400 |
| Genesco, Inc.* |
| 86,144 |
| |
5,658 |
| Global Sources Ltd.* |
| 36,551 |
| |
3,950 |
| Global Traffic Network, Inc.* |
| 27,571 |
| |
14,248 |
| Gray Television, Inc. |
| 8,406 |
| |
8,979 |
| Great Wolf Resorts, Inc.* |
| 10,146 |
| |
7,736 |
| Group 1 Automotive, Inc. |
| 81,151 |
| |
9,490 |
| Gymboree Corp.* |
| 238,673 |
| |
12,246 |
| Harte-Hanks, Inc. |
| 73,109 |
| |
5,919 |
| Haverty Furniture Cos., Inc. |
| 50,252 |
| |
33,733 |
| Hayes Lemmerz International, Inc.* |
| 23,613 |
| |
10,076 |
| Helen of Troy Ltd.* |
| 157,790 |
| |
4,167 |
| hhgregg, Inc.* |
| 24,835 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
9,479 |
| Hibbett Sports, Inc.* |
| $ | 134,981 |
|
3,057 |
| Hooker Furniture Corp. |
| 20,390 |
| |
14,590 |
| HOT Topic, Inc.* |
| 119,930 |
| |
15,485 |
| Hovnanian Enterprises, Inc., Class A* |
| 33,912 |
| |
19,239 |
| Iconix Brand Group, Inc.* |
| 162,954 |
| |
12,211 |
| Interactive Data Corp. |
| 282,807 |
| |
5,965 |
| iRobot Corp.* |
| 62,275 |
| |
5,270 |
| Isle of Capri Casinos, Inc.* |
| 17,707 |
| |
14,137 |
| J. Crew Group, Inc.* |
| 143,349 |
| |
19,609 |
| Jack in the Box, Inc.* |
| 343,157 |
| |
9,477 |
| Jackson Hewitt Tax Service, Inc. |
| 121,969 |
| |
9,135 |
| Jakks Pacific, Inc.* |
| 163,516 |
| |
8,464 |
| Jo-Ann Stores, Inc.* |
| 117,480 |
| |
6,072 |
| JOS. A. Bank Clothiers, Inc.* |
| 118,708 |
| |
14,083 |
| Journal Communications, Inc., Class A |
| 33,377 |
| |
2,087 |
| K12, Inc.* |
| 38,088 |
| |
3,003 |
| Kenneth Cole Productions, Inc., Class A |
| 26,276 |
| |
9,459 |
| Knology, Inc.* |
| 53,727 |
| |
18,787 |
| Krispy Kreme Doughnuts, Inc.* |
| 47,343 |
| |
8,643 |
| K-Swiss, Inc., Class A |
| 108,902 |
| |
3,890 |
| Landry’s Restaurants, Inc. |
| 45,085 |
| |
17,153 |
| La-Z-Boy, Inc. |
| 56,433 |
| |
10,989 |
| Leapfrog Enterprises, Inc.* |
| 47,692 |
| |
21,382 |
| Lear Corp.* |
| 50,675 |
| |
2,982 |
| Learning Tree International, Inc.* |
| 34,919 |
| |
14,978 |
| Lee Enterprises, Inc. |
| 15,577 |
| |
4,867 |
| Libbey, Inc. |
| 9,734 |
| |
11,620 |
| Life Time Fitness, Inc.* |
| 173,951 |
| |
8,925 |
| Lin TV Corp., Class A* |
| 13,209 |
| |
1,424 |
| Lincoln Educational Services Corp.* |
| 19,580 |
| |
25,282 |
| Live Nation, Inc.* |
| 123,629 |
| |
5,403 |
| Lodgian, Inc.* |
| 11,887 |
| |
7,197 |
| Luby’s, Inc.* |
| 31,523 |
| |
6,008 |
| Lululemon Athletica, Inc.* |
| 58,999 |
| |
3,133 |
| Lumber Liquidators, Inc.* |
| 29,701 |
| |
4,686 |
| M/I Homes, Inc. |
| 49,390 |
| |
7,495 |
| Maidenform Brands, Inc.* |
| 69,404 |
| |
6,758 |
| Marcus Corp. |
| 87,111 |
| |
3,340 |
| Marine Products Corp. |
| 19,339 |
| |
5,456 |
| MarineMax, Inc.* |
| 15,168 |
| |
8,441 |
| Martha Stewart Living Omnimedia, Class A* |
| 28,193 |
| |
16,325 |
| Marvel Entertainment, Inc.* |
| 480,771 |
| |
10,404 |
| Matthews International Corp., Class A |
| 424,795 |
| |
18,983 |
| McClatchy Co., Class A |
| 37,017 |
| |
7,629 |
| Media General, Inc., Class A |
| 14,724 |
| |
13,140 |
| Mediacom Communications Corp., Class A* |
| 33,244 |
| |
17,227 |
| Men’s Wearhouse, Inc. (The) |
| 183,295 |
| |
10,239 |
| Meritage Homes Corp.* |
| 126,964 |
| |
4,613 |
| Midas, Inc.* |
| 38,196 |
| |
10,770 |
| Modine Manufacturing Co. |
| 51,804 |
| |
3,824 |
| Monarch Casino & Resort, Inc.* |
| 34,416 |
| |
5,434 |
| Monro Muffler, Inc. |
| 110,908 |
| |
9,003 |
| Morgans Hotel Group Co.* |
| 36,012 |
| |
5,310 |
| Movado Group, Inc. |
| 71,685 |
| |
14,036 |
| National CineMedia, Inc. |
| 114,253 |
| |
1,507 |
| National Presto Industries, Inc. |
| 98,874 |
| |
7,597 |
| Nautilus, Inc.* |
| 22,335 |
| |
13,468 |
| NetFlix, Inc.* |
| 309,495 |
| |
7,741 |
| New York & Co., Inc.* |
| 14,553 |
| |
10,190 |
| NutriSystem, Inc. |
| 142,762 |
| |
6,038 |
| O’Charleys, Inc. |
| 12,801 |
| |
12,216 |
| Orbitz Worldwide, Inc.* |
| 29,685 |
| |
5,371 |
| Outdoor Channel Holdings, Inc.* |
| 32,656 |
| |
5,147 |
| Overstock.com, Inc.* |
| 53,992 |
| |
4,743 |
| Oxford Industries, Inc. |
| 28,458 |
| |
21,928 |
| Pacific Sunwear of California* |
| 33,111 |
| |
3,299 |
| Palm Harbor Homes, Inc.* |
| 24,446 |
| |
7,289 |
| Papa John’s International, Inc.* |
| 129,161 |
| |
4,669 |
| Peet’s Coffee & Tea, Inc.* |
| 105,379 |
| |
14,078 |
| PEP Boys-Manny Moe & Jack |
| 63,351 |
| |
4,066 |
| Perry Ellis International, Inc.* |
| 22,038 |
| |
7,910 |
| PetMed Express, Inc.* |
| 141,826 |
| |
8,056 |
| PF Chang’s China Bistro, Inc.* |
| 150,889 |
| |
29,707 |
| Pier 1 Imports, Inc.* |
| 26,439 |
| |
20,000 |
| Pinnacle Entertainment, Inc.* |
| 114,000 |
| |
7,113 |
| Playboy Enterprises, Inc., Class B* |
| 8,891 |
| |
10,993 |
| Polaris Industries, Inc. |
| 300,109 |
| |
15,962 |
| Pool Corp. |
| 275,025 |
| |
2,664 |
| Pre-Paid Legal Services, Inc.* |
| 106,560 |
| |
8,407 |
| Primedia, Inc. |
| 8,491 |
| |
4,455 |
| Princeton Review, Inc.* |
| 23,121 |
| |
27,524 |
| Quantum Fuel Systems Technologies Worldwide, Inc.* |
| 21,469 |
| |
42,047 |
| Quiksilver, Inc.* |
| 58,866 |
| |
22,952 |
| R.H. Donnelley Corp.* |
| 12,624 |
| |
15,792 |
| Raser Technologies, Inc.* |
| 74,222 |
| |
5,802 |
| RC2 Corp.* |
| 61,675 |
| |
12,557 |
| RCN Corp.* |
| 87,648 |
| |
5,620 |
| Red Robin Gourmet Burgers, Inc.* |
| 68,508 |
| |
14,345 |
| Regis Corp. |
| 157,652 |
| |
22,263 |
| Rent-A-Center, Inc.* |
| 365,336 |
| |
9,632 |
| Retail Ventures, Inc.* |
| 11,944 |
| |
2,783 |
| Rex Stores Corp.* |
| 27,691 |
| |
4,513 |
| RHI Entertainment, Inc. |
| 18,458 |
| |
2,179 |
| Rick’s Cabaret International, Inc.* |
| 9,697 |
| |
3,358 |
| Riviera Holdings Corp.* |
| 13,936 |
| |
17,257 |
| Ruby Tuesday, Inc.* |
| 19,846 |
| |
5,596 |
| Russ Berrie & Co., Inc.* |
| 11,472 |
| |
6,709 |
| Ruth’s Hospitality Group, Inc.* |
| 9,996 |
| |
14,139 |
| Ryland Group, Inc. |
| 239,939 |
| |
31,468 |
| Sally Beauty Holdings, Inc.* |
| 136,886 |
| |
8,032 |
| Scholastic Corp. |
| 122,649 |
| |
14,752 |
| Sealy Corp. |
| 44,404 |
| |
2,960 |
| Shoe Carnival, Inc.* |
| 27,765 |
| |
17,647 |
| Shuffle Master, Inc.* |
| 75,529 |
| |
6,563 |
| Shutterfly, Inc.* |
| 44,891 |
| |
17,476 |
| Sinclair Broadcast Group, Inc., Class A |
| 55,224 |
| |
24,277 |
| Six Flags, Inc.* |
| 5,826 |
| |
10,959 |
| Skechers U.S.A., Inc., Class A* |
| 131,946 |
| |
2,274 |
| Skyline Corp. |
| 52,461 |
| |
12,528 |
| Smith & Wesson Holding Corp.* |
| 25,808 |
| |
8,699 |
| Sonic Automotive, Inc., Class A |
| 28,011 |
| |
19,992 |
| Sonic Corp.* |
| 168,932 |
| |
22,471 |
| Sotheby’s |
| 223,362 |
| |
10,818 |
| Spartan Motors, Inc. |
| 32,238 |
| |
4,543 |
| Speedway Motorsports, Inc. |
| 62,830 |
| |
12,783 |
| Stage Stores, Inc. |
| 73,886 |
| |
4,556 |
| Stamps.com, Inc.* |
| 40,366 |
| |
41,364 |
| Standard Pacific Corp.* |
| 79,832 |
| |
9,585 |
| Steak N Shake Co. (The)* |
| 42,366 |
| |
8,429 |
| Stein Mart, Inc. |
| 13,149 |
| |
5,426 |
| Steiner Leisure Ltd.* |
| 131,255 |
| |
2,297 |
| Steinway Musical Instruments, Inc.* |
| 40,933 |
| |
5,897 |
| Steven Madden Ltd.* |
| 100,898 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
27,909 |
| Stewart Enterprises, Inc., Class A |
| $ | 89,030 |
|
4,874 |
| Stoneridge, Inc.* |
| 22,469 |
| |
7,697 |
| Superior Industries International, Inc. |
| 94,134 |
| |
2,210 |
| Syms Corp.* |
| 20,553 |
| |
3,673 |
| Systemax, Inc. |
| 35,922 |
| |
8,157 |
| Talbots, Inc. |
| 19,414 |
| |
24,924 |
| Tempur-Pedic International, Inc. |
| 174,219 |
| |
15,550 |
| Tenneco, Inc.* |
| 51,004 |
| |
17,466 |
| Texas Roadhouse, Inc., Class A* |
| 97,635 |
| |
17,373 |
| thinkorswim Group, Inc.* |
| 112,230 |
| |
15,956 |
| Timberland Co., Class A* |
| 161,953 |
| |
5,838 |
| Town Sports International Holdings, Inc.* |
| 16,522 |
| |
11,124 |
| Tractor Supply Co.* |
| 426,939 |
| |
5,692 |
| True Religion Apparel, Inc.* |
| 71,662 |
| |
10,100 |
| Tuesday Morning Corp.* |
| 11,312 |
| |
20,686 |
| Tupperware Brands Corp. |
| 406,894 |
| |
8,275 |
| Tween Brands, Inc.* |
| 31,776 |
| |
6,774 |
| Ulta Salon Cosmetics & Fragrance, Inc.* |
| 48,637 |
| |
10,990 |
| Under Armour, Inc., Class A* |
| 252,660 |
| |
15,064 |
| Unifi, Inc.* |
| 70,048 |
| |
4,798 |
| Unifirst Corp. |
| 132,953 |
| |
4,710 |
| Universal Electronics, Inc.* |
| 78,186 |
| |
7,186 |
| Universal Technical Institute, Inc.* |
| 138,187 |
| |
10,432 |
| Vail Resorts, Inc.* |
| 226,896 |
| |
16,027 |
| Valassis Communications, Inc.* |
| 23,720 |
| |
448 |
| Value Line, Inc. |
| 14,381 |
| |
43,654 |
| Visteon Corp.* |
| 32,740 |
| |
6,066 |
| Volcom, Inc.* |
| 61,145 |
| |
15,188 |
| Warnaco Group, Inc. (The)* |
| 271,865 |
| |
132,317 |
| Wendy’s/Arby’s Group, Inc., Class A |
| 531,914 |
| |
30,722 |
| Wet Seal, Inc. (The), Class A* |
| 86,329 |
| |
2,415 |
| Weyco Group, Inc. |
| 81,047 |
| |
9,696 |
| Winnebago Industries |
| 57,012 |
| |
14,633 |
| WMS Industries, Inc.* |
| 360,703 |
| |
16,603 |
| Wolverine World Wide, Inc. |
| 319,940 |
| |
4,900 |
| Wonder Auto Technology, Inc.* |
| 18,424 |
| |
7,077 |
| World Wrestling Entertainment, Inc., Class A |
| 82,305 |
| |
10,681 |
| Zale Corp.* |
| 63,338 |
| |
6,555 |
| Zumiez, Inc.* |
| 56,635 |
| |
|
|
|
| 25,356,892 |
| |
|
| Consumer Staples - 3.4% |
|
|
| |
|
|
|
|
|
| |
6,628 |
| AgFeed Industries, Inc.* |
| 12,991 |
| |
1,199 |
| Alico, Inc. |
| 38,908 |
| |
29,662 |
| Alliance One International, Inc.* |
| 91,952 |
| |
2,370 |
| American Dairy, Inc.* |
| 40,337 |
| |
20,596 |
| American Oriental Bioengineering, Inc.* |
| 116,779 |
| |
6,038 |
| Andersons, Inc. (The) |
| 76,441 |
| |
376 |
| Arden Group, Inc., Class A |
| 51,426 |
| |
6,710 |
| B&G Foods, Inc., Class A |
| 36,100 |
| |
2,812 |
| Boston Beer Co., Inc., Class A* |
| 90,209 |
| |
3,455 |
| Calavo Growers, Inc. |
| 30,473 |
| |
4,339 |
| Cal-Maine Foods, Inc. |
| 109,386 |
| |
16,922 |
| Casey’s General Stores, Inc. |
| 501,737 |
| |
21,482 |
| Central Garden and Pet Co., Class A* |
| 89,795 |
| |
5,740 |
| Chattem, Inc.* |
| 416,552 |
| |
2,631 |
| China Sky One Medical, Inc.* |
| 26,863 |
| |
14,446 |
| Chiquita Brands International, Inc.* |
| 161,073 |
| |
1,361 |
| Coca-Cola Bottling Co. Consolidated |
| 57,924 |
| |
27,186 |
| Darling International, Inc.* |
| 135,930 |
| |
5,363 |
| Diamond Foods, Inc. |
| 162,070 |
| |
8,145 |
| Elizabeth Arden, Inc.* |
| 114,845 |
| |
2,251 |
| Farmer Bros Co. |
| 53,236 |
| |
25,794 |
| Flowers Foods, Inc. |
| 690,763 |
| |
13,993 |
| Fresh Del Monte Produce, Inc.* |
| 353,183 |
| |
11,766 |
| Great Atlantic & Pacific Tea Co.* |
| 61,183 |
| |
5,748 |
| Green Mountain Coffee Roasters, Inc.* |
| 208,882 |
| |
1,112 |
| Griffin Land & Nurseries, Inc. |
| 35,161 |
| |
13,522 |
| Hain Celestial Group, Inc.* |
| 212,836 |
| |
2,220 |
| HQ Sustainable Maritime Industries, Inc.* |
| 11,833 |
| |
3,975 |
| Imperial Sugar Co. |
| 55,769 |
| |
4,195 |
| Ingles Markets, Inc., Class A |
| 56,591 |
| |
4,683 |
| Inter Parfums, Inc. |
| 34,467 |
| |
4,716 |
| J&J Snack Foods Corp. |
| 140,254 |
| |
6,726 |
| Lancaster Colony Corp. |
| 202,789 |
| |
9,020 |
| Lance, Inc. |
| 176,161 |
| |
1,606 |
| Lifeway Foods, Inc.* |
| 10,889 |
| |
5,244 |
| Mannatech, Inc. |
| 11,799 |
| |
4,248 |
| Nash Finch Co. |
| 190,565 |
| |
3,590 |
| National Beverage Corp.* |
| 31,771 |
| |
16,524 |
| Nu Skin Enterprises, Inc., Class A |
| 177,798 |
| |
6,122 |
| Omega Protein Corp.* |
| 25,468 |
| |
7,409 |
| Pantry, Inc. (The)* |
| 143,290 |
| |
15,051 | �� | Pilgrim’s Pride Corp. |
| 17,309 |
| |
11,262 |
| Prestige Brands Holdings, Inc.* |
| 88,069 |
| |
4,823 |
| Pricesmart, Inc. |
| 65,882 |
| |
18,752 |
| Ralcorp Holdings, Inc.* |
| 1,173,125 |
| |
5,956 |
| Reddy Ice Holdings, Inc. |
| 7,147 |
| |
14,048 |
| Ruddick Corp. |
| 384,353 |
| |
6,768 |
| Sanderson Farms, Inc. |
| 211,026 |
| |
3,114 |
| Schiff Nutrition International, Inc.* |
| 18,933 |
| |
20,902 |
| Smart Balance, Inc.* |
| 122,277 |
| |
7,296 |
| Spartan Stores, Inc. |
| 173,061 |
| |
13,357 |
| Spectrum Brands, Inc.* |
| 2,538 |
| |
21,989 |
| Star Scientific, Inc.* |
| 67,286 |
| |
2,599 |
| Susser Holdings Corp.* |
| 31,552 |
| |
3,454 |
| Synutra International, Inc.* |
| 41,103 |
| |
7,940 |
| Tootsie Roll Industries, Inc. |
| 206,043 |
| |
10,409 |
| TreeHouse Foods, Inc.* |
| 247,630 |
| |
14,304 |
| United Natural Foods, Inc.* |
| 257,615 |
| |
8,479 |
| Universal Corp. |
| 271,074 |
| |
2,330 |
| USANA Health Sciences, Inc.* |
| 70,762 |
| |
10,994 |
| Vector Group Ltd. |
| 157,874 |
| |
1,068 |
| Village Super Market, Inc., Class A |
| 52,289 |
| |
5,482 |
| WD-40 Co. |
| 156,785 |
| |
3,674 |
| Weis Markets, Inc. |
| 116,172 |
| |
18,043 |
| Winn-Dixie Stores, Inc.* |
| 269,743 |
| |
6,154 |
| Zhongpin, Inc.* |
| 53,478 |
| |
|
|
|
| 9,509,605 |
| |
|
| Energy - 4.3% |
|
|
| |
|
|
|
|
|
| |
14,008 |
| Abraxas Petroleum Corp.* |
| 17,370 |
| |
9,350 |
| Allis-Chalmers Energy, Inc.* |
| 58,999 |
| |
3,610 |
| Alon USA Energy, Inc. |
| 35,414 |
| |
12,244 |
| American Oil & Gas, Inc.* |
| 11,632 |
| |
1,275 |
| APCO Argentina, Inc. |
| 36,337 |
| |
2,996 |
| Approach Resources, Inc.* |
| 26,035 |
| |
12,657 |
| Arena Resources, Inc.* |
| 335,031 |
| |
4,239 |
| Arlington Tankers Ltd. |
| 40,567 |
| |
11,507 |
| Atlas America, Inc. |
| 172,490 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
9,278 |
| ATP Oil & Gas Corp.* |
| $ | 61,977 |
|
9,777 |
| Aventine Renewable Energy Holdings, Inc.* |
| 7,822 |
| |
13,771 |
| Basic Energy Services, Inc.* |
| 158,091 |
| |
14,242 |
| Berry Petroleum Co., Class A |
| 166,774 |
| |
12,225 |
| Bill Barrett Corp.* |
| 273,473 |
| |
13,341 |
| BMB Munai, Inc.* |
| 15,876 |
| |
2,873 |
| Bolt Technology Corp.* |
| 24,191 |
| |
19,994 |
| BPZ Resources, Inc.* |
| 123,163 |
| |
15,412 |
| Brigham Exploration Co.* |
| 46,698 |
| |
8,068 |
| Bristow Group, Inc.* |
| 182,579 |
| |
8,764 |
| Bronco Drilling Co., Inc.* |
| 55,914 |
| |
14,752 |
| Cal Dive International, Inc.* |
| 90,135 |
| |
6,993 |
| Callon Petroleum Co.* |
| 17,133 |
| |
15,788 |
| Cano Petroleum, Inc.* |
| 9,157 |
| |
6,851 |
| CARBO Ceramics, Inc. |
| 328,163 |
| |
9,114 |
| Carrizo Oil & Gas, Inc.* |
| 188,660 |
| |
16,194 |
| Cheniere Energy, Inc.* |
| 50,849 |
| |
1,797 |
| Clayton Williams Energy, Inc.* |
| 82,518 |
| |
7,269 |
| Clean Energy Fuels Corp.* |
| 35,255 |
| |
16,014 |
| Complete Production Services, Inc.* |
| 131,155 |
| |
15,202 |
| Comstock Resources, Inc.* |
| 637,420 |
| |
18,462 |
| Concho Resources, Inc.* |
| 435,519 |
| |
4,383 |
| Contango Oil & Gas Co.* |
| 230,283 |
| |
13,412 |
| Crosstex Energy, Inc. |
| 55,660 |
| |
7,678 |
| CVR Energy, Inc.* |
| 26,873 |
| |
2,575 |
| Dawson Geophysical Co.* |
| 52,968 |
| |
4,421 |
| Delek U.S. Holdings, Inc. |
| 24,316 |
| |
20,737 |
| Delta Petroleum Corp.* |
| 118,408 |
| |
13,085 |
| DHT Maritime, Inc. |
| 70,005 |
| |
2,727 |
| Double Eagle Petroleum Co.* |
| 18,489 |
| |
10,326 |
| Dril-Quip, Inc.* |
| 203,216 |
| |
37,943 |
| Endeavour International Corp.* |
| 23,904 |
| |
10,652 |
| Energy Partners Ltd.* |
| 36,004 |
| |
40,003 |
| Energy XXI Bermuda Ltd. |
| 44,403 |
| |
9,035 |
| ENGlobal Corp.* |
| 26,563 |
| |
28,235 |
| Evergreen Energy, Inc.* |
| 10,729 |
| |
49,812 |
| EXCO Resources, Inc.* |
| 382,058 |
| |
13,455 |
| FX Energy, Inc.* |
| 47,765 |
| |
31,270 |
| Gasco Energy, Inc.* |
| 19,384 |
| |
8,906 |
| General Maritime Corp. |
| 115,422 |
| |
12,676 |
| GeoGlobal Resources, Inc.* |
| 22,817 |
| |
1,595 |
| Geokinetics, Inc.* |
| 5,933 |
| |
6,158 |
| GeoMet, Inc.* |
| 12,624 |
| |
2,032 |
| Georesources, Inc.* |
| 15,646 |
| |
5,565 |
| GMX Resources, Inc.* |
| 159,882 |
| |
11,785 |
| Golar LNG Ltd. |
| 76,249 |
| |
7,522 |
| Goodrich Petroleum Corp.* |
| 271,319 |
| |
73,765 |
| Gran Tierra Energy, Inc.* |
| 201,378 |
| |
1,435 |
| GreenHunter Energy, Inc.* |
| 8,754 |
| |
59,676 |
| Grey Wolf, Inc.* |
| 327,025 |
| |
4,061 |
| Gulf Island Fabrication, Inc. |
| 58,519 |
| |
7,522 |
| Gulfmark Offshore, Inc.* |
| 212,873 |
| |
8,756 |
| Gulfport Energy Corp.* |
| 43,342 |
| |
11,766 |
| Harvest Natural Resources, Inc.* |
| 75,655 |
| |
7,733 |
| Hornbeck Offshore Services, Inc.* |
| 130,533 |
| |
4,978 |
| Houston American Energy Corp. |
| 12,793 |
| |
42,435 |
| International Coal Group, Inc.* |
| 120,515 |
| |
28,224 |
| ION Geophysical Corp.* |
| 84,672 |
| |
9,139 |
| James River Coal Co.* |
| 103,819 |
| |
5,702 |
| Knightsbridge Tankers Ltd. |
| 84,789 |
| |
4,930 |
| Lufkin Industries, Inc. |
| 243,098 |
| |
8,671 |
| Matrix Service Co.* |
| 66,246 |
| |
20,024 |
| McMoRan Exploration Co.* |
| 225,270 |
| |
25,889 |
| Meridian Resource Corp.* |
| 24,336 |
| |
3,277 |
| Mitcham Industries, Inc.* |
| 14,058 |
| |
6,665 |
| NATCO Group, Inc., Class A* |
| 120,836 |
| |
9,207 |
| National Coal Corp.* |
| 17,309 |
| |
4,035 |
| Natural Gas Services Group, Inc.* |
| 41,561 |
| |
29,984 |
| Newpark Ressources, Inc.* |
| 137,927 |
| |
11,469 |
| Nordic American Tanker Shipping |
| 335,239 |
| |
7,112 |
| Northern Oil and Gas, Inc.* |
| 29,799 |
| |
58,591 |
| Oilsands Quest, Inc.* |
| 64,450 |
| |
1,361 |
| OYO Geospace Corp.* |
| 30,976 |
| |
14,758 |
| Pacific Ethanol, Inc.* |
| 9,888 |
| |
2,448 |
| Panhandle Oil and Gas, Inc., Class A |
| 56,671 |
| |
13,806 |
| Parallel Petroleum Corp.* |
| 43,489 |
| |
37,691 |
| Parker Drilling Co.* |
| 115,334 |
| |
13,875 |
| Penn Virginia Corp. |
| 416,666 |
| |
4,962 |
| Petroleum Development Corp.* |
| 95,270 |
| |
14,471 |
| Petroquest Energy, Inc.* |
| 101,442 |
| |
4,547 |
| PHI, Inc. (Non-Voting)* |
| 56,155 |
| |
16,612 |
| Pioneer Drilling Co.* |
| 121,932 |
| |
306 |
| PrimeEnergy Corp.* |
| 16,585 |
| |
9,194 |
| Quest Resource Corp.* |
| 3,034 |
| |
15,529 |
| RAM Energy Resources, Inc.* |
| 17,703 |
| |
55,311 |
| Rentech, Inc.* |
| 35,399 |
| |
5,595 |
| Rex Energy Corp.* |
| 34,130 |
| |
17,157 |
| Rosetta Resources, Inc.* |
| 129,192 |
| |
9,675 |
| RPC, Inc. |
| 83,205 |
| |
14,077 |
| Ship Finance International Ltd. |
| 167,376 |
| |
10,561 |
| Stone Energy Corp.* |
| 175,524 |
| |
17,769 |
| Sulphco, Inc.* |
| 28,430 |
| |
5,509 |
| Superior Well Services, Inc.* |
| 56,467 |
| |
10,187 |
| Swift Energy Co.* |
| 217,696 |
| |
4,166 |
| T-3 Energy Services, Inc.* |
| 54,783 |
| |
4,513 |
| Teekay Tankers Ltd., Class A |
| 49,282 |
| |
5,643 |
| Toreador Resources Corp.* |
| 28,723 |
| |
4,230 |
| Trico Marine Services, Inc.* |
| 16,159 |
| |
7,487 |
| Tri-Valley Corp.* |
| 24,782 |
| |
11,685 |
| TXCO Resources, Inc.* |
| 35,055 |
| |
4,690 |
| Union Drilling, Inc.* |
| 31,611 |
| |
16,426 |
| Uranium Resources, Inc.* |
| 8,377 |
| |
37,090 |
| USEC, Inc.* |
| 142,796 |
| |
19,730 |
| Vaalco Energy, Inc.* |
| 124,299 |
| |
6,758 |
| Venoco, Inc.* |
| 22,572 |
| |
19,447 |
| Warren Resources, Inc.* |
| 64,759 |
| |
9,957 |
| Western Refining, Inc. |
| 75,474 |
| |
3,162 |
| Westmoreland Coal Co.* |
| 29,976 |
| |
12,967 |
| Willbros Group, Inc.* |
| 107,237 |
| |
9,589 |
| World Fuel Services Corp. |
| 348,081 |
| |
|
|
|
| 11,888,643 |
| |
|
| Financials - 19.6% |
|
|
| |
|
|
|
|
|
| |
4,981 |
| 1st Source Corp. |
| 110,628 |
| |
8,161 |
| Abington Bancorp, Inc. |
| 84,058 |
| |
10,771 |
| Acadia Realty Trust (REIT) |
| 150,579 |
| |
13,963 |
| Advance America Cash Advance Centers, Inc. |
| 23,877 |
| |
12,774 |
| Advanta Corp., Class B |
| 37,683 |
| |
2,605 |
| Agree Realty Corp. (REIT) |
| 35,610 |
| |
664 |
| Alexander’s, Inc. (REIT) |
| 141,299 |
| |
95,720 |
| AMBAC Financial Group, Inc. |
| 134,008 |
| |
6,666 |
| Amcore Financial, Inc. |
| 24,331 |
| |
14,114 |
| American Campus Communities, Inc. (REIT) |
| 316,012 |
| |
3,327 |
| American Capital Agency Corp. (REIT) |
| 66,340 |
| |
18,219 |
| American Equity Investment Life Holding Co. |
| 113,322 |
| |
2,802 |
| American Physicians Capital, Inc. |
| 107,457 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
3,546 |
| American Safety Insurance Holdings Ltd.* |
| $ | 31,666 |
|
4,523 |
| Ameris Bancorp |
| 43,240 |
| |
6,274 |
| Amerisafe, Inc.* |
| 101,639 |
| |
2,153 |
| Ames National Corp. |
| 53,201 |
| |
6,564 |
| Ampal-American Israel Corp., Class A* |
| 7,352 |
| |
5,285 |
| Amtrust Financial Services, Inc. |
| 47,248 |
| |
6,351 |
| Anchor Bancorp Wisconsin, Inc. |
| 18,608 |
| |
19,610 |
| Anthracite Capital, Inc. (REIT) |
| 59,222 |
| |
27,510 |
| Anworth Mortgage Asset Corp. (REIT) |
| 174,138 |
| |
47,457 |
| Apollo Investment Corp. |
| 402,910 |
| |
4,731 |
| Arbor Realty Trust, Inc. (REIT) |
| 12,916 |
| |
32,416 |
| Ares Capital Corp. |
| 161,432 |
| |
10,245 |
| Argo Group International Holdings Ltd.* |
| 324,152 |
| |
3,045 |
| Arrow Financial Corp. |
| 88,275 |
| |
39,940 |
| Ashford Hospitality Trust, Inc. (REIT) |
| 62,306 |
| |
28,493 |
| Aspen Insurance Holdings Ltd. |
| 525,126 |
| |
4,980 |
| Asset Acceptance Capital Corp.* |
| 32,270 |
| |
4,842 |
| Associated Estates Realty Corp. (REIT) |
| 42,416 |
| |
18,620 |
| Assured Guaranty Ltd. |
| 209,289 |
| |
2,036 |
| Avatar Holdings, Inc.* |
| 59,125 |
| |
2,861 |
| Baldwin & Lyons, Inc., Class B |
| 52,499 |
| |
2,468 |
| Bancfirst Corp. |
| 108,370 |
| |
9,109 |
| Banco Latinoamericano de Exportaciones S.A., Class E |
| 115,411 |
| |
5,852 |
| BancTrust Financial Group, Inc. |
| 73,033 |
| |
16,101 |
| Bank Mutual Corp. |
| 165,035 |
| |
4,130 |
| Bank of the Ozarks, Inc. |
| 112,419 |
| |
6,566 |
| BankFinancial Corp. |
| 71,766 |
| |
4,690 |
| Banner Corp. |
| 48,588 |
| |
10,927 |
| Beneficial Mutual Bancorp, Inc.* |
| 128,392 |
| |
3,990 |
| Berkshire Hills Bancorp, Inc. |
| 115,710 |
| |
11,204 |
| BGC Partners, Inc., Class A |
| 42,575 |
| |
26,810 |
| BioMed Realty Trust, Inc. (REIT) |
| 249,869 |
| |
4,341 |
| BlackRock Kelso Capital Corp. |
| 44,495 |
| |
18,211 |
| Boston Private Financial Holdings, Inc. |
| 125,838 |
| |
8,056 |
| Broadpoint Securities Group, Inc.* |
| 20,946 |
| |
19,425 |
| Brookline Bancorp, Inc. |
| 219,308 |
| |
1,127 |
| Brooklyn Federal Bancorp, Inc. |
| 15,440 |
| |
2,303 |
| Bryn Mawr Bank Corp. |
| 46,613 |
| |
6,714 |
| Calamos Asset Management, Inc., Class A |
| 27,326 |
| |
2,564 |
| Camden National Corp. |
| 72,254 |
| |
3,930 |
| Capital City Bank Group, Inc. |
| 116,092 |
| |
1,012 |
| Capital Southwest Corp. |
| 82,630 |
| |
5,544 |
| Capital Trust, Inc./NY, Class A (REIT) |
| 27,720 |
| |
4,811 |
| Capitol Bancorp Ltd. |
| 26,460 |
| |
14,931 |
| CapLease, Inc. (REIT) |
| 31,206 |
| |
18,817 |
| Capstead Mortgage Corp. (REIT) |
| 197,390 |
| |
8,055 |
| Cardinal Financial Corp. |
| 42,772 |
| |
4,011 |
| Cardtronics, Inc.* |
| 5,375 |
| |
4,428 |
| Care Investment Trust, Inc. (REIT) |
| 38,302 |
| |
7,427 |
| Cascade Bancorp |
| 50,504 |
| |
9,726 |
| Cash America International, Inc. |
| 262,699 |
| |
11,156 |
| Castlepoint Holdings Ltd. |
| 114,461 |
| |
16,490 |
| Cathay General Bancorp |
| 338,375 |
| |
12,771 |
| Cedar Shopping Centers, Inc. (REIT) |
| 60,024 |
| |
3,089 |
| Centerstate Banks of Florida, Inc. |
| 51,123 |
| |
9,585 |
| Central Pacific Financial Corp. |
| 122,688 |
| |
7,951 |
| Chemical Financial Corp. |
| 196,628 |
| |
11,259 |
| Chimera Investment Corp. (REIT) |
| 33,552 |
| |
2,991 |
| Citizens & Northern Corp. |
| 65,952 |
| |
42,048 |
| Citizens Republic Bancorp, Inc. |
| 99,233 |
| |
12,462 |
| Citizens, Inc./TX* |
| 117,766 |
| |
4,561 |
| City Bank/WA |
| 30,057 |
| |
5,382 |
| City Holding Co. |
| 190,630 |
| |
3,496 |
| Clifton Savings Bancorp, Inc. |
| 41,043 |
| |
5,584 |
| CNA Surety Corp.* |
| 67,622 |
| |
6,286 |
| CoBiz Financial, Inc. |
| 68,769 |
| |
4,013 |
| Cogdell Spencer, Inc. (REIT) |
| 32,104 |
| |
5,598 |
| Cohen & Steers, Inc. |
| 64,041 |
| |
67,348 |
| Colonial BancGroup, Inc. (The) |
| 169,043 |
| |
15,830 |
| Colonial Properties Trust (REIT) |
| 89,756 |
| |
6,034 |
| Columbia Banking System, Inc. |
| 60,642 |
| |
10,879 |
| Community Bank System, Inc. |
| 250,870 |
| |
5,004 |
| Community Trust Bancorp, Inc. |
| 163,381 |
| |
7,954 |
| Compass Diversified Holdings |
| 79,620 |
| |
5,376 |
| CompuCredit Corp.* |
| 18,010 |
| |
1,814 |
| Consolidated-Tomoka Land Co. |
| 62,311 |
| |
14,007 |
| Corporate Office Properties Trust SBI MD (REIT) |
| 416,148 |
| |
12,580 |
| Corus Bankshares, Inc. |
| 14,970 |
| |
14,534 |
| Cousins Properties, Inc. (REIT) |
| 156,677 |
| |
8,059 |
| Crawford & Co., Class B* |
| 90,583 |
| |
1,991 |
| Credit Acceptance Corp.* |
| 26,082 |
| |
22,071 |
| CVB Financial Corp. |
| 247,857 |
| |
5,949 |
| Danvers Bancorp, Inc. |
| 75,790 |
| |
57,289 |
| DCT Industrial Trust, Inc. (REIT) |
| 256,655 |
| |
13,788 |
| Delphi Financial Group, Inc., Class A |
| 166,835 |
| |
681 |
| Diamond Hill Investment Group, Inc. |
| 38,204 |
| |
31,618 |
| DiamondRock Hospitality Co. (REIT) |
| 117,619 |
| |
7,858 |
| Dime Community Bancshares |
| 106,004 |
| |
8,079 |
| Dollar Financial Corp.* |
| 61,239 |
| |
3,910 |
| Donegal Group, Inc., Class A |
| 61,465 |
| |
1,791 |
| Doral Financial Corp.* |
| 13,074 |
| |
3,979 |
| DuPont Fabros Technology, Inc. (REIT) |
| 8,515 |
| |
21,170 |
| East West Bancorp, Inc. |
| 313,316 |
| |
8,309 |
| EastGroup Properties, Inc. (REIT) |
| 267,799 |
| |
9,516 |
| Education Realty Trust, Inc. (REIT) |
| 42,537 |
| |
8,319 |
| eHealth, Inc.* |
| 91,259 |
| |
1,952 |
| EMC Insurance Group, Inc. |
| 48,195 |
| |
16,492 |
| Employers Holdings, Inc. |
| 268,655 |
| |
2,152 |
| Encore Bancshares, Inc.* |
| 30,989 |
| |
4,561 |
| Encore Capital Group, Inc.* |
| 38,130 |
| |
1,863 |
| Enstar Group Ltd.* |
| 88,548 |
| |
3,683 |
| Enterprise Financial Services Corp. |
| 53,588 |
| |
10,971 |
| Entertainment Properties Trust (REIT) |
| 269,119 |
| |
3,663 |
| Epoch Holding Corp. |
| 30,769 |
| |
6,787 |
| Equity Lifestyle Properties, Inc. (REIT) |
| 234,830 |
| |
10,734 |
| Equity One, Inc. (REIT) |
| 177,648 |
| |
5,667 |
| ESSA Bancorp, Inc. |
| 76,335 |
| |
3,285 |
| Evercore Partners, Inc., Class A |
| 32,883 |
| |
26,509 |
| Extra Space Storage, Inc. (REIT) |
| 234,605 |
| |
12,827 |
| Ezcorp, Inc., Class A* |
| 211,517 |
| |
2,064 |
| Farmers Capital Bank Corp. |
| 49,020 |
| |
4,278 |
| FBL Financial Group, Inc., Class A |
| 48,641 |
| |
9,292 |
| FBR Capital Markets Corp.* |
| 46,460 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
7,572 |
| FCStone Group, Inc.* |
| $ | 25,745 |
|
3,156 |
| Federal Agricultural Mortgage Corp., Class C |
| 13,981 |
| |
20,990 |
| FelCor Lodging Trust, Inc. (REIT) |
| 35,473 |
| |
3,328 |
| Fifth Street Finance Corp. |
| 24,394 |
| |
8,497 |
| Financial Federal Corp. |
| 163,312 |
| |
3,658 |
| Financial Institutions, Inc. |
| 59,881 |
| |
5,754 |
| First Acceptance Corp.* |
| 19,564 |
| |
2,888 |
| First Bancorp, Inc./ME |
| 54,988 |
| |
4,798 |
| First Bancorp/NC |
| 82,718 |
| |
23,739 |
| First Bancorp/Puerto Rico |
| 259,705 |
| |
8,475 |
| First Busey Corp. |
| 145,177 |
| |
6,627 |
| First Cash Financial Services, Inc.* |
| 102,188 |
| |
24,425 |
| First Commonwealth Financial Corp. |
| 293,344 |
| |
3,025 |
| First Community Bancshares, Inc./VA |
| 87,816 |
| |
12,514 |
| First Financial Bancorp |
| 156,425 |
| |
6,934 |
| First Financial Bankshares, Inc. |
| 362,301 |
| |
3,776 |
| First Financial Corp./IN |
| 157,308 |
| |
3,894 |
| First Financial Holdings, Inc. |
| 86,408 |
| |
7,627 |
| First Financial Northwest, Inc. |
| 68,872 |
| |
14,775 |
| First Industrial Realty Trust, Inc. (REIT) |
| 127,804 |
| |
23,069 |
| First Marblehead Corp. (The) |
| 32,066 |
| |
6,079 |
| First Merchants Corp. |
| 122,613 |
| |
4,853 |
| First Mercury Financial Corp.* |
| 59,012 |
| |
16,200 |
| First Midwest Bancorp, Inc./IL |
| 298,242 |
| |
39,544 |
| First Niagara Financial Group, Inc. |
| 613,328 |
| |
5,665 |
| First Place Financial Corp./OH |
| 24,416 |
| |
9,123 |
| First Potomac Realty Trust (REIT) |
| 73,258 |
| |
2,679 |
| First South Bancorp, Inc./NC |
| 33,487 |
| |
4,562 |
| FirstFed Financial Corp.* |
| 17,199 |
| |
26,986 |
| FirstMerit Corp. |
| 593,692 |
| |
17,362 |
| Flagstar Bancorp, Inc. |
| 12,327 |
| |
10,049 |
| Flagstone Reinsurance Holdings Ltd. |
| 103,304 |
| |
7,155 |
| Flushing Financial Corp. |
| 97,737 |
| |
28,702 |
| FNB Corp./PA |
| 354,757 |
| |
11,891 |
| Forestar Group, Inc.* |
| 55,055 |
| |
2,054 |
| Fox Chase Bancorp, Inc.* |
| 24,463 |
| |
2,759 |
| Fpic Insurance Group, Inc.* |
| 127,852 |
| |
19,715 |
| Franklin Street Properties Corp. (REIT) |
| 249,986 |
| |
49,333 |
| Friedman Billings Ramsey Group, Inc., Class A (REIT)* |
| 9,867 |
| |
15,687 |
| Frontier Financial Corp. |
| 44,865 |
| |
3,448 |
| FX Real Estate and Entertainment, Inc.* |
| 1,172 |
| |
2,528 |
| GAMCO Investors, Inc., Class A |
| 69,343 |
| |
5,784 |
| Getty Realty Corp. (REIT) |
| 108,219 |
| |
22,042 |
| GFI Group, Inc. |
| 83,539 |
| |
18,001 |
| Glacier Bancorp, Inc. |
| 320,058 |
| |
7,038 |
| Gladstone Capital Corp. |
| 42,228 |
| |
7,363 |
| Gladstone Investment Corp. |
| 36,300 |
| |
12,609 |
| Glimcher Realty Trust (REIT) |
| 29,379 |
| |
13,886 |
| Gramercy Capital Corp./NY (REIT) |
| 15,830 |
| |
4,342 |
| Green Bankshares, Inc. |
| 70,818 |
| |
5,779 |
| Greenhill & Co., Inc. |
| 393,550 |
| |
9,613 |
| Greenlight Capital Re Ltd., Class A* |
| 100,552 |
| |
11,590 |
| Grubb & Ellis Co. |
| 15,415 |
| |
17,573 |
| Guaranty Bancorp* |
| 34,795 |
| |
12,427 |
| Guaranty Financial Group, Inc.* |
| 33,553 |
| |
1,972 |
| Hallmark Financial Services* |
| 12,187 |
| |
8,588 |
| Hancock Holding Co. |
| 370,229 |
| |
12,422 |
| Hanmi Financial Corp. |
| 29,192 |
| |
4,355 |
| Harleysville Group, Inc. |
| 164,096 |
| |
10,466 |
| Harleysville National Corp. |
| 146,733 |
| |
8,626 |
| Harris & Harris Group, Inc.* |
| 34,763 |
| |
3,827 |
| Hatteras Financial Corp. (REIT) |
| 98,622 |
| |
19,626 |
| Healthcare Realty Trust, Inc. (REIT) |
| 376,427 |
| |
4,369 |
| Heartland Financial USA, Inc. |
| 94,327 |
| |
10,970 |
| Hercules Technology Growth Capital, Inc. |
| 70,756 |
| |
3,453 |
| Heritage Commerce Corp. |
| 42,921 |
| |
16,061 |
| Hersha Hospitality Trust (REIT) |
| 56,535 |
| |
21,194 |
| Highwoods Properties, Inc. (REIT) |
| 506,113 |
| |
15,037 |
| Hilltop Holdings, Inc.* |
| 146,611 |
| |
4,416 |
| Home Bancshares, Inc./AR |
| 116,671 |
| |
2,192 |
| Home Federal Bancorp, Inc./ID |
| 23,038 |
| |
10,554 |
| Home Properties, Inc. (REIT) |
| 411,606 |
| |
13,545 |
| Horace Mann Educators Corp. |
| 115,403 |
| |
4,296 |
| IBERIABANK Corp. |
| 226,184 |
| |
2,169 |
| Independence Holding Co. |
| 11,170 |
| |
5,430 |
| Independent Bank Corp./MA |
| 128,637 |
| |
984 |
| IndyMac Bancorp, Inc.* |
| 40 |
| |
5,112 |
| Infinity Property & Casualty Corp. |
| 234,590 |
| |
19,134 |
| Inland Real Estate Corp. (REIT) |
| 213,727 |
| |
6,895 |
| Integra Bank Corp. |
| 17,513 |
| |
13,538 |
| Interactive Brokers Group, Inc., Class A* |
| 246,933 |
| |
1,408 |
| International Assets Holding Corp.* |
| 11,841 |
| |
17,019 |
| International Bancshares Corp. |
| 399,946 |
| |
14,712 |
| Investors Bancorp, Inc.* |
| 205,968 |
| |
19,156 |
| Investors Real Estate Trust (REIT) |
| 188,303 |
| |
16,706 |
| IPC Holdings Ltd. |
| 467,768 |
| |
7,583 |
| JER Investors Trust, Inc. (REIT) |
| 10,237 |
| |
1,527 |
| Kansas City Life Insurance Co. |
| 69,921 |
| |
3,419 |
| Kayne Anderson Energy Development Co. |
| 32,925 |
| |
8,737 |
| KBW, Inc.* |
| 198,417 |
| |
5,922 |
| Kearny Financial Corp. |
| 75,624 |
| |
6,760 |
| Kite Realty Group Trust (REIT) |
| 26,432 |
| |
31,360 |
| Knight Capital Group, Inc., Class A* |
| 519,008 |
| |
6,026 |
| Kohlberg Capital Corp. |
| 24,707 |
| |
17,075 |
| LaBranche & Co., Inc.* |
| 83,667 |
| |
35,796 |
| Ladenburg Thalmann Financial Services, Inc.* |
| 37,586 |
| |
6,732 |
| Lakeland Bancorp, Inc. |
| 65,637 |
| |
4,082 |
| Lakeland Financial Corp. |
| 90,580 |
| |
13,378 |
| LaSalle Hotel Properties (REIT) |
| 117,994 |
| |
17,265 |
| Lexington Realty Trust (REIT) |
| 83,735 |
| |
1,984 |
| Life Partners Holdings, Inc. |
| 70,829 |
| |
7,700 |
| LTC Properties, Inc. (REIT) |
| 149,996 |
| |
12,757 |
| Maguire Properties, Inc. (REIT) |
| 24,238 |
| |
16,389 |
| Maiden Holdings Ltd. |
| 68,014 |
| |
6,722 |
| MainSource Financial Group, Inc. |
| 104,796 |
| |
10,345 |
| MarketAxess Holdings, Inc.* |
| 66,208 |
| |
1,561 |
| Maui Land & Pineapple Co., Inc.* |
| 17,530 |
| |
18,838 |
| Max Capital Group Ltd. |
| 217,767 |
| |
11,592 |
| MB Financial, Inc. |
| 302,435 |
| |
25,237 |
| MCG Capital Corp. |
| 18,675 |
| |
18,508 |
| Meadowbrook Insurance Group, Inc. |
| 103,830 |
| |
4,963 |
| Medallion Financial Corp. |
| 34,741 |
| |
22,147 |
| Medical Properties Trust, Inc. (REIT) |
| 137,976 |
| |
3,504 |
| Meridian Interstate Bancorp, Inc.* |
| 32,167 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
14,286 |
| Meruelo Maddux Properties, Inc.* |
| $ | 6,714 |
|
65,993 |
| MFA Mortgage Investments, Inc. (REIT) |
| 408,497 |
| |
8,762 |
| Mid-America Apartment Communities, Inc. (REIT) |
| 324,457 |
| |
7,405 |
| Midwest Banc Holdings, Inc. |
| 13,181 |
| |
6,571 |
| Mission West Properties, Inc. (REIT) |
| 49,545 |
| |
6,600 |
| Monmouth Real Estate Investment Corp., Class A (REIT) |
| 45,474 |
| |
31,151 |
| Montpelier Re Holdings Ltd. |
| 428,949 |
| |
8,107 |
| MVC Capital, Inc. |
| 90,069 |
| |
7,598 |
| Nara Bancorp, Inc. |
| 82,514 |
| |
1,136 |
| NASB Financial, Inc. |
| 32,978 |
| |
13,183 |
| National Financial Partners Corp. |
| 20,961 |
| |
7,422 |
| National Health Investors, Inc. (REIT) |
| 167,366 |
| |
2,045 |
| National Interstate Corp. |
| 34,336 |
| |
26,519 |
| National Penn Bancshares, Inc. |
| 407,862 |
| |
26,124 |
| National Retail Properties, Inc. (REIT) |
| 350,323 |
| |
763 |
| National Western Life Insurance Co., Class A |
| 122,835 |
| |
4,393 |
| Navigators Group, Inc.* |
| 238,540 |
| |
10,699 |
| NBT Bancorp, Inc. |
| 283,737 |
| |
5,837 |
| Nelnet, Inc., Class A |
| 76,815 |
| |
36,235 |
| NewAlliance Bancshares, Inc. |
| 499,318 |
| |
17,607 |
| Newcastle Investment Corp. (REIT) |
| 31,517 |
| |
7,983 |
| NewStar Financial, Inc.* |
| 37,999 |
| |
7,218 |
| NGP Capital Resources Co. |
| 70,953 |
| |
6,562 |
| Northfield Bancorp, Inc. |
| 77,169 |
| |
18,544 |
| NorthStar Realty Finance Corp. (REIT) |
| 63,050 |
| |
5,692 |
| Northwest Bancorp, Inc. |
| 121,980 |
| |
1,481 |
| NYMAGIC, Inc. |
| 23,237 |
| |
2,950 |
| OceanFirst Financial Corp. |
| 44,014 |
| |
11,890 |
| Ocwen Financial Corp.* |
| 96,903 |
| |
8,092 |
| Odyssey Re Holdings Corp. |
| 364,059 |
| |
22,090 |
| Old National Bancorp/IN |
| 379,506 |
| |
4,584 |
| Old Second Bancorp, Inc. |
| 68,668 |
| |
27,330 |
| Omega Healthcare Investors, Inc. (REIT) |
| 361,849 |
| |
2,663 |
| One Liberty Properties, Inc. (REIT) |
| 25,778 |
| |
14,128 |
| optionsXpress Holdings, Inc. |
| 199,063 |
| |
8,105 |
| Oriental Financial Group, Inc. |
| 50,899 |
| |
4,341 |
| Oritani Financial Corp.* |
| 73,233 |
| |
15,384 |
| Pacific Capital Bancorp N.A. |
| 243,067 |
| |
3,565 |
| Pacific Continental Corp. |
| 50,266 |
| |
8,153 |
| PacWest Bancorp |
| 216,870 |
| |
3,680 |
| Park National Corp. |
| 252,043 |
| |
5,095 |
| Parkway Properties, Inc./MD (REIT) |
| 69,649 |
| |
6,911 |
| Patriot Capital Funding, Inc. |
| 23,290 |
| |
2,773 |
| Peapack Gladstone Financial Corp. |
| 85,963 |
| |
7,032 |
| PennantPark Investment Corp. |
| 20,744 |
| |
1,729 |
| Pennsylvania Commerce Bancorp, Inc.* |
| 47,202 |
| |
11,751 |
| Pennsylvania Real Estate Investment Trust (REIT) |
| 52,879 |
| |
5,611 |
| Penson Worldwide, Inc.* |
| 37,033 |
| |
3,439 |
| Peoples Bancorp, Inc./OH |
| 59,976 |
| |
18,066 |
| PHH Corp.* |
| 137,663 |
| |
38,171 |
| Phoenix Cos, Inc. (The) |
| 108,787 |
| |
5,389 |
| Pico Holdings, Inc.* |
| 122,276 |
| |
7,539 |
| Pinnacle Financial Partners, Inc.* |
| 207,322 |
| |
6,251 |
| Piper Jaffray Cos.* |
| 236,850 |
| |
16,325 |
| Platinum Underwriters Holdings Ltd. |
| 501,667 |
| |
10,606 |
| PMA Capital Corp., Class A* |
| 53,560 |
| |
27,108 |
| PMI Group, Inc. (The) |
| 45,270 |
| |
5,064 |
| Portfolio Recovery Associates, Inc.* |
| 170,961 |
| |
14,728 |
| Post Properties, Inc. (REIT) |
| 230,935 |
| |
13,152 |
| Potlatch Corp. (REIT) |
| 350,895 |
| |
6,457 |
| Premierwest Bancorp |
| 43,908 |
| |
7,230 |
| Presidential Life Corp. |
| 77,795 |
| |
7,762 |
| Primus Guaranty Ltd.* |
| 6,908 |
| |
7,181 |
| PrivateBancorp, Inc. |
| 223,760 |
| |
10,699 |
| ProAssurance Corp.* |
| 584,058 |
| |
8,764 |
| Prospect Capital Corp. |
| 110,602 |
| |
13,073 |
| Prosperity Bancshares, Inc. |
| 431,540 |
| |
11,053 |
| Provident Bankshares Corp. |
| 104,119 |
| |
19,912 |
| Provident Financial Services, Inc. |
| 298,481 |
| |
13,373 |
| Provident New York Bancorp |
| 162,482 |
| |
5,012 |
| PS Business Parks, Inc. (REIT) |
| 238,872 |
| |
2,047 |
| Pzena Investment Management, Inc., Class A |
| 7,246 |
| |
26,837 |
| Radian Group, Inc. |
| 72,728 |
| |
20,680 |
| RAIT Financial Trust (REIT) |
| 49,012 |
| |
5,241 |
| Ramco-Gershenson Properties Trust (REIT) |
| 25,838 |
| |
33,796 |
| Realty Income Corp. (REIT) |
| 682,341 |
| |
10,966 |
| Redwood Trust, Inc. (REIT) |
| 143,106 |
| |
6,992 |
| Renasant Corp. |
| 135,295 |
| |
3,092 |
| Republic Bancorp, Inc./KY, Class A |
| 68,488 |
| |
3,277 |
| Resource America, Inc., Class A |
| 13,763 |
| |
7,092 |
| Resource Capital Corp. (REIT) |
| 21,560 |
| |
7,170 |
| Riskmetrics Group, Inc.* |
| 107,120 |
| |
6,228 |
| RLI Corp. |
| 363,217 |
| |
2,964 |
| Rockville Financial, Inc. |
| 39,303 |
| |
2,926 |
| Roma Financial Corp. |
| 43,071 |
| |
7,947 |
| S & T Bancorp, Inc. |
| 270,119 |
| |
5,427 |
| Safety Insurance Group, Inc. |
| 190,379 |
| |
6,490 |
| Sanders Morris Harris Group, Inc. |
| 34,137 |
| |
5,479 |
| Sandy Spring Bancorp, Inc. |
| 107,224 |
| |
1,461 |
| Santander BanCorp |
| 14,435 |
| |
3,159 |
| Saul Centers, Inc. (REIT) |
| 111,197 |
| |
3,407 |
| SCBT Financial Corp. |
| 115,668 |
| |
7,070 |
| SeaBright Insurance Holdings, Inc.* |
| 74,659 |
| |
4,939 |
| Seacoast Banking Corp. of Florida |
| 24,399 |
| |
17,787 |
| Selective Insurance Group |
| 408,390 |
| |
38,200 |
| Senior Housing Properties Trust (REIT) |
| 532,126 |
| |
2,804 |
| Shore Bancshares, Inc. |
| 70,352 |
| |
2,480 |
| Sierra Bancorp |
| 50,071 |
| |
11,744 |
| Signature Bank/NY* |
| 349,971 |
| |
4,659 |
| Simmons First National Corp., Class A |
| 136,881 |
| |
3,283 |
| Smithtown Bancorp, Inc. |
| 65,529 |
| |
24,282 |
| South Financial Group, Inc. (The) |
| 104,898 |
| |
4,050 |
| Southside Bancshares, Inc. |
| 90,112 |
| |
4,852 |
| Southwest Bancorp, Inc./OK |
| 69,335 |
| |
7,288 |
| Sovran Self Storage, Inc. (REIT) |
| 197,942 |
| |
4,717 |
| State Auto Financial Corp. |
| 101,321 |
| |
4,772 |
| State Bancorp, Inc./NY |
| 57,264 |
| |
7,535 |
| StellarOne Corp. |
| 124,252 |
| |
6,001 |
| Sterling Bancorp/NY, Class N |
| 78,073 |
| |
24,400 |
| Sterling Bancshares, Inc./TX |
| 163,480 |
| |
17,310 |
| Sterling Financial Corp./WA |
| 92,089 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
5,696 |
| Stewart Information Services Corp. |
| $ | 66,643 |
|
8,553 |
| Stifel Financial Corp.* |
| 367,865 |
| |
24,830 |
| Strategic Hotels & Resorts, Inc. (REIT) |
| 24,830 |
| |
2,063 |
| Stratus Properties, Inc.* |
| 32,967 |
| |
3,189 |
| Suffolk Bancorp |
| 105,556 |
| |
4,862 |
| Sun Bancorp, Inc./NJ* |
| 38,118 |
| |
5,482 |
| Sun Communities, Inc. (REIT) |
| 60,028 |
| |
17,126 |
| Sunstone Hotel Investors, Inc. (REIT) |
| 81,691 |
| |
28,695 |
| Susquehanna Bancshares, Inc. |
| 438,460 |
| |
9,995 |
| SVB Financial Group* |
| 400,300 |
| |
8,121 |
| SWS Group, Inc. |
| 118,729 |
| |
4,472 |
| SY Bancorp, Inc. |
| 118,463 |
| |
10,530 |
| Tanger Factory Outlet Centers (REIT) |
| 385,819 |
| |
3,714 |
| Tejon Ranch Co.* |
| 96,973 |
| |
9,221 |
| Texas Capital Bancshares, Inc.* |
| 147,997 |
| |
7,960 |
| Thomas Properties Group, Inc. |
| 16,079 |
| |
6,472 |
| Thomas Weisel Partners Group, Inc.* |
| 27,635 |
| |
1,925 |
| Tompkins Financial Corp. |
| 105,779 |
| |
6,739 |
| Tower Group, Inc. |
| 153,717 |
| |
6,925 |
| TowneBank/VA |
| 155,120 |
| |
10,714 |
| TradeStation Group, Inc.* |
| 75,212 |
| |
4,627 |
| Trico Bancshares |
| 110,169 |
| |
25,251 |
| Trustco Bank Corp./NY |
| 267,408 |
| |
16,519 |
| Trustmark Corp. |
| 329,719 |
| |
4,223 |
| U.S. Global Investors, Inc., Class A |
| 21,157 |
| |
36,866 |
| UCBH Holdings, Inc. |
| 171,058 |
| |
10,364 |
| UMB Financial Corp. |
| 495,503 |
| |
20,051 |
| Umpqua Holdings Corp. |
| 265,475 |
| |
4,507 |
| Union Bankshares Corp./VA |
| 102,489 |
| |
6,148 |
| United America Indemnity Ltd., Class A* |
| 79,309 |
| |
12,631 |
| United Bankshares, Inc. |
| 419,981 |
| |
13,515 |
| United Community Banks, Inc./GA |
| 178,128 |
| |
9,033 |
| United Community Financial Corp./OH |
| 16,982 |
| |
5,927 |
| United Financial Bancorp, Inc. |
| 78,118 |
| |
7,589 |
| United Fire & Casualty Co. |
| 162,329 |
| |
2,820 |
| United Security Bancshares/CA |
| 30,710 |
| |
3,954 |
| Universal Health Realty Income Trust (REIT) |
| 124,037 |
| |
4,286 |
| Univest Corp. of Pennsylvania |
| 134,238 |
| |
6,913 |
| Urstadt Biddle Properties, Inc., Class A (REIT) |
| 108,811 |
| |
16,522 |
| U-Store-It Trust (REIT) |
| 90,871 |
| |
21,499 |
| Validus Holdings Ltd. |
| 499,637 |
| |
3,680 |
| ViewPoint Financial Group |
| 58,843 |
| |
17,465 |
| Washington Real Estate Investment Trust (REIT) |
| 462,299 |
| |
3,805 |
| Washington Trust Bancorp, Inc. |
| 74,654 |
| |
2,315 |
| Waterstone Financial, Inc.* |
| 10,996 |
| |
8,855 |
| WesBanco, Inc. |
| 228,725 |
| |
5,802 |
| West Bancorporation, Inc. |
| 71,365 |
| |
5,231 |
| West Coast Bancorp/OR |
| 25,632 |
| |
9,682 |
| Westamerica Bancorporation |
| 514,695 |
| |
6,374 |
| Western Alliance Bancorp* |
| 70,242 |
| |
10,565 |
| Westfield Financial, Inc. |
| 109,031 |
| |
1,786 |
| Westwood Holdings Group, Inc. |
| 55,902 |
| |
6,425 |
| Wilshire Bancorp, Inc. |
| 44,075 |
| |
18,574 |
| Winthrop Realty Trust (REIT) |
| 43,463 |
| |
7,874 |
| Wintrust Financial Corp. |
| 162,441 |
| |
5,457 |
| World Acceptance Corp.* |
| 106,794 |
| |
2,044 |
| WSFS Financial Corp. |
| 89,445 |
| |
3,822 |
| Yadkin Valley Financial Corp. |
| 57,636 |
| |
12,407 |
| Zenith National Insurance Corp. |
| 409,307 |
| |
|
|
|
| 54,311,323 |
| |
|
| Health Care - 12.8% |
|
|
| |
|
|
|
|
|
| |
7,234 |
| Abaxis, Inc.* |
| 95,923 |
| |
11,344 |
| Abiomed, Inc.* |
| 159,270 |
| |
11,014 |
| Acadia Pharmaceuticals, Inc.* |
| 14,098 |
| |
8,935 |
| Accelrys, Inc.* |
| 34,846 |
| |
12,044 |
| Accuray, Inc.* |
| 60,822 |
| |
12,364 |
| Acorda Therapeutics, Inc.* |
| 224,036 |
| |
2,727 |
| Acura Pharmaceuticals, Inc.* |
| 21,216 |
| |
15,359 |
| Adolor Corp.* |
| 29,028 |
| |
3,491 |
| Affymax, Inc.* |
| 40,670 |
| |
23,165 |
| Affymetrix, Inc.* |
| 63,472 |
| |
3,583 |
| Air Methods Corp.* |
| 56,791 |
| |
19,019 |
| Akorn, Inc.* |
| 31,191 |
| |
7,814 |
| Albany Molecular Research, Inc.* |
| 74,155 |
| |
25,635 |
| Alexion Pharmaceuticals, Inc.* |
| 862,874 |
| |
7,958 |
| Alexza Pharmaceuticals, Inc.* |
| 14,324 |
| |
20,687 |
| Align Technology, Inc.* |
| 144,809 |
| |
31,885 |
| Alkermes, Inc.* |
| 235,311 |
| |
8,513 |
| Alliance Imaging, Inc.* |
| 66,572 |
| |
17,679 |
| Allos Therapeutics, Inc.* |
| 127,289 |
| |
19,033 |
| Allscripts Healthcare Solutions, Inc. |
| 146,554 |
| |
2,132 |
| Almost Family, Inc.* |
| 93,723 |
| |
11,871 |
| Alnylam Pharmaceuticals, Inc.* |
| 216,408 |
| |
13,937 |
| Alpharma, Inc., Class A* |
| 503,126 |
| |
8,323 |
| Alphatec Holdings, Inc.* |
| 16,563 |
| |
5,671 |
| AMAG Pharmaceuticals, Inc.* |
| 190,999 |
| |
8,838 |
| Amedisys, Inc.* |
| 343,710 |
| |
24,279 |
| American Medical Systems Holdings, Inc.* |
| 213,655 |
| |
17,866 |
| AMERIGROUP Corp.* |
| 438,789 |
| |
1,626 |
| Amicus Therapeutics, Inc.* |
| 14,471 |
| |
11,292 |
| AMN Healthcare Services, Inc.* |
| 100,725 |
| |
10,509 |
| Amsurg Corp.* |
| 209,444 |
| |
4,467 |
| Analogic Corp. |
| 174,481 |
| |
8,062 |
| Angiodynamics, Inc.* |
| 96,180 |
| |
4,050 |
| Ardea Biosciences, Inc.* |
| 36,976 |
| |
24,644 |
| Arena Pharmaceuticals, Inc.* |
| 95,126 |
| |
23,175 |
| Ariad Pharmaceuticals, Inc.* |
| 30,823 |
| |
13,530 |
| Arqule, Inc.* |
| 45,867 |
| |
15,860 |
| Array Biopharma, Inc.* |
| 59,951 |
| |
8,888 |
| Arthrocare Corp.* |
| 116,255 |
| |
18,312 |
| Assisted Living Concepts, Inc., Class A* |
| 85,517 |
| |
6,893 |
| athenahealth, Inc.* |
| 188,386 |
| |
495 |
| Atrion Corp. |
| 47,515 |
| |
13,720 |
| Auxilium Pharmaceuticals, Inc.* |
| 298,822 |
| |
3,586 |
| Biodel, Inc.* |
| 9,861 |
| |
7,293 |
| BioForm Medical, Inc.* |
| 9,700 |
| |
4,423 |
| BioMimetic Therapeutics, Inc.* |
| 38,038 |
| |
6,314 |
| Bio-Rad Laboratories, Inc., Class A* |
| 468,246 |
| |
3,850 |
| Bio-Reference Labs, Inc.* |
| 85,816 |
| |
7,722 |
| BMP Sunstone Corp.* |
| 46,332 |
| |
16,845 |
| Bruker Corp.* |
| 79,171 |
| |
6,744 |
| Cadence Pharmaceuticals, Inc.* |
| 44,915 |
| |
15,951 |
| Caliper Life Sciences, Inc.* |
| 18,025 |
| |
9,708 |
| Cambrex Corp.* |
| 33,784 |
| |
4,167 |
| Cantel Medical Corp.* |
| 39,378 |
| |
7,443 |
| Capital Senior Living Corp.* |
| 20,245 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
3,640 |
| Caraco Pharmaceutical Laboratories Ltd.* |
| $ | 15,798 |
|
6,486 |
| Cardiac Science Corp.* |
| 42,354 |
| |
1,509 |
| CardioNet, Inc.* |
| 29,999 |
| |
10,995 |
| Catalyst Health Solutions, Inc.* |
| 247,387 |
| |
26,686 |
| Celera Corp.* |
| 259,922 |
| |
28,650 |
| Cell Genesys, Inc.* |
| 6,876 |
| |
4,984 |
| Celldex Therapeutics, Inc.* |
| 32,346 |
| |
14,475 |
| Centene Corp.* |
| 267,787 |
| |
18,993 |
| Cepheid, Inc.* |
| 257,925 |
| |
7,472 |
| Chemed Corp. |
| 304,559 |
| |
3,679 |
| Chindex International, Inc.* |
| 22,074 |
| |
3,454 |
| Clinical Data, Inc.* |
| 32,813 |
| |
15,616 |
| Columbia Laboratories, Inc.* |
| 26,079 |
| |
3,090 |
| Computer Programs & Systems, Inc. |
| 86,458 |
| |
10,079 |
| Conceptus, Inc.* |
| 148,161 |
| |
9,565 |
| Conmed Corp.* |
| 224,873 |
| |
2,673 |
| Corvel Corp.* |
| 59,073 |
| |
4,979 |
| Cougar Biotechnology, Inc.* |
| 120,492 |
| |
10,227 |
| Cross Country Healthcare, Inc.* |
| 89,077 |
| |
9,289 |
| CryoLife, Inc.* |
| 84,530 |
| |
18,816 |
| Cubist Pharmaceuticals, Inc.* |
| 462,121 |
| |
20,261 |
| CV Therapeutics, Inc.* |
| 183,565 |
| |
7,915 |
| Cyberonics, Inc.* |
| 108,673 |
| |
3,184 |
| Cynosure, Inc., Class A* |
| 29,420 |
| |
12,523 |
| Cypress Bioscience, Inc.* |
| 67,123 |
| |
11,659 |
| Cytokinetics, Inc.* |
| 30,197 |
| |
6,639 |
| Cytori Therapeutics, Inc.* |
| 14,938 |
| |
4,388 |
| Datascope Corp. |
| 229,097 |
| |
31,095 |
| Dendreon Corp.* |
| 151,744 |
| |
16,021 |
| Depomed, Inc.* |
| 24,833 |
| |
8,759 |
| DexCom, Inc.* |
| 17,518 |
| |
6,109 |
| Dionex Corp.* |
| 313,331 |
| |
32,257 |
| Discovery Laboratories, Inc.* |
| 31,934 |
| |
27,301 |
| Durect Corp.* |
| 114,664 |
| |
18,553 |
| Dyax Corp.* |
| 48,238 |
| |
18,139 |
| Eclipsys Corp.* |
| 237,984 |
| |
3,112 |
| Emergency Medical Services Corp., Class A* |
| 105,559 |
| |
4,514 |
| Emergent Biosolutions, Inc.* |
| 102,107 |
| |
6,567 |
| Emeritus Corp.* |
| 44,787 |
| |
2,779 |
| Ensign Group, Inc. (The) |
| 40,629 |
| |
10,714 |
| Enzo Biochem, Inc.* |
| 54,534 |
| |
14,927 |
| Enzon Pharmaceuticals, Inc.* |
| 73,292 |
| |
14,422 |
| eResearchTechnology, Inc.* |
| 81,340 |
| |
23,446 |
| ev3, Inc.* |
| 117,230 |
| |
2,537 |
| Exactech, Inc.* |
| 44,423 |
| |
35,070 |
| Exelixis, Inc.* |
| 108,366 |
| |
10,621 |
| Five Star Quality Care, Inc.* |
| 14,976 |
| |
4,655 |
| Genomic Health, Inc.* |
| 86,257 |
| |
2,779 |
| Genoptix, Inc.* |
| 88,178 |
| |
8,485 |
| Gentiva Health Services, Inc.* |
| 214,077 |
| |
25,999 |
| Geron Corp.* |
| 90,996 |
| |
7,631 |
| Greatbatch, Inc.* |
| 192,835 |
| |
6,220 |
| GTx, Inc.* |
| 91,869 |
| |
8,584 |
| Haemonetics Corp.* |
| 490,919 |
| |
20,295 |
| Halozyme Therapeutics, Inc.* |
| 75,295 |
| |
10,273 |
| Hanger Orthopedic Group, Inc.* |
| 164,882 |
| |
5,690 |
| Hansen Medical, Inc.* |
| 52,291 |
| |
29,356 |
| Healthsouth Corp.* |
| 288,863 |
| |
16,488 |
| Healthspring, Inc.* |
| 240,560 |
| |
11,732 |
| Healthways, Inc.* |
| 94,912 |
| |
8,338 |
| HMS Holdings Corp.* |
| 245,971 |
| |
45,199 |
| Human Genome Sciences, Inc.* |
| 78,194 |
| |
3,679 |
| ICU Medical, Inc.* |
| 111,290 |
| |
8,345 |
| Idenix Pharmaceuticals, Inc.* |
| 48,318 |
| |
6,859 |
| Idera Pharmaceuticals, Inc.* |
| 48,219 |
| |
7,207 |
| I-Flow Corp.* |
| 28,684 |
| |
23,375 |
| Immucor, Inc.* |
| 567,311 |
| |
16,925 |
| Immunogen, Inc.* |
| 64,653 |
| |
21,809 |
| Immunomedics, Inc.* |
| 38,820 |
| |
25,425 |
| Incyte Corp.* |
| 84,919 |
| |
25,870 |
| Indevus Pharmaceuticals, Inc.* |
| 64,675 |
| |
14,083 |
| Inspire Pharmaceuticals, Inc.* |
| 50,699 |
| |
6,115 |
| Insulet Corp.* |
| 29,902 |
| |
5,940 |
| Integra LifeSciences Holdings Corp.* |
| 187,051 |
| |
10,540 |
| InterMune, Inc.* |
| 121,315 |
| |
10,695 |
| Invacare Corp. |
| 158,072 |
| |
11,026 |
| inVentiv Health, Inc.* |
| 132,643 |
| |
2,030 |
| IPC The Hospitalist Co., Inc.* |
| 35,423 |
| |
6,142 |
| IRIS International, Inc.* |
| 78,618 |
| |
30,114 |
| Isis Pharmaceuticals, Inc.* |
| 345,408 |
| |
16,425 |
| Javelin Pharmaceuticals, Inc.* |
| 13,296 |
| |
2,555 |
| Jazz Pharmaceuticals, Inc.* |
| 3,832 |
| |
4,343 |
| Kendle International, Inc.* |
| 88,901 |
| |
2,406 |
| Kensey Nash Corp.* |
| 44,463 |
| |
9,348 |
| Kindred Healthcare, Inc.* |
| 100,304 |
| |
10,986 |
| KV Pharmaceutical Co., Class A* |
| 50,316 |
| |
3,098 |
| Landauer, Inc. |
| 177,887 |
| |
26,802 |
| Lexicon Pharmaceuticals, Inc.* |
| 45,831 |
| |
4,877 |
| LHC Group, Inc.* |
| 162,794 |
| |
2,922 |
| Life Sciences Research, Inc.* |
| 28,723 |
| |
28,126 |
| Ligand Pharmaceuticals, Inc., Class B* |
| 57,940 |
| |
13,759 |
| Luminex Corp.* |
| 302,836 |
| |
13,512 |
| Magellan Health Services, Inc.* |
| 443,869 |
| |
17,199 |
| MannKind Corp.* |
| 54,177 |
| |
2,610 |
| MAP Pharmaceuticals, Inc.* |
| 12,006 |
| |
6,892 |
| Marshall Edwards, Inc.* |
| 6,892 |
| |
10,971 |
| Martek Biosciences Corp.* |
| 306,639 |
| |
15,371 |
| Masimo Corp.* |
| 419,475 |
| |
8,391 |
| Maxygen, Inc.* |
| 41,116 |
| |
42,582 |
| Medarex, Inc.* |
| 215,039 |
| |
6,098 |
| MedAssets, Inc.* |
| 77,445 |
| |
5,309 |
| Medcath Corp.* |
| 39,180 |
| |
4,703 |
| Medical Action Industries, Inc.* |
| 40,493 |
| |
17,361 |
| Medicines Co. (The)* |
| 223,783 |
| |
18,833 |
| Medicis Pharmaceutical Corp., Class A |
| 230,328 |
| |
8,504 |
| Medivation, Inc.* |
| 126,795 |
| |
11,265 |
| Mentor Corp. |
| 181,930 |
| |
13,392 |
| Meridian Bioscience, Inc. |
| 319,131 |
| |
9,214 |
| Merit Medical Systems, Inc.* |
| 133,695 |
| |
6,329 |
| Metabolix, Inc.* |
| 44,240 |
| |
5,191 |
| Micrus Endovascular Corp.* |
| 55,025 |
| |
11,958 |
| MiddleBrook Pharmaceuticals, Inc.* |
| 16,024 |
| |
5,906 |
| Molecular Insight Pharmaceuticals, Inc.* |
| 18,604 |
| |
4,851 |
| Molina Healthcare, Inc.* |
| 114,920 |
| |
8,189 |
| Momenta Pharmaceuticals, Inc.* |
| 72,882 |
| |
3,428 |
| MWI Veterinary Supply, Inc.* |
| 85,529 |
| |
14,900 |
| Myriad Genetics, Inc.* |
| 883,272 |
| |
17,284 |
| Nabi Biopharmaceuticals* |
| 68,963 |
| |
4,303 |
| Nanosphere, Inc.* |
| 21,515 |
| |
2,830 |
| National Healthcare Corp. |
| 128,454 |
| |
579 |
| National Research Corp. |
| 15,506 |
| |
9,200 |
| Natus Medical, Inc.* |
| 116,932 |
| |
30,835 |
| Nektar Therapeutics* |
| 146,466 |
| |
4,817 |
| Neogen Corp.* |
| 108,816 |
| |
12,828 |
| Neurocrine Biosciences, Inc.* |
| 39,895 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
7,755 |
| Nighthawk Radiology Holdings, Inc.* |
| $ | 22,489 |
|
19,363 |
| Novavax, Inc.* |
| 41,050 |
| |
8,283 |
| Noven Pharmaceuticals, Inc.* |
| 94,840 |
| |
15,743 |
| NPS Pharmaceuticals, Inc.* |
| 96,662 |
| |
11,870 |
| NuVasive, Inc.* |
| 408,921 |
| |
8,644 |
| NxStage Medical, Inc.* |
| 21,610 |
| |
5,924 |
| Obagi Medical Products, Inc.* |
| 40,105 |
| |
10,929 |
| Odyssey HealthCare, Inc.* |
| 89,290 |
| |
10,364 |
| Omnicell, Inc.* |
| 117,528 |
| |
4,765 |
| Omrix Biopharmaceuticals, Inc.* |
| 118,553 |
| |
18,545 |
| Onyx Pharmaceuticals, Inc.* |
| 521,114 |
| |
16,012 |
| Opko Health, Inc.* |
| 24,819 |
| |
8,585 |
| Optimer Pharmaceuticals, Inc.* |
| 68,251 |
| |
15,638 |
| OraSure Technologies, Inc.* |
| 53,795 |
| |
6,690 |
| Orexigen Therapeutics, Inc.* |
| 46,763 |
| |
5,703 |
| Orthofix International N.V.* |
| 68,265 |
| |
22,092 |
| Orthovita, Inc.* |
| 74,008 |
| |
19,094 |
| OSI Pharmaceuticals, Inc.* |
| 710,297 |
| |
4,985 |
| Osiris Therapeutics, Inc.* |
| 94,865 |
| |
13,710 |
| Owens & Minor, Inc. |
| 569,376 |
| |
9,927 |
| Pain Therapeutics, Inc.* |
| 87,159 |
| |
6,089 |
| Palomar Medical Technologies, Inc.* |
| 55,105 |
| |
11,518 |
| Par Pharmaceutical Cos., Inc.* |
| 134,300 |
| |
18,888 |
| Parexel International Corp.* |
| 157,148 |
| |
39,818 |
| PDL BioPharma, Inc. |
| 381,457 |
| |
6,453 |
| PharmaNet Development Group, Inc.* |
| 7,808 |
| |
5,615 |
| Pharmasset, Inc.* |
| 92,479 |
| |
10,151 |
| PharMerica Corp.* |
| 168,710 |
| |
14,274 |
| Phase Forward, Inc.* |
| 197,980 |
| |
8,689 |
| Pozen, Inc.* |
| 59,172 |
| |
8,889 |
| Progenics Pharmaceuticals, Inc.* |
| 82,401 |
| |
3,598 |
| Protalix BioTherapeutics, Inc.* |
| 4,318 |
| |
4,068 |
| Providence Service Corp. (The)* |
| 6,672 |
| |
20,670 |
| PSS World Medical, Inc.* |
| 359,451 |
| |
18,490 |
| Psychiatric Solutions, Inc.* |
| 467,797 |
| |
18,023 |
| Questcor Pharmaceuticals, Inc.* |
| 154,097 |
| |
9,404 |
| Quidel Corp.* |
| 128,177 |
| |
7,113 |
| RadNet, Inc.* |
| 25,109 |
| |
20,694 |
| Regeneron Pharmaceuticals, Inc.* |
| 319,929 |
| |
6,020 |
| RehabCare Group, Inc.* |
| 87,591 |
| |
10,361 |
| Repligen Corp.* |
| 40,408 |
| |
8,276 |
| Res-Care, Inc.* |
| 108,002 |
| |
9,745 |
| Rexahn Pharmaceuticals, Inc.* |
| 8,868 |
| |
12,174 |
| Rigel Pharmaceuticals, Inc.* |
| 90,331 |
| |
17,934 |
| RTI Biologics, Inc.* |
| 48,780 |
| |
15,926 |
| Salix Pharmaceuticals Ltd.* |
| 129,001 |
| |
12,220 |
| Sangamo Biosciences, Inc.* |
| 30,061 |
| |
18,099 |
| Savient Pharmaceuticals, Inc.* |
| 66,966 |
| |
20,215 |
| Seattle Genetics, Inc.* |
| 175,062 |
| |
18,879 |
| Sequenom, Inc.* |
| 315,468 |
| |
5,633 |
| Sirona Dental Systems, Inc.* |
| 67,483 |
| |
5,839 |
| Skilled Healthcare Group, Inc., Class A* |
| 63,178 |
| |
4,008 |
| Somanetics Corp.* |
| 70,300 |
| |
5,609 |
| SonoSite, Inc.* |
| 101,467 |
| |
10,557 |
| Spectranetics Corp.* |
| 29,771 |
| |
9,112 |
| Stereotaxis, Inc.* |
| 43,829 |
| |
19,531 |
| STERIS Corp. |
| 540,032 |
| |
3,048 |
| Sucampo Pharmaceuticals, Inc., Class A* |
| 18,684 |
| |
14,353 |
| Sun Healthcare Group, Inc.* |
| 143,817 |
| |
14,973 |
| Sunrise Senior Living, Inc.* |
| 11,379 |
| |
5,145 |
| SurModics, Inc.* |
| 116,997 |
| |
11,827 |
| Symmetry Medical, Inc.* |
| 105,970 |
| |
4,156 |
| Synovis Life Technologies, Inc.* |
| 59,472 |
| |
5,586 |
| Synta Pharmaceuticals Corp.* |
| 29,606 |
| |
6,054 |
| Targacept, Inc.* |
| 14,832 |
| |
17,268 |
| Theravance, Inc.* |
| 115,350 |
| |
18,176 |
| Thoratec Corp.* |
| 454,945 |
| |
13,663 |
| TomoTherapy, Inc.* |
| 31,562 |
| |
4,072 |
| TranS1, Inc.* |
| 30,255 |
| |
4,726 |
| Triple-S Management Corp., Class B* |
| 51,513 |
| |
3,962 |
| U.S. Physical Therapy, Inc.* |
| 47,940 |
| |
7,515 |
| United Therapeutics Corp.* |
| 412,048 |
| |
13,131 |
| Universal American Corp.* |
| 130,522 |
| |
23,266 |
| Valeant Pharmaceuticals International* |
| 453,222 |
| |
9,854 |
| Varian, Inc.* |
| 360,656 |
| |
23,342 |
| Viropharma, Inc.* |
| 263,765 |
| |
2,331 |
| Virtual Radiologic Corp.* |
| 16,900 |
| |
5,615 |
| Vision-Sciences, Inc.* |
| 12,634 |
| |
5,281 |
| Vital Images, Inc.* |
| 61,576 |
| |
23,041 |
| Vivus, Inc.* |
| 136,864 |
| |
4,344 |
| Vnus Medical Technologies, Inc.* |
| 65,160 |
| |
15,740 |
| Volcano Corp.* |
| 256,877 |
| |
10,796 |
| West Pharmaceutical Services, Inc. |
| 383,258 |
| |
12,401 |
| Wright Medical Group, Inc.* |
| 210,321 |
| |
8,385 |
| XenoPort, Inc.* |
| 263,624 |
| |
44,134 |
| XOMA Ltd.* |
| 41,486 |
| |
6,971 |
| Zoll Medical Corp.* |
| 124,153 |
| |
12,447 |
| Zymogenetics, Inc.* |
| 33,731 |
| |
|
|
|
| 35,451,345 |
| |
|
| Industrials - 14.0% |
|
|
| |
|
|
|
|
|
| |
5,944 |
| 3D Systems Corp.* |
| 43,094 |
| |
6,652 |
| A.O. Smith Corp. |
| 217,786 |
| |
4,472 |
| AAON, Inc. |
| 85,147 |
| |
12,924 |
| AAR Corp.* |
| 218,933 |
| |
14,592 |
| ABM Industries, Inc. |
| 246,167 |
| |
18,074 |
| ACCO Brands Corp.* |
| 16,628 |
| |
8,158 |
| Aceto Corp. |
| 72,117 |
| |
18,649 |
| Actuant Corp., Class A |
| 334,563 |
| |
13,538 |
| Acuity Brands, Inc. |
| 364,985 |
| |
7,193 |
| Administaff, Inc. |
| 122,856 |
| |
14,653 |
| Advanced Battery Technologies, Inc.* |
| 30,185 |
| |
5,777 |
| Advisory Board Co. (The)* |
| 144,714 |
| |
3,426 |
| Aerovironment, Inc.* |
| 110,420 |
| |
15,571 |
| Aircastle Ltd. |
| 84,706 |
| |
39,031 |
| Airtran Holdings, Inc.* |
| 133,096 |
| |
6,970 |
| Akeena Solar, Inc.* |
| 14,637 |
| |
2,060 |
| Alamo Group, Inc. |
| 25,935 |
| |
11,992 |
| Alaska Air Group, Inc.* |
| 275,216 |
| |
9,903 |
| Albany International Corp., Class A |
| 152,308 |
| |
4,552 |
| Allegiant Travel Co.* |
| 196,373 |
| |
8,809 |
| Altra Holdings, Inc.* |
| 67,829 |
| |
3,133 |
| Amerco, Inc.* |
| 116,078 |
| |
11,921 |
| American Commercial Lines, Inc.* |
| 53,287 |
| |
5,432 |
| American Ecology Corp. |
| 96,038 |
| |
3,114 |
| American Railcar Industries, Inc. |
| 26,780 |
| |
12,142 |
| American Reprographics Co.* |
| 95,072 |
| |
3,029 |
| American Science & Engineering, Inc. |
| 229,810 |
| |
14,014 |
| American Superconductor Corp.* |
| 183,443 |
| |
3,527 |
| American Woodmark Corp. |
| 57,949 |
| |
3,057 |
| Ameron International Corp. |
| 164,711 |
| |
2,764 |
| Ampco-Pittsburgh Corp. |
| 46,021 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
584 |
| Amrep Corp.* |
| $ | 16,761 |
|
9,639 |
| Apogee Enterprises, Inc. |
| 75,184 |
| |
14,112 |
| Applied Industrial Technologies, Inc. |
| 268,975 |
| |
4,200 |
| Applied Signal Technology, Inc. |
| 65,898 |
| |
4,366 |
| Argon ST, Inc.* |
| 85,530 |
| |
7,553 |
| Arkansas Best Corp. |
| 200,532 |
| |
2,490 |
| Ascent Solar Technologies, Inc.* |
| 9,288 |
| |
6,018 |
| Astec Industries, Inc.* |
| 182,045 |
| |
7,082 |
| ATC Technology Corp.* |
| 122,448 |
| |
4,432 |
| Atlas Air Worldwide Holdings, Inc.* |
| 67,810 |
| |
2,922 |
| Axsys Technologies, Inc.* |
| 203,985 |
| |
4,049 |
| AZZ, Inc.* |
| 97,419 |
| |
4,859 |
| Badger Meter, Inc. |
| 152,427 |
| |
15,387 |
| Baldor Electric Co. |
| 253,578 |
| |
15,967 |
| Barnes Group, Inc. |
| 213,798 |
| |
32,381 |
| Beacon Power Corp.* |
| 21,048 |
| |
14,768 |
| Beacon Roofing Supply, Inc.* |
| 174,558 |
| |
14,595 |
| Belden, Inc. |
| 254,245 |
| |
12,726 |
| Blount International, Inc.* |
| 115,170 |
| |
8,972 |
| Bowne & Co., Inc. |
| 31,940 |
| |
16,760 |
| Brady Corp., Class A |
| 346,094 |
| |
16,540 |
| Briggs & Stratton Corp. |
| 232,883 |
| |
5,304 |
| Builders FirstSource, Inc.* |
| 6,206 |
| |
2,457 |
| CAI International, Inc.* |
| 12,310 |
| |
48,575 |
| Capstone Turbine Corp.* |
| 41,775 |
| |
3,020 |
| Cascade Corp. |
| 81,600 |
| |
7,514 |
| Casella Waste Systems, Inc., Class A* |
| 37,645 |
| |
14,931 |
| CBIZ, Inc.* |
| 119,896 |
| |
4,443 |
| CDI Corp. |
| 45,452 |
| |
7,287 |
| Celadon Group, Inc.* |
| 56,183 |
| |
16,019 |
| Cenveo, Inc.* |
| 60,231 |
| |
8,785 |
| Ceradyne, Inc.* |
| 230,694 |
| |
9,446 |
| Chart Industries, Inc.* |
| 90,304 |
| |
6,225 |
| China Architectural Engineering, Inc.* |
| 18,053 |
| |
10,933 |
| China BAK Battery, Inc.* |
| 27,114 |
| |
2,274 |
| China Direct, Inc.* |
| 3,570 |
| |
4,679 |
| China Fire & Security Group, Inc.* |
| 32,238 |
| |
5,617 |
| CIRCOR International, Inc. |
| 122,619 |
| |
16,850 |
| Clarcor, Inc. |
| 541,054 |
| |
6,591 |
| Clean Harbors, Inc.* |
| 416,090 |
| |
2,642 |
| Coleman Cable, Inc.* |
| 14,135 |
| |
7,197 |
| Colfax Corp.* |
| 68,803 |
| |
6,333 |
| Columbus McKinnon Corp.* |
| 74,223 |
| |
13,378 |
| Comfort Systems USA, Inc. |
| 111,706 |
| |
7,189 |
| Commercial Vehicle Group, Inc.* |
| 8,052 |
| |
4,856 |
| COMSYS IT Partners, Inc.* |
| 15,491 |
| |
3,317 |
| Consolidated Graphics, Inc.* |
| 47,665 |
| |
3,712 |
| Cornell Cos., Inc.* |
| 87,603 |
| |
6,520 |
| CoStar Group, Inc.* |
| 212,682 |
| |
3,477 |
| Courier Corp. |
| 63,386 |
| |
3,669 |
| CRA International, Inc.* |
| 106,474 |
| |
5,201 |
| Cubic Corp. |
| 137,514 |
| |
14,931 |
| Curtiss-Wright Corp. |
| 498,695 |
| |
17,179 |
| Deluxe Corp. |
| 180,723 |
| |
7,206 |
| Dollar Thrifty Automotive Group, Inc.* |
| 8,935 |
| |
3,520 |
| Ducommun, Inc. |
| 58,854 |
| |
3,544 |
| Duff & Phelps Corp., Class A* |
| 40,756 |
| |
2,386 |
| DXP Enterprises, Inc.* |
| 31,519 |
| |
13,375 |
| Dycom Industries, Inc.* |
| 79,448 |
| |
3,077 |
| Dynamex, Inc.* |
| 56,217 |
| |
4,204 |
| Dynamic Materials Corp. |
| 66,844 |
| |
8,259 |
| DynCorp International, Inc., Class A* |
| 122,646 |
| |
15,598 |
| Eagle Bulk Shipping, Inc. |
| 67,539 |
| |
22,641 |
| EMCOR Group, Inc.* |
| 357,049 |
| |
6,089 |
| Encore Wire Corp. |
| 103,269 |
| |
11,979 |
| Ener1, Inc.* |
| 96,311 |
| |
15,039 |
| Energy Conversion Devices, Inc.* |
| 420,791 |
| |
4,963 |
| Energy Recovery, Inc. |
| 34,791 |
| |
11,082 |
| EnergySolutions, Inc. |
| 50,534 |
| |
3,233 |
| EnerNOC, Inc.* |
| 23,148 |
| |
9,162 |
| EnerSys* |
| 78,152 |
| |
8,584 |
| Ennis, Inc. |
| 87,299 |
| |
6,741 |
| EnPro Industries, Inc.* |
| 125,854 |
| |
8,653 |
| ESCO Technologies, Inc.* |
| 264,609 |
| |
9,809 |
| Esterline Technologies Corp.* |
| 362,050 |
| |
47,864 |
| Evergreen Solar, Inc.* |
| 130,669 |
| |
4,914 |
| Exponent, Inc.* |
| 149,975 |
| |
16,015 |
| Federal Signal Corp. |
| 112,425 |
| |
3,432 |
| First Advantage Corp., Class A* |
| 43,140 |
| |
5,368 |
| Flanders Corp.* |
| 29,685 |
| |
12,540 |
| Flow International Corp.* |
| 27,337 |
| |
22,771 |
| Force Protection, Inc.* |
| 90,629 |
| |
9,616 |
| Forward Air Corp. |
| 222,322 |
| |
7,631 |
| Franklin Electric Co., Inc. |
| 225,267 |
| |
3,956 |
| FreightCar America, Inc. |
| 86,003 |
| |
6,300 |
| Fuel Tech, Inc.* |
| 55,692 |
| |
22,887 |
| FuelCell Energy, Inc.* |
| 99,787 |
| |
12,147 |
| Furmanite Corp.* |
| 65,351 |
| |
4,820 |
| Fushi Copperweld, Inc.* |
| 18,316 |
| |
6,600 |
| G&K Services, Inc., Class A |
| 154,440 |
| |
8,105 |
| Genco Shipping & Trading Ltd. |
| 73,837 |
| |
19,015 |
| GenCorp, Inc.* |
| 54,383 |
| |
10,231 |
| Genesee & Wyoming, Inc., Class A* |
| 310,818 |
| |
17,012 |
| Geo Group, Inc. (The)* |
| 328,332 |
| |
6,003 |
| GeoEye, Inc.* |
| 120,000 |
| |
8,968 |
| Gibraltar Industries, Inc. |
| 115,687 |
| |
4,783 |
| Gorman-Rupp Co. (The) |
| 132,011 |
| |
39,890 |
| GrafTech International Ltd.* |
| 266,864 |
| |
3,308 |
| Graham Corp. |
| 30,103 |
| |
11,047 |
| Granite Construction, Inc. |
| 473,806 |
| |
13,290 |
| Great Lakes Dredge & Dock Corp. |
| 35,617 |
| |
5,462 |
| Greenbrier Cos., Inc. |
| 41,347 |
| |
14,563 |
| Griffon Corp.* |
| 116,504 |
| |
10,119 |
| GT Solar International, Inc.* |
| 35,619 |
| |
5,456 |
| H&E Equipment Services, Inc.* |
| 36,719 |
| |
2,489 |
| Harbin Electric, Inc.* |
| 19,862 |
| |
13,251 |
| Hawaiian Holdings, Inc.* |
| 59,364 |
| |
14,354 |
| Healthcare Services Group |
| 228,229 |
| |
18,647 |
| Heartland Express, Inc. |
| 287,910 |
| |
7,396 |
| HEICO Corp. |
| 237,633 |
| |
5,742 |
| Heidrick & Struggles International, Inc. |
| 118,859 |
| |
4,514 |
| Herley Industries, Inc.* |
| 54,168 |
| |
18,721 |
| Herman Miller, Inc. |
| 275,386 |
| |
32,014 |
| Hexcel Corp.* |
| 240,105 |
| |
7,815 |
| Hill International, Inc.* |
| 42,983 |
| |
14,825 |
| HNI Corp. |
| 197,914 |
| |
9,991 |
| Horizon Lines, Inc., Class A |
| 39,964 |
| |
5,937 |
| Houston Wire & Cable Co. |
| 46,190 |
| |
12,337 |
| HUB Group, Inc., Class A* |
| 329,398 |
| |
8,353 |
| Hudson Highland Group, Inc.* |
| 26,228 |
| |
2,146 |
| Hurco Cos, Inc.* |
| 35,988 |
| |
6,927 |
| Huron Consulting Group, Inc.* |
| 360,897 |
| |
2,212 |
| ICF International, Inc.* |
| 43,355 |
| |
2,921 |
| ICT Group, Inc.* |
| 9,815 |
| |
8,145 |
| II-VI, Inc.* |
| 163,877 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
10,546 |
| Innerworkings, Inc.* |
| $ | 59,163 |
|
9,272 |
| Insituform Technologies, Inc., Class A* |
| 150,299 |
| |
5,828 |
| INSTEEL Industries, Inc. |
| 56,881 |
| |
2,578 |
| Integrated Electrical Services, Inc.* |
| 16,087 |
| |
17,783 |
| Interface, Inc., Class A |
| 98,518 |
| |
10,814 |
| Interline Brands, Inc.* |
| 99,921 |
| |
2,027 |
| International Shipholding Corp. |
| 44,594 |
| |
57,760 |
| JetBlue Airways Corp.* |
| 302,662 |
| |
4,657 |
| Kadant, Inc.* |
| 69,762 |
| |
8,463 |
| Kaman Corp. |
| 199,388 |
| |
9,243 |
| Kaydon Corp. |
| 285,147 |
| |
8,760 |
| Kelly Services, Inc., Class A |
| 102,054 |
| |
1,876 |
| Key Technology, Inc.* |
| 29,547 |
| |
10,224 |
| Kforce, Inc.* |
| 69,523 |
| |
10,655 |
| Kimball International, Inc., Class B |
| 71,282 |
| |
19,104 |
| Knight Transportation, Inc. |
| 301,079 |
| |
16,159 |
| Knoll, Inc. |
| 174,032 |
| |
15,487 |
| Korn/Ferry International* |
| 190,645 |
| |
800 |
| K-Tron International, Inc.* |
| 57,560 |
| |
3,676 |
| L.B. Foster Co., Class A* |
| 117,154 |
| |
4,070 |
| LaBarge, Inc.* |
| 50,875 |
| |
4,859 |
| Ladish Co., Inc.* |
| 80,514 |
| |
1,396 |
| Lawson Products |
| 31,871 |
| |
6,400 |
| Layne Christensen Co.* |
| 144,512 |
| |
8,528 |
| LECG Corp.* |
| 44,857 |
| |
3,980 |
| Lindsay Corp. |
| 154,862 |
| |
2,894 |
| LMI Aerospace, Inc.* |
| 31,776 |
| |
6,267 |
| LSI Industries, Inc. |
| 43,054 |
| |
5,531 |
| Lydall, Inc.* |
| 29,204 |
| |
3,875 |
| M&F Worldwide Corp.* |
| 61,031 |
| |
5,095 |
| Marten Transport Ltd.* |
| 96,041 |
| |
14,328 |
| MasTec, Inc.* |
| 91,842 |
| |
7,884 |
| McGrath Rentcorp |
| 141,754 |
| |
10,425 |
| Medis Technologies Ltd.* |
| 6,985 |
| |
8,063 |
| Metalico, Inc.* |
| 20,238 |
| |
5,020 |
| Met-Pro Corp. |
| 59,085 |
| |
2,447 |
| Michael Baker Corp.* |
| 80,506 |
| |
22,708 |
| Microvision, Inc.* |
| 28,158 |
| |
5,661 |
| Middleby Corp.* |
| 183,247 |
| |
10,352 |
| Mine Safety Appliances Co. |
| 253,106 |
| |
11,558 |
| Mobile Mini, Inc.* |
| 150,138 |
| |
14,228 |
| Moog, Inc., Class A* |
| 457,857 |
| |
31,461 |
| MPS Group, Inc.* |
| 208,272 |
| |
12,381 |
| Mueller Industries, Inc. |
| 288,477 |
| |
38,421 |
| Mueller Water Products, Inc., Class A |
| 236,673 |
| |
3,582 |
| Multi-Color Corp. |
| 47,999 |
| |
1,988 |
| NACCO Industries, Inc., Class A |
| 72,562 |
| |
16,121 |
| Navigant Consulting, Inc.* |
| 304,848 |
| |
6,583 |
| NCI Building Systems, Inc.* |
| 100,193 |
| |
5,291 |
| NN, Inc. |
| 7,407 |
| |
11,241 |
| Nordson Corp. |
| 364,770 |
| |
3,048 |
| Northwest Pipe Co.* |
| 87,539 |
| |
16,037 |
| Odyssey Marine Exploration, Inc.* |
| 52,762 |
| |
9,235 |
| Old Dominion Freight Line, Inc.* |
| 219,793 |
| |
1,045 |
| Omega Flex, Inc. |
| 26,125 |
| |
11,817 |
| On Assignment, Inc.* |
| 67,948 |
| |
19,525 |
| Orbital Sciences Corp.* |
| 335,830 |
| |
2,992 |
| Orion Energy Systems, Inc.* |
| 11,489 |
| |
7,198 |
| Orion Marine Group, Inc.* |
| 55,065 |
| |
11,777 |
| Otter Tail Corp. |
| 221,290 |
| |
11,583 |
| Pacer International, Inc. |
| 112,239 |
| |
2,730 |
| Park-Ohio Holdings Corp.* |
| 12,476 |
| |
523 |
| Patriot Transportation Holding, Inc.* |
| 36,192 |
| |
16,789 |
| Perini Corp.* |
| 321,509 |
| |
5,644 |
| Pike Electric Corp.* |
| 68,575 |
| |
26,730 |
| Plug Power, Inc.* |
| 27,532 |
| |
4,338 |
| PMFG, Inc.* |
| 35,138 |
| |
5,320 |
| Polypore International, Inc.* |
| 23,993 |
| |
2,472 |
| Powell Industries, Inc.* |
| 58,982 |
| |
24,898 |
| Power-One, Inc.* |
| 31,122 |
| |
5,646 |
| PowerSecure International, Inc.* |
| 26,085 |
| |
907 |
| Preformed Line Products Co. |
| 35,173 |
| |
5,004 |
| PRG-Schultz International, Inc.* |
| 22,418 |
| |
2,063 |
| Protection One, Inc.* |
| 12,378 |
| |
12,383 |
| Quanex Building Products Corp. |
| 114,667 |
| |
5,340 |
| Raven Industries, Inc. |
| 136,437 |
| |
7,265 |
| RBC Bearings, Inc.* |
| 165,061 |
| |
10,724 |
| Regal-Beloit Corp. |
| 360,755 |
| |
11,659 |
| Republic Airways Holdings, Inc.* |
| 162,876 |
| |
15,185 |
| Resources Connection, Inc.* |
| 262,852 |
| |
9,360 |
| Robbins & Myers, Inc. |
| 210,600 |
| |
13,875 |
| Rollins, Inc. |
| 240,315 |
| |
15,873 |
| RSC Holdings, Inc.* |
| 129,206 |
| |
11,206 |
| Rush Enterprises, Inc., Class A* |
| 98,389 |
| |
4,496 |
| Saia, Inc.* |
| 40,059 |
| |
3,708 |
| Sauer-Danfoss, Inc. |
| 29,998 |
| |
5,022 |
| Schawk, Inc. |
| 68,651 |
| |
6,271 |
| School Specialty, Inc.* |
| 100,461 |
| |
111 |
| Seaboard Corp. |
| 100,011 |
| |
12,418 |
| Simpson Manufacturing Co., Inc. |
| 322,868 |
| |
19,472 |
| Skywest, Inc. |
| 295,974 |
| |
18,313 |
| Spherion Corp.* |
| 41,204 |
| |
2,898 |
| Standard Parking Corp.* |
| 57,960 |
| |
4,937 |
| Standard Register Co. (The) |
| 27,697 |
| |
4,172 |
| Standex International Corp. |
| 87,946 |
| |
2,947 |
| Stanley, Inc.* |
| 94,009 |
| |
3,849 |
| Sterling Construction Co., Inc.* |
| 63,355 |
| |
3,891 |
| Sun Hydraulics Corp. |
| 59,221 |
| |
11,003 |
| SYKES Enterprises, Inc.* |
| 204,106 |
| |
4,852 |
| TAL International Group, Inc. |
| 54,779 |
| |
20,886 |
| Taser International, Inc.* |
| 90,854 |
| |
3,490 |
| TBS International Ltd., Class A* |
| 16,403 |
| |
6,158 |
| Team, Inc.* |
| 173,779 |
| |
5,440 |
| Tecumseh Products Co., Class A* |
| 64,301 |
| |
11,821 |
| Teledyne Technologies, Inc.* |
| 480,169 |
| |
5,534 |
| Tennant Co. |
| 133,314 |
| |
19,641 |
| Tetra Tech, Inc.* |
| 393,606 |
| |
3,188 |
| Textainer Group Holdings Ltd. |
| 32,294 |
| |
4,461 |
| Thermadyne Holdings Corp.* |
| 28,997 |
| |
11,445 |
| Titan International, Inc. |
| 109,185 |
| |
2,448 |
| Titan Machinery, Inc.* |
| 28,617 |
| |
11,091 |
| TransDigm Group, Inc.* |
| 393,731 |
| |
8,038 |
| Tredegar Corp. |
| 126,357 |
| |
5,064 |
| Trex Co., Inc.* |
| 68,668 |
| |
4,876 |
| Trimas Corp.* |
| 8,582 |
| |
5,518 |
| Triumph Group, Inc. |
| 188,716 |
| |
14,781 |
| TrueBlue, Inc.* |
| 109,527 |
| |
7,872 |
| TurboChef Technologies, Inc.* |
| 29,756 |
| |
2,914 |
| Twin Disc, Inc. |
| 19,349 |
| |
41,960 |
| UAL Corp. |
| 472,050 |
| |
4,189 |
| Ultralife Corp.* |
| 42,728 |
| |
8,340 |
| Ultrapetrol Bahamas Ltd.* |
| 33,277 |
| |
603 |
| United Capital Corp.* |
| 11,927 |
| |
7,809 |
| United Stationers, Inc.* |
| 248,404 |
| |
5,539 |
| Universal Forest Products, Inc. |
| 116,485 |
| |
1,993 |
| Universal Truckload Services, Inc.* |
| 35,954 |
| |
38,040 |
| US Airways Group, Inc.* |
| 226,718 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
16,920 |
| Valence Technology, Inc.* |
| $ | 33,332 |
|
6,913 |
| Viad Corp. |
| 184,646 |
| |
6,471 |
| Vicor Corp. |
| 37,467 |
| |
4,216 |
| Volt Information Sciences, Inc.* |
| 25,633 |
| |
1,338 |
| VSE Corp. |
| 44,636 |
| |
10,247 |
| Wabash National Corp. |
| 50,518 |
| |
16,155 |
| Wabtec Corp. |
| 623,422 |
| |
26,585 |
| Waste Connections, Inc.* |
| 750,495 |
| |
7,915 |
| Waste Services, Inc.* |
| 49,944 |
| |
7,797 |
| Watsco, Inc. |
| 306,734 |
| |
14,243 |
| Watson Wyatt Worldwide, Inc., Class A |
| 574,278 |
| |
9,745 |
| Watts Water Technologies, Inc., Class A |
| 219,263 |
| |
14,186 |
| Werner Enterprises, Inc. |
| 246,553 |
| |
19,592 |
| Woodward Governor Co. |
| 416,134 |
| |
6,924 |
| Xerium Technologies, Inc. |
| 8,240 |
| |
19,048 |
| YRC Worldwide, Inc.* |
| 75,811 |
| |
|
|
|
| 38,956,087 |
| |
|
| Information Technology - 14.1% |
|
|
| |
|
|
|
|
|
| |
134,542 |
| 3Com Corp.* |
| 270,430 |
| |
9,092 |
| 3PAR, Inc.* |
| 75,009 |
| |
11,466 |
| ACI Worldwide, Inc.* |
| 180,016 |
| |
9,070 |
| Acme Packet, Inc.* |
| 35,373 |
| |
8,437 |
| Actel Corp.* |
| 78,127 |
| |
20,192 |
| Actuate Corp.* |
| 53,105 |
| |
20,384 |
| Acxiom Corp. |
| 153,084 |
| |
40,354 |
| Adaptec, Inc.* |
| 113,395 |
| |
18,740 |
| Adtran, Inc. |
| 266,108 |
| |
15,232 |
| Advanced Analogic Technologies, Inc.* |
| 38,232 |
| |
10,936 |
| Advanced Energy Industries, Inc.* |
| 85,082 |
| |
5,560 |
| Advent Software, Inc.* |
| 123,988 |
| |
7,573 |
| Agilysys, Inc. |
| 28,702 |
| |
8,044 |
| Airvana, Inc.* |
| 37,968 |
| |
7,520 |
| American Software, Inc., Class A |
| 30,606 |
| |
36,369 |
| Amkor Technology, Inc.* |
| 80,012 |
| |
20,885 |
| Anadigics, Inc.* |
| 25,897 |
| |
4,869 |
| Anaren, Inc.* |
| 52,244 |
| |
9,960 |
| Anixter International, Inc.* |
| 272,904 |
| |
21,620 |
| Applied Micro Circuits Corp.* |
| 79,994 |
| |
2,306 |
| ArcSight, Inc.* |
| 12,683 |
| |
28,530 |
| Ariba, Inc.* |
| 229,666 |
| |
40,902 |
| Arris Group, Inc.* |
| 294,085 |
| |
42,979 |
| Art Technology Group, Inc.* |
| 82,520 |
| |
17,442 |
| Aruba Networks, Inc.* |
| 41,338 |
| |
11,560 |
| AsiaInfo Holdings, Inc.* |
| 127,507 |
| |
16,585 |
| Asyst Technologies, Inc.* |
| 7,297 |
| |
19,795 |
| Atheros Communications, Inc.* |
| 289,007 |
| |
10,701 |
| ATMI, Inc.* |
| 127,556 |
| |
8,357 |
| AuthenTec, Inc.* |
| 13,371 |
| |
4,494 |
| Avanex Corp.* |
| 5,123 |
| |
10,064 |
| Avid Technology, Inc.* |
| 126,001 |
| |
14,928 |
| Avocent Corp.* |
| 280,796 |
| |
34,188 |
| Axcelis Technologies, Inc.* |
| 20,171 |
| |
4,246 |
| Bankrate, Inc.* |
| 116,638 |
| |
3,955 |
| Bel Fuse, Inc., Class B |
| 77,083 |
| |
22,509 |
| Benchmark Electronics, Inc.* |
| 285,414 |
| |
10,972 |
| BigBand Networks, Inc.* |
| 39,938 |
| |
5,846 |
| Black Box Corp. |
| 143,110 |
| |
14,922 |
| Blackbaud, Inc. |
| 186,525 |
| |
10,327 |
| Blackboard, Inc.* |
| 254,354 |
| |
11,051 |
| Blue Coat Systems, Inc.* |
| 98,243 |
| |
33,621 |
| Bookham, Inc.* |
| 15,298 |
| |
7,331 |
| Bottomline Technologies, Inc.* |
| 49,851 |
| |
16,633 |
| Brightpoint, Inc.* |
| 68,528 |
| |
21,191 |
| Brooks Automation, Inc.* |
| 81,797 |
| |
7,830 |
| Cabot Microelectronics Corp.* |
| 193,949 |
| |
10,049 |
| CACI International, Inc., Class A* |
| 446,276 |
| |
10,051 |
| Callidus Software, Inc.* |
| 20,504 |
| |
2,257 |
| Cass Information Systems, Inc. |
| 80,123 |
| |
10,103 |
| Cavium Networks, Inc.* |
| 109,618 |
| |
6,721 |
| Ceva, Inc.* |
| 49,668 |
| |
13,226 |
| Checkpoint Systems, Inc.* |
| 152,893 |
| |
7,650 |
| China Information Security Technology, Inc.* |
| 30,600 |
| |
9,445 |
| China Security & Surveillance Technology, Inc.* |
| 54,120 |
| |
10,026 |
| Chordiant Software, Inc.* |
| 27,571 |
| |
17,891 |
| Ciber, Inc.* |
| 76,752 |
| |
21,661 |
| Cirrus Logic, Inc.* |
| 91,409 |
| |
13,703 |
| Cogent, Inc.* |
| 184,168 |
| |
13,980 |
| Cognex Corp. |
| 190,547 |
| |
8,596 |
| Cogo Group, Inc.* |
| 29,226 |
| |
7,878 |
| Coherent, Inc.* |
| 196,083 |
| |
7,702 |
| Cohu, Inc. |
| 86,262 |
| |
14,264 |
| Commvault Systems, Inc.* |
| 146,206 |
| |
4,704 |
| Compellent Technologies, Inc.* |
| 50,521 |
| |
5,997 |
| comScore, Inc.* |
| 55,892 |
| |
8,073 |
| Comtech Telecommunications Corp.* |
| 382,902 |
| |
7,277 |
| Comverge, Inc.* |
| 29,545 |
| |
14,387 |
| Concur Technologies, Inc.* |
| 394,923 |
| |
6,783 |
| Constant Contact, Inc.* |
| 94,623 |
| |
3,165 |
| CPI International, Inc.* |
| 29,561 |
| |
10,992 |
| Cray, Inc.* |
| 20,665 |
| |
11,654 |
| CSG Systems International, Inc.* |
| 196,253 |
| |
11,221 |
| CTS Corp. |
| 62,052 |
| |
23,022 |
| Cybersource Corp.* |
| 213,644 |
| |
10,137 |
| Cymer, Inc.* |
| 238,118 |
| |
10,947 |
| Daktronics, Inc. |
| 99,727 |
| |
11,023 |
| Data Domain, Inc.* |
| 179,124 |
| |
14,231 |
| DealerTrack Holdings, Inc.* |
| 168,637 |
| |
4,198 |
| Deltek, Inc.* |
| 20,150 |
| |
6,553 |
| DemandTec, Inc.* |
| 47,575 |
| |
5,941 |
| DG FastChannel, Inc.* |
| 99,512 |
| |
5,239 |
| Dice Holdings, Inc.* |
| 16,712 |
| |
8,598 |
| Digi International, Inc.* |
| 79,274 |
| |
1,922 |
| Digimarc Corp.* |
| 17,298 |
| |
12,387 |
| Digital River, Inc.* |
| 261,737 |
| |
9,644 |
| Diodes, Inc.* |
| 45,037 |
| |
8,988 |
| DivX, Inc.* |
| 43,322 |
| |
5,763 |
| Double-Take Software, Inc.* |
| 45,470 |
| |
8,107 |
| DSP Group, Inc.* |
| 46,372 |
| |
5,943 |
| DTS, Inc.* |
| 98,476 |
| |
36,614 |
| Earthlink, Inc.* |
| 243,849 |
| |
2,032 |
| Ebix, Inc.* |
| 52,680 |
| |
9,893 |
| Echelon Corp.* |
| 63,216 |
| |
7,188 |
| Electro Rent Corp. |
| 79,284 |
| |
9,051 |
| Electro Scientific Industries, Inc.* |
| 61,637 |
| |
17,743 |
| Electronics for Imaging, Inc.* |
| 173,349 |
| |
22,591 |
| Elixir Gaming Technologies, Inc.* |
| 1,130 |
| |
24,484 |
| Emcore Corp.* |
| 47,989 |
| |
5,206 |
| EMS Technologies, Inc.* |
| 126,037 |
| |
28,159 |
| Emulex Corp.* |
| 200,774 |
| |
38,119 |
| Entegris, Inc.* |
| 52,985 |
| |
3,083 |
| Entropic Communications, Inc.* |
| 3,083 |
| |
20,442 |
| Entrust, Inc.* |
| 28,823 |
| |
19,796 |
| Epicor Software Corp.* |
| 81,164 |
| |
11,796 |
| EPIQ Systems, Inc.* |
| 191,567 |
| |
15,725 |
| Euronet Worldwide, Inc.* |
| 134,134 |
| |
12,458 |
| Exar Corp.* |
| 83,967 |
| |
4,731 |
| ExlService Holdings, Inc.* |
| 33,590 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
29,461 |
| Extreme Networks* |
| $ | 61,868 |
|
16,224 |
| Fair Isaac Corp. |
| 229,407 |
| |
12,733 |
| FalconStor Software, Inc.* |
| 36,926 |
| |
5,561 |
| FARO Technologies, Inc.* |
| 80,023 |
| |
12,161 |
| FEI Co.* |
| 247,112 |
| |
131,689 |
| Finisar Corp.* |
| 57,943 |
| |
16,296 |
| Formfactor, Inc.* |
| 220,485 |
| |
5,186 |
| Forrester Research, Inc.* |
| 118,863 |
| |
48,677 |
| Foundry Networks, Inc.* |
| 754,007 |
| |
19,752 |
| Gartner, Inc.* |
| 303,391 |
| |
7,895 |
| Gerber Scientific, Inc.* |
| 18,948 |
| |
7,780 |
| Gevity HR, Inc. |
| 12,370 |
| |
13,378 |
| Global Cash Access Holdings, Inc.* |
| 41,338 |
| |
6,727 |
| Globecomm Systems, Inc.* |
| 34,913 |
| |
7,836 |
| GSI Commerce, Inc.* |
| 62,375 |
| |
3,110 |
| Guidance Software, Inc.* |
| 10,543 |
| |
13,732 |
| Hackett Group, Inc. (The)* |
| 40,921 |
| |
31,401 |
| Harmonic, Inc.* |
| 161,715 |
| |
8,505 |
| Harris Stratex Networks, Inc., Class A* |
| 42,440 |
| |
8,142 |
| Heartland Payment Systems, Inc. |
| 139,880 |
| |
6,523 |
| Hittite Microwave Corp.* |
| 190,602 |
| |
9,297 |
| HSW International, Inc.* |
| 3,254 |
| |
2,387 |
| Hughes Communications, Inc.* |
| 41,773 |
| |
7,872 |
| Hutchinson Technology, Inc.* |
| 22,042 |
| |
17,811 |
| Hypercom Corp.* |
| 14,071 |
| |
5,221 |
| i2 Technologies, Inc.* |
| 43,334 |
| |
4,567 |
| ICx Technologies, Inc.* |
| 35,714 |
| |
7,296 |
| iGate Corp.* |
| 44,506 |
| |
9,959 |
| Imation Corp. |
| 132,256 |
| |
10,189 |
| Immersion Corp.* |
| 39,431 |
| |
30,962 |
| Infinera Corp.* |
| 302,189 |
| |
11,030 |
| infoGROUP, Inc. |
| 43,348 |
| |
29,534 |
| Informatica Corp.* |
| 409,932 |
| |
11,475 |
| Infospace, Inc. |
| 89,620 |
| |
15,648 |
| Insight Enterprises, Inc.* |
| 63,687 |
| |
5,654 |
| Integral Systems, Inc.* |
| 135,696 |
| |
4,643 |
| Interactive Intelligence, Inc.* |
| 34,590 |
| |
15,127 |
| InterDigital, Inc.* |
| 401,168 |
| |
20,538 |
| Intermec, Inc.* |
| 272,745 |
| |
16,823 |
| Internap Network Services Corp.* |
| 46,095 |
| |
7,399 |
| Internet Brands, Inc., Class A* |
| 46,392 |
| |
12,913 |
| Internet Capital Group, Inc.* |
| 47,520 |
| |
15,198 |
| Interwoven, Inc.* |
| 197,726 |
| |
7,236 |
| Intevac, Inc.* |
| 35,746 |
| |
6,413 |
| IPG Photonics Corp.* |
| 87,153 |
| |
8,215 |
| Isilon Systems, Inc.* |
| 26,781 |
| |
14,234 |
| Ixia* |
| 87,397 |
| |
8,074 |
| IXYS Corp. |
| 58,779 |
| |
14,810 |
| j2 Global Communications, Inc.* |
| 289,091 |
| |
24,960 |
| Jack Henry & Associates, Inc. |
| 459,514 |
| |
8,588 |
| JDA Software Group, Inc.* |
| 113,190 |
| |
28,025 |
| Kemet Corp.* |
| 11,771 |
| |
7,521 |
| Kenexa Corp.* |
| 45,427 |
| |
4,608 |
| Keynote Systems, Inc.* |
| 35,113 |
| |
9,424 |
| Knot, Inc. (The)* |
| 70,868 |
| |
23,021 |
| Kopin Corp.* |
| 48,344 |
| |
17,859 |
| Kulicke & Soffa Industries, Inc.* |
| 25,181 |
| |
21,716 |
| L-1 Identity Solutions, Inc.* |
| 126,821 |
| |
38,430 |
| Lattice Semiconductor Corp.* |
| 58,414 |
| |
39,384 |
| Lawson Software, Inc.* |
| 154,385 |
| |
9,618 |
| Limelight Networks, Inc.* |
| 26,065 |
| |
4,873 |
| Liquidity Services, Inc.* |
| 35,865 |
| |
7,232 |
| Littelfuse, Inc.* |
| 108,769 |
| |
9,765 |
| LoopNet, Inc.* |
| 62,691 |
| |
3,892 |
| Loral Space & Communications, Inc.* |
| 32,887 |
| |
41,800 |
| LTX-Credence Corp.* |
| 15,466 |
| |
27,503 |
| Macrovision Solutions Corp.* |
| 323,435 |
| |
14,694 |
| Magma Design Automation, Inc.* |
| 26,155 |
| |
8,223 |
| Manhattan Associates, Inc.* |
| 126,223 |
| |
6,850 |
| Mantech International Corp., Class A* |
| 372,777 |
| |
7,936 |
| Marchex, Inc., Class B |
| 44,283 |
| |
16,471 |
| Mattson Technology, Inc.* |
| 29,648 |
| |
6,227 |
| MAXIMUS, Inc. |
| 195,528 |
| |
6,087 |
| Maxwell Technologies, Inc.* |
| 29,705 |
| |
4,823 |
| Measurement Specialties, Inc.* |
| 28,311 |
| |
30,290 |
| Mentor Graphics Corp.* |
| 205,366 |
| |
8,500 |
| MercadoLibre, Inc.* |
| 104,720 |
| |
7,585 |
| Mercury Computer Systems, Inc.* |
| 20,783 |
| |
12,680 |
| Methode Electronics, Inc. |
| 107,273 |
| |
16,577 |
| Micrel, Inc. |
| 122,670 |
| |
27,172 |
| Micros Systems, Inc.* |
| 452,414 |
| |
26,237 |
| Microsemi Corp.* |
| 511,359 |
| |
3,011 |
| MicroStrategy, Inc., Class A* |
| 107,432 |
| |
18,116 |
| Microtune, Inc.* |
| 41,667 |
| |
3,829 |
| Midway Games, Inc.* |
| 1,455 |
| |
14,771 |
| MIPS Technologies, Inc.* |
| 19,941 |
| |
16,624 |
| MKS Instruments, Inc.* |
| 237,889 |
| |
15,400 |
| ModusLink Global Solutions, Inc.* |
| 68,376 |
| |
8,706 |
| Monolithic Power Systems, Inc.* |
| 83,316 |
| |
5,024 |
| Monotype Imaging Holdings, Inc.* |
| 27,130 |
| |
42,819 |
| Move, Inc.* |
| 50,955 |
| |
52,451 |
| MRV Communications, Inc.* |
| 31,995 |
| |
14,990 |
| MSC.Software Corp.* |
| 112,425 |
| |
5,853 |
| MTS Systems Corp. |
| 152,237 |
| |
2,893 |
| Multi-Fineline Electronix, Inc.* |
| 30,203 |
| |
2,169 |
| NCI, Inc., Class A* |
| 62,424 |
| |
13,076 |
| Ness Technologies, Inc.* |
| 61,588 |
| |
15,010 |
| Net 1 UEPS Technologies, Inc.* |
| 153,102 |
| |
13,166 |
| Netezza Corp.* |
| 95,059 |
| |
11,794 |
| Netgear, Inc.* |
| 142,707 |
| |
5,701 |
| Netlogic Microsystems, Inc.* |
| 106,267 |
| |
9,829 |
| Netscout Systems, Inc.* |
| 78,141 |
| |
2,371 |
| NetSuite, Inc.* |
| 20,557 |
| |
5,552 |
| Neutral Tandem, Inc.* |
| 81,670 |
| |
12,000 |
| Newport Corp.* |
| 69,720 |
| |
16,165 |
| Nextwave Wireless, Inc.* |
| 1,940 |
| |
13,314 |
| NIC, Inc. |
| 61,644 |
| |
10,567 |
| Novatel Wireless, Inc.* |
| 40,472 |
| |
1,549 |
| NVE Corp.* |
| 35,766 |
| |
20,817 |
| Omniture, Inc.* |
| 206,921 |
| |
17,031 |
| Omnivision Technologies, Inc.* |
| 102,186 |
| |
9,618 |
| Online Resources Corp.* |
| 30,585 |
| |
28,983 |
| OpenTV Corp., Class A* |
| 33,620 |
| |
6,919 |
| Oplink Communications, Inc.* |
| 52,238 |
| |
4,396 |
| Opnet Technologies, Inc.* |
| 48,532 |
| |
6,373 |
| Opnext, Inc.* |
| 13,192 |
| |
10,547 |
| Orbcomm, Inc.* |
| 19,512 |
| |
5,240 |
| OSI Systems, Inc.* |
| 72,731 |
| |
35,778 |
| Palm, Inc.* |
| 85,509 |
| |
38,426 |
| Parametric Technology Corp.* |
| 444,205 |
| |
6,788 |
| Park Electrochemical Corp. |
| 120,691 |
| |
7,671 |
| Parkervision, Inc.* |
| 28,383 |
| |
3,158 |
| PC Connection, Inc.* |
| 16,201 |
| |
3,695 |
| PC Mall, Inc.* |
| 13,598 |
| |
6,405 |
| PC-Tel, Inc. |
| 38,686 |
| |
4,821 |
| Pegasystems, Inc. |
| 57,129 |
| |
10,671 |
| Perficient, Inc.* |
| 32,547 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
7,357 |
| Pericom Semiconductor Corp.* |
| $ | 39,801 |
|
28,858 |
| Perot Systems Corp., Class A* |
| 360,148 |
| |
9,171 |
| Phoenix Technologies Ltd.* |
| 30,631 |
| |
13,977 |
| Photronics, Inc.* |
| 6,290 |
| |
16,330 |
| Plantronics, Inc. |
| 207,554 |
| |
13,323 |
| Plexus Corp.* |
| 222,228 |
| |
9,397 |
| PLX Technology, Inc.* |
| 19,640 |
| |
72,979 |
| PMC - Sierra, Inc.* |
| 292,646 |
| |
29,211 |
| Polycom, Inc.* |
| 550,043 |
| |
10,145 |
| Power Integrations, Inc. |
| 185,654 |
| |
43,844 |
| Powerwave Technologies, Inc.* |
| 21,045 |
| |
9,209 |
| Presstek, Inc.* |
| 22,562 |
| |
13,856 |
| Progress Software Corp.* |
| 294,856 |
| |
4,293 |
| PROS Holdings, Inc.* |
| 20,692 |
| |
4,151 |
| QAD, Inc. |
| 16,895 |
| |
5,842 |
| Quality Systems, Inc. |
| 175,669 |
| |
68,575 |
| Quantum Corp.* |
| 8,229 |
| |
24,145 |
| Quest Software, Inc.* |
| 322,336 |
| |
9,888 |
| Rackable Systems, Inc.* |
| 39,453 |
| |
5,777 |
| Rackspace Hosting, Inc.* |
| 39,861 |
| |
9,230 |
| Radiant Systems, Inc.* |
| 45,227 |
| |
7,488 |
| Radisys Corp.* |
| 44,928 |
| |
30,180 |
| RealNetworks, Inc.* |
| 114,684 |
| |
3,199 |
| Renaissance Learning, Inc. |
| 30,390 |
| |
87,783 |
| RF Micro Devices, Inc.* |
| 116,751 |
| |
9,283 |
| RightNow Technologies, Inc.* |
| 74,821 |
| |
3,212 |
| Rimage Corp.* |
| 45,353 |
| |
18,708 |
| Riverbed Technology, Inc.* |
| 175,668 |
| |
9,905 |
| Rofin-Sinar Technologies, Inc.* |
| 235,145 |
| |
5,982 |
| Rogers Corp.* |
| 168,692 |
| |
4,415 |
| Rubicon Technology, Inc.* |
| 20,132 |
| |
10,196 |
| Rudolph Technologies, Inc.* |
| 33,647 |
| |
16,474 |
| S1 Corp.* |
| 123,226 |
| |
40,552 |
| Safeguard Scientifics, Inc.* |
| 28,386 |
| |
177,143 |
| Sanmina-SCI Corp.* |
| 113,372 |
| |
29,301 |
| Sapient Corp.* |
| 115,446 |
| |
12,536 |
| SAVVIS, Inc.* |
| 98,658 |
| |
8,762 |
| Scansource, Inc.* |
| 149,042 |
| |
10,302 |
| Seachange International, Inc.* |
| 81,592 |
| |
7,521 |
| Semitool, Inc.* |
| 28,053 |
| |
20,601 |
| Semtech Corp.* |
| 233,203 |
| |
14,448 |
| ShoreTel, Inc.* |
| 63,860 |
| |
4,426 |
| SI International, Inc.* |
| 135,170 |
| |
8,852 |
| Sigma Designs, Inc.* |
| 82,589 |
| |
24,464 |
| Silicon Image, Inc.* |
| 92,474 |
| |
27,902 |
| Silicon Storage Technology, Inc.* |
| 84,543 |
| |
20,238 |
| SiRF Technology Holdings, Inc.* |
| 29,345 |
| |
54,389 |
| Skyworks Solutions, Inc.* |
| 293,157 |
| |
14,776 |
| Smart Modular Technologies WWH, Inc.* |
| 13,298 |
| |
10,150 |
| Smith Micro Software, Inc.* |
| 51,866 |
| |
17,222 |
| Solera Holdings, Inc.* |
| 337,035 |
| |
7,396 |
| Sonic Solutions, Inc.* |
| 9,467 |
| |
17,792 |
| SonicWALL, Inc.* |
| 69,745 |
| |
68,031 |
| Sonus Networks, Inc.* |
| 105,448 |
| |
6,683 |
| Sourcefire, Inc.* |
| 38,628 |
| |
42,555 |
| Spansion, Inc., Class A* |
| 10,639 |
| |
5,951 |
| SPSS, Inc.* |
| 145,442 |
| |
14,188 |
| SRA International, Inc., Class A* |
| 213,104 |
| |
7,501 |
| Standard Microsystems Corp.* |
| 114,315 |
| |
9,922 |
| Starent Networks Corp.* |
| 98,724 |
| |
10,243 |
| STEC, Inc.* |
| 55,824 |
| |
6,889 |
| Stratasys, Inc.* |
| 76,881 |
| |
8,115 |
| SuccessFactors, Inc.* |
| 50,313 |
| |
7,378 |
| Super Micro Computer, Inc.* |
| 38,439 |
| |
3,707 |
| Supertex, Inc.* |
| 77,291 |
| |
15,437 |
| SupportSoft, Inc.* |
| 31,028 |
| |
6,848 |
| Switch & Data Facilities Co., Inc.* |
| 35,678 |
| |
26,445 |
| Sybase, Inc.* |
| 651,605 |
| |
63,794 |
| Sycamore Networks, Inc.* |
| 195,848 |
| |
15,343 |
| Symmetricom, Inc.* |
| 64,134 |
| |
11,218 |
| Symyx Technologies, Inc.* |
| 45,096 |
| |
11,341 |
| Synaptics, Inc.* |
| 249,162 |
| |
7,329 |
| Synchronoss Technologies, Inc.* |
| 51,450 |
| |
5,800 |
| SYNNEX Corp.* |
| 60,668 |
| |
4,303 |
| Syntel, Inc. |
| 103,358 |
| |
25,644 |
| Take-Two Interactive Software, Inc.* |
| 311,575 |
| |
8,678 |
| Taleo Corp., Class A* |
| 56,060 |
| |
13,658 |
| Technitrol, Inc. |
| 47,803 |
| |
4,651 |
| TechTarget, Inc.* |
| 21,302 |
| |
5,124 |
| Techwell, Inc.* |
| 28,438 |
| |
21,762 |
| Tekelec* |
| 266,584 |
| |
11,236 |
| TeleCommunication Systems, Inc., Class A* |
| 88,764 |
| |
13,032 |
| TeleTech Holdings, Inc.* |
| 114,942 |
| |
17,630 |
| Terremark Worldwide, Inc.* |
| 63,997 |
| |
16,140 |
| Tessera Technologies, Inc.* |
| 296,653 |
| |
6,080 |
| TheStreet.com, Inc. |
| 20,611 |
| |
22,242 |
| THQ, Inc.* |
| 105,427 |
| |
62,211 |
| TIBCO Software, Inc.* |
| 301,101 |
| |
34,008 |
| TiVo, Inc.* |
| 170,720 |
| |
8,165 |
| TNS, Inc.* |
| 69,811 |
| |
4,056 |
| Transmeta Corp.* |
| 72,805 |
| |
20,356 |
| Trident Microsystems, Inc.* |
| 34,198 |
| |
47,837 |
| TriQuint Semiconductor, Inc.* |
| 123,419 |
| |
14,247 |
| TTM Technologies, Inc.* |
| 72,802 |
| |
12,682 |
| Tyler Technologies, Inc.* |
| 160,174 |
| |
8,210 |
| Ultimate Software Group, Inc.* |
| 125,695 |
| |
6,481 |
| Ultra Clean Holdings* |
| 13,675 |
| |
7,800 |
| Ultratech, Inc.* |
| 97,890 |
| |
4,668 |
| Unica Corp.* |
| 18,159 |
| |
25,735 |
| United Online, Inc. |
| 170,623 |
| |
9,639 |
| Universal Display Corp.* |
| 70,268 |
| |
36,867 |
| Utstarcom, Inc.* |
| 70,047 |
| |
28,898 |
| Valueclick, Inc.* |
| 178,301 |
| |
8,961 |
| Vasco Data Security International, Inc.* |
| 93,553 |
| |
10,642 |
| Veeco Instruments, Inc.* |
| 63,107 |
| |
22,792 |
| VeriFone Holdings, Inc.* |
| 93,675 |
| |
8,454 |
| Viasat, Inc.* |
| 181,169 |
| |
8,252 |
| Vignette Corp.* |
| 71,792 |
| |
2,941 |
| Virtusa Corp.* |
| 14,587 |
| |
14,735 |
| VistaPrint Ltd.* |
| 240,917 |
| |
5,367 |
| Vocus, Inc.* |
| 97,518 |
| |
8,462 |
| Volterra Semiconductor Corp.* |
| 63,296 |
| |
9,224 |
| Web.com Group, Inc.* |
| 23,337 |
| |
15,062 |
| Websense, Inc.* |
| 243,553 |
| |
24,026 |
| Wind River Systems, Inc.* |
| 200,377 |
| |
12,940 |
| Wright Express Corp.* |
| 147,257 |
| |
17,276 |
| Zoran Corp.* |
| 129,916 |
| |
5,095 |
| Zygo Corp.* |
| 33,678 |
| |
|
|
|
| 39,056,451 |
| |
|
| Materials - 3.2% |
|
|
| |
|
|
|
|
|
| |
17,740 |
| AbitibiBowater, Inc.* |
| 12,241 |
| |
1,814 |
| AEP Industries, Inc.* |
| 37,604 |
| |
15,029 |
| Allied Nevada Gold Corp.* |
| 42,833 |
| |
5,507 |
| AM Castle & Co. |
| 50,004 |
| |
8,600 |
| AMCOL International Corp. |
| 173,204 |
| |
6,297 |
| American Vanguard Corp. |
| 61,459 |
| |
19,661 |
| Apex Silver Mines Ltd.* |
| 15,925 |
| |
8,295 |
| Arch Chemicals, Inc. |
| 239,560 |
| |
6,050 |
| Balchem Corp. |
| 157,481 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
11,916 |
| Boise, Inc.* |
| $ | 5,958 |
|
6,802 |
| Brush Engineered Materials, Inc.* |
| 78,767 |
| |
13,074 |
| Buckeye Technologies, Inc.* |
| 58,964 |
| |
2,496 |
| Bway Holding Co.* |
| 12,006 |
| |
13,655 |
| Calgon Carbon Corp.* |
| 174,374 |
| |
5,724 |
| China Precision Steel, Inc.* |
| 7,785 |
| |
183,826 |
| Coeur d’Alene Mines Corp.* |
| 125,002 |
| |
10,817 |
| Compass Minerals International, Inc. |
| 605,644 |
| |
3,506 |
| Deltic Timber Corp. |
| 168,008 |
| |
14,589 |
| Ferro Corp. |
| 93,807 |
| |
7,560 |
| Flotek Industries, Inc.* |
| 22,756 |
| |
20,929 |
| General Moly, Inc.* |
| 24,068 |
| |
3,594 |
| General Steel Holdings, Inc.* |
| 12,040 |
| |
2,991 |
| GenTek, Inc.* |
| 55,094 |
| |
15,091 |
| Glatfelter |
| 143,666 |
| |
48,217 |
| Graphic Packaging Holding Co.* |
| 79,558 |
| |
3,977 |
| Haynes International, Inc.* |
| 72,501 |
| |
16,160 |
| HB Fuller Co. |
| 286,678 |
| |
14,012 |
| Headwaters, Inc.* |
| 79,588 |
| |
42,509 |
| Hecla Mining Co.* |
| 98,621 |
| |
11,651 |
| Horsehead Holding Corp.* |
| 36,118 |
| |
9,250 |
| ICO, Inc.* |
| 41,532 |
| |
3,479 |
| Innophos Holdings, Inc. |
| 57,334 |
| |
7,804 |
| Innospec, Inc. |
| 44,951 |
| |
5,261 |
| Kaiser Aluminum Corp. |
| 111,060 |
| |
5,981 |
| KapStone Paper and Packaging Corp.* |
| 26,496 |
| |
6,950 |
| Koppers Holdings, Inc. |
| 148,869 |
| |
7,740 |
| Landec Corp.* |
| 53,716 |
| |
34,459 |
| Louisiana-Pacific Corp. |
| 79,600 |
| |
5,795 |
| LSB Industries, Inc.* |
| 52,039 |
| |
10,045 |
| Mercer International, Inc.* |
| 23,103 |
| |
6,300 |
| Minerals Technologies, Inc. |
| 295,785 |
| |
9,445 |
| Myers Industries, Inc. |
| 57,426 |
| |
4,862 |
| Neenah Paper, Inc. |
| 39,771 |
| |
4,503 |
| NewMarket Corp. |
| 150,760 |
| |
2,268 |
| NL Industries, Inc. |
| 25,991 |
| |
24,943 |
| Olin Corp. |
| 408,566 |
| |
3,009 |
| Olympic Steel, Inc. |
| 52,658 |
| |
10,187 |
| OM Group, Inc.* |
| 200,990 |
| |
3,748 |
| Penford Corp. |
| 42,240 |
| |
31,124 |
| PolyOne Corp.* |
| 88,081 |
| |
3,433 |
| Quaker Chemical Corp. |
| 43,977 |
| |
12,717 |
| Rock-Tenn Co., Class A |
| 429,453 |
| |
13,915 |
| Rockwood Holdings, Inc.* |
| 124,400 |
| |
9,758 |
| Royal Gold, Inc. |
| 390,320 |
| |
7,675 |
| RTI International Metals, Inc.* |
| 92,253 |
| |
9,046 |
| Schulman A., Inc. |
| 122,754 |
| |
5,223 |
| Schweitzer-Mauduit International, Inc. |
| 96,312 |
| |
16,031 |
| Sensient Technologies Corp. |
| 385,385 |
| |
10,056 |
| ShengdaTech, Inc.* |
| 40,023 |
| |
8,415 |
| Silgan Holdings, Inc. |
| 380,695 |
| |
31,505 |
| Solutia, Inc.* |
| 214,234 |
| |
10,195 |
| Spartech Corp. |
| 59,131 |
| |
2,113 |
| Stepan Co. |
| 97,156 |
| |
13,189 |
| Stillwater Mining Co.* |
| 41,282 |
| |
2,546 |
| Sutor Technology Group Ltd.* |
| 4,812 |
| |
7,797 |
| Texas Industries, Inc. |
| 240,615 |
| |
13,254 |
| U.S. Concrete, Inc.* |
| 42,678 |
| |
603 |
| United States Lime & Minerals, Inc.* |
| 16,179 |
| |
2,230 |
| Universal Stainless & Alloy* |
| 27,206 |
| |
4,680 |
| Verso Paper Corp. |
| 5,990 |
| |
14,725 |
| Wausau Paper Corp. |
| 151,520 |
| |
6,396 |
| Westlake Chemical Corp. |
| 107,964 |
| |
21,469 |
| Worthington Industries, Inc. |
| 285,108 |
| |
24,061 |
| WR Grace & Co.* |
| 123,433 |
| |
6,975 |
| Zep, Inc. |
| 126,317 |
| |
9,173 |
| Zoltek Cos., Inc.* |
| 73,843 |
| |
|
|
|
| 8,755,322 |
| |
|
| Telecommunication Services - 1.0% |
|
|
| |
|
|
|
|
|
| |
14,450 |
| Alaska Communications Systems Group, Inc. |
| 140,165 |
| |
3,148 |
| Atlantic Tele-Network, Inc. |
| 72,215 |
| |
7,992 |
| Cbeyond, Inc.* |
| 121,558 |
| |
22,472 |
| Centennial Communications Corp.* |
| 173,709 |
| |
81,069 |
| Cincinnati Bell, Inc.* |
| 140,249 |
| |
15,872 |
| Cogent Communications Group, Inc.* |
| 87,296 |
| |
7,730 |
| Consolidated Communications Holdings, Inc. |
| 78,691 |
| |
29,706 |
| Fairpoint Communications, Inc. |
| 103,971 |
| |
40,147 |
| FiberTower Corp.* |
| 22,081 |
| |
15,085 |
| General Communication, Inc., Class A* |
| 118,116 |
| |
8,737 |
| Global Crossing Ltd.* |
| 67,013 |
| |
13,994 |
| Globalstar, Inc.* |
| 2,939 |
| |
1,605 |
| Hungarian Telephone & Cable Corp.* |
| 14,926 |
| |
10,490 |
| Ibasis, Inc.* |
| 14,581 |
| |
34,548 |
| ICO Global Communications Holdings Ltd.* |
| 58,732 |
| |
18,041 |
| IDT Corp., Class B* |
| 7,758 |
| |
10,678 |
| Iowa Telecommunications Services, Inc. |
| 163,267 |
| |
5,720 |
| iPCS, Inc.* |
| 42,614 |
| |
9,978 |
| NTELOS Holdings Corp. |
| 221,611 |
| |
41,237 |
| PAETEC Holding Corp.* |
| 59,794 |
| |
20,632 |
| Premiere Global Services, Inc.* |
| 125,855 |
| |
7,856 |
| Shenandoah Telecommunications Co. |
| 195,300 |
| |
17,117 |
| Syniverse Holdings, Inc.* |
| 167,233 |
| |
19,400 |
| TerreStar Corp.* |
| 8,342 |
| |
49,092 |
| tw telecom, Inc.* |
| 374,572 |
| |
7,782 |
| USA Mobility, Inc.* |
| 84,824 |
| |
10,138 |
| Virgin Mobile USA, Inc., Class A* |
| 10,138 |
| |
17,129 |
| Vonage Holdings Corp.* |
| 17,985 |
| |
|
|
|
| 2,695,535 |
| |
|
| Utilities - 4.0% |
|
|
| |
|
|
|
|
|
| |
8,747 |
| Allete, Inc. |
| 299,322 |
| |
5,754 |
| American States Water Co. |
| 201,563 |
| |
17,703 |
| Avista Corp. |
| 312,812 |
| |
12,823 |
| Black Hills Corp. |
| 330,962 |
| |
3,982 |
| Cadiz, Inc.* |
| 48,540 |
| |
6,550 |
| California Water Service Group |
| 278,375 |
| |
3,449 |
| Central Vermont Public Service Corp. |
| 65,152 |
| |
5,265 |
| CH Energy Group, Inc. |
| 230,291 |
| |
2,270 |
| Chesapeake Utilities Corp. |
| 71,845 |
| |
20,082 |
| Cleco Corp. |
| 473,333 |
| |
2,809 |
| Connecticut Water Service, Inc. |
| 70,056 |
| |
4,850 |
| Consolidated Water Co., Inc. |
| 51,895 |
| |
14,939 |
| El Paso Electric Co.* |
| 269,201 |
| |
11,261 |
| Empire District Electric Co. (The) |
| 197,518 |
| |
15,092 |
| Idacorp, Inc. |
| 458,797 |
| |
16,492 |
| ITC Holdings Corp. |
| 692,664 |
| |
7,278 |
| Laclede Group, Inc. (The) |
| 383,405 |
| |
7,364 |
| MGE Energy, Inc. |
| 260,686 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| ||
|
| Common Stocks (a) (continued) |
|
|
| ||
4,425 |
| Middlesex Water Co. |
| $ | 76,110 |
| |
13,990 |
| New Jersey Resources Corp. |
| 561,838 |
| ||
15,064 |
| Nicor, Inc. |
| 614,310 |
| ||
8,812 |
| Northwest Natural Gas Co. |
| 440,159 |
| ||
13,005 |
| NorthWestern Corp. |
| 268,683 |
| ||
5,969 |
| Ormat Technologies, Inc. |
| 179,667 |
| ||
24,501 |
| Piedmont Natural Gas Co. |
| 823,234 |
| ||
28,837 |
| PNM Resources, Inc. |
| 301,347 |
| ||
20,866 |
| Portland General Electric Co. |
| 382,056 |
| ||
4,378 |
| SJW Corp. |
| 122,584 |
| ||
9,919 |
| South Jersey Industries, Inc. |
| 386,841 |
| ||
14,440 |
| Southwest Gas Corp. |
| 373,996 |
| ||
8,170 |
| Southwest Water Co. |
| 34,559 |
| ||
8,463 |
| Synthesis Energy Systems, Inc.* |
| 8,294 |
| ||
20,692 |
| U.S. Geothermal, Inc.* |
| 11,585 |
| ||
8,415 |
| UIL Holdings Corp. |
| 250,683 |
| ||
11,485 |
| Unisource Energy Corp. |
| 322,384 |
| ||
34,983 |
| Westar Energy, Inc. |
| 707,706 |
| ||
16,507 |
| WGL Holdings, Inc. |
| 595,903 |
| ||
|
|
|
| 11,158,356 |
| ||
|
| Total Common Stock |
| 237,139,559 |
| ||
|
|
|
|
|
| ||
No. of |
|
|
|
|
| ||
|
| Warrants - 0.0% |
|
|
| ||
71 |
| GreenHunter Energy, Inc., expiring 08/27/11 at $27.50* |
| — |
| ||
|
|
|
|
|
| ||
|
| Total Warrants |
| $ | — |
| |
|
|
|
|
|
| ||
Principal |
|
|
|
|
| ||
|
| Repurchase Agreements - 34.2% |
|
|
| ||
$ | 12,647,560 |
| Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $12,647,781 (b) |
| 12,647,560 |
| |
12,647,560 |
| Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $12,647,876 (c) |
| 12,647,560 |
| ||
948,567 |
| Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $948,583 (d) |
| 948,567 |
| ||
3,161,890 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $3,162,105 (e) |
| 3,161,890 |
| ||
6,323,780 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $6,324,210 (f) |
| 6,323,780 |
| ||
22,133,231 |
| ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $22,133,747 (g) |
| 22,133,231 |
| ||
18,971,341 |
| JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $18,971,657 (h) |
| 18,971,341 |
| ||
18,037,113 |
| UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $18,037,489(i) |
| 18,037,113 |
| ||
|
| Total Repurchase Agreements |
| 94,871,042 |
| ||
|
| Total Investments |
| 332,010,601 |
| ||
|
| Liabilities in excess of other assets — (19.7)% |
| (54,741,624 | ) | ||
|
| Net Assets — 100.0% |
| $ | 277,268,977 |
| |
* |
| Non-income producing security. |
(a) |
| A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. |
(b) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $12,900,515. The investment in the repurchase agreement was through participation in a pooled account. |
(c) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $12,900,515. The investment in the repurchase agreement was through participation in a pooled account. |
(d) |
| Represents the Fund’s 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $967,577. The investment in the repurchase agreement was through participation in a pooled account. |
(e) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $3,225,139. The investment in the repurchase agreement was through participation in a pooled account. |
(f) |
| Represents the Fund’s 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $6,450,256. The investment in the repurchase agreement was through participation in a pooled account. |
(g) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $22,575,919. The investment in the repurchase agreement was through participation in a pooled account. |
See accompanying notes to the financial statements.
(h) |
| Represents the Fund’s 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $19,350,776. The investment in the repurchase agreement was through participation in a pooled account. |
(i) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $18,397,892. The investment in the repurchase agreement was through participation in a pooled account. |
REIT | Real Estate Investment Trust |
As of November 30, 2008, 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 |
| $ | 545,530 |
|
Aggregate gross unrealized depreciation |
| (84,973,527 | ) | |
Net unrealized depreciation |
| $ | (84,427,997 | ) |
Federal income tax cost of investments |
| $ | 416,438,598 |
|
Futures Contracts Purchased
Ultra Russell2000 had the following open long futures contracts as of November 30, 2008:
|
| Number of |
| Expiration |
| Notional |
| Unrealized |
| ||
|
|
|
|
|
|
|
|
|
| ||
E-Mini Russell 2000 Index® Futures Contracts |
| 1,268 |
| 12/18/08 |
| $ | 60,090,520 |
| $ | 4,907,215 |
|
Cash collateral in the amount of $6,126,815 was pledged to cover margin requirements for open futures contracts as of November 30, 2008.
Swap Agreements
Ultra Russell2000 had the following open swap agreements as of November 30, 2008:
|
| Termination |
| Notional Amount |
| Unrealized |
| ||
Equity Index Swap Agreement based on the Russell 2000® Index |
| 12/08/08 |
| $ | 24,092,757 |
| $ | (17,907,243 | ) |
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement based on the Russell 2000® Index |
| 12/08/08 |
| 232,741,267 |
| (18,619,087 | ) | ||
|
|
|
|
|
|
|
| ||
|
|
|
| $ | 256,834,024 |
| $ | (36,526,330 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell1000 Value
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) - 88.8% |
|
|
| |
|
| Consumer Discretionary - 7.1% |
|
|
| |
|
|
|
|
|
| |
193 |
| American Eagle Outfitters, Inc. |
| $ | 1,853 |
|
136 |
| AnnTaylor Stores Corp.* |
| 611 |
| |
55 |
| Ascent Media Corp., Class A* |
| 1,100 |
| |
266 |
| Autoliv, Inc. |
| 5,078 |
| |
416 |
| AutoNation, Inc.* |
| 3,553 |
| |
133 |
| Barnes & Noble, Inc. |
| 2,099 |
| |
167 |
| Bed Bath & Beyond, Inc.* |
| 3,388 |
| |
226 |
| Black & Decker Corp. |
| 9,591 |
| |
57 |
| BorgWarner, Inc. |
| 1,349 |
| |
179 |
| Boyd Gaming Corp. |
| 788 |
| |
808 |
| Cablevision Systems Corp., Class A |
| 11,845 |
| |
329 |
| Career Education Corp.* |
| 6,080 |
| |
1,261 |
| Carnival Corp. |
| 26,481 |
| |
2,144 |
| CBS Corp., Class B |
| 14,279 |
| |
447 |
| Centex Corp. |
| 4,095 |
| |
71 |
| Choice Hotels International, Inc. |
| 1,783 |
| |
33 |
| Clear Channel Outdoor Holdings, Inc., Class A* |
| 242 |
| |
7,216 |
| Comcast Corp., Class A |
| 125,125 |
| |
1,022 |
| Discovery Communications, Inc., Class C* |
| 15,463 |
| |
1,150 |
| DR Horton, Inc. |
| 7,900 |
| |
1,049 |
| Eastman Kodak Co. |
| 7,941 |
| |
104 |
| EW Scripps Co., Class A |
| 305 |
| |
753 |
| Expedia, Inc.* |
| 6,325 |
| |
470 |
| Family Dollar Stores, Inc. |
| 13,057 |
| |
79 |
| Federal Mogul Corp.* |
| 418 |
| |
566 |
| Foot Locker, Inc. |
| 3,809 |
| |
7,876 |
| Ford Motor Co.* |
| 21,186 |
| |
555 |
| Fortune Brands, Inc. |
| 20,979 |
| |
828 |
| Gannett Co., Inc. |
| 7,212 |
| |
893 |
| Gap, Inc. (The) |
| 11,627 |
| |
1,771 |
| General Motors Corp. |
| 9,280 |
| |
592 |
| Genuine Parts Co. |
| 23,177 |
| |
311 |
| Goodyear Tire & Rubber Co. (The)* |
| 2,000 |
| |
98 |
| Harley-Davidson, Inc. |
| 1,667 |
| |
57 |
| Harman International Industries, Inc. |
| 858 |
| |
263 |
| Hasbro, Inc. |
| 7,048 |
| |
79 |
| Hearst-Argyle Television, Inc. |
| 634 |
| |
6,139 |
| Home Depot, Inc. |
| 141,872 |
| |
113 |
| HSN, Inc.* |
| 423 |
| |
114 |
| International Speedway Corp., Class A |
| 2,958 |
| |
245 |
| Interpublic Group of Cos., Inc.* |
| 1,002 |
| |
113 |
| Interval Leisure Group, Inc.* |
| 599 |
| |
245 |
| Jarden Corp.* |
| 3,058 |
| |
809 |
| JC Penney Co., Inc. |
| 15,363 |
| |
1,831 |
| Johnson Controls, Inc. |
| 32,335 |
| |
313 |
| Jones Apparel Group, Inc. |
| 1,606 |
| |
274 |
| KB Home |
| 3,187 |
| |
268 |
| Kohl’s Corp.* |
| 8,753 |
| |
573 |
| Leggett & Platt, Inc. |
| 8,366 |
| |
499 |
| Lennar Corp., Class A |
| 3,548 |
| |
622 |
| Liberty Global, Inc., Class A* |
| 9,013 |
| |
406 |
| Liberty Media Corp. - Capital, Class A* |
| 1,344 |
| |
2,155 |
| Liberty Media Corp. - Interactive, Class A* |
| 5,668 |
| |
344 |
| Liz Claiborne, Inc. |
| 980 |
| |
5,046 |
| Lowe’s Cos., Inc. |
| 104,250 |
| |
362 |
| Ltd Brands, Inc. |
| 3,370 |
| |
1,532 |
| Macy’s, Inc. |
| 11,367 |
| |
1,318 |
| Mattel, Inc. |
| 18,017 |
| |
381 |
| McDonald’s Corp. |
| 22,384 |
| |
584 |
| McGraw-Hill Cos., Inc. (The) |
| 14,600 |
| |
127 |
| MDC Holdings, Inc. |
| 3,937 |
| |
142 |
| Meredith Corp. |
| 2,292 |
| |
28 |
| MGM Mirage* |
| 335 |
| |
203 |
| Mohawk Industries, Inc.* |
| 6,240 |
| |
520 |
| New York Times Co. (The), Class A |
| 3,921 |
| |
1,010 |
| Newell Rubbermaid, Inc. |
| 13,494 |
| |
5,048 |
| News Corp., Class A |
| 39,879 |
| |
11 |
| NVR, Inc.* |
| 4,777 |
| |
991 |
| Office Depot, Inc.* |
| 1,952 |
| |
275 |
| OfficeMax, Inc. |
| 1,499 |
| |
91 |
| Omnicom Group, Inc. |
| 2,574 |
| |
310 |
| O’Reilly Automotive, Inc.* |
| 8,082 |
| |
24 |
| Orient-Express Hotels Ltd., Class A |
| 164 |
| |
145 |
| Penske Auto Group, Inc. |
| 1,099 |
| |
26 |
| Phillips-Van Heusen Corp. |
| 453 |
| |
589 |
| Pulte Homes, Inc. |
| 6,273 |
| |
477 |
| RadioShack Corp. |
| 4,698 |
| |
294 |
| Regal Entertainment Group, Class A |
| 2,696 |
| |
503 |
| Royal Caribbean Cruises Ltd. |
| 4,738 |
| |
521 |
| Saks, Inc.* |
| 2,246 |
| |
313 |
| Scripps Networks Interactive, Inc., Class A |
| 8,698 |
| |
212 |
| Sears Holdings Corp.* |
| 7,685 |
| |
950 |
| Service Corp. International |
| 5,529 |
| |
309 |
| Signet Jewelers Ltd. |
| 2,419 |
| |
208 |
| Snap-On, Inc. |
| 7,498 |
| |
282 |
| Stanley Works (The) |
| 8,965 |
| |
381 |
| Staples, Inc. |
| 6,614 |
| |
210 |
| Target Corp. |
| 7,090 |
| |
94 |
| Thor Industries, Inc. |
| 1,470 |
| |
113 |
| Ticketmaster Entertainment, Inc.* |
| 451 |
| |
281 |
| Time Warner Cable, Inc., Class A* |
| 5,704 |
| |
11,558 |
| Time Warner, Inc. |
| 104,600 |
| |
474 |
| Toll Brothers, Inc.* |
| 9,447 |
| |
180 |
| TRW Automotive Holdings Corp.* |
| 641 |
| |
315 |
| VF Corp. |
| 16,471 |
| |
127 |
| Viacom, Inc., Class B* |
| 2,022 |
| |
1,065 |
| Virgin Media, Inc. |
| 5,037 |
| |
6,123 |
| Walt Disney Co. (The) |
| 137,890 |
| |
148 |
| Warner Music Group Corp. |
| 441 |
| |
25 |
| Washington Post Co. (The), Class B |
| 9,897 |
| |
23 |
| Weight Watchers International, Inc. |
| 651 |
| |
273 |
| Whirlpool Corp. |
| 10,751 |
| |
296 |
| Williams-Sonoma, Inc. |
| 2,075 |
| |
644 |
| Wyndham Worldwide Corp. |
| 3,078 |
| |
|
|
|
| 1,270,762 |
| |
|
| Consumer Staples - 8.7% |
|
|
| |
|
|
|
|
|
| |
276 |
| Alberto-Culver Co. |
| 5,926 |
| |
1,916 |
| Altria Group, Inc. |
| 30,809 |
| |
2,343 |
| Archer-Daniels-Midland Co. |
| 64,151 |
| |
214 |
| BJ’s Wholesale Club, Inc.* |
| 7,657 |
| |
98 |
| Brown-Forman Corp., Class B |
| 4,301 |
| |
442 |
| Bunge Ltd. |
| 18,767 |
| |
400 |
| Campbell Soup Co. |
| 12,820 |
| |
345 |
| Clorox Co. |
| 20,410 |
| |
2,489 |
| Coca-Cola Co. (The) |
| 116,660 |
| |
1,157 |
| Coca-Cola Enterprises, Inc. |
| 10,621 |
| |
1,644 |
| ConAgra Foods, Inc. |
| 24,249 |
| |
674 |
| Constellation Brands, Inc., Class A* |
| 8,600 |
| |
270 |
| Corn Products International, Inc. |
| 7,398 |
| |
2,388 |
| CVS/Caremark Corp. |
| 69,085 |
| |
108 |
| Dean Foods Co.* |
| 1,573 |
| |
717 |
| Del Monte Foods Co. |
| 4,245 |
| |
921 |
| Dr Pepper Snapple Group, Inc.* |
| 14,865 |
| |
1,116 |
| General Mills, Inc. |
| 70,498 |
| |
276 |
| Hershey Co. (The) |
| 9,936 |
| |
510 |
| HJ Heinz Co. |
| 19,808 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
262 |
| Hormel Foods Corp. |
| $ | 6,959 |
|
345 |
| JM Smucker Co. (The) |
| 15,653 |
| |
386 |
| Kellogg Co. |
| 16,764 |
| |
893 |
| Kimberly-Clark Corp. |
| 51,607 |
| |
5,343 |
| Kraft Foods, Inc., Class A |
| 145,383 |
| |
1,337 |
| Kroger Co. (The) |
| 36,981 |
| |
302 |
| Lorillard, Inc. |
| 18,250 |
| |
260 |
| McCormick & Co., Inc. (Non-Voting) |
| 7,740 |
| |
417 |
| Molson Coors Brewing Co., Class B |
| 18,544 |
| |
99 |
| NBTY, Inc.* |
| 1,442 |
| |
501 |
| Pepsi Bottling Group, Inc. |
| 9,063 |
| |
209 |
| PepsiAmericas, Inc. |
| 3,503 |
| |
345 |
| PepsiCo, Inc. |
| 19,562 |
| |
6,980 |
| Procter & Gamble Co. |
| 449,163 |
| |
620 |
| Reynolds American, Inc. |
| 25,470 |
| |
1,845 |
| Rite Aid Corp.* |
| 959 |
| |
1,594 |
| Safeway, Inc. |
| 34,749 |
| |
2,564 |
| Sara Lee Corp. |
| 23,538 |
| |
420 |
| Smithfield Foods, Inc.* |
| 2,860 |
| |
774 |
| SUPERVALU, Inc. |
| 9,218 |
| |
952 |
| Tyson Foods, Inc., Class A |
| 6,388 |
| |
539 |
| UST, Inc. |
| 37,056 |
| |
273 |
| Walgreen Co. |
| 6,754 |
| |
1,572 |
| Wal-Mart Stores, Inc. |
| 87,843 |
| |
|
|
|
| 1,557,828 |
| |
|
| Energy - 15.9% |
|
|
| |
|
|
|
|
|
| |
1,702 |
| Anadarko Petroleum Corp. |
| 69,867 |
| |
1,216 |
| Apache Corp. |
| 93,997 |
| |
1,065 |
| BJ Services Co. |
| 12,769 |
| |
205 |
| Cabot Oil & Gas Corp. |
| 6,144 |
| |
1,259 |
| Chesapeake Energy Corp. |
| 21,630 |
| |
7,519 |
| Chevron Corp. |
| 594,076 |
| |
302 |
| Cimarex Energy Co. |
| 8,568 |
| |
5,609 |
| ConocoPhillips |
| 294,585 |
| |
1,625 |
| Devon Energy Corp. |
| 117,552 |
| |
2,007 |
| El Paso Corp. |
| 14,832 |
| |
143 |
| Encore Acquisition Co.* |
| 3,781 |
| |
35 |
| ENSCO International, Inc. |
| 1,134 |
| |
227 |
| EOG Resources, Inc. |
| 19,300 |
| |
239 |
| Exterran Holdings, Inc.* |
| 4,194 |
| |
15,654 |
| Exxon Mobil Corp. |
| 1,254,668 |
| |
319 |
| Forest Oil Corp.* |
| 5,567 |
| |
148 |
| Global Industries Ltd.* |
| 437 |
| |
305 |
| Helix Energy Solutions Group, Inc.* |
| 1,961 |
| |
378 |
| Helmerich & Payne, Inc. |
| 9,586 |
| |
319 |
| Hercules Offshore, Inc.* |
| 1,857 |
| |
378 |
| Key Energy Services, Inc.* |
| 1,795 |
| |
2,577 |
| Marathon Oil Corp. |
| 67,466 |
| |
90 |
| Mariner Energy, Inc.* |
| 989 |
| |
880 |
| Nabors Industries Ltd.* |
| 12,760 |
| |
478 |
| Newfield Exploration Co.* |
| 10,793 |
| |
584 |
| Noble Energy, Inc. |
| 30,532 |
| |
62 |
| Oil States International, Inc.* |
| 1,328 |
| |
79 |
| Overseas Shipholding Group, Inc. |
| 2,928 |
| |
212 |
| Patterson-UTI Energy, Inc. |
| 2,648 |
| |
56 |
| PetroHawk Energy Corp.* |
| 978 |
| |
436 |
| Pioneer Natural Resources Co. |
| 8,755 |
| |
34 |
| Plains Exploration & Production Co.* |
| 787 |
| |
172 |
| Pride International, Inc.* |
| 2,788 |
| |
268 |
| Rowan Cos., Inc. |
| 4,650 |
| |
67 |
| SEACOR Holdings, Inc.* |
| 4,431 |
| |
406 |
| Southern Union Co. |
| 5,578 |
| |
2,304 |
| Spectra Energy Corp. |
| 37,463 |
| |
132 |
| St. Mary Land & Exploration Co. |
| 2,655 |
| |
172 |
| Sunoco, Inc. |
| 6,835 |
| |
157 |
| Teekay Corp. |
| 2,573 |
| |
352 |
| Tesoro Corp. |
| 3,235 |
| |
178 |
| Tidewater, Inc. |
| 7,027 |
| |
39 |
| Unit Corp.* |
| 1,118 |
| |
1,918 |
| Valero Energy Corp. |
| 35,195 |
| |
1,795 |
| XTO Energy, Inc. |
| 68,641 |
| |
|
|
|
| 2,860,453 |
| |
|
| Financials - 21.1% |
|
|
| |
|
|
|
|
|
| |
113 |
| Alexandria Real Estate Equities, Inc. (REIT) |
| 5,004 |
| |
22 |
| Alleghany Corp.* |
| 5,830 |
| |
649 |
| Allied Capital Corp. |
| 1,519 |
| |
176 |
| Allied World Assurance Co. Holdings Ltd. |
| 6,223 |
| |
2,003 |
| Allstate Corp. (The) |
| 50,956 |
| |
352 |
| AMB Property Corp. (REIT) |
| 6,061 |
| |
740 |
| American Capital Ltd. |
| 3,138 |
| |
587 |
| American Express Co. |
| 13,683 |
| |
283 |
| American Financial Group, Inc./OH |
| 5,799 |
| |
8,444 |
| American International Group, Inc. |
| 16,972 |
| |
60 |
| American National Insurance Co. |
| 4,429 |
| |
416 |
| AmeriCredit Corp.* |
| 3,058 |
| |
810 |
| Ameriprise Financial, Inc. |
| 14,953 |
| |
1,951 |
| Annaly Capital Management, Inc. (REIT) |
| 28,036 |
| |
1,012 |
| AON Corp. |
| 45,844 |
| |
228 |
| Apartment Investment & Management Co., Class A (REIT) |
| 2,615 |
| |
168 |
| Arch Capital Group Ltd.* |
| 11,389 |
| |
338 |
| Arthur J. Gallagher & Co. |
| 8,382 |
| |
466 |
| Associated Banc-Corp |
| 10,126 |
| |
433 |
| Assurant, Inc. |
| 9,426 |
| |
306 |
| Astoria Financial Corp. |
| 5,649 |
| |
278 |
| AvalonBay Communities, Inc. (REIT) |
| 16,866 |
| |
413 |
| Axis Capital Holdings Ltd. |
| 10,453 |
| |
301 |
| Bancorpsouth, Inc. |
| 6,694 |
| |
18,231 |
| Bank of America Corp. |
| 296,254 |
| |
173 |
| Bank of Hawaii Corp. |
| 7,718 |
| |
4,157 |
| Bank of New York Mellon Corp. (The) |
| 125,583 |
| |
1,985 |
| BB&T Corp. |
| 59,490 |
| |
21 |
| BlackRock, Inc. |
| 2,640 |
| |
78 |
| BOK Financial Corp. |
| 3,618 |
| |
437 |
| Boston Properties, Inc. (REIT) |
| 23,336 |
| |
316 |
| Brandywine Realty Trust (REIT) |
| 1,555 |
| |
174 |
| BRE Properties, Inc. (REIT) |
| 5,109 |
| |
317 |
| Brown & Brown, Inc. |
| 6,308 |
| |
70 |
| Camden Property Trust (REIT) |
| 1,853 |
| |
1,363 |
| Capital One Financial Corp. |
| 46,901 |
| |
709 |
| CapitalSource, Inc. (REIT) |
| 3,694 |
| |
55 |
| Capitol Federal Financial |
| 2,352 |
| |
407 |
| CB Richard Ellis Group, Inc., Class A* |
| 1,856 |
| |
240 |
| CBL & Associates Properties, Inc. (REIT) |
| 977 |
| |
1,328 |
| Chubb Corp. |
| 68,206 |
| |
533 |
| Cincinnati Financial Corp. |
| 15,585 |
| |
1,026 |
| CIT Group, Inc. |
| 3,427 |
| |
19,786 |
| Citigroup, Inc. |
| 164,026 |
| |
143 |
| City National Corp./CA |
| 6,275 |
| |
71 |
| CME Group, Inc. |
| 15,048 |
| |
100 |
| CNA Financial Corp. |
| 1,376 |
| |
546 |
| Comerica, Inc. |
| 12,312 |
| |
220 |
| Commerce Bancshares, Inc./MO |
| 9,638 |
| |
673 |
| Conseco, Inc.* |
| 2,268 |
| |
211 |
| Cullen/Frost Bankers, Inc. |
| 11,438 |
| |
437 |
| Developers Diversified Realty Corp. (REIT) |
| 2,098 |
| |
80 |
| Digital Realty Trust, Inc. (REIT) |
| 2,189 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
1,741 |
| Discover Financial Services |
| $ | 17,810 |
|
441 |
| Douglas Emmett, Inc. (REIT) |
| 4,498 |
| |
536 |
| Duke Realty Corp. (REIT) |
| 4,401 |
| |
1,258 |
| E*Trade Financial Corp.* |
| 1,698 |
| |
193 |
| Endurance Specialty Holdings Ltd. |
| 5,196 |
| |
984 |
| Equity Residential (REIT) |
| 29,943 |
| |
106 |
| Erie Indemnity Co., Class A |
| 3,969 |
| |
72 |
| Essex Property Trust, Inc. (REIT) |
| 6,226 |
| |
228 |
| Everest Re Group Ltd. |
| 17,889 |
| |
3,871 |
| Fannie Mae |
| 4,490 |
| |
147 |
| Federal Realty Investment Trust (REIT) |
| 8,502 |
| |
779 |
| Fidelity National Financial, Inc., Class A |
| 9,605 |
| |
1,829 |
| Fifth Third Bancorp |
| 17,485 |
| |
337 |
| First American Corp. |
| 8,095 |
| |
25 |
| First Citizens BancShares, Inc./NC, Class A |
| 3,514 |
| |
737 |
| First Horizon National Corp. |
| 7,879 |
| |
265 |
| Franklin Resources, Inc. |
| 16,099 |
| |
197 |
| Freddie Mac |
| 232 |
| |
636 |
| Fulton Financial Corp. |
| 7,072 |
| |
386 |
| General Growth Properties, Inc. (REIT) |
| 533 |
| |
1,572 |
| Genworth Financial, Inc., Class A |
| 2,279 |
| |
1,284 |
| Goldman Sachs Group, Inc. (The) |
| 101,423 |
| |
183 |
| Hanover Insurance Group, Inc. (The) |
| 7,379 |
| |
1,147 |
| Hartford Financial Services Group, Inc. |
| 9,692 |
| |
417 |
| HCC Insurance Holdings, Inc. |
| 9,720 |
| |
809 |
| HCP, Inc. (REIT) |
| 16,722 |
| |
331 |
| Health Care REIT, Inc. (REIT) |
| 12,578 |
| |
341 |
| Hospitality Properties Trust (REIT) |
| 3,908 |
| |
1,900 |
| Host Hotels & Resorts, Inc. (REIT) |
| 14,288 |
| |
819 |
| HRPT Properties Trust (REIT) |
| 2,260 |
| |
1,231 |
| Hudson City Bancorp, Inc. |
| 20,570 |
| |
1,330 |
| Huntington Bancshares, Inc./OH |
| 10,640 |
| |
1,230 |
| Invesco Ltd. |
| 15,437 |
| |
10 |
| Investment Technology Group, Inc.* |
| 167 |
| |
486 |
| iStar Financial, Inc. (REIT) |
| 656 |
| |
40 |
| Janus Capital Group, Inc. |
| 326 |
| |
454 |
| Jefferies Group, Inc. |
| 5,648 |
| |
113 |
| Jones Lang LaSalle, Inc. |
| 2,693 |
| |
14,213 |
| JPMorgan Chase & Co. |
| 449,984 |
| |
1,793 |
| Keycorp |
| 16,818 |
| |
107 |
| Kilroy Realty Corp. (REIT) |
| 3,260 |
| |
784 |
| Kimco Realty Corp. (REIT) |
| 11,094 |
| |
507 |
| Legg Mason, Inc. |
| 9,136 |
| |
646 |
| Leucadia National Corp. |
| 12,629 |
| |
338 |
| Liberty Property Trust (REIT) |
| 6,463 |
| |
945 |
| Lincoln National Corp. |
| 12,975 |
| |
1,137 |
| Loews Corp. |
| 31,142 |
| |
239 |
| M&T Bank Corp. |
| 15,356 |
| |
239 |
| Mack-Cali Realty Corp. (REIT) |
| 4,534 |
| |
36 |
| Markel Corp.* |
| 11,088 |
| |
1,863 |
| Marsh & McLennan Cos., Inc. |
| 47,507 |
| |
945 |
| Marshall & Ilsley Corp. |
| 14,600 |
| |
778 |
| MBIA, Inc. |
| 4,551 |
| |
98 |
| Mercury General Corp. |
| 4,458 |
| |
5,556 |
| Merrill Lynch & Co., Inc. |
| 73,450 |
| |
1,591 |
| MetLife, Inc. |
| 45,757 |
| |
194 |
| MF Global Ltd.* |
| 508 |
| |
452 |
| MGIC Investment Corp. |
| 1,229 |
| |
716 |
| Moody’s Corp. |
| 15,544 |
| |
3,785 |
| Morgan Stanley |
| 55,829 |
| |
227 |
| Nasdaq OMX Group, Inc. (The)* |
| 4,881 |
| |
7,397 |
| National City Corp. |
| 14,868 |
| |
168 |
| Nationwide Financial Services |
| 8,534 |
| |
315 |
| Nationwide Health Properties, Inc. (REIT) |
| 7,128 |
| |
1,249 |
| New York Community Bancorp, Inc. |
| 16,299 |
| |
75 |
| Northern Trust Corp. |
| 3,442 |
| |
381 |
| NYSE Euronext |
| 9,072 |
| |
841 |
| Old Republic International Corp. |
| 8,629 |
| |
91 |
| OneBeacon Insurance Group Ltd. |
| 992 |
| |
199 |
| PartnerRe Ltd. |
| 13,922 |
| |
1,258 |
| People’s United Financial, Inc. |
| 23,990 |
| |
135 |
| Philadelphia Consolidated Holding Co.* |
| 8,296 |
| |
417 |
| Plum Creek Timber Co., Inc. (REIT) |
| 14,841 |
| |
1,258 |
| PNC Financial Services Group, Inc. |
| 66,385 |
| |
1,021 |
| Popular, Inc. |
| 6,381 |
| |
944 |
| Principal Financial Group, Inc. |
| 13,037 |
| |
2,460 |
| Progressive Corp. (The) |
| 36,949 |
| |
953 |
| Prologis (REIT) |
| 3,650 |
| |
250 |
| Protective Life Corp. |
| 2,330 |
| |
1,303 |
| Prudential Financial, Inc. |
| 28,275 |
| |
464 |
| Public Storage (REIT) |
| 32,429 |
| |
346 |
| Raymond James Financial, Inc. |
| 7,602 |
| |
247 |
| Rayonier, Inc. (REIT) |
| 8,250 |
| |
250 |
| Regency Centers Corp. (REIT) |
| 8,902 |
| |
2,524 |
| Regions Financial Corp. |
| 25,720 |
| |
212 |
| Reinsurance Group of America, Inc. |
| 8,607 |
| |
226 |
| RenaissanceRe Holdings Ltd. |
| 10,651 |
| |
210 |
| SL Green Realty Corp. (REIT) |
| 3,982 |
| |
196 |
| SLM Corp.* |
| 1,805 |
| |
1,610 |
| Sovereign Bancorp, Inc.* |
| 3,977 |
| |
57 |
| St. Joe Co. (The)* |
| 1,505 |
| |
176 |
| StanCorp Financial Group, Inc. |
| 5,863 |
| |
1,145 |
| State Street Corp. |
| 48,216 |
| |
11 |
| Student Loan Corp.(The) |
| 417 |
| |
1,286 |
| SunTrust Banks, Inc. |
| 40,805 |
| |
1,021 |
| Synovus Financial Corp. |
| 8,495 |
| |
456 |
| TCF Financial Corp. |
| 7,615 |
| |
377 |
| TFS Financial Corp. |
| 4,837 |
| |
330 |
| Torchmark Corp. |
| 11,930 |
| |
73 |
| Transatlantic Holdings, Inc. |
| 2,894 |
| |
2,201 |
| Travelers Cos., Inc. (The) |
| 96,074 |
| |
23 |
| Tree.com, Inc.* |
| 42 |
| |
6,328 |
| U.S. Bancorp |
| 170,729 |
| |
469 |
| UDR, Inc. (REIT) |
| 7,096 |
| |
146 |
| Unitrin, Inc. |
| 2,794 |
| |
1,259 |
| Unum Group |
| 18,759 |
| |
484 |
| Valley National Bancorp |
| 9,356 |
| |
397 |
| Ventas, Inc. (REIT) |
| 9,123 |
| |
498 |
| Vornado Realty Trust (REIT) |
| 26,618 |
| |
7,845 |
| Wachovia Corp. |
| 44,089 |
| |
316 |
| Washington Federal, Inc. |
| 5,337 |
| |
194 |
| Webster Financial Corp. |
| 2,910 |
| |
271 |
| Weingarten Realty Investors (REIT) |
| 3,864 |
| |
11,999 |
| Wells Fargo & Co. |
| 346,651 |
| |
4 |
| Wesco Financial Corp. |
| 1,188 |
| |
33 |
| White Mountains Insurance Group Ltd. |
| 8,910 |
| |
234 |
| Whitney Holding Corp./LA |
| 4,102 |
| |
243 |
| Wilmington Trust Corp. |
| 5,878 |
| |
498 |
| WR Berkley Corp. |
| 14,158 |
| |
1,200 |
| XL Capital Ltd., Class A |
| 6,036 |
| |
417 |
| Zions Bancorporation |
| 13,298 |
| |
|
|
|
| 3,789,084 |
| |
|
| Health Care - 11.2% |
|
|
| |
|
|
|
|
|
| |
28 |
| Advanced Medical Optics, Inc.* |
| 163 |
| |
625 |
| Aetna, Inc. |
| 13,638 |
| |
513 |
| AmerisourceBergen Corp. |
| 16,083 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
3,955 |
| Amgen, Inc.* |
| $ | 219,661 |
|
276 |
| Barr Pharmaceuticals, Inc.* |
| 18,048 |
| |
42 |
| Beckman Coulter, Inc. |
| 1,830 |
| |
5,082 |
| Boston Scientific Corp.* |
| 31,356 |
| |
623 |
| Bristol-Myers Squibb Co. |
| 12,896 |
| |
132 |
| Brookdale Senior Living, Inc. |
| 537 |
| |
330 |
| Cardinal Health, Inc. |
| 10,732 |
| |
135 |
| Charles River Laboratories International, Inc.* |
| 3,078 |
| |
880 |
| Cigna Corp. |
| 10,657 |
| |
271 |
| Community Health Systems, Inc.* |
| 3,539 |
| |
165 |
| Cooper Cos., Inc. (The) |
| 2,211 |
| |
440 |
| Coventry Health Care, Inc.* |
| 5,487 |
| |
1,813 |
| Covidien Ltd. |
| 66,809 |
| |
65 |
| DaVita, Inc.* |
| 3,266 |
| |
3,291 |
| Eli Lilly & Co. |
| 112,388 |
| |
39 |
| Endo Pharmaceuticals Holdings, Inc.* |
| 858 |
| |
1,014 |
| Forest Laboratories, Inc.* |
| 24,519 |
| |
301 |
| Health Management Associates, Inc., Class A* |
| 439 |
| |
370 |
| Health Net, Inc.* |
| 3,334 |
| |
26 |
| Henry Schein, Inc.* |
| 929 |
| |
198 |
| Hill-Rom Holdings, Inc. |
| 4,067 |
| |
476 |
| HLTH Corp.* |
| 4,460 |
| |
468 |
| Hologic, Inc.* |
| 6,580 |
| |
499 |
| Hospira, Inc.* |
| 14,985 |
| |
267 |
| Humana, Inc.* |
| 8,071 |
| |
514 |
| IMS Health, Inc. |
| 6,759 |
| |
139 |
| Inverness Medical Innovations, Inc.* |
| 2,442 |
| |
7,551 |
| Johnson & Johnson |
| 442,338 |
| |
894 |
| King Pharmaceuticals, Inc.* |
| 8,591 |
| |
227 |
| Life Technologies Corp.* |
| 5,925 |
| |
199 |
| LifePoint Hospitals, Inc.* |
| 3,992 |
| |
26 |
| Lincare Holdings, Inc.* |
| 622 |
| |
281 |
| McKesson Corp. |
| 9,818 |
| |
5,574 |
| Merck & Co., Inc. |
| 148,937 |
| |
907 |
| Mylan, Inc.* |
| 8,535 |
| |
363 |
| Omnicare, Inc. |
| 8,752 |
| |
27 |
| Pediatrix Medical Group, Inc.* |
| 840 |
| |
238 |
| PerkinElmer, Inc. |
| 4,298 |
| |
24,588 |
| Pfizer, Inc. |
| 403,981 |
| |
103 |
| Quest Diagnostics, Inc. |
| 4,797 |
| |
142 |
| Teleflex, Inc. |
| 6,728 |
| |
754 |
| Tenet Healthcare Corp.* |
| 912 |
| |
1,000 |
| Thermo Fisher Scientific, Inc.* |
| 35,680 |
| |
2,820 |
| UnitedHealth Group, Inc. |
| 59,248 |
| |
171 |
| Universal Health Services, Inc., Class B |
| 6,353 |
| |
195 |
| Watson Pharmaceuticals, Inc.* |
| 4,631 |
| |
1,729 |
| WellPoint, Inc.* |
| 61,552 |
| |
4,844 |
| Wyeth |
| 174,432 |
| |
275 |
| Zimmer Holdings, Inc.* |
| 10,263 |
| |
|
|
|
| 2,021,047 |
| |
|
| Industrials - 7.8% |
|
|
| |
|
|
|
|
|
| |
38 |
| Aecom Technology Corp.* |
| 1,007 |
| |
94 |
| AGCO Corp.* |
| 2,314 |
| |
147 |
| Alexander & Baldwin, Inc. |
| 3,800 |
| |
68 |
| Alliant Techsystems, Inc.* |
| 5,590 |
| |
1,386 |
| Allied Waste Industries, Inc.* |
| 14,886 |
| |
505 |
| AMR Corp.* |
| 4,434 |
| |
72 |
| Armstrong World Industries, Inc. |
| 1,224 |
| |
384 |
| Avery Dennison Corp. |
| 11,942 |
| |
369 |
| Avis Budget Group, Inc.* |
| 280 |
| |
27 |
| BE Aerospace, Inc.* |
| 221 |
| |
199 |
| Carlisle Cos., Inc. |
| 4,225 |
| |
478 |
| Cintas Corp. |
| 11,482 |
| |
401 |
| Continental Airlines, Inc., Class B* |
| 5,887 |
| |
138 |
| Con-way, Inc. |
| 3,860 |
| |
148 |
| Cooper Industries Ltd., Class A |
| 3,573 |
| |
30 |
| Copa Holdings SA, Class A |
| 665 |
| |
56 |
| Corrections Corp. of America* |
| 1,013 |
| |
181 |
| Crane Co. |
| 2,682 |
| |
277 |
| Danaher Corp. |
| 15,412 |
| |
1,635 |
| Delta Air Lines, Inc.* |
| 14,404 |
| |
90 |
| Dover Corp. |
| 2,685 |
| |
61 |
| Dun & Bradstreet Corp. |
| 4,880 |
| |
331 |
| Eaton Corp. |
| 15,338 |
| |
216 |
| Equifax, Inc. |
| 5,497 |
| |
1,126 |
| FedEx Corp. |
| 79,552 |
| |
112 |
| Flowserve Corp. |
| 5,637 |
| |
194 |
| Gardner Denver, Inc.* |
| 4,801 |
| |
160 |
| GATX Corp. |
| 4,504 |
| |
1,452 |
| General Dynamics Corp. |
| 75,025 |
| |
36,228 |
| General Electric Co. |
| 622,035 |
| |
1,112 |
| Hertz Global Holdings, Inc.* |
| 3,881 |
| |
112 |
| Hubbell, Inc., Class B |
| 3,349 |
| |
33 |
| IDEX Corp. |
| 759 |
| |
1,613 |
| Illinois Tool Works, Inc. |
| 55,036 |
| |
943 |
| Ingersoll-Rand Co., Ltd., Class A |
| 14,786 |
| |
162 |
| ITT Corp. |
| 6,781 |
| |
62 |
| Kansas City Southern* |
| 1,359 |
| |
113 |
| KBR, Inc. |
| 1,556 |
| |
217 |
| Kennametal, Inc. |
| 4,058 |
| |
101 |
| L-3 Communications Holdings, Inc. |
| 6,784 |
| |
46 |
| Lincoln Electric Holdings, Inc. |
| 2,102 |
| |
268 |
| Manpower, Inc. |
| 8,437 |
| |
1,318 |
| Masco Corp. |
| 12,626 |
| |
975 |
| Norfolk Southern Corp. |
| 48,233 |
| |
925 |
| Northrop Grumman Corp. |
| 37,879 |
| |
79 |
| Oshkosh Corp. |
| 553 |
| |
276 |
| Owens Corning, Inc.* |
| 4,402 |
| |
364 |
| Pentair, Inc. |
| 9,049 |
| |
71 |
| Pitney Bowes, Inc. |
| 1,754 |
| |
138 |
| Quanta Services, Inc.* |
| 2,244 |
| |
774 |
| R.R. Donnelley & Sons Co. |
| 9,876 |
| |
981 |
| Raytheon Co. |
| 47,873 |
| |
40 |
| Republic Services, Inc. |
| 960 |
| |
139 |
| Ryder System, Inc. |
| 4,991 |
| |
2,659 |
| Southwest Airlines Co. |
| 23,000 |
| |
379 |
| Spirit Aerosystems Holdings, Inc., Class A* |
| 3,430 |
| |
228 |
| Steelcase, Inc., Class A |
| 1,471 |
| |
369 |
| Terex Corp.* |
| 5,262 |
| |
210 |
| Thomas & Betts Corp.* |
| 3,988 |
| |
282 |
| Timken Co. |
| 4,092 |
| |
297 |
| Trinity Industries, Inc. |
| 4,416 |
| |
845 |
| Tyco International Ltd. |
| 17,660 |
| |
213 |
| United Rentals, Inc.* |
| 1,719 |
| |
1,524 |
| United Technologies Corp. |
| 73,960 |
| |
248 |
| URS Corp.* |
| 9,414 |
| |
108 |
| USG Corp.* |
| 1,021 |
| |
35 |
| UTi Worldwide, Inc. |
| 375 |
| |
1,273 |
| Waste Management, Inc. |
| 37,172 |
| |
39 |
| WESCO International, Inc.* |
| 577 |
| |
|
|
|
| 1,405,740 |
| |
|
| Information Technology - 2.2% |
|
|
| |
|
|
|
|
|
| |
431 |
| ADC Telecommunications, Inc.* |
| 3,064 |
| |
1,932 |
| Advanced Micro Devices, Inc.* |
| 4,560 |
| |
236 |
| Affiliated Computer Services, Inc., Class A* |
| 9,546 |
| |
411 |
| Amdocs Ltd.* |
| 7,723 |
| |
414 |
| Arrow Electronics, Inc.* |
| 5,713 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
584 |
| Atmel Corp.* |
| $ | 1,635 |
|
307 |
| Avnet, Inc.* |
| 4,372 |
| |
166 |
| AVX Corp. |
| 1,451 |
| |
1,170 |
| Brocade Communications Systems, Inc.* |
| 3,767 |
| |
752 |
| CA, Inc. |
| 12,664 |
| |
941 |
| Cadence Design Systems, Inc.* |
| 3,632 |
| |
548 |
| Computer Sciences Corp.* |
| 15,267 |
| |
396 |
| Compuware Corp.* |
| 2,515 |
| |
448 |
| Convergys Corp.* |
| 2,818 |
| |
194 |
| Cree, Inc.* |
| 3,081 |
| |
38 |
| Diebold, Inc. |
| 1,064 |
| |
31 |
| DST Systems, Inc.* |
| 1,172 |
| |
140 |
| EchoStar Corp., Class A* |
| 2,390 |
| |
2,272 |
| EMC Corp.* |
| 24,015 |
| |
450 |
| Fairchild Semiconductor International, Inc.* |
| 1,796 |
| |
547 |
| Fidelity National Information Services, Inc. |
| 9,397 |
| |
9 |
| Genpact Ltd.* |
| 71 |
| |
295 |
| IAC/InterActiveCorp* |
| 4,363 |
| |
611 |
| Ingram Micro, Inc., Class A* |
| 6,581 |
| |
342 |
| Integrated Device Technology, Inc.* |
| 1,768 |
| |
2,830 |
| Intel Corp. |
| 39,054 |
| |
205 |
| International Rectifier Corp.* |
| 2,396 |
| |
299 |
| Intersil Corp., Class A |
| 2,709 |
| |
397 |
| Jabil Circuit, Inc. |
| 2,612 |
| |
350 |
| JDS Uniphase Corp.* |
| 952 |
| |
38 |
| Kla-Tencor Corp. |
| 715 |
| |
38 |
| Lam Research Corp.* |
| 768 |
| |
274 |
| Lender Processing Services, Inc. |
| 6,044 |
| |
317 |
| Lexmark International, Inc., Class A* |
| 8,299 |
| |
557 |
| LSI Corp.* |
| 1,493 |
| |
59 |
| McAfee, Inc.* |
| 1,790 |
| |
2,419 |
| Micron Technology, Inc.* |
| 6,628 |
| |
350 |
| Molex, Inc. |
| 4,760 |
| |
8,199 |
| Motorola, Inc. |
| 35,338 |
| |
62 |
| NCR Corp.* |
| 941 |
| |
707 |
| Novell, Inc.* |
| 3,217 |
| |
250 |
| Novellus Systems, Inc.* |
| 3,098 |
| |
481 |
| QLogic Corp.* |
| 5,108 |
| |
555 |
| SAIC, Inc.* |
| 9,879 |
| |
654 |
| SanDisk Corp.* |
| 5,232 |
| |
911 |
| Seagate Technology |
| 3,835 |
| |
2,838 |
| Sun Microsystems, Inc.* |
| 8,996 |
| |
3,056 |
| Symantec Corp.* |
| 36,764 |
| |
514 |
| Synopsys, Inc.* |
| 8,239 |
| |
166 |
| Tech Data Corp.* |
| 2,895 |
| |
1,441 |
| Tellabs, Inc.* |
| 6,009 |
| |
335 |
| Teradata Corp.* |
| 4,499 |
| |
234 |
| Teradyne, Inc.* |
| 887 |
| |
1,737 |
| Tyco Electronics Ltd. |
| 28,626 |
| |
581 |
| Unisys Corp.* |
| 389 |
| |
678 |
| Vishay Intertechnology, Inc.* |
| 2,956 |
| |
3,268 |
| Xerox Corp. |
| 22,843 |
| |
12 |
| Zebra Technologies Corp., Class A* |
| 254 |
| |
|
|
|
| 402,650 |
| |
|
| Materials - 2.7% |
|
|
| |
|
|
|
|
|
| |
657 |
| Alcoa, Inc. |
| 7,069 |
| |
202 |
| Aptargroup, Inc. |
| 6,755 |
| |
231 |
| Ashland, Inc. |
| 2,206 |
| |
303 |
| Ball Corp. |
| 11,044 |
| |
365 |
| Bemis Co., Inc. |
| 9,862 |
| |
235 |
| Cabot Corp. |
| 4,862 |
| |
147 |
| Carpenter Technology Corp. |
| 2,449 |
| |
68 |
| Celanese Corp., Class A |
| 785 |
| |
65 |
| Century Aluminum Co.* |
| 530 |
| |
811 |
| Chemtura Corp. |
| 1,354 |
| |
413 |
| Commercial Metals Co. |
| 4,948 |
| |
172 |
| Cytec Industries, Inc. |
| 3,789 |
| |
1,781 |
| Domtar Corp.* |
| 2,493 |
| |
3,379 |
| Dow Chemical Co. (The) |
| 62,681 |
| |
21 |
| Eagle Materials, Inc. |
| 441 |
| |
276 |
| Eastman Chemical Co. |
| 9,080 |
| |
3,273 |
| EI Du Pont de Nemours & Co. |
| 82,021 |
| |
168 |
| FMC Corp. |
| 7,342 |
| |
1,394 |
| Freeport-McMoRan Copper & Gold, Inc. |
| 33,442 |
| |
522 |
| Huntsman Corp. |
| 3,732 |
| |
1,557 |
| International Paper Co. |
| 19,385 |
| |
58 |
| Intrepid Potash, Inc.* |
| 1,114 |
| |
245 |
| Lubrizol Corp. |
| 8,604 |
| |
9 |
| Martin Marietta Materials, Inc. |
| 789 |
| |
635 |
| MeadWestvaco Corp. |
| 7,404 |
| |
37 |
| Nalco Holding Co. |
| 422 |
| |
908 |
| Nucor Corp. |
| 32,398 |
| |
435 |
| Owens-Illinois, Inc.* |
| 8,796 |
| |
285 |
| Packaging Corp. of America |
| 4,255 |
| |
476 |
| Pactiv Corp.* |
| 11,895 |
| |
534 |
| PPG Industries, Inc. |
| 23,453 |
| |
230 |
| Reliance Steel & Aluminum Co. |
| 4,743 |
| |
73 |
| Rohm & Haas Co. |
| 4,994 |
| |
471 |
| RPM International, Inc. |
| 5,647 |
| |
68 |
| Schnitzer Steel Industries, Inc., Class A |
| 1,836 |
| |
33 |
| Scotts Miracle-Gro Co. (The), Class A |
| 1,068 |
| |
581 |
| Sealed Air Corp. |
| 9,197 |
| |
226 |
| Sigma-Aldrich Corp. |
| 9,743 |
| |
927 |
| Smurfit-Stone Container Corp.* |
| 528 |
| |
365 |
| Sonoco Products Co. |
| 9,162 |
| |
433 |
| Steel Dynamics, Inc. |
| 3,577 |
| |
383 |
| Temple-Inland, Inc. |
| 1,210 |
| |
250 |
| Titanium Metals Corp. |
| 2,113 |
| |
25 |
| United States Steel Corp. |
| 760 |
| |
10 |
| Valhi, Inc. |
| 140 |
| |
367 |
| Valspar Corp. |
| 7,201 |
| |
400 |
| Vulcan Materials Co. |
| 23,992 |
| |
771 |
| Weyerhaeuser Co. |
| 29,005 |
| |
|
|
|
| 490,316 |
| |
|
| Telecommunication Services - 5.8% |
|
|
| |
|
|
|
|
|
| |
21,592 |
| AT&T, Inc. |
| 616,668 |
| |
381 |
| CenturyTel, Inc. |
| 10,119 |
| |
28 |
| Clearwire Corp., Class A* |
| 185 |
| |
815 |
| Crown Castle International Corp.* |
| 11,467 |
| |
268 |
| Embarq Corp. |
| 8,748 |
| |
917 |
| Frontier Communications Corp. |
| 7,996 |
| |
173 |
| Leap Wireless International, Inc.* |
| 3,460 |
| |
2,752 |
| Qwest Communications International, Inc. |
| 8,807 |
| |
10,090 |
| Sprint Nextel Corp. |
| 28,151 |
| |
214 |
| Telephone & Data Systems, Inc. |
| 6,944 |
| |
35 |
| U.S. Cellular Corp.* |
| 1,380 |
| |
10,359 |
| Verizon Communications, Inc. |
| 338,221 |
| |
816 |
| Windstream Corp. |
| 7,230 |
| |
|
|
|
| 1,049,376 |
| |
|
| Utilities - 6.3% |
|
|
| |
|
|
|
|
|
| |
277 |
| AGL Resources, Inc. |
| 8,340 |
| |
403 |
| Alliant Energy Corp. |
| 12,844 |
| |
758 |
| Ameren Corp. |
| 26,970 |
| |
1,461 |
| American Electric Power Co., Inc. |
| 45,715 |
| |
232 |
| American Water Works Co., Inc. |
| 4,705 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| ||
|
| Common Stocks (a) (continued) |
|
|
| ||
484 |
| Aqua America, Inc. |
| $ | 10,498 |
| |
331 |
| Atmos Energy Corp. |
| 8,252 |
| ||
439 |
| Centerpoint Energy, Inc. |
| 5,676 |
| ||
818 |
| CMS Energy Corp. |
| 8,311 |
| ||
990 |
| Consolidated Edison, Inc. |
| 39,986 |
| ||
58 |
| Constellation Energy Group, Inc. |
| 1,419 |
| ||
2,103 |
| Dominion Resources, Inc. |
| 77,432 |
| ||
380 |
| DPL, Inc. |
| 7,912 |
| ||
590 |
| DTE Energy Co. |
| 21,942 |
| ||
4,596 |
| Duke Energy Corp. |
| 71,514 |
| ||
1,801 |
| Dynegy, Inc., Class A* |
| 4,016 |
| ||
1,186 |
| Edison International |
| 39,612 |
| ||
210 |
| Energen Corp. |
| 6,468 |
| ||
203 |
| Entergy Corp. |
| 17,275 |
| ||
1,192 |
| Exelon Corp. |
| 67,002 |
| ||
1,112 |
| FirstEnergy Corp. |
| 65,141 |
| ||
1,487 |
| FPL Group, Inc. |
| 72,506 |
| ||
434 |
| Great Plains Energy, Inc. |
| 8,155 |
| ||
306 |
| Hawaiian Electric Industries, Inc. |
| 8,345 |
| ||
277 |
| Integrys Energy Group, Inc. |
| 12,238 |
| ||
668 |
| MDU Resources Group, Inc. |
| 13,580 |
| ||
242 |
| Mirant Corp.* |
| 4,167 |
| ||
298 |
| National Fuel Gas Co. |
| 9,694 |
| ||
994 |
| NiSource, Inc. |
| 11,978 |
| ||
568 |
| Northeast Utilities |
| 13,234 |
| ||
537 |
| NRG Energy, Inc.* |
| 12,722 |
| ||
385 |
| NSTAR |
| 13,667 |
| ||
623 |
| NV Energy, Inc. |
| 5,906 |
| ||
336 |
| OGE Energy Corp. |
| 8,901 |
| ||
378 |
| Oneok, Inc. |
| 11,091 |
| ||
728 |
| Pepco Holdings, Inc. |
| 13,097 |
| ||
1,297 |
| PG&E Corp. |
| 49,338 |
| ||
368 |
| Pinnacle West Capital Corp. |
| 11,187 |
| ||
951 |
| Progress Energy, Inc. |
| 37,745 |
| ||
473 |
| Puget Energy, Inc. |
| 11,579 |
| ||
387 |
| Questar Corp. |
| 12,458 |
| ||
1,258 |
| Reliant Energy, Inc.* |
| 7,221 |
| ||
420 |
| SCANA Corp. |
| 14,595 |
| ||
912 |
| Sempra Energy |
| 42,563 |
| ||
2,789 |
| Southern Co. |
| 101,296 |
| ||
762 |
| TECO Energy, Inc. |
| 9,906 |
| ||
385 |
| UGI Corp. |
| 8,994 |
| ||
297 |
| Vectren Corp. |
| 8,363 |
| ||
421 |
| Wisconsin Energy Corp. |
| 18,297 |
| ||
1,566 |
| Xcel Energy, Inc. |
| 29,456 |
| ||
|
|
|
| 1,133,309 |
| ||
|
| Total Common Stock |
| 15,980,565 |
| ||
|
|
|
|
|
| ||
Principal |
|
|
|
|
| ||
|
| Repurchase Agreements - 14.0% |
|
|
| ||
$ | 334,609 |
| Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $334,615(b) |
| 334,609 |
| |
334,609 |
| Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $334,617(c) |
| 334,609 |
| ||
25,096 |
| Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $25,096(d) |
| 25,096 |
| ||
83,652 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $83,658(e) |
| 83,652 |
| ||
167,304 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $167,315(f) |
| 167,304 |
| ||
585,565 |
| ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $585,579(g) |
| 585,565 |
| ||
501,913 |
| JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $501,921(h) |
| 501,913 |
| ||
477,197 |
| UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $477,207(i) |
| 477,197 |
| ||
|
| Total Repurchase Agreements |
| 2,509,945 |
| ||
|
| Total Investments |
| 18,490,510 |
| ||
|
| Liabilities in excess of other assets — (2.8)% |
| (512,187 | ) | ||
|
| Net Assets — 100.0% |
| $ | 17,978,323 |
| |
* | Non-income producing security. |
(a) | A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. |
(b) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $341,301. The investment in the repurchase agreement was through participation in a pooled account. |
(c) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $341,301. The investment in the repurchase agreement was through participation in a pooled account. |
(d) | Represents the Fund’s 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $25,599. The investment in the repurchase agreement was through participation in a pooled account. |
(e) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $85,325. The investment in the repurchase agreement was through participation in a pooled account. |
See accompanying notes to the financial statements.
(f) | Represents the Fund’s 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $170,650. The investment in the repurchase agreement was through participation in a pooled account. |
(g) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $597,277. The investment in the repurchase agreement was through participation in a pooled account. |
(h) | Represents the Fund’s 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $511,951. The investment in the repurchase agreement was through participation in a pooled account. |
(i) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $486,742. The investment in the repurchase agreement was through participation in a pooled account. |
REIT | Real Estate Investment Trust |
As of November 30, 2008, 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 |
| $ | — |
|
Aggregate gross unrealized depreciation |
| (3,758,545 | ) | |
Net unrealized depreciation |
| $ | (3,758,545 | ) |
Federal income tax cost of investments |
| $ | 22,249,055 |
|
Swap Agreements
Ultra Russell1000 Value had the following open swap agreements as of November 30, 2008:
|
| Termination |
| Notional Amount |
| Unrealized |
| ||
Equity Index Swap Agreement based on Russell 1000® Value Index |
| 12/08/08 |
| $ | 865,344 |
| $ | (5,128 | ) |
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement based on Russell 1000® Value Index |
| 12/08/08 |
| 18,989,849 |
| — |
| ||
|
|
|
|
|
|
|
| ||
|
|
|
| $ | 19,855,193 |
| $ | (5,128 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell 1000 Growth
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) - 80.2% |
|
|
| |
|
| Consumer Discretionary - 7.3% |
|
|
| |
|
|
|
|
|
| |
317 |
| Abercrombie & Fitch Co., Class A |
| $ | 6,128 |
|
350 |
| Advance Auto Parts, Inc. |
| 10,626 |
| |
1,155 |
| Amazon.com, Inc.* |
| 49,319 |
| |
442 |
| American Eagle Outfitters, Inc. |
| 4,243 |
| |
79 |
| AnnTaylor Stores Corp.* |
| 355 |
| |
466 |
| Apollo Group, Inc., Class A* |
| 35,807 |
| |
142 |
| Autozone, Inc.* |
| 15,509 |
| |
781 |
| Bed Bath & Beyond, Inc.* |
| 15,847 |
| |
1,225 |
| Best Buy Co., Inc. |
| 25,370 |
| |
299 |
| Big Lots, Inc.* |
| 5,238 |
| |
373 |
| BorgWarner, Inc. |
| 8,825 |
| |
27 |
| Boyd Gaming Corp. |
| 119 |
| |
372 |
| Brinker International, Inc. |
| 2,470 |
| |
147 |
| Brink’s Home Security Holdings, Inc.* |
| 2,940 |
| |
294 |
| Burger King Holdings, Inc. |
| 6,324 |
| |
801 |
| Carmax, Inc.* |
| 6,096 |
| |
325 |
| Carnival Corp. |
| 6,825 |
| |
131 |
| Central European Media Enterprises Ltd., Class A* |
| 2,013 |
| |
121 |
| Chipotle Mexican Grill, Inc., Class A* |
| 5,999 |
| |
39 |
| Choice Hotels International, Inc. |
| 979 |
| |
114 |
| Clear Channel Outdoor Holdings, Inc., Class A* |
| 834 |
| |
1,250 |
| Coach, Inc.* |
| 22,375 |
| |
2,998 |
| Comcast Corp., Class A |
| 51,985 |
| |
193 |
| CTC Media, Inc.* |
| 820 |
| |
512 |
| Darden Restaurants, Inc. |
| 9,365 |
| |
224 |
| DeVry, Inc. |
| 12,876 |
| |
309 |
| Dick’s Sporting Goods, Inc.* |
| 3,897 |
| |
2,182 |
| DIRECTV Group, Inc. (The)* |
| 48,026 |
| |
747 |
| DISH Network Corp., Class A* |
| 8,277 |
| |
329 |
| Dollar Tree, Inc.* |
| 13,936 |
| |
292 |
| DreamWorks Animation SKG, Inc., Class A* |
| 6,745 |
| |
41 |
| Family Dollar Stores, Inc. |
| 1,139 |
| |
599 |
| GameStop Corp., Class A* |
| 13,088 |
| |
881 |
| Gap, Inc. (The) |
| 11,471 |
| |
469 |
| Garmin Ltd. |
| 8,011 |
| |
523 |
| Gentex Corp. |
| 4,587 |
| |
566 |
| Goodyear Tire & Rubber Co. (The)* |
| 3,639 |
| |
220 |
| Guess?, Inc. |
| 2,911 |
| |
1,191 |
| H&R Block, Inc. |
| 22,784 |
| |
344 |
| Hanesbrands, Inc.* |
| 4,444 |
| |
771 |
| Harley-Davidson, Inc. |
| 13,115 |
| |
159 |
| Harman International Industries, Inc. |
| 2,393 |
| |
189 |
| Hasbro, Inc. |
| 5,065 |
| |
230 |
| Hillenbrand, Inc. |
| 3,662 |
| |
18 |
| HSN, Inc.* |
| 67 |
| |
1,135 |
| International Game Technology |
| 12,156 |
| |
1,481 |
| Interpublic Group of Cos., Inc.* |
| 6,057 |
| |
18 |
| Interval Leisure Group, Inc.* |
| 95 |
| |
143 |
| ITT Educational Services, Inc.* |
| 12,881 |
| |
149 |
| John Wiley & Sons, Inc., Class A |
| 5,358 |
| |
331 |
| Johnson Controls, Inc. |
| 5,845 |
| |
862 |
| Kohl’s Corp.* |
| 28,153 |
| |
282 |
| Lamar Advertising Co., Class A* |
| 4,193 |
| |
388 |
| Las Vegas Sands Corp.* |
| 2,006 |
| |
575 |
| Liberty Global, Inc., Class A* |
| 8,332 |
| |
1,892 |
| Liberty Media Corp. - Entertainment, Class A* |
| 22,458 |
| |
495 |
| LKQ Corp.* |
| 5,158 |
| |
269 |
| Lowe’s Cos., Inc. |
| 5,558 |
| |
683 |
| Ltd Brands, Inc. |
| 6,359 |
| |
1,084 |
| Marriott International, Inc., Class A |
| 18,200 |
| |
3,766 |
| McDonald’s Corp. |
| 221,253 |
| |
585 |
| McGraw-Hill Cos., Inc. (The) |
| 14,625 |
| |
427 |
| MGM Mirage* |
| 5,115 |
| |
60 |
| Morningstar, Inc.* |
| 1,932 |
| |
3,396 |
| News Corp., Class A |
| 26,828 |
| |
1,295 |
| Nike, Inc., Class B |
| 68,959 |
| |
668 |
| Nordstrom, Inc. |
| 7,595 |
| |
2 |
| NVR, Inc.* |
| 869 |
| |
1,084 |
| Omnicom Group, Inc. |
| 30,666 |
| |
180 |
| O’Reilly Automotive, Inc.* |
| 4,693 |
| |
131 |
| Orient-Express Hotels Ltd., Class A |
| 897 |
| |
96 |
| Panera Bread Co., Class A* |
| 4,266 |
| |
270 |
| Penn National Gaming, Inc.* |
| 5,724 |
| |
466 |
| PetSmart, Inc. |
| 8,178 |
| |
167 |
| Phillips-Van Heusen Corp. |
| 2,913 |
| |
205 |
| Polo Ralph Lauren Corp. |
| 8,856 |
| |
141 |
| priceline.com, Inc.* |
| 9,729 |
| |
182 |
| Pulte Homes, Inc. |
| 1,938 |
| |
488 |
| Ross Stores, Inc. |
| 12,932 |
| |
235 |
| Scientific Games Corp., Class A* |
| 3,527 |
| |
370 |
| Sherwin-Williams Co. (The) |
| 21,804 |
| |
10,875 |
| Sirius XM Radio, Inc.* |
| 2,265 |
| |
2,186 |
| Staples, Inc. |
| 37,949 |
| |
2,666 |
| Starbucks Corp.* |
| 23,807 |
| |
686 |
| Starwood Hotels & Resorts Worldwide, Inc. |
| 11,566 |
| |
52 |
| Strayer Education, Inc. |
| 12,460 |
| |
2,676 |
| Target Corp. |
| 90,342 |
| |
39 |
| Thor Industries, Inc. |
| 610 |
| |
18 |
| Ticketmaster Entertainment, Inc.* |
| 72 |
| |
461 |
| Tiffany & Co. |
| 9,123 |
| |
677 |
| Tim Hortons, Inc. |
| 16,851 |
| |
284 |
| Time Warner Cable, Inc., Class A* |
| 5,765 |
| |
1,454 |
| Time Warner, Inc. |
| 13,159 |
| |
1,555 |
| TJX Cos., Inc. |
| 35,485 |
| |
416 |
| Urban Outfitters, Inc.* |
| 7,559 |
| |
1,924 |
| Viacom, Inc., Class B* |
| 30,630 |
| |
240 |
| WABCO Holdings, Inc. |
| 3,566 |
| |
809 |
| Walt Disney Co. (The) |
| 18,219 |
| |
52 |
| Warner Music Group Corp. |
| 155 |
| |
114 |
| Weight Watchers International, Inc. |
| 3,226 |
| |
53 |
| Williams-Sonoma, Inc. |
| 372 |
| |
210 |
| Wynn Resorts Ltd.* |
| 8,362 |
| |
1,736 |
| Yum! Brands, Inc. |
| 46,768 |
| |
|
|
|
| 1,470,963 |
| |
|
| Consumer Staples - 11.8% |
|
|
| |
|
|
|
|
|
| |
42 |
| Alberto-Culver Co. |
| 902 |
| |
5,738 |
| Altria Group, Inc. |
| 92,267 |
| |
1,564 |
| Avon Products, Inc. |
| 33,000 |
| |
222 |
| Bare Escentuals, Inc.* |
| 1,048 |
| |
282 |
| Brown-Forman Corp., Class B |
| 12,377 |
| |
399 |
| Campbell Soup Co. |
| 12,788 |
| |
148 |
| Central European Distribution Corp.* |
| 3,499 |
| |
243 |
| Church & Dwight Co., Inc. |
| 14,444 |
| |
156 |
| Clorox Co. |
| 9,229 |
| |
5,998 |
| Coca-Cola Co. (The) |
| 281,126 |
| |
1,861 |
| Colgate-Palmolive Co. |
| 121,095 |
| |
1,589 |
| Costco Wholesale Corp. |
| 81,786 |
| |
2,827 |
| CVS/Caremark Corp. |
| 81,785 |
| |
388 |
| Dean Foods Co.* |
| 5,649 |
| |
211 |
| Energizer Holdings, Inc.* |
| 9,162 |
| |
358 |
| Estee Lauder Cos., Inc. (The), Class A |
| 9,988 |
| |
104 |
| General Mills, Inc. |
| 6,570 |
| |
266 |
| Hansen Natural Corp.* |
| 7,914 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
238 |
| Herbalife Ltd. |
| $ | 4,232 |
|
285 |
| Hershey Co. (The) |
| 10,260 |
| |
641 |
| HJ Heinz Co. |
| 24,896 |
| |
85 |
| JM Smucker Co. (The) |
| 3,856 |
| |
523 |
| Kellogg Co. |
| 22,714 |
| |
631 |
| Kimberly-Clark Corp. |
| 36,465 |
| |
1,068 |
| Kroger Co. (The) |
| 29,541 |
| |
335 |
| Lorillard, Inc. |
| 20,244 |
| |
154 |
| McCormick & Co., Inc. (Non-Voting) |
| 4,585 |
| |
94 |
| NBTY, Inc.* |
| 1,370 |
| |
5,461 |
| PepsiCo, Inc. |
| 309,639 |
| |
7,728 |
| Philip Morris International, Inc. |
| 325,812 |
| |
4,144 |
| Procter & Gamble Co. |
| 266,666 |
| |
2,200 |
| SYSCO Corp. |
| 51,590 |
| |
120 |
| Tyson Foods, Inc., Class A |
| 805 |
| |
3,353 |
| Walgreen Co. |
| 82,953 |
| |
6,633 |
| Wal-Mart Stores, Inc. |
| 370,652 |
| |
512 |
| Whole Foods Market, Inc. |
| 5,417 |
| |
|
|
|
| 2,356,326 |
| |
|
| Energy - 7.6% |
|
|
| |
|
|
|
|
|
| |
257 |
| Alpha Natural Resources, Inc.* |
| 5,703 |
| |
530 |
| Arch Coal, Inc. |
| 8,151 |
| |
204 |
| Atwood Oceanics, Inc.* |
| 3,692 |
| |
1,128 |
| Baker Hughes, Inc. |
| 39,288 |
| |
171 |
| Cabot Oil & Gas Corp. |
| 5,125 |
| |
793 |
| Cameron International Corp.* |
| 16,732 |
| |
845 |
| Chesapeake Energy Corp. |
| 14,517 |
| |
101 |
| CNX Gas Corp.* |
| 3,138 |
| |
668 |
| CONSOL Energy, Inc. |
| 19,352 |
| |
110 |
| Continental Resources, Inc.* |
| 2,151 |
| |
901 |
| Denbury Resources, Inc.* |
| 8,587 |
| |
250 |
| Diamond Offshore Drilling, Inc. |
| 18,450 |
| |
316 |
| Dresser-Rand Group, Inc.* |
| 5,280 |
| |
550 |
| El Paso Corp. |
| 4,065 |
| |
48 |
| Encore Acquisition Co.* |
| 1,269 |
| |
495 |
| ENSCO International, Inc. |
| 16,043 |
| |
686 |
| EOG Resources, Inc. |
| 58,324 |
| |
3,582 |
| Exxon Mobil Corp. |
| 287,097 |
| |
469 |
| FMC Technologies, Inc.* |
| 12,883 |
| |
165 |
| Foundation Coal Holdings, Inc. |
| 2,355 |
| |
381 |
| Frontier Oil Corp. |
| 4,549 |
| |
179 |
| Frontline Ltd. |
| 5,288 |
| |
268 |
| Global Industries Ltd.* |
| 791 |
| |
3,197 |
| Halliburton Co. |
| 56,267 |
| |
28 |
| Helix Energy Solutions Group, Inc.* |
| 180 |
| |
1,032 |
| Hess Corp. |
| 55,769 |
| |
157 |
| Holly Corp. |
| 2,856 |
| |
159 |
| IHS, Inc., Class A* |
| 5,770 |
| |
78 |
| Key Energy Services, Inc.* |
| 371 |
| |
233 |
| Mariner Energy, Inc.* |
| 2,561 |
| |
295 |
| Massey Energy Co. |
| 4,608 |
| |
696 |
| Murphy Oil Corp. |
| 30,659 |
| |
147 |
| Nabors Industries Ltd.* |
| 2,132 |
| |
1,520 |
| National Oilwell Varco, Inc.* |
| 43,001 |
| |
984 |
| Noble Corp. |
| 26,361 |
| |
41 |
| Noble Energy, Inc. |
| 2,143 |
| |
3,007 |
| Occidental Petroleum Corp. |
| 162,799 |
| |
201 |
| Oceaneering International, Inc.* |
| 5,190 |
| |
120 |
| Oil States International, Inc.* |
| 2,570 |
| |
284 |
| Patriot Coal Corp.* |
| 2,405 |
| |
350 |
| Patterson-UTI Energy, Inc. |
| 4,372 |
| |
996 |
| Peabody Energy Corp. |
| 23,336 |
| |
867 |
| PetroHawk Energy Corp.* |
| 15,146 |
| |
359 |
| Plains Exploration & Production Co.* |
| 8,311 |
| |
441 |
| Pride International, Inc.* |
| 7,149 |
| |
379 |
| Quicksilver Resources, Inc.* |
| 2,361 |
| |
564 |
| Range Resources Corp. |
| 23,389 |
| |
146 |
| Rowan Cos., Inc. |
| 2,533 |
| |
381 |
| SandRidge Energy, Inc.* |
| 3,376 |
| |
4,370 |
| Schlumberger Ltd. |
| 221,734 |
| |
7 |
| SEACOR Holdings, Inc.* |
| 463 |
| |
789 |
| Smith International, Inc. |
| 23,070 |
| |
1,254 |
| Southwestern Energy Co.* |
| 43,100 |
| |
94 |
| St. Mary Land & Exploration Co. |
| 1,890 |
| |
253 |
| Sunoco, Inc. |
| 10,054 |
| |
296 |
| Superior Energy Services, Inc.* |
| 4,988 |
| |
148 |
| Tesoro Corp. |
| 1,360 |
| |
272 |
| Tetra Technologies, Inc.* |
| 1,311 |
| |
9 |
| Tidewater, Inc. |
| 355 |
| |
1,169 |
| Transocean, Inc.* |
| 78,183 |
| |
130 |
| Unit Corp.* |
| 3,728 |
| |
112 |
| W&T Offshore, Inc. |
| 1,568 |
| |
204 |
| Walter Industries, Inc. |
| 3,721 |
| |
2,491 |
| Weatherford International Ltd.* |
| 31,810 |
| |
155 |
| Whiting Petroleum Corp.* |
| 5,937 |
| |
2,142 |
| Williams Cos., Inc. |
| 34,743 |
| |
220 |
| XTO Energy, Inc. |
| 8,413 |
| |
|
|
|
| 1,514,873 |
| |
|
| Financials - 3.1% |
|
|
| |
|
|
|
|
|
| |
149 |
| Affiliated Managers Group, Inc.* |
| 4,172 |
| |
1,742 |
| Aflac, Inc. |
| 80,655 |
| |
3,095 |
| American Express Co. |
| 72,144 |
| |
102 |
| Apartment Investment & Management Co., Class A (REIT) |
| 1,170 |
| |
128 |
| Axis Capital Holdings Ltd. |
| 3,240 |
| |
46 |
| BlackRock, Inc. |
| 5,783 |
| |
100 |
| Brown & Brown, Inc. |
| 1,990 |
| |
123 |
| Camden Property Trust (REIT) |
| 3,256 |
| |
28 |
| Capitol Federal Financial |
| 1,198 |
| |
218 |
| CB Richard Ellis Group, Inc., Class A* |
| 994 |
| |
3,424 |
| Charles Schwab Corp. (The) |
| 62,762 |
| |
174 |
| CME Group, Inc. |
| 36,879 |
| |
180 |
| Digital Realty Trust, Inc. (REIT) |
| 4,925 |
| |
271 |
| E*Trade Financial Corp.* |
| 366 |
| |
374 |
| Eaton Vance Corp. |
| 7,151 |
| |
8 |
| Erie Indemnity Co., Class A |
| 300 |
| |
21 |
| Essex Property Trust, Inc. (REIT) |
| 1,816 |
| |
62 |
| Federal Realty Investment Trust (REIT) |
| 3,586 |
| |
321 |
| Federated Investors, Inc., Class B |
| 6,372 |
| |
271 |
| Forest City Enterprises, Inc., Class A |
| 1,615 |
| |
301 |
| Franklin Resources, Inc. |
| 18,286 |
| |
2,174 |
| Freddie Mac |
| 2,565 |
| |
439 |
| General Growth Properties, Inc. (REIT) |
| 606 |
| |
181 |
| GLG Partners, Inc. |
| 460 |
| |
152 |
| Goldman Sachs Group, Inc. (The) |
| 12,006 |
| |
110 |
| HCP, Inc. (REIT) |
| 2,274 |
| |
44 |
| Health Care REIT, Inc. (REIT) |
| 1,672 |
| |
660 |
| Hudson City Bancorp, Inc. |
| 11,029 |
| |
258 |
| IntercontinentalExchange, Inc.* |
| 18,989 |
| |
180 |
| Invesco Ltd. |
| 2,259 |
| |
148 |
| Investment Technology Group, Inc.* |
| 2,476 |
| |
555 |
| Janus Capital Group, Inc. |
| 4,523 |
| |
9 |
| Kilroy Realty Corp. (REIT) |
| 274 |
| |
277 |
| Lazard Ltd., Class A |
| 8,659 |
| |
273 |
| Macerich Co. (The) (REIT) |
| 3,675 |
| |
166 |
| MF Global Ltd.* |
| 435 |
| |
239 |
| Morgan Stanley |
| 3,525 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
162 |
| MSCI, Inc., Class A* |
| $ | 2,500 |
|
269 |
| Nasdaq OMX Group, Inc. (The)* |
| 5,784 |
| |
32 |
| Nationwide Health Properties, Inc. (REIT) |
| 724 |
| |
728 |
| Northern Trust Corp. |
| 33,408 |
| |
584 |
| NYSE Euronext |
| 13,905 |
| |
74 |
| Philadelphia Consolidated Holding Co.* |
| 4,547 |
| |
204 |
| Plum Creek Timber Co., Inc. (REIT) |
| 7,260 |
| |
272 |
| Prudential Financial, Inc. |
| 5,902 |
| |
36 |
| Rayonier, Inc. (REIT) |
| 1,202 |
| |
495 |
| SEI Investments Co. |
| 7,653 |
| |
825 |
| Simon Property Group, Inc. (REIT) |
| 39,187 |
| |
1,516 |
| SLM Corp.* |
| 13,962 |
| |
286 |
| St. Joe Co. (The)* |
| 7,553 |
| |
412 |
| State Street Corp. |
| 17,349 |
| |
951 |
| T. Rowe Price Group, Inc. |
| 32,534 |
| |
194 |
| Taubman Centers, Inc. (REIT) |
| 4,625 |
| |
892 |
| TD Ameritrade Holding Corp.* |
| 11,864 |
| |
25 |
| Transatlantic Holdings, Inc. |
| 991 |
| |
4 |
| Tree.com, Inc.* |
| 7 |
| |
83 |
| Ventas, Inc. (REIT) |
| 1,907 |
| |
318 |
| Waddell & Reed Financial, Inc., Class A |
| 4,274 |
| |
26 |
| WR Berkley Corp. |
| 739 |
| |
|
|
|
| 611,964 |
| |
|
| Health Care - 12.0% |
|
|
| |
|
|
|
|
|
| |
5,653 |
| Abbott Laboratories |
| 296,161 |
| |
27 |
| Abraxis Bioscience, Inc.* |
| 1,574 |
| |
165 |
| Advanced Medical Optics, Inc.* |
| 959 |
| |
1,142 |
| Aetna, Inc. |
| 24,918 |
| |
1,118 |
| Allergan, Inc. |
| 42,126 |
| |
73 |
| AmerisourceBergen Corp. |
| 2,289 |
| |
502 |
| Amylin Pharmaceuticals, Inc.* |
| 3,720 |
| |
117 |
| Barr Pharmaceuticals, Inc.* |
| 7,651 |
| |
2,300 |
| Baxter International, Inc. |
| 121,670 |
| |
185 |
| Beckman Coulter, Inc. |
| 8,062 |
| |
893 |
| Becton Dickinson & Co. |
| 56,732 |
| |
1,064 |
| Biogen Idec, Inc.* |
| 45,018 |
| |
361 |
| BioMarin Pharmaceutical, Inc.* |
| 6,148 |
| |
355 |
| Boston Scientific Corp.* |
| 2,190 |
| |
6,623 |
| Bristol-Myers Squibb Co. |
| 137,096 |
| |
979 |
| Cardinal Health, Inc. |
| 31,837 |
| |
1,597 |
| Celgene Corp.* |
| 83,204 |
| |
249 |
| Cephalon, Inc.* |
| 18,297 |
| |
249 |
| Cerner Corp.* |
| 8,959 |
| |
112 |
| Charles River Laboratories International, Inc.* |
| 2,554 |
| |
143 |
| Cigna Corp. |
| 1,732 |
| |
79 |
| Community Health Systems, Inc.* |
| 1,032 |
| |
231 |
| Covance, Inc.* |
| 9,027 |
| |
112 |
| Coventry Health Care, Inc.* |
| 1,397 |
| |
363 |
| CR Bard, Inc. |
| 29,777 |
| |
320 |
| DaVita, Inc.* |
| 16,080 |
| |
547 |
| Dentsply International, Inc. |
| 14,266 |
| |
200 |
| Edwards Lifesciences Corp.* |
| 9,954 |
| |
348 |
| Eli Lilly & Co. |
| 11,884 |
| |
400 |
| Endo Pharmaceuticals Holdings, Inc.* |
| 8,796 |
| |
772 |
| Express Scripts, Inc.* |
| 44,398 |
| |
95 |
| Forest Laboratories, Inc.* |
| 2,297 |
| |
1,702 |
| Genentech, Inc.* |
| 130,373 |
| |
199 |
| Gen-Probe, Inc.* |
| 7,333 |
| |
980 |
| Genzyme Corp.* |
| 62,740 |
| |
3,378 |
| Gilead Sciences, Inc.* |
| 151,301 |
| |
590 |
| Health Management Associates, Inc., Class A* |
| 861 |
| |
22 |
| Health Net, Inc.* |
| 198 |
| |
306 |
| Henry Schein, Inc.* |
| 10,933 |
| |
30 |
| Hill-Rom Holdings, Inc. |
| 616 |
| |
194 |
| HLTH Corp.* |
| 1,818 |
| |
468 |
| Hologic, Inc.* |
| 6,580 |
| |
83 |
| Hospira, Inc.* |
| 2,492 |
| |
353 |
| Humana, Inc.* |
| 10,671 |
| |
220 |
| Idexx Laboratories, Inc.* |
| 6,800 |
| |
449 |
| Illumina, Inc.* |
| 9,882 |
| |
146 |
| IMS Health, Inc. |
| 1,920 |
| |
142 |
| Intuitive Surgical, Inc.* |
| 18,819 |
| |
144 |
| Inverness Medical Innovations, Inc.* |
| 2,530 |
| |
2,717 |
| Johnson & Johnson |
| 159,162 |
| |
207 |
| Kinetic Concepts, Inc.* |
| 4,479 |
| |
409 |
| Laboratory Corp. of America Holdings* |
| 25,914 |
| |
383 |
| Life Technologies Corp.* |
| 9,996 |
| |
244 |
| Lincare Holdings, Inc.* |
| 5,839 |
| |
729 |
| McKesson Corp. |
| 25,471 |
| |
1,856 |
| Medco Health Solutions, Inc.* |
| 77,952 |
| |
4,114 |
| Medtronic, Inc. |
| 125,559 |
| |
2,248 |
| Merck & Co., Inc. |
| 60,067 |
| |
201 |
| Millipore Corp.* |
| 10,183 |
| |
205 |
| Mylan, Inc.* |
| 1,929 |
| |
27 |
| Omnicare, Inc. |
| 651 |
| |
444 |
| Patterson Cos., Inc.* |
| 8,356 |
| |
146 |
| Pediatrix Medical Group, Inc.* |
| 4,544 |
| |
195 |
| PerkinElmer, Inc. |
| 3,522 |
| |
287 |
| Perrigo Co. |
| 9,876 |
| |
390 |
| Pharmaceutical Product Development, Inc. |
| 10,273 |
| |
477 |
| Quest Diagnostics, Inc. |
| 22,214 |
| |
284 |
| Resmed, Inc.* |
| 10,321 |
| |
5,941 |
| Schering-Plough Corp. |
| 99,868 |
| |
394 |
| Sepracor, Inc.* |
| 4,633 |
| |
1,243 |
| St. Jude Medical, Inc.* |
| 34,841 |
| |
1,127 |
| Stryker Corp. |
| 43,863 |
| |
142 |
| Techne Corp. |
| 8,805 |
| |
994 |
| Tenet Healthcare Corp.* |
| 1,203 |
| |
521 |
| Thermo Fisher Scientific, Inc.* |
| 18,589 |
| |
1,660 |
| UnitedHealth Group, Inc. |
| 34,877 |
| |
458 |
| Varian Medical Systems, Inc.* |
| 18,485 |
| |
308 |
| VCA Antech, Inc.* |
| 5,867 |
| |
547 |
| Vertex Pharmaceuticals, Inc.* |
| 13,451 |
| |
337 |
| Warner Chilcott Ltd., Class A* |
| 4,465 |
| |
367 |
| Waters Corp.* |
| 15,131 |
| |
188 |
| Watson Pharmaceuticals, Inc.* |
| 4,465 |
| |
152 |
| WellCare Health Plans, Inc.* |
| 1,362 |
| |
186 |
| WellPoint, Inc.* |
| 6,622 |
| |
569 |
| Zimmer Holdings, Inc.* |
| 21,235 |
| |
|
|
|
| 2,391,742 |
| |
|
| Industrials - 10.7% |
|
|
| |
|
|
|
|
|
| |
2,579 |
| 3M Co. |
| 172,611 |
| |
333 |
| Aecom Technology Corp.* |
| 8,821 |
| |
244 |
| AGCO Corp.* |
| 6,007 |
| |
53 |
| Alliant Techsystems, Inc.* |
| 4,357 |
| |
389 |
| Ametek, Inc. |
| 13,588 |
| |
512 |
| AMR Corp.* |
| 4,495 |
| |
339 |
| BE Aerospace, Inc.* |
| 2,773 |
| |
2,752 |
| Boeing Co. |
| 117,318 |
| |
147 |
| Brink’s Co. (The) |
| 3,200 |
| |
273 |
| Bucyrus International, Inc. |
| 5,332 |
| |
1,032 |
| Burlington Northern Santa Fe Corp. |
| 79,062 |
| |
26 |
| Carlisle Cos., Inc. |
| 552 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
2,253 |
| Caterpillar, Inc. |
| $ | 92,350 |
|
625 |
| CH Robinson Worldwide, Inc. |
| 31,925 |
| |
26 |
| Con-way, Inc. |
| 727 |
| |
485 |
| Cooper Industries Ltd., Class A |
| 11,708 |
| |
79 |
| Copa Holdings SA, Class A |
| 1,751 |
| |
233 |
| Copart, Inc.* |
| 6,214 |
| |
125 |
| Corporate Executive Board Co. (The) |
| 2,883 |
| |
407 |
| Corrections Corp. of America* |
| 7,363 |
| |
444 |
| Covanta Holding Corp.* |
| 8,858 |
| |
1,483 |
| CSX Corp. |
| 55,227 |
| |
744 |
| Cummins, Inc. |
| 19,032 |
| |
657 |
| Danaher Corp. |
| 36,556 |
| |
1,579 |
| Deere & Co. |
| 54,965 |
| |
541 |
| Delta Air Lines, Inc.* |
| 4,766 |
| |
287 |
| Donaldson Co., Inc. |
| 9,821 |
| |
607 |
| Dover Corp. |
| 18,107 |
| |
146 |
| Dun & Bradstreet Corp. |
| 11,680 |
| |
271 |
| Eaton Corp. |
| 12,558 |
| |
2,860 |
| Emerson Electric Co. |
| 102,645 |
| |
251 |
| Equifax, Inc. |
| 6,388 |
| |
781 |
| Expeditors International of Washington, Inc. |
| 26,109 |
| |
474 |
| Fastenal Co. |
| 18,254 |
| |
165 |
| First Solar, Inc.* |
| 20,599 |
| |
94 |
| Flowserve Corp. |
| 4,731 |
| |
651 |
| Fluor Corp. |
| 29,647 |
| |
530 |
| Foster Wheeler Ltd.* |
| 11,798 |
| |
183 |
| FTI Consulting, Inc.* |
| 10,036 |
| |
20 |
| GATX Corp. |
| 563 |
| |
194 |
| General Cable Corp.* |
| 3,203 |
| |
459 |
| Goodrich Corp. |
| 15,445 |
| |
221 |
| Graco, Inc. |
| 4,743 |
| |
308 |
| Harsco Corp. |
| 7,746 |
| |
64 |
| Hertz Global Holdings, Inc.* |
| 223 |
| |
2,718 |
| Honeywell International, Inc. |
| 75,724 |
| |
90 |
| Hubbell, Inc., Class B |
| 2,691 |
| |
270 |
| IDEX Corp. |
| 6,210 |
| |
87 |
| Illinois Tool Works, Inc. |
| 2,968 |
| |
200 |
| Ingersoll-Rand Co., Ltd., Class A |
| 3,136 |
| |
654 |
| Iron Mountain, Inc.* |
| 14,211 |
| |
504 |
| ITT Corp. |
| 21,097 |
| |
445 |
| Jacobs Engineering Group, Inc.* |
| 19,923 |
| |
299 |
| JB Hunt Transport Services, Inc. |
| 8,016 |
| |
101 |
| John Bean Technologies Corp. |
| 882 |
| |
396 |
| Joy Global, Inc. |
| 9,223 |
| |
272 |
| Kansas City Southern* |
| 5,962 |
| |
504 |
| KBR, Inc. |
| 6,940 |
| |
60 |
| Kennametal, Inc. |
| 1,122 |
| |
198 |
| Kirby Corp.* |
| 5,035 |
| |
348 |
| L-3 Communications Holdings, Inc. |
| 23,375 |
| |
194 |
| Landstar System, Inc. |
| 6,235 |
| |
170 |
| Lennox International, Inc. |
| 4,699 |
| |
107 |
| Lincoln Electric Holdings, Inc. |
| 4,889 |
| |
1,206 |
| Lockheed Martin Corp. |
| 92,995 |
| |
477 |
| Manitowoc Co., Inc. (The) |
| 3,759 |
| |
23 |
| Manpower, Inc. |
| 724 |
| |
829 |
| McDermott International, Inc.* |
| 8,083 |
| |
439 |
| Monster Worldwide, Inc.* |
| 5,035 |
| |
163 |
| MSC Industrial Direct Co., Class A |
| 5,641 |
| |
398 |
| Norfolk Southern Corp. |
| 19,689 |
| |
320 |
| Northrop Grumman Corp. |
| 13,104 |
| |
190 |
| Oshkosh Corp. |
| 1,330 |
| |
1,338 |
| PACCAR, Inc. |
| 37,290 |
| |
449 |
| Pall Corp. |
| 12,352 |
| |
616 |
| Parker Hannifin Corp. |
| 25,305 |
| |
686 |
| Pitney Bowes, Inc. |
| 16,951 |
| |
512 |
| Precision Castparts Corp. |
| 32,102 |
| |
490 |
| Quanta Services, Inc.* |
| 7,967 |
| |
563 |
| Raytheon Co. |
| 27,474 |
| |
525 |
| Republic Services, Inc. |
| 12,600 |
| |
524 |
| Robert Half International, Inc. |
| 10,946 |
| |
538 |
| Rockwell Automation, Inc. |
| 16,759 |
| |
588 |
| Rockwell Collins, Inc. |
| 20,039 |
| |
327 |
| Roper Industries, Inc. |
| 14,967 |
| |
69 |
| Ryder System, Inc. |
| 2,478 |
| |
306 |
| Shaw Group, Inc. (The)* |
| 5,630 |
| |
196 |
| SPX Corp. |
| 7,315 |
| |
316 |
| Stericycle, Inc.* |
| 18,107 |
| |
302 |
| SunPower Corp., Class A* |
| 10,488 |
| |
912 |
| Textron, Inc. |
| 13,890 |
| |
15 |
| Timken Co. |
| 218 |
| |
132 |
| Toro Co. |
| 3,754 |
| |
917 |
| Tyco International Ltd. |
| 19,165 |
| |
1,894 |
| Union Pacific Corp. |
| 94,776 |
| |
2,506 |
| United Parcel Service, Inc., Class B |
| 144,346 |
| |
2,032 |
| United Technologies Corp. |
| 98,613 |
| |
56 |
| URS Corp.* |
| 2,126 |
| |
136 |
| USG Corp.* |
| 1,285 |
| |
329 |
| UTi Worldwide, Inc. |
| 3,527 |
| |
69 |
| Valmont Industries, Inc. |
| 3,816 |
| |
512 |
| Waste Management, Inc. |
| 14,950 |
| |
112 |
| WESCO International, Inc.* |
| 1,656 |
| |
281 |
| WW Grainger, Inc. |
| 19,830 |
| |
|
|
|
| 2,140,157 |
| |
|
| Information Technology - 22.5% |
|
|
| |
|
|
|
|
|
| |
2,188 |
| Accenture Ltd., Class A |
| 67,784 |
| |
2,175 |
| Activision Blizzard, Inc.* |
| 25,447 |
| |
1,949 |
| Adobe Systems, Inc.* |
| 45,139 |
| |
278 |
| Advanced Micro Devices, Inc.* |
| 656 |
| |
92 |
| Affiliated Computer Services, Inc., Class A* |
| 3,721 |
| |
1,338 |
| Agilent Technologies, Inc.* |
| 25,195 |
| |
615 |
| Akamai Technologies, Inc.* |
| 7,546 |
| |
247 |
| Alliance Data Systems Corp.* |
| 10,698 |
| |
1,099 |
| Altera Corp. |
| 16,166 |
| |
303 |
| Amdocs Ltd.* |
| 5,693 |
| |
642 |
| Amphenol Corp., Class A |
| 14,907 |
| |
1,063 |
| Analog Devices, Inc. |
| 18,177 |
| |
309 |
| Ansys, Inc.* |
| 8,918 |
| |
3,230 |
| Apple, Inc.* |
| 299,324 |
| |
4,958 |
| Applied Materials, Inc. |
| 47,498 |
| |
30 |
| Arrow Electronics, Inc.* |
| 414 |
| |
1,041 |
| Atmel Corp.* |
| 2,915 |
| |
819 |
| Autodesk, Inc.* |
| 13,587 |
| |
1,900 |
| Automatic Data Processing, Inc. |
| 78,014 |
| |
241 |
| Avnet, Inc.* |
| 3,432 |
| |
15 |
| AVX Corp. |
| 131 |
| |
700 |
| BMC Software, Inc.* |
| 17,472 |
| |
1,884 |
| Broadcom Corp., Class A* |
| 28,844 |
| |
512 |
| Broadridge Financial Solutions, Inc. |
| 5,837 |
| |
195 |
| Brocade Communications Systems, Inc.* |
| 628 |
| |
665 |
| CA, Inc. |
| 11,199 |
| |
320 |
| Ciena Corp.* |
| 2,368 |
| |
21,640 |
| Cisco Systems, Inc.* |
| 357,926 |
| |
671 |
| Citrix Systems, Inc.* |
| 17,889 |
| |
1,058 |
| Cognizant Technology Solutions Corp., Class A* |
| 20,314 |
| |
256 |
| CommScope, Inc.* |
| 2,890 |
| |
563 |
| Compuware Corp.* |
| 3,575 |
| |
5,771 |
| Corning, Inc. |
| 51,997 |
| |
136 |
| Cree, Inc.* |
| 2,160 |
| |
551 |
| Cypress Semiconductor Corp.* |
| 2,055 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
6,652 |
| Dell, Inc.* |
| $ | 74,303 |
|
201 |
| Diebold, Inc. |
| 5,628 |
| |
184 |
| Dolby Laboratories, Inc., Class A* |
| 5,487 |
| |
132 |
| DST Systems, Inc.* |
| 4,991 |
| |
4,066 |
| eBay, Inc.* |
| 53,387 |
| |
10 |
| EchoStar Corp., Class A* |
| 171 |
| |
1,167 |
| Electronic Arts, Inc.* |
| 22,243 |
| |
5,287 |
| EMC Corp.* |
| 55,884 |
| |
120 |
| Equinix, Inc.* |
| 5,449 |
| |
301 |
| F5 Networks, Inc.* |
| 7,495 |
| |
157 |
| Factset Research Systems, Inc. |
| 6,280 |
| |
163 |
| Fidelity National Information Services, Inc. |
| 2,800 |
| |
600 |
| Fiserv, Inc.* |
| 20,484 |
| |
503 |
| Flir Systems, Inc.* |
| 15,603 |
| |
212 |
| Genpact Ltd.* |
| 1,681 |
| |
290 |
| Global Payments, Inc. |
| 10,489 |
| |
867 |
| Google, Inc., Class A* |
| 253,996 |
| |
495 |
| Harris Corp. |
| 17,266 |
| |
355 |
| Hewitt Associates, Inc., Class A* |
| 10,146 |
| |
9,033 |
| Hewlett-Packard Co. |
| 318,684 |
| |
42 |
| IAC/InterActiveCorp* |
| 621 |
| |
283 |
| Integrated Device Technology, Inc.* |
| 1,463 |
| |
18,132 |
| Intel Corp. |
| 250,222 |
| |
5,031 |
| International Business Machines Corp. |
| 410,530 |
| |
59 |
| International Rectifier Corp.* |
| 690 |
| |
155 |
| Intersil Corp., Class A |
| 1,404 |
| |
1,175 |
| Intuit, Inc.* |
| 26,038 |
| |
125 |
| Itron, Inc.* |
| 5,922 |
| |
370 |
| Jabil Circuit, Inc. |
| 2,435 |
| |
410 |
| JDS Uniphase Corp.* |
| 1,115 |
| |
1,923 |
| Juniper Networks, Inc.* |
| 33,422 |
| |
582 |
| Kla-Tencor Corp. |
| 10,947 |
| |
419 |
| Lam Research Corp.* |
| 8,464 |
| |
80 |
| Lender Processing Services, Inc. |
| 1,765 |
| |
812 |
| Linear Technology Corp. |
| 16,199 |
| |
1,770 |
| LSI Corp.* |
| 4,744 |
| |
1,778 |
| Marvell Technology Group Ltd.* |
| 10,312 |
| |
268 |
| Mastercard, Inc., Class A |
| 38,940 |
| |
497 |
| McAfee, Inc.* |
| 15,074 |
| |
835 |
| MEMC Electronic Materials, Inc.* |
| 12,542 |
| |
328 |
| Metavante Technologies, Inc.* |
| 5,665 |
| |
129 |
| Mettler Toledo International, Inc.* |
| 10,610 |
| |
678 |
| Microchip Technology, Inc. |
| 12,543 |
| |
348 |
| Micron Technology, Inc.* |
| 954 |
| |
29,412 |
| Microsoft Corp. |
| 594,711 |
| |
141 |
| Molex, Inc. |
| 1,918 |
| |
207 |
| National Instruments Corp. |
| 4,991 |
| |
841 |
| National Semiconductor Corp. |
| 9,251 |
| |
552 |
| NCR Corp.* |
| 8,379 |
| |
1,260 |
| NetApp, Inc.* |
| 17,010 |
| |
286 |
| NeuStar, Inc., Class A* |
| 5,477 |
| |
581 |
| Novell, Inc.* |
| 2,644 |
| |
111 |
| Novellus Systems, Inc.* |
| 1,375 |
| |
680 |
| Nuance Communications, Inc.* |
| 6,242 |
| |
2,032 |
| NVIDIA Corp.* |
| 15,179 |
| |
1,492 |
| ON Semiconductor Corp.* |
| 4,357 |
| |
14,268 |
| Oracle Corp.* |
| 229,572 |
| |
1,186 |
| Paychex, Inc. |
| 33,516 |
| |
5,929 |
| QUALCOMM, Inc. |
| 199,037 |
| |
383 |
| Rambus, Inc.* |
| 3,949 |
| |
699 |
| Red Hat, Inc.* |
| 6,466 |
| |
112 |
| SAIC, Inc.* |
| 1,994 |
| |
385 |
| Salesforce.com, Inc.* |
| 11,019 |
| |
163 |
| SanDisk Corp.* |
| 1,304 |
| |
858 |
| Seagate Technology |
| 3,612 |
| |
179 |
| Silicon Laboratories, Inc.* |
| 3,752 |
| |
104 |
| Sohu.com, Inc.* |
| 5,048 |
| |
26 |
| Tech Data Corp.* |
| 453 |
| |
322 |
| Teradata Corp.* |
| 4,324 |
| |
393 |
| Teradyne, Inc.* |
| 1,489 |
| |
4,846 |
| Texas Instruments, Inc. |
| 75,452 |
| |
597 |
| Total System Services, Inc. |
| 8,519 |
| |
444 |
| Trimble Navigation Ltd.* |
| 9,040 |
| |
720 |
| Unisys Corp.* |
| 482 |
| |
270 |
| Varian Semiconductor Equipment Associates, Inc.* |
| 4,968 |
| |
714 |
| VeriSign, Inc.* |
| 15,415 |
| |
1,641 |
| Visa, Inc., Class A |
| 86,251 |
| |
151 |
| VMware, Inc., Class A* |
| 2,922 |
| |
27 |
| WebMD Health Corp., Class A* |
| 518 |
| |
810 |
| Western Digital Corp.* |
| 9,882 |
| |
2,711 |
| Western Union Co. (The) |
| 35,975 |
| |
1,023 |
| Xilinx, Inc. |
| 16,736 |
| |
5,048 |
| Yahoo!, Inc.* |
| 58,102 |
| |
222 |
| Zebra Technologies Corp., Class A* |
| 4,697 |
| |
|
|
|
| 4,501,632 |
| |
|
| Materials - 2.9% |
|
|
| |
|
|
|
|
|
| |
773 |
| Air Products & Chemicals, Inc. |
| 36,919 |
| |
305 |
| Airgas, Inc. |
| 10,904 |
| |
409 |
| AK Steel Holding Corp. |
| 3,223 |
| |
336 |
| Albemarle Corp. |
| 6,831 |
| |
2,319 |
| Alcoa, Inc. |
| 24,952 |
| |
372 |
| Allegheny Technologies, Inc. |
| 8,537 |
| |
45 |
| Aptargroup, Inc. |
| 1,505 |
| |
54 |
| Ball Corp. |
| 1,968 |
| |
9 |
| Carpenter Technology Corp. |
| 150 |
| |
458 |
| Celanese Corp., Class A |
| 5,290 |
| |
62 |
| Century Aluminum Co.* |
| 505 |
| |
206 |
| CF Industries Holdings, Inc. |
| 10,842 |
| |
73 |
| Chemtura Corp. |
| 122 |
| |
416 |
| Cliffs Natural Resources, Inc. |
| 9,880 |
| |
587 |
| Crown Holdings, Inc.* |
| 9,421 |
| |
142 |
| Eagle Materials, Inc. |
| 2,982 |
| |
639 |
| Ecolab, Inc. |
| 24,531 |
| |
106 |
| FMC Corp. |
| 4,632 |
| |
122 |
| Greif, Inc., Class A |
| 4,044 |
| |
63 |
| Huntsman Corp. |
| 450 |
| |
295 |
| International Flavors & Fragrances, Inc. |
| 9,009 |
| |
72 |
| Intrepid Potash, Inc.* |
| 1,382 |
| |
140 |
| Martin Marietta Materials, Inc. |
| 12,270 |
| |
2,010 |
| Monsanto Co. |
| 159,192 |
| |
568 |
| Mosaic Co. (The) |
| 17,239 |
| |
479 |
| Nalco Holding Co. |
| 5,465 |
| |
1,600 |
| Newmont Mining Corp. |
| 53,840 |
| |
248 |
| Nucor Corp. |
| 8,849 |
| |
175 |
| Owens-Illinois, Inc.* |
| 3,539 |
| |
89 |
| Packaging Corp. of America |
| 1,329 |
| |
65 |
| PPG Industries, Inc. |
| 2,855 |
| |
1,147 |
| Praxair, Inc. |
| 67,730 |
| |
409 |
| Rohm & Haas Co. |
| 27,980 |
| |
9 |
| Schnitzer Steel Industries, Inc., Class A |
| 243 |
| |
125 |
| Scotts Miracle-Gro Co. (The), Class A |
| 4,045 |
| |
250 |
| Sigma-Aldrich Corp. |
| 10,778 |
| |
807 |
| Southern Copper Corp. |
| 11,104 |
| |
162 |
| Steel Dynamics, Inc. |
| 1,338 |
| |
373 |
| Terra Industries, Inc. |
| 5,487 |
| |
58 |
| Titanium Metals Corp. |
| 490 |
| |
407 |
| United States Steel Corp. |
| 12,373 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
10 |
| Valhi, Inc. |
| $ | 140 |
|
|
|
|
| 584,365 |
| |
|
| Telecommunication Services - 0.6% |
|
|
| |
|
|
|
|
|
| |
1,452 |
| American Tower Corp., Class A* |
| 39,552 |
| |
219 |
| Clearwire Corp., Class A* |
| 1,450 |
| |
215 |
| Crown Castle International Corp.* |
| 3,025 |
| |
271 |
| Embarq Corp. |
| 8,845 |
| |
264 |
| Frontier Communications Corp. |
| 2,302 |
| |
17 |
| Leap Wireless International, Inc.* |
| 340 |
| |
5,687 |
| Level 3 Communications, Inc.* |
| 5,348 |
| |
894 |
| MetroPCS Communications, Inc.* |
| 13,088 |
| |
615 |
| NII Holdings, Inc.* |
| 11,956 |
| |
2,737 |
| Qwest Communications International, Inc. |
| 8,758 |
| |
398 |
| SBA Communications Corp., Class A* |
| 6,284 |
| |
162 |
| Telephone & Data Systems, Inc. |
| 5,257 |
| |
27 |
| U.S. Cellular Corp.* |
| 1,065 |
| |
816 |
| Windstream Corp. |
| 7,230 |
| |
|
|
|
| 114,500 |
| |
|
| Utilities - 1.7% |
|
|
| |
|
|
|
|
|
| |
2,461 |
| AES Corp. (The)* |
| 18,925 |
| |
617 |
| Allegheny Energy, Inc. |
| 21,749 |
| |
1,296 |
| Calpine Corp.* |
| 11,612 |
| |
761 |
| Centerpoint Energy, Inc. |
| 9,840 |
| |
599 |
| Constellation Energy Group, Inc. |
| 14,658 |
| |
31 |
| DPL, Inc. |
| 645 |
| |
49 |
| Energen Corp. |
| 1,509 |
| |
495 |
| Entergy Corp. |
| 42,125 |
| |
479 |
| Equitable Resources, Inc. |
| 15,984 |
| |
1,202 |
| Exelon Corp. |
| 67,564 |
| |
436 |
| Mirant Corp.* |
| 7,508 |
| |
325 |
| NRG Energy, Inc.* |
| 7,699 |
| |
226 |
| NV Energy, Inc. |
| 2,142 |
| |
1,366 |
| PPL Corp. |
| 46,294 |
| |
1,864 |
| Public Service Enterprise Group, Inc. |
| 57,598 |
| |
240 |
| Questar Corp. |
| 7,726 |
| |
|
|
|
| 333,578 |
| |
|
| Total Common Stock |
| 16,020,100 |
| |
Principal |
|
|
|
|
| ||
|
| Repurchase Agreements - 60.0% |
|
|
| ||
$ | 1,597,357 |
| Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $1,597,385(b) |
| 1,597,357 |
| |
1,597,357 |
| Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $1,597,397(c) |
| 1,597,357 |
| ||
119,802 |
| Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $119,804 (d) |
| 119,802 |
| ||
399,339 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $399,366(e) |
| 399,339 |
| ||
798,679 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $798,733(f) |
| 798,679 |
| ||
2,795,375 |
| ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $2,795,440(g) |
| 2,795,375 |
| ||
2,396,036 |
| JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $2,396,076(h) |
| 2,396,036 |
| ||
2,278,045 |
| UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $2,278,092(i) |
| 2,278,045 |
| ||
|
| Total Repurchase Agreements |
| 11,981,990 |
| ||
|
| Total Investments |
| 28,002,090 |
| ||
|
| Liabilities in excess of other assets — (40.2)% |
| (8,024,760 | ) | ||
|
| Net Assets — 100.0% |
| $ | 19,977,330 |
| |
* |
| Non-income producing security. |
(a) |
| A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. |
(b) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $1,629,305. The investment in the repurchase agreement was through participation in a pooled account. |
(c) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $1,629,305. The investment in the repurchase agreement was through participation in a pooled account. |
(d) |
| Represents the Fund’s 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $122,203. The investment in the repurchase agreement was through participation in a pooled account. |
(e) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $407,327. The investment in the repurchase agreement was through participation in a pooled account. |
(f) |
| Represents the Fund’s 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $814,653. The investment in the repurchase agreement was through participation in a pooled account. |
See accompanying notes to the financial statements.
(g) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $2,851,285. The investment in the repurchase agreement was through participation in a pooled account. |
(h) |
| Represents the Fund’s 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $2,443,958. The investment in the repurchase agreement was through participation in a pooled account. |
(i) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $2,323,611. The investment in the repurchase agreement was through participation in a pooled account. |
REIT Real Estate Investment Trust
As of November 30, 2008, 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 |
| $ | 48,528 |
|
Aggregate gross unrealized depreciation |
| (7,682,936 | ) | |
Net unrealized depreciation |
| $ | (7,634,408 | ) |
Federal income tax cost of investments |
| $ | 35,636,498 |
|
Swap Agreements
Ultra Russell1000 Growth had the following open swap agreements as of November 30, 2008:
|
| Termination |
| Notional Amount |
| Unrealized |
| ||
Equity Index Swap Agreement based on the Russell 1000® Growth Index |
| 12/08/08 |
| $ | 14,032,128 |
| $ | (672,630 | ) |
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement based on the Russell 1000® Growth Index |
| 12/08/08 |
| 9,366,397 |
| (7,633,603 | ) | ||
|
|
|
|
|
|
|
| ||
|
|
|
| $ | 23,398,525 |
| $ | (8,306,233 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell MidCap Value
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) - 78.7% |
|
|
| |
|
| Consumer Discretionary - 9.8% |
|
|
| |
|
|
|
|
|
| |
287 |
| American Eagle Outfitters, Inc. |
| $ | 2,755 |
|
205 |
| AnnTaylor Stores Corp.* |
| 920 |
| |
77 |
| Ascent Media Corp., Class A* |
| 1,540 |
| |
399 |
| Autoliv, Inc. |
| 7,617 |
| |
629 |
| AutoNation, Inc.* |
| 5,372 |
| |
197 |
| Barnes & Noble, Inc. |
| 3,109 |
| |
250 |
| Bed Bath & Beyond, Inc.* |
| 5,072 |
| |
334 |
| Black & Decker Corp. |
| 14,175 |
| |
81 |
| BorgWarner, Inc. |
| 1,916 |
| |
273 |
| Boyd Gaming Corp. |
| 1,201 |
| |
1,214 |
| Cablevision Systems Corp., Class A |
| 17,797 |
| |
490 |
| Career Education Corp.* |
| 9,055 |
| |
3,227 |
| CBS Corp., Class B |
| 21,492 |
| |
676 |
| Centex Corp. |
| 6,192 |
| |
109 |
| Choice Hotels International, Inc. |
| 2,737 |
| |
49 |
| Clear Channel Outdoor Holdings, Inc., Class A* |
| 359 |
| |
1,540 |
| Discovery Communications, Inc., Class C* |
| 23,300 |
| |
1,729 |
| DR Horton, Inc. |
| 11,878 |
| |
1,577 |
| Eastman Kodak Co. |
| 11,938 |
| |
159 |
| EW Scripps Co., Class A |
| 466 |
| |
1,136 |
| Expedia, Inc.* |
| 9,542 |
| |
705 |
| Family Dollar Stores, Inc. |
| 19,585 |
| |
126 |
| Federal Mogul Corp.* |
| 667 |
| |
846 |
| Foot Locker, Inc. |
| 5,694 |
| |
11,862 |
| Ford Motor Co.* |
| 31,909 |
| |
841 |
| Fortune Brands, Inc. |
| 31,790 |
| |
1,251 |
| Gannett Co., Inc. |
| 10,896 |
| |
1,349 |
| Gap, Inc. (The) |
| 17,564 |
| |
2,666 |
| General Motors Corp. |
| 13,970 |
| |
896 |
| Genuine Parts Co. |
| 35,078 |
| |
469 |
| Goodyear Tire & Rubber Co. (The)* |
| 3,016 |
| |
144 |
| Harley-Davidson, Inc. |
| 2,449 |
| |
81 |
| Harman International Industries, Inc. |
| 1,219 |
| |
391 |
| Hasbro, Inc. |
| 10,479 |
| |
126 |
| Hearst-Argyle Television, Inc. |
| 1,011 |
| |
174 |
| HSN, Inc.* |
| 651 |
| |
179 |
| International Speedway Corp., Class A |
| 4,645 |
| |
373 |
| Interpublic Group of Cos., Inc.* |
| 1,526 |
| |
174 |
| Interval Leisure Group, Inc.* |
| 922 |
| |
373 |
| Jarden Corp.* |
| 4,655 |
| |
1,215 |
| JC Penney Co., Inc. |
| 23,073 |
| |
472 |
| Jones Apparel Group, Inc. |
| 2,421 |
| |
413 |
| KB Home |
| 4,803 |
| |
403 |
| Kohl’s Corp.* |
| 13,162 |
| |
860 |
| Leggett & Platt, Inc. |
| 12,556 |
| |
744 |
| Lennar Corp., Class A |
| 5,290 |
| |
942 |
| Liberty Global, Inc., Class A* |
| 13,650 |
| |
608 |
| Liberty Media Corp. - Capital, Class A* |
| 2,012 |
| |
3,250 |
| Liberty Media Corp. - Interactive, Class A* |
| 8,547 |
| |
518 |
| Liz Claiborne, Inc. |
| 1,476 |
| |
540 |
| Ltd Brands, Inc. |
| 5,027 |
| |
2,306 |
| Macy’s, Inc. |
| 17,111 |
| |
1,980 |
| Mattel, Inc. |
| 27,067 |
| |
884 |
| McGraw-Hill Cos., Inc. (The) |
| 22,100 |
| |
188 |
| MDC Holdings, Inc. |
| 5,828 |
| |
216 |
| Meredith Corp. |
| 3,486 |
| |
39 |
| MGM Mirage* |
| 467 |
| |
305 |
| Mohawk Industries, Inc.* |
| 9,376 |
| |
787 |
| New York Times Co. (The), Class A |
| 5,934 |
| |
1,516 |
| Newell Rubbermaid, Inc. |
| 20,254 |
| |
22 |
| NVR, Inc.* |
| 9,554 |
| |
1,494 |
| Office Depot, Inc.* |
| 2,943 |
| |
414 |
| OfficeMax, Inc. |
| 2,256 |
| |
467 |
| O’Reilly Automotive, Inc.* |
| 12,175 |
| |
32 |
| Orient-Express Hotels Ltd., Class A |
| 219 |
| |
222 |
| Penske Auto Group, Inc. |
| 1,683 |
| |
34 |
| Phillips-Van Heusen Corp. |
| 593 |
| |
892 |
| Pulte Homes, Inc. |
| 9,500 |
| |
717 |
| RadioShack Corp. |
| 7,062 |
| |
436 |
| Regal Entertainment Group, Class A |
| 3,998 |
| |
755 |
| Royal Caribbean Cruises Ltd. |
| 7,112 |
| |
790 |
| Saks, Inc.* |
| 3,405 |
| |
477 |
| Scripps Networks Interactive, Inc., Class A |
| 13,256 |
| |
323 |
| Sears Holdings Corp.* |
| 11,709 |
| |
1,430 |
| Service Corp. International |
| 8,323 |
| |
466 |
| Signet Jewelers Ltd. |
| 3,649 |
| |
317 |
| Snap-On, Inc. |
| 11,428 |
| |
429 |
| Stanley Works (The) |
| 13,638 |
| |
137 |
| Thor Industries, Inc. |
| 2,143 |
| |
174 |
| Ticketmaster Entertainment, Inc.* |
| 694 |
| |
712 |
| Toll Brothers, Inc.* |
| 14,190 |
| |
274 |
| TRW Automotive Holdings Corp.* |
| 975 |
| |
479 |
| VF Corp. |
| 25,047 |
| |
1,608 |
| Virgin Media, Inc. |
| 7,606 |
| |
228 |
| Warner Music Group Corp. |
| 679 |
| |
33 |
| Washington Post Co. (The), Class B |
| 13,065 |
| |
29 |
| Weight Watchers International, Inc. |
| 821 |
| |
411 |
| Whirlpool Corp. |
| 16,185 |
| |
439 |
| Williams-Sonoma, Inc. |
| 3,077 |
| |
969 |
| Wyndham Worldwide Corp. |
| 4,632 |
| |
|
|
|
| 771,416 |
| |
|
| Consumer Staples - 7.0% |
|
|
| |
|
|
|
|
|
| |
416 |
| Alberto-Culver Co. |
| 8,932 |
| |
327 |
| BJ’s Wholesale Club, Inc.* |
| 11,700 |
| |
146 |
| Brown-Forman Corp., Class B |
| 6,408 |
| |
667 |
| Bunge Ltd. |
| 28,321 |
| |
598 |
| Campbell Soup Co. |
| 19,166 |
| |
521 |
| Clorox Co. |
| 30,822 |
| |
1,742 |
| Coca-Cola Enterprises, Inc. |
| 15,992 |
| |
2,478 |
| ConAgra Foods, Inc. |
| 36,551 |
| |
1,011 |
| Constellation Brands, Inc., Class A* |
| 12,900 |
| |
406 |
| Corn Products International, Inc. |
| 11,124 |
| |
165 |
| Dean Foods Co.* |
| 2,402 |
| |
1,080 |
| Del Monte Foods Co. |
| 6,394 |
| |
1,387 |
| Dr Pepper Snapple Group, Inc.* |
| 22,386 |
| |
416 |
| Hershey Co. (The) |
| 14,976 |
| |
767 |
| HJ Heinz Co. |
| 29,790 |
| |
388 |
| Hormel Foods Corp. |
| 10,305 |
| |
524 |
| JM Smucker Co. (The) |
| 23,774 |
| |
454 |
| Lorillard, Inc. |
| 27,435 |
| |
385 |
| McCormick & Co., Inc. (Non-Voting) |
| 11,462 |
| |
631 |
| Molson Coors Brewing Co., Class B |
| 28,061 |
| |
147 |
| NBTY, Inc.* |
| 2,142 |
| |
752 |
| Pepsi Bottling Group, Inc. |
| 13,604 |
| |
319 |
| PepsiAmericas, Inc. |
| 5,346 |
| |
2,783 |
| Rite Aid Corp.* |
| 1,447 |
| |
2,396 |
| Safeway, Inc. |
| 52,233 |
| |
3,863 |
| Sara Lee Corp. |
| 35,462 |
| |
640 |
| Smithfield Foods, Inc.* |
| 4,358 |
| |
1,162 |
| SUPERVALU, Inc. |
| 13,839 |
| |
1,433 |
| Tyson Foods, Inc., Class A |
| 9,615 |
| |
809 |
| UST, Inc. |
| 55,619 |
| |
|
|
|
| 552,566 |
| |
|
| Energy - 4.3% |
|
|
| |
|
|
|
|
|
| |
1,607 |
| BJ Services Co. |
| 19,268 |
| |
308 |
| Cabot Oil & Gas Corp. |
| 9,231 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
454 |
| Cimarex Energy Co. |
| $ | 12,880 |
|
3,020 |
| El Paso Corp. |
| 22,318 |
| |
218 |
| Encore Acquisition Co.* |
| 5,764 |
| |
53 |
| ENSCO International, Inc. |
| 1,718 |
| |
358 |
| Exterran Holdings, Inc.* |
| 6,283 |
| |
486 |
| Forest Oil Corp.* |
| 8,481 |
| |
227 |
| Global Industries Ltd.* |
| 670 |
| |
459 |
| Helix Energy Solutions Group, Inc.* |
| 2,951 |
| |
571 |
| Helmerich & Payne, Inc. |
| 14,480 |
| |
486 |
| Hercules Offshore, Inc.* |
| 2,828 |
| |
571 |
| Key Energy Services, Inc.* |
| 2,712 |
| |
130 |
| Mariner Energy, Inc.* |
| 1,429 |
| |
1,324 |
| Nabors Industries Ltd.* |
| 19,198 |
| |
722 |
| Newfield Exploration Co.* |
| 16,303 |
| |
883 |
| Noble Energy, Inc. |
| 46,163 |
| |
90 |
| Oil States International, Inc.* |
| 1,928 |
| |
125 |
| Overseas Shipholding Group, Inc. |
| 4,632 |
| |
323 |
| Patterson-UTI Energy, Inc. |
| 4,034 |
| |
79 |
| PetroHawk Energy Corp.* |
| 1,380 |
| |
654 |
| Pioneer Natural Resources Co. |
| 13,132 |
| |
52 |
| Plains Exploration & Production Co.* |
| 1,204 |
| |
261 |
| Pride International, Inc.* |
| 4,231 |
| |
401 |
| Rowan Cos., Inc. |
| 6,957 |
| |
102 |
| SEACOR Holdings, Inc.* |
| 6,745 |
| |
609 |
| Southern Union Co. |
| 8,368 |
| |
3,464 |
| Spectra Energy Corp. |
| 56,325 |
| |
197 |
| St. Mary Land & Exploration Co. |
| 3,962 |
| |
261 |
| Sunoco, Inc. |
| 10,372 |
| |
232 |
| Teekay Corp. |
| 3,802 |
| |
535 |
| Tesoro Corp. |
| 4,917 |
| |
271 |
| Tidewater, Inc. |
| 10,699 |
| |
60 |
| Unit Corp.* |
| 1,721 |
| |
|
|
|
| 337,086 |
| |
|
| Financials - 24.5% |
|
|
| |
|
|
|
|
|
| |
174 |
| Alexandria Real Estate Equities, Inc. (REIT) |
| 7,705 |
| |
28 |
| Alleghany Corp.* |
| 7,420 |
| |
978 |
| Allied Capital Corp. |
| 2,289 |
| |
268 |
| Allied World Assurance Co. Holdings Ltd. |
| 9,476 |
| |
537 |
| AMB Property Corp. (REIT) |
| 9,247 |
| |
1,110 |
| American Capital Ltd. |
| 4,706 |
| |
431 |
| American Financial Group, Inc./OH |
| 8,831 |
| |
86 |
| American National Insurance Co. |
| 6,349 |
| |
630 |
| AmeriCredit Corp.* |
| 4,631 |
| |
1,216 |
| Ameriprise Financial, Inc. |
| 22,447 |
| |
2,941 |
| Annaly Capital Management, Inc. (REIT) |
| 42,262 |
| |
1,519 |
| AON Corp. |
| 68,811 |
| |
337 |
| Apartment Investment & Management Co., Class A (REIT) |
| 3,865 |
| |
251 |
| Arch Capital Group Ltd.* |
| 17,015 |
| |
509 |
| Arthur J. Gallagher & Co. |
| 12,623 |
| |
698 |
| Associated Banc-Corp |
| 15,168 |
| |
647 |
| Assurant, Inc. |
| 14,085 |
| |
461 |
| Astoria Financial Corp. |
| 8,510 |
| |
423 |
| AvalonBay Communities, Inc. (REIT) |
| 25,663 |
| |
624 |
| Axis Capital Holdings Ltd. |
| 15,793 |
| |
452 |
| Bancorpsouth, Inc. |
| 10,053 |
| |
263 |
| Bank of Hawaii Corp. |
| 11,732 |
| |
120 |
| BOK Financial Corp. |
| 5,567 |
| |
655 |
| Boston Properties, Inc. (REIT) |
| 34,977 |
| |
480 |
| Brandywine Realty Trust (REIT) |
| 2,362 |
| |
264 |
| BRE Properties, Inc. (REIT) |
| 7,751 |
| |
483 |
| Brown & Brown, Inc. |
| 9,612 |
| |
107 |
| Camden Property Trust (REIT) |
| 2,832 |
| |
1,063 |
| CapitalSource, Inc. (REIT) |
| 5,538 |
| |
78 |
| Capitol Federal Financial |
| 3,336 |
| |
614 |
| CB Richard Ellis Group, Inc., Class A* |
| 2,800 |
| |
362 |
| CBL & Associates Properties, Inc. (REIT) |
| 1,473 |
| |
796 |
| Cincinnati Financial Corp. |
| 23,275 |
| |
1,546 |
| CIT Group, Inc. |
| 5,164 |
| |
219 |
| City National Corp./CA |
| 9,610 |
| |
152 |
| CNA Financial Corp. |
| 2,092 |
| |
822 |
| Comerica, Inc. |
| 18,536 |
| |
343 |
| Commerce Bancshares, Inc./MO |
| 15,027 |
| |
1,010 |
| Conseco, Inc.* |
| 3,404 |
| |
322 |
| Cullen/Frost Bankers, Inc. |
| 17,456 |
| |
655 |
| Developers Diversified Realty Corp. (REIT) |
| 3,144 |
| |
127 |
| Digital Realty Trust, Inc. (REIT) |
| 3,475 |
| |
2,624 |
| Discover Financial Services |
| 26,844 |
| |
662 |
| Douglas Emmett, Inc. (REIT) |
| 6,752 |
| |
804 |
| Duke Realty Corp. (REIT) |
| 6,601 |
| |
1,894 |
| E*Trade Financial Corp.* |
| 2,557 |
| |
287 |
| Endurance Specialty Holdings Ltd. |
| 7,726 |
| |
1,481 |
| Equity Residential (REIT) |
| 45,067 |
| |
161 |
| Erie Indemnity Co., Class A |
| 6,028 |
| |
109 |
| Essex Property Trust, Inc. (REIT) |
| 9,425 |
| |
337 |
| Everest Re Group Ltd. |
| 26,441 |
| |
226 |
| Federal Realty Investment Trust (REIT) |
| 13,072 |
| |
1,170 |
| Fidelity National Financial, Inc., Class A |
| 14,426 |
| |
2,749 |
| Fifth Third Bancorp |
| 26,280 |
| |
507 |
| First American Corp. |
| 12,178 |
| |
32 |
| First Citizens BancShares, Inc./NC, Class A |
| 4,498 |
| |
1,105 |
| First Horizon National Corp. |
| 11,812 |
| |
952 |
| Fulton Financial Corp. |
| 10,586 |
| |
588 |
| General Growth Properties, Inc. (REIT) |
| 811 |
| |
2,368 |
| Genworth Financial, Inc., Class A |
| 3,434 |
| |
280 |
| Hanover Insurance Group, Inc. (The) |
| 11,290 |
| |
630 |
| HCC Insurance Holdings, Inc. |
| 14,685 |
| |
1,215 |
| HCP, Inc. (REIT) |
| 25,114 |
| |
493 |
| Health Care REIT, Inc. (REIT) |
| 18,734 |
| |
514 |
| Hospitality Properties Trust (REIT) |
| 5,890 |
| |
2,857 |
| Host Hotels & Resorts, Inc. (REIT) |
| 21,485 |
| |
1,232 |
| HRPT Properties Trust (REIT) |
| 3,400 |
| |
1,854 |
| Hudson City Bancorp, Inc. |
| 30,980 |
| |
2,004 |
| Huntington Bancshares, Inc./OH |
| 16,032 |
| |
1,853 |
| Invesco Ltd. |
| 23,255 |
| |
21 |
| Investment Technology Group, Inc.* |
| 351 |
| |
735 |
| iStar Financial, Inc. (REIT) |
| 992 |
| |
61 |
| Janus Capital Group, Inc. |
| 497 |
| |
687 |
| Jefferies Group, Inc. |
| 8,546 |
| |
173 |
| Jones Lang LaSalle, Inc. |
| 4,123 |
| |
2,693 |
| Keycorp |
| 25,260 |
| |
163 |
| Kilroy Realty Corp. (REIT) |
| 4,967 |
| |
1,179 |
| Kimco Realty Corp. (REIT) |
| 16,683 |
| |
761 |
| Legg Mason, Inc. |
| 13,713 |
| |
972 |
| Leucadia National Corp. |
| 19,003 |
| |
508 |
| Liberty Property Trust (REIT) |
| 9,713 |
| |
1,418 |
| Lincoln National Corp. |
| 19,469 |
| |
359 |
| M&T Bank Corp. |
| 23,066 |
| |
359 |
| Mack-Cali Realty Corp. (REIT) |
| 6,810 |
| |
54 |
| Markel Corp.* |
| 16,632 |
| |
2,799 |
| Marsh & McLennan Cos., Inc. |
| 71,375 |
| |
1,417 |
| Marshall & Ilsley Corp. |
| 21,893 |
| |
1,169 |
| MBIA, Inc. |
| 6,839 |
| |
144 |
| Mercury General Corp. |
| 6,551 |
| |
288 |
| MF Global Ltd.* |
| 755 |
| |
684 |
| MGIC Investment Corp. |
| 1,860 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
1,079 |
| Moody’s Corp. |
| $ | 23,425 |
|
335 |
| Nasdaq OMX Group, Inc. (The)* |
| 7,203 |
| |
11,142 |
| National City Corp. |
| 22,395 |
| |
252 |
| Nationwide Financial Services |
| 12,802 |
| |
480 |
| Nationwide Health Properties, Inc. (REIT) |
| 10,862 |
| |
1,875 |
| New York Community Bancorp, Inc. |
| 24,469 |
| |
116 |
| Northern Trust Corp. |
| 5,323 |
| |
1,260 |
| Old Republic International Corp. |
| 12,928 |
| |
133 |
| OneBeacon Insurance Group Ltd. |
| 1,450 |
| |
297 |
| PartnerRe Ltd. |
| 20,778 |
| |
1,894 |
| People’s United Financial, Inc. |
| 36,119 |
| |
205 |
| Philadelphia Consolidated Holding Co.* |
| 12,597 |
| |
630 |
| Plum Creek Timber Co., Inc. (REIT) |
| 22,422 |
| |
1,539 |
| Popular, Inc. |
| 9,619 |
| |
1,416 |
| Principal Financial Group, Inc. |
| 19,555 |
| |
3,708 |
| Progressive Corp. (The) |
| 55,694 |
| |
1,435 |
| Prologis (REIT) |
| 5,496 |
| |
382 |
| Protective Life Corp. |
| 3,560 |
| |
694 |
| Public Storage (REIT) |
| 48,504 |
| |
522 |
| Raymond James Financial, Inc. |
| 11,468 |
| |
377 |
| Rayonier, Inc. (REIT) |
| 12,592 |
| |
382 |
| Regency Centers Corp. (REIT) |
| 13,603 |
| |
3,802 |
| Regions Financial Corp. |
| 38,742 |
| |
323 |
| Reinsurance Group of America, Inc. |
| 13,114 |
| |
334 |
| RenaissanceRe Holdings Ltd. |
| 15,741 |
| |
320 |
| SL Green Realty Corp. (REIT) |
| 6,067 |
| |
292 |
| SLM Corp.* |
| 2,689 |
| |
2,426 |
| Sovereign Bancorp, Inc.* |
| 5,992 |
| |
81 |
| St. Joe Co. (The)* |
| 2,139 |
| |
268 |
| StanCorp Financial Group, Inc. |
| 8,927 |
| |
22 |
| Student Loan Corp.(The) |
| 833 |
| |
1,538 |
| Synovus Financial Corp. |
| 12,796 |
| |
694 |
| TCF Financial Corp. |
| 11,590 |
| |
569 |
| TFS Financial Corp. |
| 7,300 |
| |
491 |
| Torchmark Corp. |
| 17,750 |
| |
112 |
| Transatlantic Holdings, Inc. |
| 4,440 |
| |
29 |
| Tree.com, Inc.* |
| 53 |
| |
702 |
| UDR, Inc. (REIT) |
| 10,621 |
| |
224 |
| Unitrin, Inc. |
| 4,287 |
| |
1,896 |
| Unum Group |
| 28,250 |
| |
732 |
| Valley National Bancorp |
| 14,150 |
| |
593 |
| Ventas, Inc. (REIT) |
| 13,627 |
| |
743 |
| Vornado Realty Trust (REIT) |
| 39,713 |
| |
481 |
| Washington Federal, Inc. |
| 8,124 |
| |
288 |
| Webster Financial Corp. |
| 4,320 |
| |
407 |
| Weingarten Realty Investors (REIT) |
| 5,804 |
| |
7 |
| Wesco Financial Corp. |
| 2,079 |
| |
49 |
| White Mountains Insurance Group Ltd. |
| 13,230 |
| |
351 |
| Whitney Holding Corp./LA |
| 6,153 |
| |
369 |
| Wilmington Trust Corp. |
| 8,926 |
| |
743 |
| WR Berkley Corp. |
| 21,124 |
| |
1,811 |
| XL Capital Ltd., Class A |
| 9,109 |
| |
630 |
| Zions Bancorporation |
| 20,091 |
| |
|
|
|
| 1,941,258 |
| |
|
| Health Care - 3.9% |
|
|
| |
|
|
|
|
|
| |
38 |
| Advanced Medical Optics, Inc.* |
| 221 |
| |
775 |
| AmerisourceBergen Corp. |
| 24,296 |
| |
415 |
| Barr Pharmaceuticals, Inc.* |
| 27,137 |
| |
65 |
| Beckman Coulter, Inc. |
| 2,833 |
| |
196 |
| Brookdale Senior Living, Inc. |
| 798 |
| |
205 |
| Charles River Laboratories International, Inc.* |
| 4,674 |
| |
1,324 |
| Cigna Corp. |
| 16,034 |
| |
408 |
| Community Health Systems, Inc.* |
| 5,328 |
| |
246 |
| Cooper Cos., Inc. (The) |
| 3,296 |
| |
660 |
| Coventry Health Care, Inc.* |
| 8,230 |
| |
98 |
| DaVita, Inc.* |
| 4,924 |
| |
60 |
| Endo Pharmaceuticals Holdings, Inc.* |
| 1,319 |
| |
1,522 |
| Forest Laboratories, Inc.* |
| 36,802 |
| |
451 |
| Health Management Associates, Inc., Class A* |
| 658 |
| |
554 |
| Health Net, Inc.* |
| 4,992 |
| |
35 |
| Henry Schein, Inc.* |
| 1,251 |
| |
295 |
| Hill-Rom Holdings, Inc. |
| 6,059 |
| |
715 |
| HLTH Corp.* |
| 6,700 |
| |
701 |
| Hologic, Inc.* |
| 9,856 |
| |
744 |
| Hospira, Inc.* |
| 22,342 |
| |
401 |
| Humana, Inc.* |
| 12,122 |
| |
777 |
| IMS Health, Inc. |
| 10,218 |
| |
211 |
| Inverness Medical Innovations, Inc.* |
| 3,707 |
| |
1,350 |
| King Pharmaceuticals, Inc.* |
| 12,974 |
| |
335 |
| Life Technologies Corp.* |
| 8,743 |
| |
297 |
| LifePoint Hospitals, Inc.* |
| 5,958 |
| |
35 |
| Lincare Holdings, Inc.* |
| 838 |
| |
1,359 |
| Mylan, Inc.* |
| 12,788 |
| |
541 |
| Omnicare, Inc. |
| 13,044 |
| |
36 |
| Pediatrix Medical Group, Inc.* |
| 1,120 |
| |
358 |
| PerkinElmer, Inc. |
| 6,465 |
| |
156 |
| Quest Diagnostics, Inc. |
| 7,265 |
| |
217 |
| Teleflex, Inc. |
| 10,281 |
| |
1,138 |
| Tenet Healthcare Corp.* |
| 1,377 |
| |
260 |
| Universal Health Services, Inc., Class B |
| 9,659 |
| |
290 |
| Watson Pharmaceuticals, Inc.* |
| 6,888 |
| |
|
|
|
| 311,197 |
| |
|
| Industrials - 5.6% |
|
|
| |
|
|
|
|
|
| |
58 |
| Aecom Technology Corp.* |
| 1,536 |
| |
137 |
| AGCO Corp.* |
| 3,373 |
| |
225 |
| Alexander & Baldwin, Inc. |
| 5,816 |
| |
103 |
| Alliant Techsystems, Inc.* |
| 8,467 |
| |
2,083 |
| Allied Waste Industries, Inc.* |
| 22,371 |
| |
758 |
| AMR Corp.* |
| 6,655 |
| |
110 |
| Armstrong World Industries, Inc. |
| 1,870 |
| |
581 |
| Avery Dennison Corp. |
| 18,069 |
| |
552 |
| Avis Budget Group, Inc.* |
| 419 |
| |
37 |
| BE Aerospace, Inc.* |
| 303 |
| |
298 |
| Carlisle Cos., Inc. |
| 6,327 |
| |
722 |
| Cintas Corp. |
| 17,342 |
| |
600 |
| Continental Airlines, Inc., Class B* |
| 8,808 |
| |
210 |
| Con-way, Inc. |
| 5,874 |
| |
226 |
| Cooper Industries Ltd., Class A |
| 5,456 |
| |
45 |
| Copa Holdings SA, Class A |
| 998 |
| |
78 |
| Corrections Corp. of America* |
| 1,411 |
| |
277 |
| Crane Co. |
| 4,105 |
| |
2,463 |
| Delta Air Lines, Inc.* |
| 21,699 |
| |
130 |
| Dover Corp. |
| 3,878 |
| |
88 |
| Dun & Bradstreet Corp. |
| 7,040 |
| |
493 |
| Eaton Corp. |
| 22,846 |
| |
330 |
| Equifax, Inc. |
| 8,398 |
| |
171 |
| Flowserve Corp. |
| 8,606 |
| |
288 |
| Gardner Denver, Inc.* |
| 7,128 |
| |
237 |
| GATX Corp. |
| 6,672 |
| |
1,667 |
| Hertz Global Holdings, Inc.* |
| 5,818 |
| |
172 |
| Hubbell, Inc., Class B |
| 5,143 |
| |
50 |
| IDEX Corp. |
| 1,150 |
| |
1,414 |
| Ingersoll-Rand Co., Ltd., Class A |
| 22,172 |
| |
241 |
| ITT Corp. |
| 10,088 |
| |
89 |
| Kansas City Southern* |
| 1,951 |
| |
174 |
| KBR, Inc. |
| 2,396 |
| |
331 |
| Kennametal, Inc. |
| 6,190 |
| |
152 |
| L-3 Communications Holdings, Inc. |
| 10,210 |
| |
75 |
| Lincoln Electric Holdings, Inc. |
| 3,427 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
402 |
| Manpower, Inc. |
| $ | 12,655 |
|
1,979 |
| Masco Corp. |
| 18,959 |
| |
125 |
| Oshkosh Corp. |
| 875 |
| |
416 |
| Owens Corning, Inc.* |
| 6,635 |
| |
542 |
| Pentair, Inc. |
| 13,474 |
| |
109 |
| Pitney Bowes, Inc. |
| 2,693 |
| |
209 |
| Quanta Services, Inc.* |
| 3,398 |
| |
1,162 |
| R.R. Donnelley & Sons Co. |
| 14,827 |
| |
62 |
| Republic Services, Inc. |
| 1,488 |
| |
212 |
| Ryder System, Inc. |
| 7,613 |
| |
4,005 |
| Southwest Airlines Co. |
| 34,643 |
| |
572 |
| Spirit Aerosystems Holdings, Inc., Class A* |
| 5,177 |
| |
341 |
| Steelcase, Inc., Class A |
| 2,199 |
| |
551 |
| Terex Corp.* |
| 7,857 |
| |
319 |
| Thomas & Betts Corp.* |
| 6,058 |
| |
429 |
| Timken Co. |
| 6,225 |
| |
442 |
| Trinity Industries, Inc. |
| 6,573 |
| |
325 |
| United Rentals, Inc.* |
| 2,623 |
| |
379 |
| URS Corp.* |
| 14,387 |
| |
165 |
| USG Corp.* |
| 1,559 |
| |
52 |
| UTi Worldwide, Inc. |
| 557 |
| |
61 |
| WESCO International, Inc.* |
| 902 |
| |
|
|
|
| 445,389 |
| |
|
| Information Technology - 4.5% |
|
|
| |
|
|
|
|
|
| |
645 |
| ADC Telecommunications, Inc.* |
| 4,586 |
| |
2,904 |
| Advanced Micro Devices, Inc.* |
| 6,853 |
| |
355 |
| Affiliated Computer Services, Inc., Class A* |
| 14,360 |
| |
621 |
| Amdocs Ltd.* |
| 11,669 |
| |
626 |
| Arrow Electronics, Inc.* |
| 8,639 |
| |
884 |
| Atmel Corp.* |
| 2,475 |
| |
462 |
| Avnet, Inc.* |
| 6,579 |
| |
248 |
| AVX Corp. |
| 2,167 |
| |
1,767 |
| Brocade Communications Systems, Inc.* |
| 5,690 |
| |
1,133 |
| CA, Inc. |
| 19,080 |
| |
1,411 |
| Cadence Design Systems, Inc.* |
| 5,446 |
| |
826 |
| Computer Sciences Corp.* |
| 23,012 |
| |
592 |
| Compuware Corp.* |
| 3,759 |
| |
676 |
| Convergys Corp.* |
| 4,252 |
| |
289 |
| Cree, Inc.* |
| 4,589 |
| |
59 |
| Diebold, Inc. |
| 1,652 |
| |
47 |
| DST Systems, Inc.* |
| 1,777 |
| |
213 |
| EchoStar Corp., Class A* |
| 3,636 |
| |
681 |
| Fairchild Semiconductor International, Inc.* |
| 2,717 |
| |
824 |
| Fidelity National Information Services, Inc. |
| 14,156 |
| |
19 |
| Genpact Ltd.* |
| 151 |
| |
439 |
| IAC/InterActiveCorp* |
| 6,493 |
| |
920 |
| Ingram Micro, Inc., Class A* |
| 9,908 |
| |
515 |
| Integrated Device Technology, Inc.* |
| 2,662 |
| |
308 |
| International Rectifier Corp.* |
| 3,600 |
| |
445 |
| Intersil Corp., Class A |
| 4,032 |
| |
593 |
| Jabil Circuit, Inc. |
| 3,902 |
| |
533 |
| JDS Uniphase Corp.* |
| 1,450 |
| |
59 |
| Kla-Tencor Corp. |
| 1,110 |
| |
58 |
| Lam Research Corp.* |
| 1,172 |
| |
412 |
| Lender Processing Services, Inc. |
| 9,089 |
| |
482 |
| Lexmark International, Inc., Class A* |
| 12,619 |
| |
844 |
| LSI Corp.* |
| 2,262 |
| |
84 |
| McAfee, Inc.* |
| 2,548 |
| |
3,642 |
| Micron Technology, Inc.* |
| 9,979 |
| |
533 |
| Molex, Inc. |
| 7,249 |
| |
90 |
| NCR Corp.* |
| 1,366 |
| |
1,060 |
| Novell, Inc.* |
| 4,823 |
| |
382 |
| Novellus Systems, Inc.* |
| 4,733 |
| |
726 |
| QLogic Corp.* |
| 7,710 |
| |
840 |
| SAIC, Inc.* |
| 14,952 |
| |
986 |
| SanDisk Corp.* |
| 7,888 |
| |
1,367 |
| Seagate Technology |
| 5,755 |
| |
4,279 |
| Sun Microsystems, Inc.* |
| 13,564 |
| |
777 |
| Synopsys, Inc.* |
| 12,455 |
| |
248 |
| Tech Data Corp.* |
| 4,325 |
| |
2,174 |
| Tellabs, Inc.* |
| 9,066 |
| |
500 |
| Teradata Corp.* |
| 6,715 |
| |
350 |
| Teradyne, Inc.* |
| 1,326 |
| |
874 |
| Unisys Corp.* |
| 586 |
| |
1,021 |
| Vishay Intertechnology, Inc.* |
| 4,452 |
| |
4,919 |
| Xerox Corp. |
| 34,384 |
| |
24 |
| Zebra Technologies Corp., Class A* |
| 508 |
| |
|
|
|
| 359,928 |
| |
|
| Materials - 5.2% |
|
|
| |
|
|
|
|
|
| |
302 |
| Aptargroup, Inc. |
| 10,099 |
| |
345 |
| Ashland, Inc. |
| 3,295 |
| |
455 |
| Ball Corp. |
| 16,585 |
| |
545 |
| Bemis Co., Inc. |
| 14,726 |
| |
353 |
| Cabot Corp. |
| 7,304 |
| |
226 |
| Carpenter Technology Corp. |
| 3,765 |
| |
103 |
| Celanese Corp., Class A |
| 1,190 |
| |
97 |
| Century Aluminum Co.* |
| 791 |
| |
1,218 |
| Chemtura Corp. |
| 2,034 |
| |
624 |
| Commercial Metals Co. |
| 7,475 |
| |
262 |
| Cytec Industries, Inc. |
| 5,772 |
| |
2,686 |
| Domtar Corp.* |
| 3,760 |
| |
26 |
| Eagle Materials, Inc. |
| 546 |
| |
416 |
| Eastman Chemical Co. |
| 13,686 |
| |
250 |
| FMC Corp. |
| 10,925 |
| |
791 |
| Huntsman Corp. |
| 5,656 |
| |
2,339 |
| International Paper Co. |
| 29,121 |
| |
82 |
| Intrepid Potash, Inc.* |
| 1,574 |
| |
374 |
| Lubrizol Corp. |
| 13,135 |
| |
18 |
| Martin Marietta Materials, Inc. |
| 1,578 |
| |
950 |
| MeadWestvaco Corp. |
| 11,077 |
| |
56 |
| Nalco Holding Co. |
| 639 |
| |
651 |
| Owens-Illinois, Inc.* |
| 13,163 |
| |
436 |
| Packaging Corp. of America |
| 6,509 |
| |
715 |
| Pactiv Corp.* |
| 17,868 |
| |
798 |
| PPG Industries, Inc. |
| 35,048 |
| |
344 |
| Reliance Steel & Aluminum Co. |
| 7,093 |
| |
112 |
| Rohm & Haas Co. |
| 7,662 |
| |
706 |
| RPM International, Inc. |
| 8,465 |
| |
103 |
| Schnitzer Steel Industries, Inc., Class A |
| 2,781 |
| |
51 |
| Scotts Miracle-Gro Co. (The), Class A |
| 1,650 |
| |
875 |
| Sealed Air Corp. |
| 13,851 |
| |
333 |
| Sigma-Aldrich Corp. |
| 14,356 |
| |
1,401 |
| Smurfit-Stone Container Corp.* |
| 799 |
| |
544 |
| Sonoco Products Co. |
| 13,654 |
| |
647 |
| Steel Dynamics, Inc. |
| 5,344 |
| |
580 |
| Temple-Inland, Inc. |
| 1,833 |
| |
382 |
| Titanium Metals Corp. |
| 3,228 |
| |
21 |
| Valhi, Inc. |
| 294 |
| |
548 |
| Valspar Corp. |
| 10,752 |
| |
599 |
| Vulcan Materials Co. |
| 35,928 |
| |
1,157 |
| Weyerhaeuser Co. |
| 43,526 |
| |
|
|
|
| 408,537 |
| |
|
| Telecommunication Services - 1.3% |
|
|
| |
|
|
|
|
|
| |
576 |
| CenturyTel, Inc. |
| 15,299 |
| |
38 |
| Clearwire Corp., Class A* |
| 252 |
| |
1,225 |
| Crown Castle International Corp.* |
| 17,236 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
402 |
| Embarq Corp. |
| $ | 13,121 |
|
1,381 |
| Frontier Communications Corp. |
| 12,042 |
| |
264 |
| Leap Wireless International, Inc.* |
| 5,280 |
| |
4,141 |
| Qwest Communications International, Inc. |
| 13,251 |
| |
327 |
| Telephone & Data Systems, Inc. |
| 10,611 |
| |
54 |
| U.S. Cellular Corp.* |
| 2,129 |
| |
1,228 |
| Windstream Corp. |
| 10,880 |
| |
|
|
|
| 100,101 |
| |
|
| Utilities - 12.6% |
|
|
| |
|
|
|
|
|
| |
417 |
| AGL Resources, Inc. |
| 12,556 |
| |
603 |
| Alliant Energy Corp. |
| 19,218 |
| |
1,145 |
| Ameren Corp. |
| 40,739 |
| |
2,197 |
| American Electric Power Co., Inc. |
| 68,744 |
| |
347 |
| American Water Works Co., Inc. |
| 7,037 |
| |
731 |
| Aqua America, Inc. |
| 15,855 |
| |
493 |
| Atmos Energy Corp. |
| 12,290 |
| |
658 |
| Centerpoint Energy, Inc. |
| 8,508 |
| |
1,231 |
| CMS Energy Corp. |
| 12,507 |
| |
1,492 |
| Consolidated Edison, Inc. |
| 60,262 |
| |
83 |
| Constellation Energy Group, Inc. |
| 2,031 |
| |
573 |
| DPL, Inc. |
| 11,930 |
| |
893 |
| DTE Energy Co. |
| 33,211 |
| |
2,710 |
| Dynegy, Inc., Class A* |
| 6,043 |
| |
1,784 |
| Edison International |
| 59,586 |
| |
319 |
| Energen Corp. |
| 9,825 |
| |
649 |
| Great Plains Energy, Inc. |
| 12,195 |
| |
460 |
| Hawaiian Electric Industries, Inc. |
| 12,544 |
| |
417 |
| Integrys Energy Group, Inc. |
| 18,423 |
| |
1,001 |
| MDU Resources Group, Inc. |
| 20,350 |
| |
364 |
| Mirant Corp.* |
| 6,268 |
| |
443 |
| National Fuel Gas Co. |
| 14,411 |
| |
1,500 |
| NiSource, Inc. |
| 18,075 |
| |
849 |
| Northeast Utilities |
| 19,782 |
| |
805 |
| NRG Energy, Inc.* |
| 19,070 |
| |
586 |
| NSTAR |
| 20,803 |
| |
943 |
| NV Energy, Inc. |
| 8,940 |
| |
505 |
| OGE Energy Corp. |
| 13,377 |
| |
570 |
| Oneok, Inc. |
| 16,724 |
| |
1,103 |
| Pepco Holdings, Inc. |
| 19,843 |
| |
1,955 |
| PG&E Corp. |
| 74,368 |
| |
550 |
| Pinnacle West Capital Corp. |
| 16,720 |
| |
1,431 |
| Progress Energy, Inc. |
| 56,796 |
| |
709 |
| Puget Energy, Inc. |
| 17,356 |
| |
590 |
| Questar Corp. |
| 18,992 |
| |
1,894 |
| Reliant Energy, Inc.* |
| 10,872 |
| |
640 |
| SCANA Corp. |
| 22,240 |
| |
1,368 |
| Sempra Energy |
| 63,845 |
| |
1,155 |
| TECO Energy, Inc. |
| 15,015 |
| |
586 |
| UGI Corp. |
| 13,689 |
| |
442 |
| Vectren Corp. |
| 12,447 |
| |
641 |
| Wisconsin Energy Corp. |
| 27,858 |
| |
2,358 |
| Xcel Energy, Inc. |
| 44,354 |
| |
|
|
|
| 995,699 |
| |
|
| Total Common Stock |
| 6,223,177 |
| |
Principal Amount |
|
|
|
|
| ||
|
| Repurchase Agreements - 30.4% |
|
|
| ||
$ | 320,536 |
| Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $320,542(b) |
|
| 320,536 |
|
320,536 |
| Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $320,544(c) |
| 320,536 |
| ||
24,040 |
| Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $24,040(d) |
| 24,040 |
| ||
80,134 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $80,139(e) |
| 80,134 |
| ||
160,268 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $160,279(f) |
| 160,268 |
| ||
560,937 |
| ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $560,950(g) |
| 560,937 |
| ||
480,804 |
| JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $480,812(h) |
| 480,804 |
| ||
457,127 |
| UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $457,137(i) |
| 457,127 |
| ||
|
| Total Repurchase Agreements |
| 2,404,382 |
| ||
|
| Total Investments |
| 8,627,559 |
| ||
|
| Liabilities in excess of other assets — (9.1)% |
| (717,046 | ) | ||
|
| Net Assets — 100.0% |
| $ | 7,910,513 |
| |
* | Non-income producing security. |
(a) | A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. |
(b) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $326,947. The investment in the repurchase agreement was through participation in a pooled account. |
(c) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $326,947. The investment in the repurchase agreement was through participation in a pooled account. |
(d) | Represents the Fund’s 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $24,522. The investment in the repurchase agreement was through participation in a pooled account. |
(e) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $81,737. The investment in the repurchase agreement was through participation in a pooled account. |
See accompanying notes to the financial statements.
(f) | Represents the Fund’s 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $163,473. The investment in the repurchase agreement was through participation in a pooled account. |
(g) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $572,157. The investment in the repurchase agreement was through participation in a pooled account. |
(h) | Represents the Fund’s 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $490,420. The investment in the repurchase agreement was through participation in a pooled account. |
(i) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $466,270. The investment in the repurchase agreement was through participation in a pooled account. |
REIT | Real Estate Investment Trust |
As of November 30, 2008, 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 |
| $ | — |
|
Aggregate gross unrealized depreciation |
| (2,493,546 | ) | |
Net unrealized depreciation |
| $ | (2,493,546 | ) |
Federal income tax cost of investments |
| $ | 11,121,105 |
|
Swap Agreements
Ultra Russell MidCap Value had the following open swap agreements as of November 30, 2008:
|
| Termination |
| Notional Amount |
| Unrealized |
| ||
Equity Index Swap Agreement based on the Russell MidCap® Value Index |
| 12/08/08 |
| $ | 2,349,729 |
| $ | (149,036 | ) |
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement based on the Russell MidCap® Value Index |
| 12/08/08 |
| 7,213,652 |
| (569,775 | ) | ||
|
|
|
|
|
|
|
| ||
|
|
|
| $ | 9,563,381 |
| $ | (718,811 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell MidCap Growth
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) - 78.4% |
|
|
| |
|
| Consumer Discretionary - 13.7% |
|
|
| |
|
|
|
|
|
| |
705 |
| Abercrombie & Fitch Co., Class A |
| $ | 13,628 |
|
777 |
| Advance Auto Parts, Inc. |
| 23,590 |
| |
986 |
| American Eagle Outfitters, Inc. |
| 9,466 |
| |
178 |
| AnnTaylor Stores Corp.* |
| 799 |
| |
1,039 |
| Apollo Group, Inc., Class A* |
| 79,837 |
| |
316 |
| Autozone, Inc.* |
| 34,514 |
| |
1,738 |
| Bed Bath & Beyond, Inc.* |
| 35,264 |
| |
663 |
| Big Lots, Inc.* |
| 11,616 |
| |
826 |
| BorgWarner, Inc. |
| 19,543 |
| |
57 |
| Boyd Gaming Corp. |
| 251 |
| |
826 |
| Brinker International, Inc. |
| 5,485 |
| |
331 |
| Brink’s Home Security Holdings, Inc.* |
| 6,620 |
| |
654 |
| Burger King Holdings, Inc. |
| 14,068 |
| |
1,783 |
| Carmax, Inc.* |
| 13,569 |
| |
294 |
| Central European Media Enterprises Ltd., Class A* |
| 4,519 |
| |
269 |
| Chipotle Mexican Grill, Inc., Class A* |
| 13,337 |
| |
86 |
| Choice Hotels International, Inc. |
| 2,159 |
| |
258 |
| Clear Channel Outdoor Holdings, Inc., Class A* |
| 1,889 |
| |
2,783 |
| Coach, Inc.* |
| 49,816 |
| |
429 |
| CTC Media, Inc.* |
| 1,823 |
| |
1,142 |
| Darden Restaurants, Inc. |
| 20,887 |
| |
500 |
| DeVry, Inc. |
| 28,740 |
| |
689 |
| Dick’s Sporting Goods, Inc.* |
| 8,688 |
| |
1,663 |
| DISH Network Corp., Class A* |
| 18,426 |
| |
734 |
| Dollar Tree, Inc.* |
| 31,092 |
| |
651 |
| DreamWorks Animation SKG, Inc., Class A* |
| 15,038 |
| |
89 |
| Family Dollar Stores, Inc. |
| 2,472 |
| |
1,331 |
| GameStop Corp., Class A* |
| 29,082 |
| |
1,961 |
| Gap, Inc. (The) |
| 25,532 |
| |
1,045 |
| Garmin Ltd. |
| 17,849 |
| |
1,164 |
| Gentex Corp. |
| 10,208 |
| |
1,261 |
| Goodyear Tire & Rubber Co. (The)* |
| 8,108 |
| |
492 |
| Guess?, Inc. |
| 6,509 |
| |
2,653 |
| H&R Block, Inc. |
| 50,752 |
| |
767 |
| Hanesbrands, Inc.* |
| 9,910 |
| |
1,713 |
| Harley-Davidson, Inc. |
| 29,138 |
| |
354 |
| Harman International Industries, Inc. |
| 5,328 |
| |
421 |
| Hasbro, Inc. |
| 11,283 |
| |
509 |
| Hillenbrand, Inc. |
| 8,103 |
| |
39 |
| HSN, Inc.* |
| 146 |
| |
2,524 |
| International Game Technology |
| 27,032 |
| |
3,294 |
| Interpublic Group of Cos., Inc.* |
| 13,472 |
| |
39 |
| Interval Leisure Group, Inc.* |
| 207 |
| |
317 |
| ITT Educational Services, Inc.* |
| 28,555 |
| |
328 |
| John Wiley & Sons, Inc., Class A |
| 11,795 |
| |
1,919 |
| Kohl’s Corp.* |
| 62,675 |
| |
627 |
| Lamar Advertising Co., Class A* |
| 9,323 |
| |
1,279 |
| Liberty Global, Inc., Class A* |
| 18,533 |
| |
4,213 |
| Liberty Media Corp. - Entertainment, Class A* |
| 50,008 |
| |
1,105 |
| LKQ Corp.* |
| 11,514 |
| |
1,519 |
| Ltd Brands, Inc. |
| 14,142 |
| |
2,410 |
| Marriott International, Inc., Class A |
| 40,464 |
| |
1,305 |
| McGraw-Hill Cos., Inc. (The) |
| 32,625 |
| |
952 |
| MGM Mirage* |
| 11,405 |
| |
132 |
| Morningstar, Inc.* |
| 4,250 |
| |
1,484 |
| Nordstrom, Inc. |
| 16,873 |
| |
3 |
| NVR, Inc.* |
| 1,303 |
| |
399 |
| O’Reilly Automotive, Inc.* |
| 10,402 |
| |
294 |
| Orient-Express Hotels Ltd., Class A |
| 2,014 |
| |
216 |
| Panera Bread Co., Class A* |
| 9,599 |
| |
605 |
| Penn National Gaming, Inc.* |
| 12,826 |
| |
1,038 |
| PetSmart, Inc. |
| 18,217 |
| |
367 |
| Phillips-Van Heusen Corp. |
| 6,400 |
| |
457 |
| Polo Ralph Lauren Corp. |
| 19,742 |
| |
314 |
| priceline.com, Inc.* |
| 21,666 |
| |
403 |
| Pulte Homes, Inc. |
| 4,292 |
| |
1,087 |
| Ross Stores, Inc. |
| 28,805 |
| |
526 |
| Scientific Games Corp., Class A* |
| 7,895 |
| |
821 |
| Sherwin-Williams Co. (The) |
| 48,382 |
| |
24,208 |
| Sirius XM Radio, Inc.* |
| 5,043 |
| |
5,936 |
| Starbucks Corp.* |
| 53,008 |
| |
1,522 |
| Starwood Hotels & Resorts Worldwide, Inc. |
| 25,661 |
| |
116 |
| Strayer Education, Inc. |
| 27,795 |
| |
86 |
| Thor Industries, Inc. |
| 1,345 |
| |
39 |
| Ticketmaster Entertainment, Inc.* |
| 156 |
| |
1,028 |
| Tiffany & Co. |
| 20,344 |
| |
1,506 |
| Tim Hortons, Inc. |
| 37,484 |
| |
3,463 |
| TJX Cos., Inc. |
| 79,026 |
| |
926 |
| Urban Outfitters, Inc.* |
| 16,825 |
| |
535 |
| WABCO Holdings, Inc. |
| 7,950 |
| |
115 |
| Warner Music Group Corp. |
| 343 |
| |
250 |
| Weight Watchers International, Inc. |
| 7,075 |
| |
117 |
| Williams-Sonoma, Inc. |
| 820 |
| |
466 |
| Wynn Resorts Ltd.* |
| 18,556 |
| |
3,863 |
| Yum! Brands, Inc. |
| 104,069 |
| |
|
|
|
| 1,629,000 |
| |
|
| Consumer Staples - 3.7% |
|
|
| |
|
|
|
|
|
| |
92 |
| Alberto-Culver Co. |
| 1,975 |
| |
3,480 |
| Avon Products, Inc. |
| 73,428 |
| |
495 |
| Bare Escentuals, Inc.* |
| 2,336 |
| |
626 |
| Brown-Forman Corp., Class B |
| 27,475 |
| |
888 |
| Campbell Soup Co. |
| 28,460 |
| |
332 |
| Central European Distribution Corp.* |
| 7,848 |
| |
542 |
| Church & Dwight Co., Inc. |
| 32,217 |
| |
347 |
| Clorox Co. |
| 20,529 |
| |
862 |
| Dean Foods Co.* |
| 12,551 |
| |
469 |
| Energizer Holdings, Inc.* |
| 20,364 |
| |
798 |
| Estee Lauder Cos., Inc. (The), Class A |
| 22,264 |
| |
590 |
| Hansen Natural Corp.* |
| 17,553 |
| |
531 |
| Herbalife Ltd. |
| 9,441 |
| |
632 |
| Hershey Co. (The) |
| 22,752 |
| |
1,426 |
| HJ Heinz Co. |
| 55,386 |
| |
191 |
| JM Smucker Co. (The) |
| 8,666 |
| |
743 |
| Lorillard, Inc. |
| 44,900 |
| |
343 |
| McCormick & Co., Inc. (Non-Voting) |
| 10,211 |
| |
213 |
| NBTY, Inc.* |
| 3,103 |
| |
266 |
| Tyson Foods, Inc., Class A |
| 1,785 |
| |
1,143 |
| Whole Foods Market, Inc. |
| 12,093 |
| |
|
|
|
| 435,337 |
| |
|
| Energy - 7.5% |
|
|
| |
|
|
|
|
|
| |
573 |
| Alpha Natural Resources, Inc.* |
| 12,715 |
| |
1,175 |
| Arch Coal, Inc. |
| 18,071 |
| |
456 |
| Atwood Oceanics, Inc.* |
| 8,254 |
| |
383 |
| Cabot Oil & Gas Corp. |
| 11,478 |
| |
1,767 |
| Cameron International Corp.* |
| 37,284 |
| |
225 |
| CNX Gas Corp.* |
| 6,991 |
| |
1,490 |
| CONSOL Energy, Inc. |
| 43,165 |
| |
243 |
| Continental Resources, Inc.* |
| 4,751 |
| |
2,006 |
| Denbury Resources, Inc.* |
| 19,117 |
| |
561 |
| Diamond Offshore Drilling, Inc. |
| 41,402 |
| |
701 |
| Dresser-Rand Group, Inc.* |
| 11,714 |
| |
1,225 |
| El Paso Corp. |
| 9,053 |
| |
110 |
| Encore Acquisition Co.* |
| 2,908 |
| |
1,098 |
| ENSCO International, Inc. |
| 35,586 |
| |
1,044 |
| FMC Technologies, Inc.* |
| 28,679 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
370 |
| Foundation Coal Holdings, Inc. |
| $ | 5,280 |
|
848 |
| Frontier Oil Corp. |
| 10,125 |
| |
397 |
| Frontline Ltd. |
| 11,727 |
| |
600 |
| Global Industries Ltd.* |
| 1,770 |
| |
64 |
| Helix Energy Solutions Group, Inc.* |
| 412 |
| |
348 |
| Holly Corp. |
| 6,330 |
| |
353 |
| IHS, Inc., Class A* |
| 12,810 |
| |
171 |
| Key Energy Services, Inc.* |
| 812 |
| |
523 |
| Mariner Energy, Inc.* |
| 5,748 |
| |
657 |
| Massey Energy Co. |
| 10,262 |
| |
1,549 |
| Murphy Oil Corp. |
| 68,233 |
| |
324 |
| Nabors Industries Ltd.* |
| 4,698 |
| |
2,191 |
| Noble Corp. |
| 58,697 |
| |
90 |
| Noble Energy, Inc. |
| 4,705 |
| |
449 |
| Oceaneering International, Inc.* |
| 11,593 |
| |
268 |
| Oil States International, Inc.* |
| 5,741 |
| |
631 |
| Patriot Coal Corp.* |
| 5,345 |
| |
778 |
| Patterson-UTI Energy, Inc. |
| 9,717 |
| |
1,930 |
| PetroHawk Energy Corp.* |
| 33,717 |
| |
799 |
| Plains Exploration & Production Co.* |
| 18,497 |
| |
981 |
| Pride International, Inc.* |
| 15,902 |
| |
844 |
| Quicksilver Resources, Inc.* |
| 5,258 |
| |
1,258 |
| Range Resources Corp. |
| 52,169 |
| |
321 |
| Rowan Cos., Inc. |
| 5,569 |
| |
849 |
| SandRidge Energy, Inc.* |
| 7,522 |
| |
20 |
| SEACOR Holdings, Inc.* |
| 1,323 |
| |
1,759 |
| Smith International, Inc. |
| 51,433 |
| |
2,788 |
| Southwestern Energy Co.* |
| 95,824 |
| |
207 |
| St. Mary Land & Exploration Co. |
| 4,163 |
| |
566 |
| Sunoco, Inc. |
| 22,493 |
| |
658 |
| Superior Energy Services, Inc.* |
| 11,087 |
| |
327 |
| Tesoro Corp. |
| 3,005 |
| |
608 |
| Tetra Technologies, Inc.* |
| 2,931 |
| |
22 |
| Tidewater, Inc. |
| 869 |
| |
293 |
| Unit Corp.* |
| 8,403 |
| |
246 |
| W&T Offshore, Inc. |
| 3,444 |
| |
454 |
| Walter Industries, Inc. |
| 8,281 |
| |
345 |
| Whiting Petroleum Corp.* |
| 13,213 |
| |
|
|
|
| 890,276 |
| |
|
| Financials - 4.5% |
|
|
| |
|
|
|
|
|
| |
334 |
| Affiliated Managers Group, Inc.* |
| 9,352 |
| |
227 |
| Apartment Investment & Management Co., Class A (REIT) |
| 2,604 |
| |
283 |
| Axis Capital Holdings Ltd. |
| 7,163 |
| |
224 |
| Brown & Brown, Inc. |
| 4,458 |
| |
274 |
| Camden Property Trust (REIT) |
| 7,253 |
| |
64 |
| Capitol Federal Financial |
| 2,737 |
| |
487 |
| CB Richard Ellis Group, Inc., Class A* |
| 2,221 |
| |
399 |
| Digital Realty Trust, Inc. (REIT) |
| 10,917 |
| |
607 |
| E*Trade Financial Corp.* |
| 819 |
| |
835 |
| Eaton Vance Corp. |
| 15,965 |
| |
21 |
| Erie Indemnity Co., Class A |
| 786 |
| |
45 |
| Essex Property Trust, Inc. (REIT) |
| 3,891 |
| |
141 |
| Federal Realty Investment Trust (REIT) |
| 8,155 |
| |
712 |
| Federated Investors, Inc., Class B |
| 14,133 |
| |
605 |
| Forest City Enterprises, Inc., Class A |
| 3,606 |
| |
975 |
| General Growth Properties, Inc. (REIT) |
| 1,346 |
| |
400 |
| GLG Partners, Inc. |
| 1,016 |
| |
242 |
| HCP, Inc. (REIT) |
| 5,002 |
| |
94 |
| Health Care REIT, Inc. (REIT) |
| 3,572 |
| |
1,469 |
| Hudson City Bancorp, Inc. |
| 24,547 |
| |
575 |
| IntercontinentalExchange, Inc.* |
| 42,320 |
| |
398 |
| Invesco Ltd. |
| 4,995 |
| |
326 |
| Investment Technology Group, Inc.* |
| 5,454 |
| |
1,234 |
| Janus Capital Group, Inc. |
| 10,057 |
| |
24 |
| Kilroy Realty Corp. (REIT) |
| 731 |
| |
616 |
| Lazard Ltd., Class A |
| 19,256 |
| |
609 |
| Macerich Co. (The) (REIT) |
| 8,197 |
| |
366 |
| MF Global Ltd.* |
| 959 |
| |
359 |
| MSCI, Inc., Class A* |
| 5,539 |
| |
601 |
| Nasdaq OMX Group, Inc. (The)* |
| 12,922 |
| |
72 |
| Nationwide Health Properties, Inc. (REIT) |
| 1,629 |
| |
1,621 |
| Northern Trust Corp. |
| 74,388 |
| |
163 |
| Philadelphia Consolidated Holding Co.* |
| 10,016 |
| |
455 |
| Plum Creek Timber Co., Inc. (REIT) |
| 16,193 |
| |
79 |
| Rayonier, Inc. (REIT) |
| 2,639 |
| |
1,098 |
| SEI Investments Co. |
| 16,975 |
| |
3,373 |
| SLM Corp.* |
| 31,065 |
| |
633 |
| St. Joe Co. (The)* |
| 16,718 |
| |
2,118 |
| T. Rowe Price Group, Inc. |
| 72,457 |
| |
431 |
| Taubman Centers, Inc. (REIT) |
| 10,275 |
| |
1,982 |
| TD Ameritrade Holding Corp.* |
| 26,361 |
| |
53 |
| Transatlantic Holdings, Inc. |
| 2,101 |
| |
6 |
| Tree.com, Inc.* |
| 11 |
| |
186 |
| Ventas, Inc. (REIT) |
| 4,274 |
| |
707 |
| Waddell & Reed Financial, Inc., Class A |
| 9,502 |
| |
60 |
| WR Berkley Corp. |
| 1,706 |
| |
|
|
|
| 536,283 |
| |
|
| Health Care - 10.5% |
|
|
| |
|
|
|
|
|
| |
56 |
| Abraxis Bioscience, Inc.* |
| 3,265 |
| |
363 |
| Advanced Medical Optics, Inc.* |
| 2,109 |
| |
2,487 |
| Allergan, Inc. |
| 93,710 |
| |
160 |
| AmerisourceBergen Corp. |
| 5,016 |
| |
1,118 |
| Amylin Pharmaceuticals, Inc.* |
| 8,284 |
| |
261 |
| Barr Pharmaceuticals, Inc.* |
| 17,067 |
| |
414 |
| Beckman Coulter, Inc. |
| 18,042 |
| |
804 |
| BioMarin Pharmaceutical, Inc.* |
| 13,692 |
| |
552 |
| Cephalon, Inc.* |
| 40,561 |
| |
551 |
| Cerner Corp.* |
| 19,825 |
| |
252 |
| Charles River Laboratories International, Inc.* |
| 5,746 |
| |
318 |
| Cigna Corp. |
| 3,851 |
| |
177 |
| Community Health Systems, Inc.* |
| 2,312 |
| |
513 |
| Covance, Inc.* |
| 20,048 |
| |
252 |
| Coventry Health Care, Inc.* |
| 3,143 |
| |
809 |
| CR Bard, Inc. |
| 66,362 |
| |
710 |
| DaVita, Inc.* |
| 35,678 |
| |
1,214 |
| Dentsply International, Inc. |
| 31,661 |
| |
447 |
| Edwards Lifesciences Corp.* |
| 22,247 |
| |
889 |
| Endo Pharmaceuticals Holdings, Inc.* |
| 19,549 |
| |
1,716 |
| Express Scripts, Inc.* |
| 98,687 |
| |
216 |
| Forest Laboratories, Inc.* |
| 5,223 |
| |
440 |
| Gen-Probe, Inc.* |
| 16,214 |
| |
1,313 |
| Health Management Associates, Inc., Class A* |
| 1,917 |
| |
47 |
| Health Net, Inc.* |
| 424 |
| |
683 |
| Henry Schein, Inc.* |
| 24,404 |
| |
69 |
| Hill-Rom Holdings, Inc. |
| 1,417 |
| |
430 |
| HLTH Corp.* |
| 4,029 |
| |
1,043 |
| Hologic, Inc.* |
| 14,665 |
| |
187 |
| Hospira, Inc.* |
| 5,616 |
| |
784 |
| Humana, Inc.* |
| 23,700 |
| |
492 |
| Idexx Laboratories, Inc.* |
| 15,208 |
| |
1,000 |
| Illumina, Inc.* |
| 22,010 |
| |
322 |
| IMS Health, Inc. |
| 4,234 |
| |
316 |
| Intuitive Surgical, Inc.* |
| 41,880 |
| |
320 |
| Inverness Medical Innovations, Inc.* |
| 5,622 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
461 |
| Kinetic Concepts, Inc.* |
| $ | 9,976 |
|
908 |
| Laboratory Corp. of America Holdings* |
| 57,531 |
| |
853 |
| Life Technologies Corp.* |
| 22,263 |
| |
544 |
| Lincare Holdings, Inc.* |
| 13,018 |
| |
449 |
| Millipore Corp.* |
| 22,746 |
| |
457 |
| Mylan, Inc.* |
| 4,300 |
| |
63 |
| Omnicare, Inc. |
| 1,519 |
| |
989 |
| Patterson Cos., Inc.* |
| 18,613 |
| |
329 |
| Pediatrix Medical Group, Inc.* |
| 10,239 |
| |
432 |
| PerkinElmer, Inc. |
| 7,802 |
| |
635 |
| Perrigo Co. |
| 21,850 |
| |
871 |
| Pharmaceutical Product Development, Inc. |
| 22,942 |
| |
1,059 |
| Quest Diagnostics, Inc. |
| 49,318 |
| |
630 |
| Resmed, Inc.* |
| 22,894 |
| |
879 |
| Sepracor, Inc.* |
| 10,337 |
| |
2,769 |
| St. Jude Medical, Inc.* |
| 77,615 |
| |
315 |
| Techne Corp. |
| 19,533 |
| |
2,211 |
| Tenet Healthcare Corp.* |
| 2,675 |
| |
1,024 |
| Varian Medical Systems, Inc.* |
| 41,329 |
| |
688 |
| VCA Antech, Inc.* |
| 13,106 |
| |
1,221 |
| Vertex Pharmaceuticals, Inc.* |
| 30,024 |
| |
748 |
| Warner Chilcott Ltd., Class A* |
| 9,911 |
| |
816 |
| Waters Corp.* |
| 33,644 |
| |
421 |
| Watson Pharmaceuticals, Inc.* |
| 9,999 |
| |
340 |
| WellCare Health Plans, Inc.* |
| 3,046 |
| |
|
|
|
| 1,253,648 |
| |
|
| Industrials - 14.4% |
|
|
| |
|
|
|
|
|
| |
739 |
| Aecom Technology Corp.* |
| 19,576 |
| |
543 |
| AGCO Corp.* |
| 13,369 |
| |
116 |
| Alliant Techsystems, Inc.* |
| 9,535 |
| |
870 |
| Ametek, Inc. |
| 30,389 |
| |
1,143 |
| AMR Corp.* |
| 10,036 |
| |
752 |
| BE Aerospace, Inc.* |
| 6,151 |
| |
331 |
| Brink’s Co. (The) |
| 7,206 |
| |
611 |
| Bucyrus International, Inc. |
| 11,933 |
| |
54 |
| Carlisle Cos., Inc. |
| 1,146 |
| |
1,391 |
| CH Robinson Worldwide, Inc. |
| 71,052 |
| |
61 |
| Con-way, Inc. |
| 1,706 |
| |
1,080 |
| Cooper Industries Ltd., Class A |
| 26,071 |
| |
178 |
| Copa Holdings SA, Class A |
| 3,946 |
| |
515 |
| Copart, Inc.* |
| 13,735 |
| |
278 |
| Corporate Executive Board Co. (The) |
| 6,411 |
| |
903 |
| Corrections Corp. of America* |
| 16,335 |
| |
983 |
| Covanta Holding Corp.* |
| 19,611 |
| |
1,656 |
| Cummins, Inc. |
| 42,361 |
| |
1,204 |
| Delta Air Lines, Inc.* |
| 10,607 |
| |
635 |
| Donaldson Co., Inc. |
| 21,730 |
| |
1,351 |
| Dover Corp. |
| 40,300 |
| |
322 |
| Dun & Bradstreet Corp. |
| 25,760 |
| |
607 |
| Eaton Corp. |
| 28,128 |
| |
563 |
| Equifax, Inc. |
| 14,328 |
| |
1,739 |
| Expeditors International of Washington, Inc. |
| 58,135 |
| |
1,053 |
| Fastenal Co. |
| 40,551 |
| |
213 |
| Flowserve Corp. |
| 10,720 |
| |
1,447 |
| Fluor Corp. |
| 65,896 |
| |
1,175 |
| Foster Wheeler Ltd.* |
| 26,156 |
| |
409 |
| FTI Consulting, Inc.* |
| 22,430 |
| |
45 |
| GATX Corp. |
| 1,267 |
| |
430 |
| General Cable Corp.* |
| 7,099 |
| |
1,020 |
| Goodrich Corp. |
| 34,323 |
| |
494 |
| Graco, Inc. |
| 10,601 |
| |
687 |
| Harsco Corp. |
| 17,278 |
| |
145 |
| Hertz Global Holdings, Inc.* |
| 506 |
| |
199 |
| Hubbell, Inc., Class B |
| 5,950 |
| |
597 |
| IDEX Corp. |
| 13,731 |
| |
447 |
| Ingersoll-Rand Co., Ltd., Class A |
| 7,009 |
| |
1,459 |
| Iron Mountain, Inc.* |
| 31,704 |
| |
1,123 |
| ITT Corp. |
| 47,009 |
| |
993 |
| Jacobs Engineering Group, Inc.* |
| 44,457 |
| |
665 |
| JB Hunt Transport Services, Inc. |
| 17,829 |
| |
226 |
| John Bean Technologies Corp. |
| 1,973 |
| |
883 |
| Joy Global, Inc. |
| 20,565 |
| |
607 |
| Kansas City Southern* |
| 13,306 |
| |
1,123 |
| KBR, Inc. |
| 15,464 |
| |
132 |
| Kennametal, Inc. |
| 2,468 |
| |
440 |
| Kirby Corp.* |
| 11,189 |
| |
775 |
| L-3 Communications Holdings, Inc. |
| 52,057 |
| |
430 |
| Landstar System, Inc. |
| 13,820 |
| |
380 |
| Lennox International, Inc. |
| 10,503 |
| |
238 |
| Lincoln Electric Holdings, Inc. |
| 10,874 |
| |
1,060 |
| Manitowoc Co., Inc. (The) |
| 8,353 |
| |
49 |
| Manpower, Inc. |
| 1,543 |
| |
1,847 |
| McDermott International, Inc.* |
| 18,008 |
| |
975 |
| Monster Worldwide, Inc.* |
| 11,183 |
| |
361 |
| MSC Industrial Direct Co., Class A |
| 12,494 |
| |
424 |
| Oshkosh Corp. |
| 2,968 |
| |
1,000 |
| Pall Corp. |
| 27,510 |
| |
1,368 |
| Parker Hannifin Corp. |
| 56,198 |
| |
1,530 |
| Pitney Bowes, Inc. |
| 37,806 |
| |
1,136 |
| Precision Castparts Corp. |
| 71,227 |
| |
1,089 |
| Quanta Services, Inc.* |
| 17,707 |
| |
1,169 |
| Republic Services, Inc. |
| 28,056 |
| |
1,165 |
| Robert Half International, Inc. |
| 24,337 |
| |
1,197 |
| Rockwell Automation, Inc. |
| 37,287 |
| |
1,311 |
| Rockwell Collins, Inc. |
| 44,679 |
| |
729 |
| Roper Industries, Inc. |
| 33,366 |
| |
154 |
| Ryder System, Inc. |
| 5,530 |
| |
676 |
| Shaw Group, Inc. (The)* |
| 12,438 |
| |
435 |
| SPX Corp. |
| 16,234 |
| |
703 |
| Stericycle, Inc.* |
| 40,282 |
| |
671 |
| SunPower Corp., Class A* |
| 23,304 |
| |
2,032 |
| Textron, Inc. |
| 30,947 |
| |
34 |
| Timken Co. |
| 493 |
| |
290 |
| Toro Co. |
| 8,248 |
| |
124 |
| URS Corp.* |
| 4,707 |
| |
302 |
| USG Corp.* |
| 2,854 |
| |
734 |
| UTi Worldwide, Inc. |
| 7,869 |
| |
154 |
| Valmont Industries, Inc. |
| 8,516 |
| |
252 |
| WESCO International, Inc.* |
| 3,727 |
| |
624 |
| WW Grainger, Inc. |
| 44,036 |
| |
|
|
|
| 1,708,199 |
| |
|
| Information Technology - 15.3% |
|
|
| |
|
|
|
|
|
| |
4,839 |
| Activision Blizzard, Inc.* |
| 56,616 |
| |
618 |
| Advanced Micro Devices, Inc.* |
| 1,458 |
| |
203 |
| Affiliated Computer Services, Inc., Class A* |
| 8,211 |
| |
2,976 |
| Agilent Technologies, Inc.* |
| 56,038 |
| |
1,372 |
| Akamai Technologies, Inc.* |
| 16,834 |
| |
549 |
| Alliance Data Systems Corp.* |
| 23,777 |
| |
2,444 |
| Altera Corp. |
| 35,951 |
| |
678 |
| Amdocs Ltd.* |
| 12,740 |
| |
1,430 |
| Amphenol Corp., Class A |
| 33,205 |
| |
2,366 |
| Analog Devices, Inc. |
| 40,459 |
| |
690 |
| Ansys, Inc.* |
| 19,913 |
| |
68 |
| Arrow Electronics, Inc.* |
| 938 |
| |
2,318 |
| Atmel Corp.* |
| 6,490 |
| |
1,822 |
| Autodesk, Inc.* |
| 30,227 |
| |
537 |
| Avnet, Inc.* |
| 7,647 |
| |
33 |
| AVX Corp. |
| 288 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
1,557 |
| BMC Software, Inc.* |
| $ | 38,863 |
|
4,192 |
| Broadcom Corp., Class A* |
| 64,180 |
| |
1,142 |
| Broadridge Financial Solutions, Inc. |
| 13,019 |
| |
432 |
| Brocade Communications Systems, Inc.* |
| 1,391 |
| |
1,479 |
| CA, Inc. |
| 24,906 |
| |
710 |
| Ciena Corp.* |
| 5,254 |
| |
1,496 |
| Citrix Systems, Inc.* |
| 39,883 |
| |
2,355 |
| Cognizant Technology Solutions Corp., Class A* |
| 45,216 |
| |
569 |
| CommScope, Inc.* |
| 6,424 |
| |
1,252 |
| Compuware Corp.* |
| 7,950 |
| |
302 |
| Cree, Inc.* |
| 4,796 |
| |
1,228 |
| Cypress Semiconductor Corp.* |
| 4,580 |
| |
448 |
| Diebold, Inc. |
| 12,544 |
| |
411 |
| Dolby Laboratories, Inc., Class A* |
| 12,256 |
| |
296 |
| DST Systems, Inc.* |
| 11,192 |
| |
25 |
| EchoStar Corp., Class A* |
| 427 |
| |
2,596 |
| Electronic Arts, Inc.* |
| 49,480 |
| |
267 |
| Equinix, Inc.* |
| 12,124 |
| |
668 |
| F5 Networks, Inc.* |
| 16,633 |
| |
348 |
| Factset Research Systems, Inc. |
| 13,920 |
| |
361 |
| Fidelity National Information Services, Inc. |
| 6,202 |
| |
1,337 |
| Fiserv, Inc.* |
| 45,645 |
| |
1,120 |
| Flir Systems, Inc.* |
| 34,742 |
| |
471 |
| Genpact Ltd.* |
| 3,735 |
| |
649 |
| Global Payments, Inc. |
| 23,474 |
| |
1,098 |
| Harris Corp. |
| 38,298 |
| |
794 |
| Hewitt Associates, Inc., Class A* |
| 22,693 |
| |
97 |
| IAC/InterActiveCorp* |
| 1,435 |
| |
628 |
| Integrated Device Technology, Inc.* |
| 3,247 |
| |
130 |
| International Rectifier Corp.* |
| 1,520 |
| |
344 |
| Intersil Corp., Class A |
| 3,117 |
| |
2,617 |
| Intuit, Inc.* |
| 57,993 |
| |
278 |
| Itron, Inc.* |
| 13,172 |
| |
822 |
| Jabil Circuit, Inc. |
| 5,409 |
| |
915 |
| JDS Uniphase Corp.* |
| 2,489 |
| |
4,280 |
| Juniper Networks, Inc.* |
| 74,386 |
| |
1,298 |
| Kla-Tencor Corp. |
| 24,415 |
| |
932 |
| Lam Research Corp.* |
| 18,826 |
| |
181 |
| Lender Processing Services, Inc. |
| 3,993 |
| |
1,809 |
| Linear Technology Corp. |
| 36,090 |
| |
3,940 |
| LSI Corp.* |
| 10,559 |
| |
3,955 |
| Marvell Technology Group Ltd.* |
| 22,939 |
| |
1,108 |
| McAfee, Inc.* |
| 33,606 |
| |
1,857 |
| MEMC Electronic Materials, Inc.* |
| 27,892 |
| |
732 |
| Metavante Technologies, Inc.* |
| 12,642 |
| |
283 |
| Mettler Toledo International, Inc.* |
| 23,277 |
| |
1,508 |
| Microchip Technology, Inc. |
| 27,898 |
| |
775 |
| Micron Technology, Inc.* |
| 2,123 |
| |
313 |
| Molex, Inc. |
| 4,257 |
| |
462 |
| National Instruments Corp. |
| 11,139 |
| |
1,870 |
| National Semiconductor Corp. |
| 20,570 |
| |
1,231 |
| NCR Corp.* |
| 18,687 |
| |
2,801 |
| NetApp, Inc.* |
| 37,813 |
| |
632 |
| NeuStar, Inc., Class A* |
| 12,103 |
| |
1,292 |
| Novell, Inc.* |
| 5,879 |
| |
245 |
| Novellus Systems, Inc.* |
| 3,036 |
| |
1,512 |
| Nuance Communications, Inc.* |
| 13,880 |
| |
4,523 |
| NVIDIA Corp.* |
| 33,787 |
| |
3,323 |
| ON Semiconductor Corp.* |
| 9,703 |
| |
2,639 |
| Paychex, Inc. |
| 74,578 |
| |
851 |
| Rambus, Inc.* |
| 8,774 |
| |
1,554 |
| Red Hat, Inc.* |
| 14,374 |
| |
253 |
| SAIC, Inc.* |
| 4,503 |
| |
857 |
| Salesforce.com, Inc.* |
| 24,527 |
| |
361 |
| SanDisk Corp.* |
| 2,888 |
| |
1,913 |
| Seagate Technology |
| 8,054 |
| |
397 |
| Silicon Laboratories, Inc.* |
| 8,321 |
| |
231 |
| Sohu.com, Inc.* |
| 11,213 |
| |
61 |
| Tech Data Corp.* |
| 1,064 |
| |
718 |
| Teradata Corp.* |
| 9,643 |
| |
877 |
| Teradyne, Inc.* |
| 3,324 |
| |
1,333 |
| Total System Services, Inc. |
| 19,022 |
| |
989 |
| Trimble Navigation Ltd.* |
| 20,136 |
| |
1,601 |
| Unisys Corp.* |
| 1,073 |
| |
605 |
| Varian Semiconductor Equipment Associates, Inc.* |
| 11,132 |
| |
1,588 |
| VeriSign, Inc.* |
| 34,285 |
| |
63 |
| WebMD Health Corp., Class A* |
| 1,208 |
| |
1,805 |
| Western Digital Corp.* |
| 22,021 |
| |
2,277 |
| Xilinx, Inc. |
| 37,252 |
| |
495 |
| Zebra Technologies Corp., Class A* |
| 10,474 |
| |
|
|
|
| 1,816,367 |
| |
|
| Materials - 3.6% |
|
|
| |
|
|
|
|
|
| |
675 |
| Airgas, Inc. |
| 24,131 |
| |
913 |
| AK Steel Holding Corp. |
| 7,194 |
| |
746 |
| Albemarle Corp. |
| 15,166 |
| |
824 |
| Allegheny Technologies, Inc. |
| 18,911 |
| |
103 |
| Aptargroup, Inc. |
| 3,444 |
| |
120 |
| Ball Corp. |
| 4,374 |
| |
24 |
| Carpenter Technology Corp. |
| 400 |
| |
1,017 |
| Celanese Corp., Class A |
| 11,746 |
| |
141 |
| Century Aluminum Co.* |
| 1,149 |
| |
460 |
| CF Industries Holdings, Inc. |
| 24,210 |
| |
160 |
| Chemtura Corp. |
| 267 |
| |
925 |
| Cliffs Natural Resources, Inc. |
| 21,969 |
| |
1,309 |
| Crown Holdings, Inc.* |
| 21,010 |
| |
316 |
| Eagle Materials, Inc. |
| 6,636 |
| |
1,423 |
| Ecolab, Inc. |
| 54,629 |
| |
236 |
| FMC Corp. |
| 10,313 |
| |
272 |
| Greif, Inc., Class A |
| 9,017 |
| |
143 |
| Huntsman Corp. |
| 1,023 |
| |
656 |
| International Flavors & Fragrances, Inc. |
| 20,034 |
| |
159 |
| Intrepid Potash, Inc.* |
| 3,053 |
| |
312 |
| Martin Marietta Materials, Inc. |
| 27,344 |
| |
1,068 |
| Nalco Holding Co. |
| 12,186 |
| |
389 |
| Owens-Illinois, Inc.* |
| 7,866 |
| |
197 |
| Packaging Corp. of America |
| 2,941 |
| |
147 |
| PPG Industries, Inc. |
| 6,456 |
| |
913 |
| Rohm & Haas Co. |
| 62,458 |
| |
23 |
| Schnitzer Steel Industries, Inc., Class A |
| 621 |
| |
278 |
| Scotts Miracle-Gro Co. (The), Class A |
| 8,996 |
| |
554 |
| Sigma-Aldrich Corp. |
| 23,883 |
| |
360 |
| Steel Dynamics, Inc. |
| 2,974 |
| |
833 |
| Terra Industries, Inc. |
| 12,253 |
| |
128 |
| Titanium Metals Corp. |
| 1,082 |
| |
19 |
| Valhi, Inc. |
| 266 |
| |
|
|
|
| 428,002 |
| |
|
| Telecommunication Services - 2.1% |
|
|
| |
|
|
|
|
|
| |
3,234 |
| American Tower Corp., Class A* |
| 88,094 |
| |
489 |
| Clearwire Corp., Class A* |
| 3,237 |
| |
477 |
| Crown Castle International Corp.* |
| 6,711 |
| |
605 |
| Embarq Corp. |
| 19,747 |
| |
587 |
| Frontier Communications Corp. |
| 5,119 |
| |
38 |
| Leap Wireless International, Inc.* |
| 760 |
| |
12,654 |
| Level 3 Communications, Inc.* |
| 11,899 |
| |
1,986 |
| MetroPCS Communications, Inc.* |
| 29,075 |
| |
1,366 |
| NII Holdings, Inc.* |
| 26,555 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| ||
|
| Common Stocks (a) (continued) |
|
|
| ||
6,095 |
| Qwest Communications International, Inc. |
| $ | 19,504 |
| |
886 |
| SBA Communications Corp., Class A* |
| 13,990 |
| ||
360 |
| Telephone & Data Systems, Inc. |
| 11,682 |
| ||
57 |
| U.S. Cellular Corp.* |
| 2,247 |
| ||
1,816 |
| Windstream Corp. |
| 16,090 |
| ||
|
|
|
| 254,710 |
| ||
|
| Utilities - 3.1% |
|
|
| ||
|
|
|
|
|
| ||
5,478 |
| AES Corp. (The)* |
| 42,126 |
| ||
1,370 |
| Allegheny Energy, Inc. |
| 48,292 |
| ||
2,887 |
| Calpine Corp.* |
| 25,868 |
| ||
1,694 |
| Centerpoint Energy, Inc. |
| 21,903 |
| ||
1,331 |
| Constellation Energy Group, Inc. |
| 32,570 |
| ||
71 |
| DPL, Inc. |
| 1,478 |
| ||
110 |
| Energen Corp. |
| 3,388 |
| ||
1,067 |
| Equitable Resources, Inc. |
| 35,606 |
| ||
969 |
| Mirant Corp.* |
| 16,686 |
| ||
725 |
| NRG Energy, Inc.* |
| 17,175 |
| ||
504 |
| NV Energy, Inc. |
| 4,778 |
| ||
3,042 |
| PPL Corp. |
| 103,093 |
| ||
536 |
| Questar Corp. |
| 17,254 |
| ||
|
|
|
| 370,217 |
| ||
|
| Total Common Stock |
| 9,322,039 |
| ||
|
|
|
|
|
| ||
Principal |
|
|
|
|
| ||
|
| Repurchase Agreements - 29.0% |
|
|
| ||
$ | 460,175 |
| Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $460,183(b) |
| 460,175 |
| |
460,175 |
| Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $460,187(c) |
| 460,175 |
| ||
34,513 |
| Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $34,514(d) |
| 34,513 |
| ||
115,044 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $115,052(e) |
| 115,044 |
| ||
230,087 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $230,103(f) |
| 230,087 |
| ||
805,305 |
| ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $805,324(g) |
| 805,305 |
| ||
690,262 |
| JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $690,274(h) |
| 690,262 |
| ||
656,270 |
| UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $656,284(i) |
| 656,270 |
| ||
|
| Total Repurchase Agreements |
| 3,451,831 |
| ||
|
| Total Investments |
| 12,773,870 |
| ||
|
| Liabilities in excess of other assets — (7.4)% |
| $ | (884,252 | ) | |
|
| Net Assets — 100.0% |
| $ | 11,889,618 |
| |
* |
| Non-income producing security. |
(a) |
| A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. |
(b) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $469,379. The investment in the repurchase agreement was through participation in a pooled account. |
(c) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $469,379. The investment in the repurchase agreement was through participation in a pooled account. |
(d) |
| Represents the Fund’s 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $35,205. The investment in the repurchase agreement was through participation in a pooled account. |
(e) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $117,345. The investment in the repurchase agreement was through participation in a pooled account. |
(f) |
| Represents the Fund’s 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $234,689. The investment in the repurchase agreement was through participation in a pooled account. |
(g) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $821,412. The investment in the repurchase agreement was through participation in a pooled account. |
(h) |
| Represents the Fund’s 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $704,068. The investment in the repurchase agreement was through participation in a pooled account. |
See accompanying notes to the financial statements.
(i) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $669,397. The investment in the repurchase agreement was through participation in a pooled account. |
REIT |
| Real Estate Investment Trust |
As of November 30, 2008, 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 |
| $ | — |
|
Aggregate gross unrealized depreciation |
| (4,019,175 | ) | |
Net unrealized depreciation |
| $ | (4,019,175 | ) |
Federal income tax cost of investments |
| $ | 16,793,045 |
|
Swap Agreements
Ultra Russell MidCap Growth had the following open swap agreements as of November 30, 2008:
|
| Termination |
| Notional Amount |
| Unrealized |
| ||
Equity Index Swap Agreement based on the Russell MidCap® Growth Index |
| 12/08/08 |
| $ | 3,250,446 |
| $ | (190,952 | ) |
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement based on the Russell MidCap® Growth Index |
| 12/08/08 |
| 11,117,808 |
| (721,044 | ) | ||
|
|
|
|
|
|
|
| ||
|
|
|
| $ | 14,368,254 |
| $ | (911,996 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell2000 Value
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) - 90.9% |
|
|
| |
|
| Consumer Discretionary - 8.5% |
|
|
| |
|
|
|
|
|
| |
709 |
| 99 Cents Only Stores* |
| $ | 7,643 |
|
1,534 |
| Aaron Rents, Inc. |
| 40,544 |
| |
406 |
| AFC Enterprises, Inc.* |
| 1,636 |
| |
691 |
| AH Belo Corp., Class A |
| 1,396 |
| |
1,552 |
| American Axle & Manufacturing Holdings, Inc. |
| 3,911 |
| |
1,535 |
| American Greetings Corp., Class A |
| 17,683 |
| |
337 |
| America’s Car-Mart, Inc.* |
| 3,148 |
| |
857 |
| Ameristar Casinos, Inc. |
| 6,565 |
| |
2,485 |
| ArvinMeritor, Inc. |
| 9,816 |
| |
1,077 |
| Asbury Automotive Group, Inc. |
| 5,417 |
| |
586 |
| Audiovox Corp., Class A* |
| 3,405 |
| |
1,324 |
| Beazer Homes USA, Inc.* |
| 2,396 |
| |
1,008 |
| Bebe Stores, Inc. |
| 6,229 |
| |
3,007 |
| Belo Corp., Class A |
| 5,804 |
| |
738 |
| Big 5 Sporting Goods Corp. |
| 2,797 |
| |
130 |
| BJ’s Restaurants, Inc.* |
| 1,271 |
| |
5,974 |
| Blockbuster, Inc., Class A* |
| 7,109 |
| |
435 |
| Bluegreen Corp.* |
| 1,353 |
| |
825 |
| Blyth, Inc. |
| 6,839 |
| |
1,046 |
| Bob Evans Farms, Inc. |
| 17,541 |
| |
973 |
| Borders Group, Inc. |
| 1,041 |
| |
313 |
| Brookfield Homes Corp. |
| 1,484 |
| |
1,429 |
| Brown Shoe Co., Inc. |
| 8,060 |
| |
2,954 |
| Brunswick Corp. |
| 8,005 |
| |
558 |
| Build-A-Bear Workshop, Inc.* |
| 2,483 |
| |
1,325 |
| Cabela’s, Inc.* |
| 8,281 |
| |
158 |
| Cache, Inc.* |
| 324 |
| |
187 |
| California Pizza Kitchen, Inc.* |
| 1,449 |
| |
2,236 |
| Callaway Golf Co. |
| 22,517 |
| |
1,908 |
| Carter’s, Inc.* |
| 36,080 |
| |
1,260 |
| Casual Male Retail Group, Inc.* |
| 806 |
| |
761 |
| Cato Corp. (The), Class A |
| 10,624 |
| |
51 |
| Cavco Industries, Inc.* |
| 1,543 |
| |
243 |
| CBRL Group, Inc. |
| 4,697 |
| |
84 |
| CEC Entertainment, Inc.* |
| 1,446 |
| |
1,348 |
| Champion Enterprises, Inc.* |
| 984 |
| |
597 |
| Charlotte Russe Holding, Inc.* |
| 2,985 |
| |
3,824 |
| Charming Shoppes, Inc.* |
| 5,736 |
| |
7,831 |
| Charter Communications, Inc., Class A* |
| 1,488 |
| |
116 |
| Cherokee, Inc. |
| 1,866 |
| |
4,094 |
| Chico’s FAS, Inc.* |
| 10,440 |
| |
791 |
| Childrens Place Retail Stores, Inc. (The)* |
| 18,549 |
| |
381 |
| Christopher & Banks Corp. |
| 1,284 |
| |
325 |
| Churchill Downs, Inc. |
| 11,394 |
| |
641 |
| Cinemark Holdings, Inc. |
| 4,827 |
| |
6,116 |
| Citadel Broadcasting Corp.* |
| 1,101 |
| |
752 |
| CKX, Inc.* |
| 3,309 |
| |
2,156 |
| Collective Brands, Inc.* |
| 16,493 |
| |
417 |
| Columbia Sportswear Co. |
| 13,156 |
| |
330 |
| Conn’s, Inc.* |
| 2,033 |
| |
1,987 |
| Cooper Tire & Rubber Co. |
| 9,518 |
| |
320 |
| Core-Mark Holding Co., Inc.* |
| 6,438 |
| |
863 |
| Cox Radio, Inc., Class A* |
| 5,005 |
| |
211 |
| CROCS, Inc.* |
| 268 |
| |
212 |
| Crown Media Holdings, Inc., Class A* |
| 452 |
| |
267 |
| CSS Industries, Inc. |
| 6,088 |
| |
888 |
| Cumulus Media, Inc., Class A* |
| 781 |
| |
3,339 |
| Dana Holding Corp.* |
| 3,172 |
| |
1,926 |
| Dillard’s, Inc., Class A |
| 7,049 |
| |
1,323 |
| Domino’s Pizza, Inc.* |
| 5,107 |
| |
368 |
| Dorman Products, Inc.* |
| 4,387 |
| |
1,518 |
| Dress Barn, Inc.* |
| 11,886 |
| |
607 |
| Drew Industries, Inc.* |
| 8,534 |
| |
195 |
| DSW, Inc., Class A* |
| 1,960 |
| |
73 |
| Einstein Noah Restaurant Group, Inc.* |
| 364 |
| |
864 |
| Entercom Communications Corp., Class A |
| 942 |
| |
1,014 |
| Entravision Communications Corp., Class A* |
| 781 |
| |
830 |
| Ethan Allen Interiors, Inc. |
| 11,462 |
| |
988 |
| Finish Line (The), Class A |
| 5,246 |
| |
225 |
| Fisher Communications, Inc. |
| 5,040 |
| |
1,348 |
| Fred’s, Inc., Class A |
| 15,502 |
| |
23 |
| Fuel Systems Solutions, Inc.* |
| 796 |
| |
1,403 |
| Furniture Brands International, Inc. |
| 4,574 |
| |
159 |
| G-III Apparel Group Ltd.* |
| 1,261 |
| |
1,378 |
| Gaylord Entertainment Co.* |
| 12,664 |
| |
650 |
| Genesco, Inc.* |
| 8,749 |
| |
1,439 |
| Gray Television, Inc. |
| 849 |
| |
816 |
| Great Wolf Resorts, Inc.* |
| 922 |
| |
780 |
| Group 1 Automotive, Inc. |
| 8,182 |
| |
270 |
| Gymboree Corp.* |
| 6,790 |
| |
1,079 |
| Harte-Hanks, Inc. |
| 6,442 |
| |
437 |
| Haverty Furniture Cos., Inc. |
| 3,710 |
| |
3,008 |
| Hayes Lemmerz International, Inc.* |
| 2,106 |
| |
1,019 |
| Helen of Troy Ltd.* |
| 15,958 |
| |
294 |
| Hooker Furniture Corp. |
| 1,961 |
| |
1,478 |
| HOT Topic, Inc.* |
| 12,149 |
| |
1,567 |
| Hovnanian Enterprises, Inc., Class A* |
| 3,432 |
| |
561 |
| Iconix Brand Group, Inc.* |
| 4,752 |
| |
651 |
| Interactive Data Corp. |
| 15,077 |
| |
531 |
| Isle of Capri Casinos, Inc.* |
| 1,784 |
| |
750 |
| Jack in the Box, Inc.* |
| 13,125 |
| |
960 |
| Jackson Hewitt Tax Service, Inc. |
| 12,355 |
| |
927 |
| Jakks Pacific, Inc.* |
| 16,593 |
| |
855 |
| Jo-Ann Stores, Inc.* |
| 11,867 |
| |
487 |
| JOS. A. Bank Clothiers, Inc.* |
| 9,521 |
| |
1,426 |
| Journal Communications, Inc., Class A |
| 3,380 |
| |
304 |
| Kenneth Cole Productions, Inc., Class A |
| 2,660 |
| |
959 |
| Knology, Inc.* |
| 5,447 |
| |
876 |
| K-Swiss, Inc., Class A |
| 11,038 |
| |
392 |
| Landry’s Restaurants, Inc. |
| 4,543 |
| |
1,735 |
| La-Z-Boy, Inc. |
| 5,708 |
| |
2,166 |
| Lear Corp.* |
| 5,133 |
| |
1,515 |
| Lee Enterprises, Inc. |
| 1,576 |
| |
76 |
| Libbey, Inc. |
| 152 |
| |
904 |
| Lin TV Corp., Class A* |
| 1,338 |
| |
76 |
| Lincoln Educational Services Corp.* |
| 1,045 |
| |
2,558 |
| Live Nation, Inc.* |
| 12,509 |
| |
548 |
| Lodgian, Inc.* |
| 1,206 |
| |
725 |
| Luby’s, Inc.* |
| 3,176 |
| |
472 |
| M/I Homes, Inc. |
| 4,975 |
| |
382 |
| Maidenform Brands, Inc.* |
| 3,537 |
| |
684 |
| Marcus Corp. |
| 8,817 |
| |
224 |
| Marine Products Corp. |
| 1,297 |
| |
552 |
| MarineMax, Inc.* |
| 1,535 |
| |
56 |
| Matthews International Corp., Class A |
| 2,286 |
| |
1,922 |
| McClatchy Co., Class A |
| 3,748 |
| |
772 |
| Media General, Inc., Class A |
| 1,490 |
| |
1,327 |
| Mediacom Communications Corp., Class A* |
| 3,357 |
| |
1,546 |
| Men’s Wearhouse, Inc. (The) |
| 16,449 |
| |
1,038 |
| Meritage Homes Corp.* |
| 12,871 |
| |
1,092 |
| Modine Manufacturing Co. |
| 5,253 |
| |
223 |
| Monarch Casino & Resort, Inc.* |
| 2,007 |
| |
503 |
| Monro Muffler, Inc. |
| 10,266 |
| |
89 |
| Morgans Hotel Group Co.* |
| 356 |
| |
540 |
| Movado Group, Inc. |
| 7,290 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
138 |
| National Presto Industries, Inc. |
| $ | 9,054 |
|
770 |
| Nautilus, Inc.* |
| 2,264 |
| |
659 |
| New York & Co., Inc.* |
| 1,239 |
| |
610 |
| O’Charleys, Inc. |
| 1,293 |
| |
1,157 |
| Orbitz Worldwide, Inc.* |
| 2,812 |
| |
545 |
| Outdoor Channel Holdings, Inc.* |
| 3,314 |
| |
478 |
| Oxford Industries, Inc. |
| 2,868 |
| |
2,221 |
| Pacific Sunwear of California* |
| 3,354 |
| |
333 |
| Palm Harbor Homes, Inc.* |
| 2,468 |
| |
166 |
| Papa John’s International, Inc.* |
| 2,942 |
| |
1,426 |
| PEP Boys-Manny Moe & Jack |
| 6,417 |
| |
190 |
| Perry Ellis International, Inc.* |
| 1,030 |
| |
57 |
| PF Chang’s China Bistro, Inc.* |
| 1,068 |
| |
2,509 |
| Pier 1 Imports, Inc.* |
| 2,233 |
| |
2,021 |
| Pinnacle Entertainment, Inc.* |
| 11,520 |
| |
304 |
| Playboy Enterprises, Inc., Class B* |
| 380 |
| |
133 |
| Polaris Industries, Inc. |
| 3,631 |
| |
306 |
| Pool Corp. |
| 5,272 |
| |
851 |
| Primedia, Inc. |
| 860 |
| |
4,251 |
| Quiksilver, Inc.* |
| 5,951 |
| |
2,320 |
| R.H. Donnelley Corp.* |
| 1,276 |
| |
659 |
| Raser Technologies, Inc.* |
| 3,097 |
| |
586 |
| RC2 Corp.* |
| 6,229 |
| |
596 |
| RCN Corp.* |
| 4,160 |
| |
59 |
| Red Robin Gourmet Burgers, Inc.* |
| 719 |
| |
1,454 |
| Regis Corp. |
| 15,979 |
| |
2,253 |
| Rent-A-Center, Inc.* |
| 36,972 |
| |
928 |
| Retail Ventures, Inc.* |
| 1,151 |
| |
280 |
| Rex Stores Corp.* |
| 2,786 |
| |
383 |
| RHI Entertainment, Inc. |
| 1,566 |
| |
72 |
| Riviera Holdings Corp.* |
| 299 |
| |
1,743 |
| Ruby Tuesday, Inc.* |
| 2,004 |
| |
569 |
| Russ Berrie & Co., Inc.* |
| 1,166 |
| |
301 |
| Ruth’s Hospitality Group, Inc.* |
| 448 |
| |
1,431 |
| Ryland Group, Inc. |
| 24,284 |
| |
217 |
| Sally Beauty Holdings, Inc.* |
| 944 |
| |
809 |
| Scholastic Corp. |
| 12,353 |
| |
1,491 |
| Sealy Corp. |
| 4,488 |
| |
300 |
| Shoe Carnival, Inc.* |
| 2,814 |
| |
1,148 |
| Sinclair Broadcast Group, Inc., Class A |
| 3,628 |
| |
2,454 |
| Six Flags, Inc.* |
| 589 |
| |
1,028 |
| Skechers U.S.A., Inc., Class A* |
| 12,377 |
| |
228 |
| Skyline Corp. |
| 5,260 |
| |
880 |
| Sonic Automotive, Inc., Class A |
| 2,834 |
| |
320 |
| Sonic Corp.* |
| 2,704 |
| |
1,012 |
| Spartan Motors, Inc. |
| 3,016 |
| |
461 |
| Speedway Motorsports, Inc. |
| 6,376 |
| |
1,294 |
| Stage Stores, Inc. |
| 7,479 |
| |
4,185 |
| Standard Pacific Corp.* |
| 8,077 |
| |
968 |
| Steak N Shake Co. (The)* |
| 4,279 |
| |
853 |
| Stein Mart, Inc. |
| 1,331 |
| |
229 |
| Steiner Leisure Ltd.* |
| 5,540 |
| |
229 |
| Steinway Musical Instruments, Inc.* |
| 4,081 |
| |
598 |
| Steven Madden Ltd.* |
| 10,232 |
| |
2,820 |
| Stewart Enterprises, Inc., Class A |
| 8,996 |
| |
494 |
| Stoneridge, Inc.* |
| 2,277 |
| |
776 |
| Superior Industries International, Inc. |
| 9,490 |
| |
223 |
| Syms Corp.* |
| 2,074 |
| |
221 |
| Systemax, Inc. |
| 2,161 |
| |
825 |
| Talbots, Inc. |
| 1,963 |
| |
963 |
| Tempur-Pedic International, Inc. |
| 6,731 |
| |
1,572 |
| Tenneco, Inc.* |
| 5,156 |
| |
1,616 |
| Timberland Co., Class A* |
| 16,402 |
| |
281 |
| Tractor Supply Co.* |
| 10,785 |
| |
1,021 |
| Tuesday Morning Corp.* |
| 1,144 |
| |
172 |
| Tween Brands, Inc.* |
| 660 |
| |
1,522 |
| Unifi, Inc.* |
| 7,077 |
| |
487 |
| Unifirst Corp. |
| 13,495 |
| |
33 |
| Universal Electronics, Inc.* |
| 548 |
| |
451 |
| Universal Technical Institute, Inc.* |
| 8,673 |
| |
58 |
| Vail Resorts, Inc.* |
| 1,261 |
| |
828 |
| Valassis Communications, Inc.* |
| 1,225 |
| |
3,250 |
| Visteon Corp.* |
| 2,437 |
| |
1,836 |
| Wendy’s/Arby’s Group, Inc., Class A |
| 7,381 |
| |
107 |
| Weyco Group, Inc. |
| 3,591 |
| |
1,079 |
| Zale Corp.* |
| 6,398 |
| |
|
|
|
| 1,177,467 |
| |
|
| Consumer Staples - 4.4% |
|
|
| |
|
|
|
|
|
| |
27 |
| Alico, Inc. |
| 876 |
| |
848 |
| Alliance One International, Inc.* |
| 2,629 |
| |
75 |
| American Dairy, Inc.* |
| 1,277 |
| |
610 |
| Andersons, Inc. (The) |
| 7,723 |
| |
2 |
| Arden Group, Inc., Class A |
| 274 |
| |
681 |
| B&G Foods, Inc., Class A |
| 3,664 |
| |
36 |
| Cal-Maine Foods, Inc. |
| 908 |
| |
1,711 |
| Casey’s General Stores, Inc. |
| 50,731 |
| |
2,173 |
| Central Garden and Pet Co., Class A* |
| 9,083 |
| |
33 |
| Chattem, Inc.* |
| 2,395 |
| |
1,461 |
| Chiquita Brands International, Inc.* |
| 16,290 |
| |
825 |
| Elizabeth Arden, Inc.* |
| 11,632 |
| |
226 |
| Farmer Bros Co. |
| 5,345 |
| |
1,038 |
| Flowers Foods, Inc. |
| 27,798 |
| |
1,413 |
| Fresh Del Monte Produce, Inc.* |
| 35,664 |
| |
764 |
| Great Atlantic & Pacific Tea Co.* |
| 3,973 |
| |
112 |
| Griffin Land & Nurseries, Inc. |
| 3,541 |
| |
1,218 |
| Hain Celestial Group, Inc.* |
| 19,171 |
| |
404 |
| Imperial Sugar Co. |
| 5,668 |
| |
422 |
| Ingles Markets, Inc., Class A |
| 5,693 |
| |
446 |
| Inter Parfums, Inc. |
| 3,283 |
| |
476 |
| J&J Snack Foods Corp. |
| 14,156 |
| |
719 |
| Lance, Inc. |
| 14,042 |
| |
446 |
| Mannatech, Inc. |
| 1,003 |
| |
432 |
| Nash Finch Co. |
| 19,380 |
| |
336 |
| National Beverage Corp.* |
| 2,974 |
| |
569 |
| Nu Skin Enterprises, Inc., Class A |
| 6,122 |
| |
623 |
| Omega Protein Corp.* |
| 2,592 |
| |
615 |
| Pantry, Inc. (The)* |
| 11,894 |
| |
1,373 |
| Pilgrim’s Pride Corp. |
| 1,579 |
| |
1,137 |
| Prestige Brands Holdings, Inc.* |
| 8,891 |
| |
1,703 |
| Ralcorp Holdings, Inc.* |
| 106,540 |
| |
604 |
| Reddy Ice Holdings, Inc. |
| 725 |
| |
1,344 |
| Ruddick Corp. |
| 36,772 |
| |
575 |
| Sanderson Farms, Inc. |
| 17,928 |
| |
297 |
| Schiff Nutrition International, Inc.* |
| 1,806 |
| |
492 |
| Smart Balance, Inc.* |
| 2,878 |
| |
652 |
| Spartan Stores, Inc. |
| 15,465 |
| |
1,351 |
| Spectrum Brands, Inc.* |
| 257 |
| |
1,770 |
| Star Scientific, Inc.* |
| 5,416 |
| |
265 |
| Susser Holdings Corp.* |
| 3,217 |
| |
530 |
| Tootsie Roll Industries, Inc. |
| 13,753 |
| |
1,052 |
| TreeHouse Foods, Inc.* |
| 25,027 |
| |
1,000 |
| United Natural Foods, Inc.* |
| 18,010 |
| |
857 |
| Universal Corp. |
| 27,398 |
| |
108 |
| Village Super Market, Inc., Class A |
| 5,288 |
| |
297 |
| WD-40 Co. |
| 8,494 |
| |
375 |
| Weis Markets, Inc. |
| 11,858 |
| |
770 |
| Winn-Dixie Stores, Inc.* |
| 11,511 |
| |
|
|
|
| 612,594 |
| |
|
| Energy - 2.8% |
|
|
| |
|
|
|
|
|
| |
944 |
| Allis-Chalmers Energy, Inc.* |
| 5,957 |
| |
363 |
| Alon USA Energy, Inc. |
| 3,561 |
| |
937 |
| American Oil & Gas, Inc.* |
| 890 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
683 |
| Aventine Renewable Energy Holdings, Inc.* |
| $ | 546 |
|
526 |
| Berry Petroleum Co., Class A |
| 6,160 |
| |
662 |
| Bill Barrett Corp.* |
| 14,809 |
| |
1,239 |
| BMB Munai, Inc.* |
| 1,474 |
| |
1,562 |
| Brigham Exploration Co.* |
| 4,733 |
| |
819 |
| Bristow Group, Inc.* |
| 18,534 |
| |
886 |
| Bronco Drilling Co., Inc.* |
| 5,653 |
| |
1,383 |
| Cal Dive International, Inc.* |
| 8,450 |
| |
709 |
| Callon Petroleum Co.* |
| 1,737 |
| |
364 |
| Cheniere Energy, Inc.* |
| 1,143 |
| |
1,621 |
| Complete Production Services, Inc.* |
| 13,276 |
| |
88 |
| Dawson Geophysical Co.* |
| 1,810 |
| |
446 |
| Delek U.S. Holdings, Inc. |
| 2,453 |
| |
706 |
| DHT Maritime, Inc. |
| 3,777 |
| |
3,797 |
| Energy XXI Bermuda Ltd. |
| 4,215 |
| |
299 |
| EXCO Resources, Inc.* |
| 2,293 |
| |
75 |
| Geokinetics, Inc.* |
| 279 |
| |
544 |
| GeoMet, Inc.* |
| 1,115 |
| |
350 |
| GMX Resources, Inc.* |
| 10,056 |
| |
192 |
| Golar LNG Ltd. |
| 1,242 |
| |
4,630 |
| Grey Wolf, Inc.* |
| 25,372 |
| |
186 |
| Gulfmark Offshore, Inc.* |
| 5,264 |
| |
601 |
| Gulfport Energy Corp.* |
| 2,975 |
| |
1,189 |
| Harvest Natural Resources, Inc.* |
| 7,645 |
| |
780 |
| Hornbeck Offshore Services, Inc.* |
| 13,166 |
| |
331 |
| Lufkin Industries, Inc. |
| 16,322 |
| |
2,618 |
| Meridian Resource Corp.* |
| 2,461 |
| |
78 |
| National Coal Corp.* |
| 147 |
| |
3,032 |
| Newpark Ressources, Inc.* |
| 13,947 |
| |
849 |
| Nordic American Tanker Shipping |
| 24,816 |
| |
5,278 |
| Oilsands Quest, Inc.* |
| 5,806 |
| |
308 |
| Pacific Ethanol, Inc.* |
| 206 |
| |
3,135 |
| Parker Drilling Co.* |
| 9,593 |
| |
746 |
| Petroquest Energy, Inc.* |
| 5,230 |
| |
147 |
| PHI, Inc. (Non-Voting)* |
| 1,815 |
| |
1,470 |
| Pioneer Drilling Co.* |
| 10,790 |
| |
65 |
| Quest Resource Corp.* |
| 22 |
| |
790 |
| RAM Energy Resources, Inc.* |
| 901 |
| |
1,736 |
| Rosetta Resources, Inc.* |
| 13,072 |
| |
962 |
| Stone Energy Corp.* |
| 15,988 |
| |
188 |
| Superior Well Services, Inc.* |
| 1,927 |
| |
1,028 |
| Swift Energy Co.* |
| 21,968 |
| |
572 |
| Toreador Resources Corp.* |
| 2,912 |
| |
431 |
| Trico Marine Services, Inc.* |
| 1,646 |
| |
1,183 |
| TXCO Resources, Inc.* |
| 3,549 |
| |
308 |
| Union Drilling, Inc.* |
| 2,076 |
| |
312 |
| Uranium Resources, Inc.* |
| 159 |
| |
2,607 |
| USEC, Inc.* |
| 10,037 |
| |
1,371 |
| Vaalco Energy, Inc.* |
| 8,637 |
| |
1,010 |
| Western Refining, Inc. |
| 7,656 |
| |
27 |
| Westmoreland Coal Co.* |
| 256 |
| |
969 |
| World Fuel Services Corp. |
| 35,175 |
| |
|
|
|
| 385,699 |
| |
|
| Financials - 35.0% |
|
|
| |
|
|
|
|
|
| |
502 |
| 1st Source Corp. |
| 11,149 |
| |
826 |
| Abington Bancorp, Inc. |
| 8,508 |
| |
559 |
| Acadia Realty Trust (REIT) |
| 7,815 |
| |
973 |
| Advance America Cash Advance Centers, Inc. |
| 1,664 |
| |
1,293 |
| Advanta Corp., Class B |
| 3,814 |
| |
266 |
| Agree Realty Corp. (REIT) |
| 3,636 |
| |
25 |
| Alexander’s, Inc. (REIT) |
| 5,320 |
| |
9,685 |
| AMBAC Financial Group, Inc. |
| 13,559 |
| |
678 |
| Amcore Financial, Inc. |
| 2,475 |
| |
1,429 |
| American Campus Communities, Inc. (REIT) |
| 31,995 |
| |
336 |
| American Capital Agency Corp. (REIT) |
| 6,700 |
| |
1,844 |
| American Equity Investment Life Holding Co. |
| 11,470 |
| |
281 |
| American Physicians Capital, Inc. |
| 10,776 |
| |
358 |
| American Safety Insurance Holdings Ltd.* |
| 3,197 |
| |
460 |
| Ameris Bancorp |
| 4,398 |
| |
635 |
| Amerisafe, Inc.* |
| 10,287 |
| |
218 |
| Ames National Corp. |
| 5,387 |
| |
663 |
| Ampal-American Israel Corp., Class A* |
| 743 |
| |
502 |
| Amtrust Financial Services, Inc. |
| 4,488 |
| |
641 |
| Anchor Bancorp Wisconsin, Inc. |
| 1,878 |
| |
1,983 |
| Anthracite Capital, Inc. (REIT) |
| 5,989 |
| |
2,783 |
| Anworth Mortgage Asset Corp. (REIT) |
| 17,616 |
| |
4,799 |
| Apollo Investment Corp. |
| 40,744 |
| |
477 |
| Arbor Realty Trust, Inc. (REIT) |
| 1,302 |
| |
3,279 |
| Ares Capital Corp. |
| 16,329 |
| |
679 |
| Argo Group International Holdings Ltd.* |
| 21,484 |
| |
307 |
| Arrow Financial Corp. |
| 8,900 |
| |
4,043 |
| Ashford Hospitality Trust, Inc. (REIT) |
| 6,307 |
| |
2,885 |
| Aspen Insurance Holdings Ltd. |
| 53,171 |
| |
103 |
| Asset Acceptance Capital Corp.* |
| 667 |
| |
186 |
| Associated Estates Realty Corp. (REIT) |
| 1,629 |
| |
1,881 |
| Assured Guaranty Ltd. |
| 21,142 |
| |
203 |
| Avatar Holdings, Inc.* |
| 5,895 |
| |
293 |
| Baldwin & Lyons, Inc., Class B |
| 5,377 |
| |
249 |
| Bancfirst Corp. |
| 10,934 |
| |
918 |
| Banco Latinoamericano de Exportaciones S.A., Class E |
| 11,631 |
| |
589 |
| BancTrust Financial Group, Inc. |
| 7,351 |
| |
1,628 |
| Bank Mutual Corp. |
| 16,687 |
| |
416 |
| Bank of the Ozarks, Inc. |
| 11,324 |
| |
664 |
| BankFinancial Corp. |
| 7,258 |
| |
473 |
| Banner Corp. |
| 4,900 |
| |
1,104 |
| Beneficial Mutual Bancorp, Inc.* |
| 12,972 |
| |
407 |
| Berkshire Hills Bancorp, Inc. |
| 11,803 |
| |
524 |
| BGC Partners, Inc., Class A |
| 1,991 |
| |
2,709 |
| BioMed Realty Trust, Inc. (REIT) |
| 25,248 |
| |
439 |
| BlackRock Kelso Capital Corp. |
| 4,500 |
| |
1,843 |
| Boston Private Financial Holdings, Inc. |
| 12,735 |
| |
671 |
| Broadpoint Securities Group, Inc.* |
| 1,745 |
| |
1,963 |
| Brookline Bancorp, Inc. |
| 22,162 |
| |
113 |
| Brooklyn Federal Bancorp, Inc. |
| 1,548 |
| |
230 |
| Bryn Mawr Bank Corp. |
| 4,655 |
| |
681 |
| Calamos Asset Management, Inc., Class A |
| 2,772 |
| |
257 |
| Camden National Corp. |
| 7,242 |
| |
395 |
| Capital City Bank Group, Inc. |
| 11,668 |
| |
104 |
| Capital Southwest Corp. |
| 8,492 |
| |
559 |
| Capital Trust, Inc./NY, Class A (REIT) |
| 2,795 |
| |
488 |
| Capitol Bancorp Ltd. |
| 2,684 |
| |
1,511 |
| CapLease, Inc. (REIT) |
| 3,158 |
| |
1,903 |
| Capstead Mortgage Corp. (REIT) |
| 19,962 |
| |
303 |
| Cardinal Financial Corp. |
| 1,609 |
| |
446 |
| Care Investment Trust, Inc. (REIT) |
| 3,858 |
| |
750 |
| Cascade Bancorp |
| 5,100 |
| |
551 |
| Cash America International, Inc. |
| 14,883 |
| |
1,129 |
| Castlepoint Holdings Ltd. |
| 11,584 |
| |
1,671 |
| Cathay General Bancorp |
| 34,289 |
| |
1,293 |
| Cedar Shopping Centers, Inc. (REIT) |
| 6,077 |
| |
310 |
| Centerstate Banks of Florida, Inc. |
| 5,131 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
968 |
| Central Pacific Financial Corp. |
| $ | 12,390 |
|
803 |
| Chemical Financial Corp. |
| 19,858 |
| |
1,137 |
| Chimera Investment Corp. (REIT) |
| 3,388 |
| |
303 |
| Citizens & Northern Corp. |
| 6,681 |
| |
4,251 |
| Citizens Republic Bancorp, Inc. |
| 10,032 |
| |
1,262 |
| Citizens, Inc./TX* |
| 11,926 |
| |
463 |
| City Bank/WA |
| 3,051 |
| |
546 |
| City Holding Co. |
| 19,339 |
| |
355 |
| Clifton Savings Bancorp, Inc. |
| 4,168 |
| |
568 |
| CNA Surety Corp.* |
| 6,878 |
| |
636 |
| CoBiz Financial, Inc. |
| 6,958 |
| |
408 |
| Cogdell Spencer, Inc. (REIT) |
| 3,264 |
| |
216 |
| Cohen & Steers, Inc. |
| 2,471 |
| |
6,811 |
| Colonial BancGroup, Inc. (The) |
| 17,096 |
| |
1,600 |
| Colonial Properties Trust (REIT) |
| 9,072 |
| |
610 |
| Columbia Banking System, Inc. |
| 6,131 |
| |
1,101 |
| Community Bank System, Inc. |
| 25,389 |
| |
504 |
| Community Trust Bancorp, Inc. |
| 16,456 |
| |
803 |
| Compass Diversified Holdings |
| 8,038 |
| |
545 |
| CompuCredit Corp.* |
| 1,826 |
| |
60 |
| Consolidated-Tomoka Land Co. |
| 2,061 |
| |
1,414 |
| Corporate Office Properties Trust SBI MD (REIT) |
| 42,010 |
| |
1,271 |
| Corus Bankshares, Inc. |
| 1,512 |
| |
611 |
| Cousins Properties, Inc. (REIT) |
| 6,587 |
| |
818 |
| Crawford & Co., Class B* |
| 9,194 |
| |
74 |
| Credit Acceptance Corp.* |
| 969 |
| |
2,232 |
| CVB Financial Corp. |
| 25,065 |
| |
337 |
| Danvers Bancorp, Inc. |
| 4,293 |
| |
5,793 |
| DCT Industrial Trust, Inc. (REIT) |
| 25,953 |
| |
1,397 |
| Delphi Financial Group, Inc., Class A |
| 16,904 |
| |
3,198 |
| DiamondRock Hospitality Co. (REIT) |
| 11,897 |
| |
795 |
| Dime Community Bancshares |
| 10,725 |
| |
393 |
| Donegal Group, Inc., Class A |
| 6,178 |
| |
169 |
| Doral Financial Corp.* |
| 1,234 |
| |
162 |
| DuPont Fabros Technology, Inc. (REIT) |
| 347 |
| |
2,143 |
| East West Bancorp, Inc. |
| 31,716 |
| |
577 |
| EastGroup Properties, Inc. (REIT) |
| 18,597 |
| |
963 |
| Education Realty Trust, Inc. (REIT) |
| 4,305 |
| |
196 |
| EMC Insurance Group, Inc. |
| 4,839 |
| |
1,574 |
| Employers Holdings, Inc. |
| 25,640 |
| |
218 |
| Encore Bancshares, Inc.* |
| 3,139 |
| |
463 |
| Encore Capital Group, Inc.* |
| 3,871 |
| |
80 |
| Enstar Group Ltd.* |
| 3,802 |
| |
185 |
| Enterprise Financial Services Corp. |
| 2,692 |
| |
1,108 |
| Entertainment Properties Trust (REIT) |
| 27,179 |
| |
56 |
| Epoch Holding Corp. |
| 470 |
| |
247 |
| Equity Lifestyle Properties, Inc. (REIT) |
| 8,546 |
| |
1,084 |
| Equity One, Inc. (REIT) |
| 17,940 |
| |
574 |
| ESSA Bancorp, Inc. |
| 7,732 |
| |
332 |
| Evercore Partners, Inc., Class A |
| 3,323 |
| |
2,679 |
| Extra Space Storage, Inc. (REIT) |
| 23,709 |
| |
212 |
| Farmers Capital Bank Corp. |
| 5,035 |
| |
434 |
| FBL Financial Group, Inc., Class A |
| 4,935 |
| |
940 |
| FBR Capital Markets Corp.* |
| 4,700 |
| |
322 |
| Federal Agricultural Mortgage Corp., Class C |
| 1,426 |
| |
2,123 |
| FelCor Lodging Trust, Inc. (REIT) |
| 3,588 |
| |
271 |
| Fifth Street Finance Corp. |
| 1,986 |
| |
858 |
| Financial Federal Corp. |
| 16,491 |
| |
368 |
| Financial Institutions, Inc. |
| 6,024 |
| |
581 |
| First Acceptance Corp.* |
| 1,975 |
| |
295 |
| First Bancorp, Inc./ME |
| 5,617 |
| |
487 |
| First Bancorp/NC |
| 8,396 |
| |
2,400 |
| First Bancorp/Puerto Rico |
| 26,256 |
| |
857 |
| First Busey Corp. |
| 14,680 |
| |
46 |
| First Cash Financial Services, Inc.* |
| 709 |
| |
2,472 |
| First Commonwealth Financial Corp. |
| 29,689 |
| |
305 |
| First Community Bancshares, Inc./VA |
| 8,854 |
| |
1,266 |
| First Financial Bancorp |
| 15,825 |
| |
576 |
| First Financial Bankshares, Inc. |
| 30,096 |
| |
383 |
| First Financial Corp./IN |
| 15,956 |
| |
392 |
| First Financial Holdings, Inc. |
| 8,698 |
| |
771 |
| First Financial Northwest, Inc. |
| 6,962 |
| |
1,494 |
| First Industrial Realty Trust, Inc. (REIT) |
| 12,923 |
| |
1,120 |
| First Marblehead Corp. (The) |
| 1,557 |
| |
613 |
| First Merchants Corp. |
| 12,364 |
| |
396 |
| First Mercury Financial Corp.* |
| 4,815 |
| |
1,642 |
| First Midwest Bancorp, Inc./IL |
| 30,229 |
| |
3,999 |
| First Niagara Financial Group, Inc. |
| 62,024 |
| |
574 |
| First Place Financial Corp./OH |
| 2,474 |
| |
926 |
| First Potomac Realty Trust (REIT) |
| 7,436 |
| |
272 |
| First South Bancorp, Inc./NC |
| 3,400 |
| |
463 |
| FirstFed Financial Corp.* |
| 1,746 |
| |
2,729 |
| FirstMerit Corp. |
| 60,038 |
| |
1,757 |
| Flagstar Bancorp, Inc. |
| 1,247 |
| |
1,017 |
| Flagstone Reinsurance Holdings Ltd. |
| 10,455 |
| |
721 |
| Flushing Financial Corp. |
| 9,849 |
| |
2,901 |
| FNB Corp./PA |
| 35,856 |
| |
1,110 |
| Forestar Group, Inc.* |
| 5,139 |
| |
211 |
| Fox Chase Bancorp, Inc.* |
| 2,513 |
| |
278 |
| Fpic Insurance Group, Inc.* |
| 12,883 |
| |
1,991 |
| Franklin Street Properties Corp. (REIT) |
| 25,246 |
| |
4,990 |
| Friedman Billings Ramsey Group, Inc., Class A (REIT)* |
| 998 |
| |
1,589 |
| Frontier Financial Corp. |
| 4,545 |
| |
351 |
| FX Real Estate and Entertainment, Inc.* |
| 119 |
| |
172 |
| GAMCO Investors, Inc., Class A |
| 4,718 |
| |
584 |
| Getty Realty Corp. (REIT) |
| 10,927 |
| |
1,820 |
| Glacier Bancorp, Inc. |
| 32,360 |
| |
713 |
| Gladstone Capital Corp. |
| 4,278 |
| |
745 |
| Gladstone Investment Corp. |
| 3,673 |
| |
1,274 |
| Glimcher Realty Trust (REIT) |
| 2,968 |
| |
1,405 |
| Gramercy Capital Corp./NY (REIT) |
| 1,602 |
| |
439 |
| Green Bankshares, Inc. |
| 7,160 |
| |
971 |
| Greenlight Capital Re Ltd., Class A* |
| 10,157 |
| |
187 |
| Grubb & Ellis Co. |
| 249 |
| |
1,780 |
| Guaranty Bancorp* |
| 3,524 |
| |
1,259 |
| Guaranty Financial Group, Inc.* |
| 3,399 |
| |
197 |
| Hallmark Financial Services* |
| 1,217 |
| |
804 |
| Hancock Holding Co. |
| 34,660 |
| |
1,259 |
| Hanmi Financial Corp. |
| 2,959 |
| |
441 |
| Harleysville Group, Inc. |
| 16,617 |
| |
1,056 |
| Harleysville National Corp. |
| 14,805 |
| |
875 |
| Harris & Harris Group, Inc.* |
| 3,526 |
| |
387 |
| Hatteras Financial Corp. (REIT) |
| 9,973 |
| |
1,985 |
| Healthcare Realty Trust, Inc. (REIT) |
| 38,072 |
| |
442 |
| Heartland Financial USA, Inc. |
| 9,543 |
| |
1,108 |
| Hercules Technology Growth Capital, Inc. |
| 7,147 |
| |
352 |
| Heritage Commerce Corp. |
| 4,375 |
| |
1,625 |
| Hersha Hospitality Trust (REIT) |
| 5,720 |
| |
2,031 |
| Highwoods Properties, Inc. (REIT) |
| 48,500 |
| |
1,519 |
| Hilltop Holdings, Inc.* |
| 14,810 |
| |
446 |
| Home Bancshares, Inc./AR |
| 11,783 |
| |
222 |
| Home Federal Bancorp, Inc./ID |
| 2,333 |
| |
609 |
| Home Properties, Inc. (REIT) |
| 23,751 |
| |
1,373 |
| Horace Mann Educators Corp. |
| 11,698 |
| |
436 |
| IBERIABANK Corp. |
| 22,955 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
219 |
| Independence Holding Co. |
| $ | 1,128 |
|
550 |
| Independent Bank Corp./MA |
| 13,030 |
| |
518 |
| Infinity Property & Casualty Corp. |
| 23,771 |
| |
1,313 |
| Inland Real Estate Corp. (REIT) |
| 14,666 |
| |
696 |
| Integra Bank Corp. |
| 1,768 |
| |
1,725 |
| International Bancshares Corp. |
| 40,538 |
| |
1,487 |
| Investors Bancorp, Inc.* |
| 20,818 |
| |
1,936 |
| Investors Real Estate Trust (REIT) |
| 19,031 |
| |
1,688 |
| IPC Holdings Ltd. |
| 47,264 |
| |
768 |
| JER Investors Trust, Inc. (REIT) |
| 1,037 |
| |
157 |
| Kansas City Life Insurance Co. |
| 7,189 |
| |
343 |
| Kayne Anderson Energy Development Co. |
| 3,303 |
| |
836 |
| KBW, Inc.* |
| 18,986 |
| |
600 |
| Kearny Financial Corp. |
| 7,662 |
| |
685 |
| Kite Realty Group Trust (REIT) |
| 2,678 |
| |
2,782 |
| Knight Capital Group, Inc., Class A* |
| 46,042 |
| |
620 |
| Kohlberg Capital Corp. |
| 2,542 |
| |
1,728 |
| LaBranche & Co., Inc.* |
| 8,467 |
| |
683 |
| Lakeland Bancorp, Inc. |
| 6,659 |
| |
413 |
| Lakeland Financial Corp. |
| 9,164 |
| |
1,353 |
| LaSalle Hotel Properties (REIT) |
| 11,933 |
| |
1,744 |
| Lexington Realty Trust (REIT) |
| 8,458 |
| |
23 |
| Life Partners Holdings, Inc. |
| 821 |
| |
777 |
| LTC Properties, Inc. (REIT) |
| 15,136 |
| |
1,292 |
| Maguire Properties, Inc. (REIT) |
| 2,455 |
| |
1,657 |
| Maiden Holdings Ltd. |
| 6,877 |
| |
682 |
| MainSource Financial Group, Inc. |
| 10,632 |
| |
1,046 |
| MarketAxess Holdings, Inc.* |
| 6,694 |
| |
160 |
| Maui Land & Pineapple Co., Inc.* |
| 1,797 |
| |
1,904 |
| Max Capital Group Ltd. |
| 22,010 |
| |
1,175 |
| MB Financial, Inc. |
| 30,656 |
| |
2,554 |
| MCG Capital Corp. |
| 1,890 |
| |
1,873 |
| Meadowbrook Insurance Group, Inc. |
| 10,508 |
| |
500 |
| Medallion Financial Corp. |
| 3,500 |
| |
2,238 |
| Medical Properties Trust, Inc. (REIT) |
| 13,943 |
| |
356 |
| Meridian Interstate Bancorp, Inc.* |
| 3,268 |
| |
1,442 |
| Meruelo Maddux Properties, Inc.* |
| 678 |
| |
6,674 |
| MFA Mortgage Investments, Inc. (REIT) |
| 41,312 |
| |
387 |
| Mid-America Apartment Communities, Inc. (REIT) |
| 14,331 |
| |
748 |
| Midwest Banc Holdings, Inc. |
| 1,331 |
| |
664 |
| Mission West Properties, Inc. (REIT) |
| 5,007 |
| |
666 |
| Monmouth Real Estate Investment Corp., Class A (REIT) |
| 4,589 |
| |
3,149 |
| Montpelier Re Holdings Ltd. |
| 43,362 |
| |
821 |
| MVC Capital, Inc. |
| 9,121 |
| |
770 |
| Nara Bancorp, Inc. |
| 8,362 |
| |
114 |
| NASB Financial, Inc. |
| 3,309 |
| |
1,331 |
| National Financial Partners Corp. |
| 2,116 |
| |
749 |
| National Health Investors, Inc. (REIT) |
| 16,890 |
| |
210 |
| National Interstate Corp. |
| 3,526 |
| |
2,680 |
| National Penn Bancshares, Inc. |
| 41,218 |
| |
2,643 |
| National Retail Properties, Inc. (REIT) |
| 35,443 |
| |
78 |
| National Western Life Insurance Co., Class A |
| 12,557 |
| |
444 |
| Navigators Group, Inc.* |
| 24,109 |
| |
1,081 |
| NBT Bancorp, Inc. |
| 28,668 |
| |
588 |
| Nelnet, Inc., Class A |
| 7,738 |
| |
3,665 |
| NewAlliance Bancshares, Inc. |
| 50,504 |
| |
1,783 |
| Newcastle Investment Corp. (REIT) |
| 3,192 |
| |
555 |
| NewStar Financial, Inc.* |
| 2,642 |
| |
733 |
| NGP Capital Resources Co. |
| 7,205 |
| |
663 |
| Northfield Bancorp, Inc. |
| 7,797 |
| |
1,875 |
| NorthStar Realty Finance Corp. (REIT) |
| 6,375 |
| |
576 |
| Northwest Bancorp, Inc. |
| 12,344 |
| |
147 |
| NYMAGIC, Inc. |
| 2,306 |
| |
299 |
| OceanFirst Financial Corp. |
| 4,461 |
| |
1,204 |
| Ocwen Financial Corp.* |
| 9,813 |
| |
820 |
| Odyssey Re Holdings Corp. |
| 36,892 |
| |
2,234 |
| Old National Bancorp/IN |
| 38,380 |
| |
465 |
| Old Second Bancorp, Inc. |
| 6,966 |
| |
2,433 |
| Omega Healthcare Investors, Inc. (REIT) |
| 32,213 |
| |
271 |
| One Liberty Properties, Inc. (REIT) |
| 2,623 |
| |
821 |
| Oriental Financial Group, Inc. |
| 5,156 |
| |
60 |
| Oritani Financial Corp.* |
| 1,012 |
| |
1,559 |
| Pacific Capital Bancorp N.A. |
| 24,632 |
| |
360 |
| Pacific Continental Corp. |
| 5,076 |
| |
825 |
| PacWest Bancorp |
| 21,945 |
| |
376 |
| Park National Corp. |
| 25,752 |
| |
517 |
| Parkway Properties, Inc./MD (REIT) |
| 7,067 |
| |
697 |
| Patriot Capital Funding, Inc. |
| 2,349 |
| |
279 |
| Peapack Gladstone Financial Corp. |
| 8,649 |
| |
712 |
| PennantPark Investment Corp. |
| 2,100 |
| |
173 |
| Pennsylvania Commerce Bancorp, Inc.* |
| 4,723 |
| |
1,187 |
| Pennsylvania Real Estate Investment Trust (REIT) |
| 5,342 |
| |
570 |
| Penson Worldwide, Inc.* |
| 3,762 |
| |
350 |
| Peoples Bancorp, Inc./OH |
| 6,104 |
| |
1,825 |
| PHH Corp.* |
| 13,906 |
| |
3,860 |
| Phoenix Cos, Inc. (The) |
| 11,001 |
| |
547 |
| Pico Holdings, Inc.* |
| 12,411 |
| |
587 |
| Pinnacle Financial Partners, Inc.* |
| 16,143 |
| |
633 |
| Piper Jaffray Cos.* |
| 23,984 |
| |
1,652 |
| Platinum Underwriters Holdings Ltd. |
| 50,766 |
| |
1,073 |
| PMA Capital Corp., Class A* |
| 5,419 |
| |
2,744 |
| PMI Group, Inc. (The) |
| 4,582 |
| |
173 |
| Portfolio Recovery Associates, Inc.* |
| 5,840 |
| |
1,489 |
| Post Properties, Inc. (REIT) |
| 23,348 |
| |
848 |
| Potlatch Corp. (REIT) |
| 22,625 |
| |
655 |
| Premierwest Bancorp |
| 4,454 |
| |
734 |
| Presidential Life Corp. |
| 7,898 |
| |
395 |
| Primus Guaranty Ltd.* |
| 352 |
| |
1,080 |
| ProAssurance Corp.* |
| 58,957 |
| |
886 |
| Prospect Capital Corp. |
| 11,181 |
| |
1,323 |
| Prosperity Bancshares, Inc. |
| 43,672 |
| |
1,121 |
| Provident Bankshares Corp. |
| 10,560 |
| |
2,014 |
| Provident Financial Services, Inc. |
| 30,190 |
| |
1,353 |
| Provident New York Bancorp |
| 16,439 |
| |
360 |
| PS Business Parks, Inc. (REIT) |
| 17,158 |
| |
2,717 |
| Radian Group, Inc. |
| 7,363 |
| |
2,092 |
| RAIT Financial Trust (REIT) |
| 4,958 |
| |
529 |
| Ramco-Gershenson Properties Trust (REIT) |
| 2,608 |
| |
3,418 |
| Realty Income Corp. (REIT) |
| 69,009 |
| |
1,107 |
| Redwood Trust, Inc. (REIT) |
| 14,446 |
| |
709 |
| Renasant Corp. |
| 13,719 |
| |
310 |
| Republic Bancorp, Inc./KY, Class A |
| 6,867 |
| |
331 |
| Resource America, Inc., Class A |
| 1,390 |
| |
717 |
| Resource Capital Corp. (REIT) |
| 2,180 |
| |
631 |
| RLI Corp. |
| 36,800 |
| |
301 |
| Rockville Financial, Inc. |
| 3,991 |
| |
297 |
| Roma Financial Corp. |
| 4,372 |
| |
803 |
| S & T Bancorp, Inc. |
| 27,294 |
| |
549 |
| Safety Insurance Group, Inc. |
| 19,259 |
| |
658 |
| Sanders Morris Harris Group, Inc. |
| 3,461 |
| |
553 |
| Sandy Spring Bancorp, Inc. |
| 10,822 |
| |
146 |
| Santander BanCorp |
| 1,442 |
| |
114 |
| Saul Centers, Inc. (REIT) |
| 4,013 |
| |
341 |
| SCBT Financial Corp. |
| 11,577 |
| |
716 |
| SeaBright Insurance Holdings, Inc.* |
| 7,561 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
499 |
| Seacoast Banking Corp. of Florida |
| $ | 2,465 |
|
1,797 |
| Selective Insurance Group |
| 41,259 |
| |
3,863 |
| Senior Housing Properties Trust (REIT) |
| 53,812 |
| |
282 |
| Shore Bancshares, Inc. |
| 7,075 |
| |
250 |
| Sierra Bancorp |
| 5,048 |
| |
132 |
| Signature Bank/NY* |
| 3,934 |
| |
470 |
| Simmons First National Corp., Class A |
| 13,809 |
| |
270 |
| Smithtown Bancorp, Inc. |
| 5,389 |
| |
2,455 |
| South Financial Group, Inc. (The) |
| 10,606 |
| |
410 |
| Southside Bancshares, Inc. |
| 9,123 |
| |
492 |
| Southwest Bancorp, Inc./OK |
| 7,031 |
| |
739 |
| Sovran Self Storage, Inc. (REIT) |
| 20,071 |
| |
476 |
| State Auto Financial Corp. |
| 10,224 |
| |
486 |
| State Bancorp, Inc./NY |
| 5,832 |
| |
764 |
| StellarOne Corp. |
| 12,598 |
| |
607 |
| Sterling Bancorp/NY, Class N |
| 7,897 |
| |
2,471 |
| Sterling Bancshares, Inc./TX |
| 16,556 |
| |
1,754 |
| Sterling Financial Corp./WA |
| 9,331 |
| |
577 |
| Stewart Information Services Corp. |
| 6,751 |
| |
819 |
| Stifel Financial Corp.* |
| 35,225 |
| |
2,510 |
| Strategic Hotels & Resorts, Inc. (REIT) |
| 2,510 |
| |
212 |
| Stratus Properties, Inc.* |
| 3,388 |
| |
195 |
| Suffolk Bancorp |
| 6,455 |
| |
493 |
| Sun Bancorp, Inc./NJ* |
| 3,865 |
| |
197 |
| Sun Communities, Inc. (REIT) |
| 2,157 |
| |
1,733 |
| Sunstone Hotel Investors, Inc. (REIT) |
| 8,266 |
| |
2,900 |
| Susquehanna Bancshares, Inc. |
| 44,312 |
| |
798 |
| SVB Financial Group* |
| 31,960 |
| |
823 |
| SWS Group, Inc. |
| 12,032 |
| |
395 |
| SY Bancorp, Inc. |
| 10,464 |
| |
933 |
| Texas Capital Bancshares, Inc.* |
| 14,975 |
| |
650 |
| Thomas Properties Group, Inc. |
| 1,313 |
| |
656 |
| Thomas Weisel Partners Group, Inc.* |
| 2,801 |
| |
195 |
| Tompkins Financial Corp. |
| 10,715 |
| |
698 |
| TowneBank/VA |
| 15,635 |
| |
468 |
| Trico Bancshares |
| 11,143 |
| |
1,659 |
| Trustco Bank Corp./NY |
| 17,569 |
| |
1,673 |
| Trustmark Corp. |
| 33,393 |
| |
61 |
| U.S. Global Investors, Inc., Class A |
| 306 |
| |
3,726 |
| UCBH Holdings, Inc. |
| 17,289 |
| |
1,048 |
| UMB Financial Corp. |
| 50,105 |
| |
2,030 |
| Umpqua Holdings Corp. |
| 26,877 |
| |
458 |
| Union Bankshares Corp./VA |
| 10,415 |
| |
625 |
| United America Indemnity Ltd., Class A* |
| 8,063 |
| |
1,275 |
| United Bankshares, Inc. |
| 42,394 |
| |
1,369 |
| United Community Banks, Inc./GA |
| 18,043 |
| |
911 |
| United Community Financial Corp./OH |
| 1,713 |
| |
601 |
| United Financial Bancorp, Inc. |
| 7,921 |
| |
769 |
| United Fire & Casualty Co. |
| 16,449 |
| |
282 |
| United Security Bancshares/CA |
| 3,071 |
| |
352 |
| Universal Health Realty Income Trust (REIT) |
| 11,042 |
| |
435 |
| Univest Corp. of Pennsylvania |
| 13,624 |
| |
697 |
| Urstadt Biddle Properties, Inc., Class A (REIT) |
| 10,971 |
| |
1,673 |
| U-Store-It Trust (REIT) |
| 9,201 |
| |
2,175 |
| Validus Holdings Ltd. |
| 50,547 |
| |
30 |
| ViewPoint Financial Group |
| 480 |
| |
883 |
| Washington Real Estate Investment Trust (REIT) |
| 23,373 |
| |
385 |
| Washington Trust Bancorp, Inc. |
| 7,554 |
| |
237 |
| Waterstone Financial, Inc.* |
| 1,126 |
| |
899 |
| WesBanco, Inc. |
| 23,221 |
| |
585 |
| West Bancorporation, Inc. |
| 7,195 |
| |
528 |
| West Coast Bancorp/OR |
| 2,587 |
| |
530 |
| Westamerica Bancorporation |
| 28,175 |
| |
642 |
| Western Alliance Bancorp* |
| 7,075 |
| |
1,070 |
| Westfield Financial, Inc. |
| 11,042 |
| |
26 |
| Westwood Holdings Group, Inc. |
| 814 |
| |
652 |
| Wilshire Bancorp, Inc. |
| 4,473 |
| |
1,878 |
| Winthrop Realty Trust (REIT) |
| 4,395 |
| |
797 |
| Wintrust Financial Corp. |
| 16,442 |
| |
210 |
| WSFS Financial Corp. |
| 9,190 |
| |
386 |
| Yadkin Valley Financial Corp. |
| 5,821 |
| |
1,258 |
| Zenith National Insurance Corp. |
| 41,501 |
| |
|
|
|
| 4,859,485 |
| |
|
| Health Care - 4.7% |
|
|
| |
|
|
|
|
|
| |
1,098 |
| Affymetrix, Inc.* |
| 3,009 |
| |
492 |
| Albany Molecular Research, Inc.* |
| 4,669 |
| |
65 |
| Alliance Imaging, Inc.* |
| 508 |
| |
636 |
| Alpharma, Inc., Class A* |
| 22,960 |
| |
1,810 |
| AMERIGROUP Corp.* |
| 44,454 |
| |
81 |
| AMN Healthcare Services, Inc.* |
| 723 |
| |
1,065 |
| Amsurg Corp.* |
| 21,225 |
| |
477 |
| Angiodynamics, Inc.* |
| 5,691 |
| |
1,835 |
| Arena Pharmaceuticals, Inc.* |
| 7,083 |
| |
844 |
| Assisted Living Concepts, Inc., Class A* |
| 3,942 |
| |
143 |
| BioForm Medical, Inc.* |
| 190 |
| |
90 |
| BMP Sunstone Corp.* |
| 540 |
| |
1,615 |
| Caliper Life Sciences, Inc.* |
| 1,825 |
| |
419 |
| Cambrex Corp.* |
| 1,458 |
| |
419 |
| Cantel Medical Corp.* |
| 3,960 |
| |
707 |
| Capital Senior Living Corp.* |
| 1,923 |
| |
657 |
| Cardiac Science Corp.* |
| 4,290 |
| |
1,684 |
| Celera Corp.* |
| 16,402 |
| |
1,346 |
| Centene Corp.* |
| 24,901 |
| |
195 |
| Chemed Corp. |
| 7,948 |
| |
54 |
| Computer Programs & Systems, Inc. |
| 1,511 |
| |
889 |
| Conmed Corp.* |
| 20,900 |
| |
847 |
| Cross Country Healthcare, Inc.* |
| 7,377 |
| |
240 |
| Cypress Bioscience, Inc.* |
| 1,286 |
| |
109 |
| Cytokinetics, Inc.* |
| 282 |
| |
29 |
| Datascope Corp. |
| 1,514 |
| |
170 |
| Emergency Medical Services Corp., Class A* |
| 5,766 |
| |
116 |
| Emergent Biosolutions, Inc.* |
| 2,624 |
| |
266 |
| Ensign Group, Inc. (The) |
| 3,889 |
| |
258 |
| Enzo Biochem, Inc.* |
| 1,313 |
| |
1,906 |
| ev3, Inc.* |
| 9,530 |
| |
1,013 |
| Five Star Quality Care, Inc.* |
| 1,428 |
| |
491 |
| Gentiva Health Services, Inc.* |
| 12,388 |
| |
969 |
| Geron Corp.* |
| 3,392 |
| |
772 |
| Greatbatch, Inc.* |
| 19,508 |
| |
1,041 |
| Hanger Orthopedic Group, Inc.* |
| 16,708 |
| |
2,971 |
| Healthsouth Corp.* |
| 29,235 |
| |
1,670 |
| Healthspring, Inc.* |
| 24,365 |
| |
4,043 |
| Human Genome Sciences, Inc.* |
| 6,994 |
| |
187 |
| ICU Medical, Inc.* |
| 5,657 |
| |
882 |
| Invacare Corp. |
| 13,036 |
| |
10 |
| IPC The Hospitalist Co., Inc.* |
| 175 |
| |
120 |
| Jazz Pharmaceuticals, Inc.* |
| 180 |
| |
943 |
| Kindred Healthcare, Inc.* |
| 10,118 |
| |
142 |
| Landauer, Inc. |
| 8,154 |
| |
1,911 |
| Lexicon Pharmaceuticals, Inc.* |
| 3,268 |
| |
1,369 |
| Magellan Health Services, Inc.* |
| 44,972 |
| |
829 |
| MannKind Corp.* |
| 2,611 |
| |
501 |
| Maxygen, Inc.* |
| 2,455 |
| |
534 |
| Medcath Corp.* |
| 3,941 |
| |
297 |
| Medical Action Industries, Inc.* |
| 2,557 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
491 |
| Molina Healthcare, Inc.* |
| $ | 11,632 |
|
1,597 |
| Nabi Biopharmaceuticals* |
| 6,372 |
| |
34 |
| National Healthcare Corp. |
| 1,543 |
| |
10 |
| National Research Corp. |
| 268 |
| |
1,821 |
| Nektar Therapeutics* |
| 8,650 |
| |
717 |
| Nighthawk Radiology Holdings, Inc.* |
| 2,079 |
| |
358 |
| NxStage Medical, Inc.* |
| 895 |
| |
863 |
| Odyssey HealthCare, Inc.* |
| 7,051 |
| |
106 |
| OraSure Technologies, Inc.* |
| 365 |
| |
386 |
| Orthofix International N.V.* |
| 4,620 |
| |
128 |
| Owens & Minor, Inc. |
| 5,316 |
| |
614 |
| Palomar Medical Technologies, Inc.* |
| 5,557 |
| |
1,164 |
| Par Pharmaceutical Cos., Inc.* |
| 13,572 |
| |
575 |
| PharmaNet Development Group, Inc.* |
| 696 |
| |
1,025 |
| PharMerica Corp.* |
| 17,036 |
| |
60 |
| Providence Service Corp. (The)* |
| 98 |
| |
60 |
| RadNet, Inc.* |
| 212 |
| |
608 |
| RehabCare Group, Inc.* |
| 8,846 |
| |
835 |
| Res-Care, Inc.* |
| 10,897 |
| |
1,615 |
| Salix Pharmaceuticals Ltd.* |
| 13,082 |
| |
31 |
| Sirona Dental Systems, Inc.* |
| 371 |
| |
588 |
| Skilled Healthcare Group, Inc., Class A* |
| 6,362 |
| |
170 |
| Sunrise Senior Living, Inc.* |
| 129 |
| |
845 |
| Symmetry Medical, Inc.* |
| 7,571 |
| |
75 |
| TomoTherapy, Inc.* |
| 173 |
| |
476 |
| Triple-S Management Corp., Class B* |
| 5,188 |
| |
1,326 |
| Universal American Corp.* |
| 13,180 |
| |
1,229 |
| Valeant Pharmaceuticals International* |
| 23,941 |
| |
53 |
| Varian, Inc.* |
| 1,940 |
| |
2,363 |
| Viropharma, Inc.* |
| 26,702 |
| |
256 |
| Vital Images, Inc.* |
| 2,985 |
| |
|
|
|
| 652,164 |
| |
|
| Industrials - 12.8% |
|
|
| |
|
|
|
|
|
| |
56 |
| 3D Systems Corp.* |
| 406 |
| |
671 |
| A.O. Smith Corp. |
| 21,969 |
| |
1,013 |
| AAR Corp.* |
| 17,160 |
| |
1,478 |
| ABM Industries, Inc. |
| 24,934 |
| |
1,826 |
| ACCO Brands Corp.* |
| 1,680 |
| |
775 |
| Aceto Corp. |
| 6,851 |
| |
187 |
| Actuant Corp., Class A |
| 3,355 |
| |
186 |
| Acuity Brands, Inc. |
| 5,015 |
| |
1,574 |
| Aircastle Ltd. |
| 8,563 |
| |
1,902 |
| Airtran Holdings, Inc.* |
| 6,486 |
| |
211 |
| Alamo Group, Inc. |
| 2,656 |
| |
1,214 |
| Alaska Air Group, Inc.* |
| 27,861 |
| |
1,000 |
| Albany International Corp., Class A |
| 15,380 |
| |
75 |
| Allegiant Travel Co.* |
| 3,235 |
| |
320 |
| Amerco, Inc.* |
| 11,856 |
| |
65 |
| American Railcar Industries, Inc. |
| 559 |
| |
81 |
| American Woodmark Corp. |
| 1,331 |
| |
244 |
| Ameron International Corp. |
| 13,147 |
| |
76 |
| Ampco-Pittsburgh Corp. |
| 1,265 |
| |
54 |
| Amrep Corp.* |
| 1,550 |
| |
488 |
| Apogee Enterprises, Inc. |
| 3,806 |
| |
998 |
| Applied Industrial Technologies, Inc. |
| 19,022 |
| |
308 |
| Applied Signal Technology, Inc. |
| 4,833 |
| |
56 |
| Argon ST, Inc.* |
| 1,097 |
| |
766 |
| Arkansas Best Corp. |
| 20,337 |
| |
48 |
| Astec Industries, Inc.* |
| 1,452 |
| |
717 |
| ATC Technology Corp.* |
| 12,397 |
| |
447 |
| Atlas Air Worldwide Holdings, Inc.* |
| 6,839 |
| |
245 |
| AZZ, Inc.* |
| 5,895 |
| |
33 |
| Badger Meter, Inc. |
| 1,035 |
| |
1,559 |
| Baldor Electric Co. |
| 25,692 |
| |
794 |
| Beacon Roofing Supply, Inc.* |
| 9,385 |
| |
1,027 |
| Belden, Inc. |
| 17,890 |
| |
1,289 |
| Blount International, Inc.* |
| 11,665 |
| |
829 |
| Bowne & Co., Inc. |
| 2,951 |
| |
1,698 |
| Brady Corp., Class A |
| 35,064 |
| |
1,674 |
| Briggs & Stratton Corp. |
| 23,570 |
| |
534 |
| Builders FirstSource, Inc.* |
| 625 |
| |
74 |
| CAI International, Inc.* |
| 371 |
| |
305 |
| Cascade Corp. |
| 8,241 |
| |
328 |
| Casella Waste Systems, Inc., Class A* |
| 1,643 |
| |
413 |
| CDI Corp. |
| 4,225 |
| |
739 |
| Celadon Group, Inc.* |
| 5,698 |
| |
887 |
| Ceradyne, Inc.* |
| 23,293 |
| |
251 |
| China BAK Battery, Inc.* |
| 622 |
| |
82 |
| CIRCOR International, Inc. |
| 1,790 |
| |
653 |
| Clarcor, Inc. |
| 20,968 |
| |
75 |
| Coleman Cable, Inc.* |
| 401 |
| |
572 |
| Columbus McKinnon Corp.* |
| 6,704 |
| |
1,353 |
| Comfort Systems USA, Inc. |
| 11,298 |
| |
725 |
| Commercial Vehicle Group, Inc.* |
| 812 |
| |
492 |
| COMSYS IT Partners, Inc.* |
| 1,569 |
| |
143 |
| Consolidated Graphics, Inc.* |
| 2,055 |
| |
377 |
| Cornell Cos., Inc.* |
| 8,897 |
| |
354 |
| Courier Corp. |
| 6,453 |
| |
139 |
| CRA International, Inc.* |
| 4,034 |
| |
525 |
| Cubic Corp. |
| 13,881 |
| |
226 |
| Curtiss-Wright Corp. |
| 7,548 |
| |
830 |
| Deluxe Corp. |
| 8,732 |
| |
726 |
| Dollar Thrifty Automotive Group, Inc.* |
| 900 |
| |
357 |
| Ducommun, Inc. |
| 5,969 |
| |
1,353 |
| Dycom Industries, Inc.* |
| 8,037 |
| |
162 |
| Dynamex, Inc.* |
| 2,960 |
| |
777 |
| DynCorp International, Inc., Class A* |
| 11,538 |
| |
1,404 |
| EMCOR Group, Inc.* |
| 22,141 |
| |
613 |
| Encore Wire Corp. |
| 10,396 |
| |
164 |
| Energy Recovery, Inc. |
| 1,150 |
| |
295 |
| EnerNOC, Inc.* |
| 2,112 |
| |
651 |
| EnerSys* |
| 5,553 |
| |
871 |
| Ennis, Inc. |
| 8,858 |
| |
601 |
| EnPro Industries, Inc.* |
| 11,221 |
| |
170 |
| Esterline Technologies Corp.* |
| 6,275 |
| |
155 |
| Exponent, Inc.* |
| 4,731 |
| |
1,621 |
| Federal Signal Corp. |
| 11,379 |
| |
349 |
| First Advantage Corp., Class A* |
| 4,387 |
| |
965 |
| Force Protection, Inc.* |
| 3,841 |
| |
303 |
| Franklin Electric Co., Inc. |
| 8,945 |
| |
357 |
| FreightCar America, Inc. |
| 7,761 |
| |
320 |
| Furmanite Corp.* |
| 1,722 |
| |
666 |
| G&K Services, Inc., Class A |
| 15,584 |
| |
286 |
| Genesee & Wyoming, Inc., Class A* |
| 8,689 |
| |
549 |
| GeoEye, Inc.* |
| 10,975 |
| |
908 |
| Gibraltar Industries, Inc. |
| 11,713 |
| |
715 |
| GrafTech International Ltd.* |
| 4,783 |
| |
1,120 |
| Granite Construction, Inc. |
| 48,037 |
| |
1,345 |
| Great Lakes Dredge & Dock Corp. |
| 3,605 |
| |
552 |
| Greenbrier Cos., Inc. |
| 4,179 |
| |
1,470 |
| Griffon Corp.* |
| 11,760 |
| |
331 |
| GT Solar International, Inc.* |
| 1,165 |
| |
552 |
| H&E Equipment Services, Inc.* |
| 3,715 |
| |
173 |
| Hawaiian Holdings, Inc.* |
| 775 |
| |
714 |
| Heartland Express, Inc. |
| 11,024 |
| |
580 |
| Heidrick & Struggles International, Inc. |
| 12,006 |
| |
302 |
| Herley Industries, Inc.* |
| 3,624 |
| |
856 |
| Herman Miller, Inc. |
| 12,592 |
| |
1,371 |
| HNI Corp. |
| 18,303 |
| |
439 |
| HUB Group, Inc., Class A* |
| 11,721 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
138 |
| Hudson Highland Group, Inc.* |
| $ | 433 |
|
217 |
| Hurco Cos, Inc.* |
| 3,639 |
| |
214 |
| ICF International, Inc.* |
| 4,194 |
| |
166 |
| ICT Group, Inc.* |
| 558 |
| |
937 |
| Insituform Technologies, Inc., Class A* |
| 15,189 |
| |
531 |
| INSTEEL Industries, Inc. |
| 5,183 |
| |
202 |
| Integrated Electrical Services, Inc.* |
| 1,260 |
| |
1,095 |
| Interline Brands, Inc.* |
| 10,118 |
| |
202 |
| International Shipholding Corp. |
| 4,444 |
| |
5,842 |
| JetBlue Airways Corp.* |
| 30,612 |
| |
470 |
| Kadant, Inc.* |
| 7,041 |
| |
805 |
| Kaman Corp. |
| 18,966 |
| |
885 |
| Kelly Services, Inc., Class A |
| 10,310 |
| |
901 |
| Kforce, Inc.* |
| 6,127 |
| |
1,077 |
| Kimball International, Inc., Class B |
| 7,205 |
| |
166 |
| Knoll, Inc. |
| 1,788 |
| |
1,456 |
| Korn/Ferry International* |
| 17,923 |
| |
375 |
| L.B. Foster Co., Class A* |
| 11,951 |
| |
37 |
| LaBarge, Inc.* |
| 462 |
| |
492 |
| Ladish Co., Inc.* |
| 8,152 |
| |
140 |
| Lawson Products |
| 3,196 |
| |
502 |
| Layne Christensen Co.* |
| 11,335 |
| |
552 |
| LECG Corp.* |
| 2,904 |
| |
111 |
| LMI Aerospace, Inc.* |
| 1,219 |
| |
634 |
| LSI Industries, Inc. |
| 4,356 |
| |
558 |
| Lydall, Inc.* |
| 2,946 |
| |
368 |
| M&F Worldwide Corp.* |
| 5,796 |
| |
517 |
| Marten Transport Ltd.* |
| 9,745 |
| |
148 |
| MasTec, Inc.* |
| 949 |
| |
254 |
| McGrath Rentcorp |
| 4,567 |
| |
54 |
| Medis Technologies Ltd.* |
| 36 |
| |
213 |
| Michael Baker Corp.* |
| 7,008 |
| |
681 |
| Mine Safety Appliances Co. |
| 16,650 |
| |
193 |
| Mobile Mini, Inc.* |
| 2,507 |
| |
1,291 |
| Moog, Inc., Class A* |
| 41,544 |
| |
3,186 |
| MPS Group, Inc.* |
| 21,091 |
| |
1,162 |
| Mueller Industries, Inc. |
| 27,075 |
| |
3,886 |
| Mueller Water Products, Inc., Class A |
| 23,938 |
| |
47 |
| Multi-Color Corp. |
| 630 |
| |
199 |
| NACCO Industries, Inc., Class A |
| 7,264 |
| |
665 |
| NCI Building Systems, Inc.* |
| 10,121 |
| |
93 |
| NN, Inc. |
| 130 |
| |
307 |
| Northwest Pipe Co.* |
| 8,817 |
| |
311 |
| Odyssey Marine Exploration, Inc.* |
| 1,023 |
| |
277 |
| Old Dominion Freight Line, Inc.* |
| 6,593 |
| |
1,193 |
| On Assignment, Inc.* |
| 6,860 |
| |
1,190 |
| Otter Tail Corp. |
| 22,360 |
| |
718 |
| Pacer International, Inc. |
| 6,957 |
| |
276 |
| Park-Ohio Holdings Corp.* |
| 1,261 |
| |
52 |
| Patriot Transportation Holding, Inc.* |
| 3,598 |
| |
1,012 |
| Perini Corp.* |
| 19,380 |
| |
387 |
| Pike Electric Corp.* |
| 4,702 |
| |
2,703 |
| Plug Power, Inc.* |
| 2,784 |
| |
19 |
| Powell Industries, Inc.* |
| 453 |
| |
2,360 |
| Power-One, Inc.* |
| 2,950 |
| |
80 |
| Preformed Line Products Co. |
| 3,102 |
| |
443 |
| Quanex Building Products Corp. |
| 4,102 |
| |
1,083 |
| Regal-Beloit Corp. |
| 36,432 |
| |
1,181 |
| Republic Airways Holdings, Inc.* |
| 16,499 |
| |
391 |
| Robbins & Myers, Inc. |
| 8,797 |
| |
1,133 |
| Rush Enterprises, Inc., Class A* |
| 9,948 |
| |
451 |
| Saia, Inc.* |
| 4,018 |
| |
35 |
| Sauer-Danfoss, Inc. |
| 283 |
| |
506 |
| Schawk, Inc. |
| 6,917 |
| |
634 |
| School Specialty, Inc.* |
| 10,157 |
| |
9 |
| Seaboard Corp. |
| 8,109 |
| |
1,259 |
| Simpson Manufacturing Co., Inc. |
| 32,734 |
| |
1,973 |
| Skywest, Inc. |
| 29,990 |
| |
935 |
| Spherion Corp.* |
| 2,104 |
| |
81 |
| Standard Parking Corp.* |
| 1,620 |
| |
349 |
| Standard Register Co. (The) |
| 1,958 |
| |
420 |
| Standex International Corp. |
| 8,854 |
| |
132 |
| Sterling Construction Co., Inc.* |
| 2,173 |
| |
355 |
| TAL International Group, Inc. |
| 4,008 |
| |
550 |
| Tecumseh Products Co., Class A* |
| 6,501 |
| |
37 |
| Tennant Co. |
| 891 |
| |
185 |
| Textainer Group Holdings Ltd. |
| 1,874 |
| |
355 |
| Thermadyne Holdings Corp.* |
| 2,308 |
| |
816 |
| Tredegar Corp. |
| 12,828 |
| |
375 |
| Trex Co., Inc.* |
| 5,085 |
| |
494 |
| Trimas Corp.* |
| 869 |
| |
245 |
| Triumph Group, Inc. |
| 8,379 |
| |
1,352 |
| TrueBlue, Inc.* |
| 10,018 |
| |
265 |
| Twin Disc, Inc. |
| 1,760 |
| |
2,248 |
| UAL Corp. |
| 25,290 |
| |
846 |
| Ultrapetrol Bahamas Ltd.* |
| 3,376 |
| |
59 |
| United Capital Corp.* |
| 1,167 |
| |
792 |
| United Stationers, Inc.* |
| 25,194 |
| |
559 |
| Universal Forest Products, Inc. |
| 11,756 |
| |
159 |
| Universal Truckload Services, Inc.* |
| 2,868 |
| |
3,850 |
| US Airways Group, Inc.* |
| 22,946 |
| |
393 |
| Valence Technology, Inc.* |
| 774 |
| |
697 |
| Viad Corp. |
| 18,617 |
| |
424 |
| Volt Information Sciences, Inc.* |
| 2,578 |
| |
1,039 |
| Wabash National Corp. |
| 5,122 |
| |
215 |
| Wabtec Corp. |
| 8,297 |
| |
801 |
| Waste Services, Inc.* |
| 5,054 |
| |
367 |
| Watsco, Inc. |
| 14,438 |
| |
478 |
| Watson Wyatt Worldwide, Inc., Class A |
| 19,273 |
| |
987 |
| Watts Water Technologies, Inc., Class A |
| 22,207 |
| |
1,434 |
| Werner Enterprises, Inc. |
| 24,923 |
| |
419 |
| Woodward Governor Co. |
| 8,900 |
| |
1,927 |
| YRC Worldwide, Inc.* |
| 7,669 |
| |
|
|
|
| 1,783,242 |
| |
|
| Information Technology - 10.4% |
|
|
| |
|
|
|
|
|
| |
13,609 |
| 3Com Corp.* |
| 27,354 |
| |
806 |
| Actel Corp.* |
| 7,464 |
| |
2,063 |
| Acxiom Corp. |
| 15,493 |
| |
4,081 |
| Adaptec, Inc.* |
| 11,468 |
| |
830 |
| Adtran, Inc. |
| 11,786 |
| |
876 |
| Advanced Energy Industries, Inc.* |
| 6,815 |
| |
767 |
| Agilysys, Inc. |
| 2,907 |
| |
81 |
| Airvana, Inc.* |
| 382 |
| |
256 |
| American Software, Inc., Class A |
| 1,042 |
| |
3,223 |
| Amkor Technology, Inc.* |
| 7,091 |
| |
494 |
| Anaren, Inc.* |
| 5,301 |
| |
920 |
| Anixter International, Inc.* |
| 25,208 |
| |
1,487 |
| Applied Micro Circuits Corp.* |
| 5,502 |
| |
408 |
| Ariba, Inc.* |
| 3,284 |
| |
4,136 |
| Arris Group, Inc.* |
| 29,738 |
| |
1,481 |
| Asyst Technologies, Inc.* |
| 652 |
| |
1,018 |
| Avid Technology, Inc.* |
| 12,745 |
| |
1,511 |
| Avocent Corp.* |
| 28,422 |
| |
3,461 |
| Axcelis Technologies, Inc.* |
| 2,042 |
| |
376 |
| Bel Fuse, Inc., Class B |
| 7,328 |
| |
1,877 |
| Benchmark Electronics, Inc.* |
| 23,800 |
| |
588 |
| Black Box Corp. |
| 14,394 |
| |
113 |
| Blackbaud, Inc. |
| 1,412 |
| |
3,398 |
| Bookham, Inc.* |
| 1,546 |
| |
742 |
| Bottomline Technologies, Inc.* |
| 5,046 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
1,682 |
| Brightpoint, Inc.* |
| $ | 6,930 |
|
2,144 |
| Brooks Automation, Inc.* |
| 8,276 |
| |
805 |
| CACI International, Inc., Class A* |
| 35,750 |
| |
175 |
| Ceva, Inc.* |
| 1,293 |
| |
1,341 |
| Checkpoint Systems, Inc.* |
| 15,502 |
| |
1,812 |
| Ciber, Inc.* |
| 7,773 |
| |
718 |
| Cirrus Logic, Inc.* |
| 3,030 |
| |
580 |
| Cogent, Inc.* |
| 7,795 |
| |
798 |
| Coherent, Inc.* |
| 19,862 |
| |
721 |
| Cohu, Inc. |
| 8,075 |
| |
35 |
| Comverge, Inc.* |
| 142 |
| |
295 |
| CPI International, Inc.* |
| 2,755 |
| |
801 |
| Cray, Inc.* |
| 1,506 |
| |
541 |
| CSG Systems International, Inc.* |
| 9,110 |
| |
1,134 |
| CTS Corp. |
| 6,271 |
| |
773 |
| Cymer, Inc.* |
| 18,158 |
| |
389 |
| DealerTrack Holdings, Inc.* |
| 4,610 |
| |
31 |
| Deltek, Inc.* |
| 149 |
| |
63 |
| DG FastChannel, Inc.* |
| 1,055 |
| |
715 |
| Digi International, Inc.* |
| 6,592 |
| |
11 |
| Digimarc Corp.* |
| 99 |
| |
822 |
| DSP Group, Inc.* |
| 4,702 |
| |
725 |
| Electro Rent Corp. |
| 7,997 |
| |
914 |
| Electro Scientific Industries, Inc.* |
| 6,224 |
| |
1,794 |
| Electronics for Imaging, Inc.* |
| 17,527 |
| |
526 |
| EMS Technologies, Inc.* |
| 12,734 |
| |
2,846 |
| Emulex Corp.* |
| 20,292 |
| |
3,626 |
| Entegris, Inc.* |
| 5,040 |
| |
35 |
| Entropic Communications, Inc.* |
| 35 |
| |
2,004 |
| Epicor Software Corp.* |
| 8,216 |
| |
406 |
| EPIQ Systems, Inc.* |
| 6,593 |
| |
1,592 |
| Euronet Worldwide, Inc.* |
| 13,580 |
| |
1,138 |
| Exar Corp.* |
| 7,670 |
| |
2,979 |
| Extreme Networks* |
| 6,256 |
| |
1,644 |
| Fair Isaac Corp. |
| 23,246 |
| |
1,233 |
| FEI Co.* |
| 25,055 |
| |
651 |
| Formfactor, Inc.* |
| 8,808 |
| |
3,555 |
| Foundry Networks, Inc.* |
| 55,067 |
| |
799 |
| Gerber Scientific, Inc.* |
| 1,918 |
| |
789 |
| Gevity HR, Inc. |
| 1,255 |
| |
505 |
| Global Cash Access Holdings, Inc.* |
| 1,560 |
| |
225 |
| Globecomm Systems, Inc.* |
| 1,168 |
| |
1,756 |
| Harmonic, Inc.* |
| 9,043 |
| |
859 |
| Harris Stratex Networks, Inc., Class A* |
| 4,286 |
| |
533 |
| HSW International, Inc.* |
| 187 |
| |
796 |
| Hutchinson Technology, Inc.* |
| 2,229 |
| |
486 |
| Hypercom Corp.* |
| 384 |
| |
528 |
| i2 Technologies, Inc.* |
| 4,382 |
| |
210 |
| ICx Technologies, Inc.* |
| 1,642 |
| |
1,010 |
| Imation Corp. |
| 13,413 |
| |
496 |
| Immersion Corp.* |
| 1,920 |
| |
1,119 |
| infoGROUP, Inc. |
| 4,398 |
| |
492 |
| Infospace, Inc. |
| 3,843 |
| |
1,580 |
| Insight Enterprises, Inc.* |
| 6,431 |
| |
849 |
| Internap Network Services Corp.* |
| 2,326 |
| |
417 |
| Internet Brands, Inc., Class A* |
| 2,615 |
| |
500 |
| Internet Capital Group, Inc.* |
| 1,840 |
| |
239 |
| Interwoven, Inc.* |
| 3,109 |
| |
735 |
| Intevac, Inc.* |
| 3,631 |
| |
579 |
| Ixia* |
| 3,555 |
| |
212 |
| IXYS Corp. |
| 1,543 |
| |
190 |
| Jack Henry & Associates, Inc. |
| 3,498 |
| |
805 |
| JDA Software Group, Inc.* |
| 10,610 |
| |
2,835 |
| Kemet Corp.* |
| 1,191 |
| |
167 |
| Kenexa Corp.* |
| 1,009 |
| |
379 |
| Keynote Systems, Inc.* |
| 2,888 |
| |
2,084 |
| Kopin Corp.* |
| 4,376 |
| |
1,938 |
| L-1 Identity Solutions, Inc.* |
| 11,318 |
| |
1,919 |
| Lattice Semiconductor Corp.* |
| 2,917 |
| |
438 |
| Limelight Networks, Inc.* |
| 1,187 |
| |
413 |
| Littelfuse, Inc.* |
| 6,212 |
| |
392 |
| Loral Space & Communications, Inc.* |
| 3,312 |
| |
4,015 |
| LTX-Credence Corp.* |
| 1,486 |
| |
2,569 |
| Macrovision Solutions Corp.* |
| 30,211 |
| |
1,663 |
| Mattson Technology, Inc.* |
| 2,993 |
| |
547 |
| MAXIMUS, Inc. |
| 17,176 |
| |
489 |
| Measurement Specialties, Inc.* |
| 2,870 |
| |
2,864 |
| Mentor Graphics Corp.* |
| 19,418 |
| |
769 |
| Mercury Computer Systems, Inc.* |
| 2,107 |
| |
1,285 |
| Methode Electronics, Inc. |
| 10,871 |
| |
1,311 |
| MIPS Technologies, Inc.* |
| 1,770 |
| |
1,577 |
| MKS Instruments, Inc.* |
| 22,567 |
| |
1,560 |
| ModusLink Global Solutions, Inc.* |
| 6,926 |
| |
147 |
| Monotype Imaging Holdings, Inc.* |
| 794 |
| |
5,308 |
| MRV Communications, Inc.* |
| 3,238 |
| |
1,516 |
| MSC.Software Corp.* |
| 11,370 |
| |
387 |
| MTS Systems Corp. |
| 10,066 |
| |
34 |
| Multi-Fineline Electronix, Inc.* |
| 355 |
| |
1,205 |
| Ness Technologies, Inc.* |
| 5,676 |
| |
994 |
| Netgear, Inc.* |
| 12,027 |
| |
157 |
| Netscout Systems, Inc.* |
| 1,248 |
| |
1,214 |
| Newport Corp.* |
| 7,053 |
| |
599 |
| Novatel Wireless, Inc.* |
| 2,294 |
| |
1,574 |
| Omnivision Technologies, Inc.* |
| 9,444 |
| |
2,644 |
| OpenTV Corp., Class A* |
| 3,067 |
| |
443 |
| Oplink Communications, Inc.* |
| 3,345 |
| |
46 |
| Opnet Technologies, Inc.* |
| 508 |
| |
285 |
| Opnext, Inc.* |
| 590 |
| |
193 |
| Orbcomm, Inc.* |
| 357 |
| |
110 |
| OSI Systems, Inc.* |
| 1,527 |
| |
527 |
| Palm, Inc.* |
| 1,260 |
| |
197 |
| Parametric Technology Corp.* |
| 2,277 |
| |
130 |
| Park Electrochemical Corp. |
| 2,311 |
| |
322 |
| PC Connection, Inc.* |
| 1,652 |
| |
64 |
| PC Mall, Inc.* |
| 236 |
| |
247 |
| PC-Tel, Inc. |
| 1,492 |
| |
1,078 |
| Perficient, Inc.* |
| 3,288 |
| |
2,919 |
| Perot Systems Corp., Class A* |
| 36,429 |
| |
1,412 |
| Photronics, Inc.* |
| 635 |
| |
1,652 |
| Plantronics, Inc. |
| 20,997 |
| |
118 |
| Plexus Corp.* |
| 1,968 |
| |
50 |
| PLX Technology, Inc.* |
| 104 |
| |
3,033 |
| PMC - Sierra, Inc.* |
| 12,162 |
| |
214 |
| Polycom, Inc.* |
| 4,030 |
| |
4,435 |
| Powerwave Technologies, Inc.* |
| 2,129 |
| |
129 |
| Progress Software Corp.* |
| 2,745 |
| |
3,026 |
| Quantum Corp.* |
| 363 |
| |
2,444 |
| Quest Software, Inc.* |
| 32,627 |
| |
885 |
| Rackable Systems, Inc.* |
| 3,531 |
| |
155 |
| Rackspace Hosting, Inc.* |
| 1,070 |
| |
754 |
| Radisys Corp.* |
| 4,524 |
| |
1,827 |
| RealNetworks, Inc.* |
| 6,943 |
| |
8,877 |
| RF Micro Devices, Inc.* |
| 11,806 |
| |
305 |
| Rimage Corp.* |
| 4,307 |
| |
605 |
| Rogers Corp.* |
| 17,061 |
| |
926 |
| Rudolph Technologies, Inc.* |
| 3,056 |
| |
412 |
| S1 Corp.* |
| 3,082 |
| |
3,784 |
| Safeguard Scientifics, Inc.* |
| 2,649 |
| |
12,345 |
| Sanmina-SCI Corp.* |
| 7,901 |
| |
217 |
| Scansource, Inc.* |
| 3,691 |
| |
1,043 |
| Seachange International, Inc.* |
| 8,261 |
| |
131 |
| Semitool, Inc.* |
| 489 |
| |
114 |
| Semtech Corp.* |
| 1,290 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
219 |
| ShoreTel, Inc.* |
| $ | 968 |
|
446 |
| SI International, Inc.* |
| 13,621 |
| |
156 |
| Sigma Designs, Inc.* |
| 1,455 |
| |
2,819 |
| Silicon Storage Technology, Inc.* |
| 8,542 |
| |
2,045 |
| SiRF Technology Holdings, Inc.* |
| 2,965 |
| |
1,789 |
| Skyworks Solutions, Inc.* |
| 9,643 |
| |
1,494 |
| Smart Modular Technologies WWH, Inc.* |
| 1,345 |
| |
170 |
| Smith Micro Software, Inc.* |
| 869 |
| |
297 |
| Sonic Solutions, Inc.* |
| 380 |
| |
1,591 |
| SonicWALL, Inc.* |
| 6,237 |
| |
133 |
| Sourcefire, Inc.* |
| 769 |
| |
3,893 |
| Spansion, Inc., Class A* |
| 973 |
| |
665 |
| SRA International, Inc., Class A* |
| 9,988 |
| |
340 |
| Standard Microsystems Corp.* |
| 5,182 |
| |
112 |
| Super Micro Computer, Inc.* |
| 584 |
| |
494 |
| SupportSoft, Inc.* |
| 993 |
| |
421 |
| Sybase, Inc.* |
| 10,373 |
| |
5,757 |
| Sycamore Networks, Inc.* |
| 17,674 |
| |
1,550 |
| Symmetricom, Inc.* |
| 6,479 |
| |
532 |
| Symyx Technologies, Inc.* |
| 2,139 |
| |
585 |
| SYNNEX Corp.* |
| 6,119 |
| |
1,292 |
| Technitrol, Inc. |
| 4,522 |
| |
1,953 |
| Tekelec* |
| 23,924 |
| |
246 |
| TheStreet.com, Inc. |
| 834 |
| |
697 |
| THQ, Inc.* |
| 3,304 |
| |
6,296 |
| TIBCO Software, Inc.* |
| 30,473 |
| |
83 |
| TNS, Inc.* |
| 710 |
| |
35 |
| Transmeta Corp.* |
| 628 |
| |
1,243 |
| Trident Microsystems, Inc.* |
| 2,088 |
| |
4,840 |
| TriQuint Semiconductor, Inc.* |
| 12,487 |
| |
1,263 |
| TTM Technologies, Inc.* |
| 6,454 |
| |
657 |
| Ultra Clean Holdings* |
| 1,386 |
| |
2,606 |
| United Online, Inc. |
| 17,278 |
| |
3,536 |
| Utstarcom, Inc.* |
| 6,718 |
| |
167 |
| Veeco Instruments, Inc.* |
| 990 |
| |
1,098 |
| VeriFone Holdings, Inc.* |
| 4,513 |
| |
680 |
| Viasat, Inc.* |
| 14,572 |
| |
389 |
| Vignette Corp.* |
| 3,384 |
| |
81 |
| Virtusa Corp.* |
| 402 |
| |
718 |
| Web.com Group, Inc.* |
| 1,817 |
| |
146 |
| Websense, Inc.* |
| 2,361 |
| |
77 |
| Wright Express Corp.* |
| 876 |
| |
1,745 |
| Zoran Corp.* |
| 13,122 |
| |
517 |
| Zygo Corp.* |
| 3,417 |
| |
|
|
|
| 1,438,471 |
| |
|
| Materials - 4.1% |
|
|
| |
|
|
|
|
|
| |
1,794 |
| AbitibiBowater, Inc.* |
| 1,238 |
| |
182 |
| Allied Nevada Gold Corp.* |
| 519 |
| |
556 |
| AM Castle & Co. |
| 5,048 |
| |
582 |
| AMCOL International Corp. |
| 11,721 |
| |
36 |
| American Vanguard Corp. |
| 351 |
| |
1,591 |
| Apex Silver Mines Ltd.* |
| 1,289 |
| |
553 |
| Arch Chemicals, Inc. |
| 15,971 |
| |
1,206 |
| Boise, Inc.* |
| 603 |
| |
688 |
| Brush Engineered Materials, Inc.* |
| 7,967 |
| |
1,323 |
| Buckeye Technologies, Inc.* |
| 5,967 |
| |
59 |
| Bway Holding Co.* |
| 284 |
| |
579 |
| China Precision Steel, Inc.* |
| 787 |
| |
18,594 |
| Coeur d’Alene Mines Corp.* |
| 12,644 |
| |
521 |
| Compass Minerals International, Inc. |
| 29,171 |
| |
186 |
| Ferro Corp. |
| 1,196 |
| |
394 |
| General Moly, Inc.* |
| 453 |
| |
64 |
| GenTek, Inc.* |
| 1,179 |
| |
1,524 |
| Glatfelter |
| 14,509 |
| |
302 |
| Haynes International, Inc.* |
| 5,505 |
| |
1,633 |
| HB Fuller Co. |
| 28,969 |
| |
1,211 |
| Headwaters, Inc.* |
| 6,878 |
| |
4,299 |
| Hecla Mining Co.* |
| 9,974 |
| |
1,180 |
| Horsehead Holding Corp.* |
| 3,658 |
| |
579 |
| ICO, Inc.* |
| 2,600 |
| |
168 |
| Innophos Holdings, Inc. |
| 2,769 |
| |
304 |
| Innospec, Inc. |
| 1,751 |
| |
530 |
| Kaiser Aluminum Corp. |
| 11,188 |
| |
605 |
| KapStone Paper and Packaging Corp.* |
| 2,680 |
| |
660 |
| Koppers Holdings, Inc. |
| 14,137 |
| |
3,489 |
| Louisiana-Pacific Corp. |
| 8,060 |
| |
197 |
| LSB Industries, Inc.* |
| 1,769 |
| |
1,017 |
| Mercer International, Inc.* |
| 2,339 |
| |
347 |
| Minerals Technologies, Inc. |
| 16,292 |
| |
411 |
| Myers Industries, Inc. |
| 2,499 |
| |
493 |
| Neenah Paper, Inc. |
| 4,033 |
| |
91 |
| NL Industries, Inc. |
| 1,043 |
| |
2,525 |
| Olin Corp. |
| 41,360 |
| |
77 |
| Olympic Steel, Inc. |
| 1,348 |
| |
1,028 |
| OM Group, Inc.* |
| 20,282 |
| |
381 |
| Penford Corp. |
| 4,294 |
| |
3,147 |
| PolyOne Corp.* |
| 8,906 |
| |
56 |
| Quaker Chemical Corp. |
| 717 |
| |
802 |
| Rock-Tenn Co., Class A |
| 27,084 |
| |
1,407 |
| Rockwood Holdings, Inc.* |
| 12,579 |
| |
988 |
| Royal Gold, Inc. |
| 39,520 |
| |
775 |
| RTI International Metals, Inc.* |
| 9,316 |
| |
913 |
| Schulman A., Inc. |
| 12,389 |
| |
528 |
| Schweitzer-Mauduit International, Inc. |
| 9,736 |
| |
1,623 |
| Sensient Technologies Corp. |
| 39,017 |
| |
421 |
| Silgan Holdings, Inc. |
| 19,046 |
| |
738 |
| Solutia, Inc.* |
| 5,018 |
| |
1,029 |
| Spartech Corp. |
| 5,968 |
| |
128 |
| Stepan Co. |
| 5,885 |
| |
964 |
| Stillwater Mining Co.* |
| 3,017 |
| |
117 |
| Sutor Technology Group Ltd.* |
| 221 |
| |
1,343 |
| U.S. Concrete, Inc.* |
| 4,324 |
| |
27 |
| United States Lime & Minerals, Inc.* |
| 724 |
| |
202 |
| Universal Stainless & Alloy* |
| 2,464 |
| |
472 |
| Verso Paper Corp. |
| 604 |
| |
1,488 |
| Wausau Paper Corp. |
| 15,312 |
| |
644 |
| Westlake Chemical Corp. |
| 10,871 |
| |
1,782 |
| Worthington Industries, Inc. |
| 23,665 |
| |
560 |
| WR Grace & Co.* |
| 2,873 |
| |
|
|
|
| 563,581 |
| |
|
| Telecommunication Services - 0.8% |
|
|
| |
|
|
|
|
|
| |
713 |
| Alaska Communications Systems Group, Inc. |
| 6,916 |
| |
322 |
| Atlantic Tele-Network, Inc. |
| 7,387 |
| |
328 |
| Centennial Communications Corp.* |
| 2,535 |
| |
8,202 |
| Cincinnati Bell, Inc.* |
| 14,189 |
| |
495 |
| Consolidated Communications Holdings, Inc. |
| 5,039 |
| |
3,004 |
| Fairpoint Communications, Inc. |
| 10,514 |
| |
4,058 |
| FiberTower Corp.* |
| 2,232 |
| |
1,524 |
| General Communication, Inc., Class A* |
| 11,933 |
| |
599 |
| Global Crossing Ltd.* |
| 4,594 |
| |
1,413 |
| Globalstar, Inc.* |
| 297 |
| |
1,064 |
| Ibasis, Inc.* |
| 1,479 |
| |
2,366 |
| ICO Global Communications Holdings Ltd.* |
| 4,022 |
| |
1,823 |
| IDT Corp., Class B* |
| 784 |
| |
946 |
| Iowa Telecommunications Services, Inc. |
| 14,464 |
| |
391 |
| iPCS, Inc.* |
| 2,913 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| ||
|
| Common Stocks (a) (continued) |
|
|
| ||
1,040 |
| PAETEC Holding Corp.* |
| $ | 1,508 |
| |
299 |
| Premiere Global Services, Inc.* |
| 1,824 |
| ||
79 |
| Shenandoah Telecommunications Co. |
| 1,964 |
| ||
904 |
| Syniverse Holdings, Inc.* |
| 8,832 |
| ||
1,374 |
| TerreStar Corp.* |
| 591 |
| ||
606 |
| tw telecom, Inc.* |
| 4,624 |
| ||
790 |
| USA Mobility, Inc.* |
| 8,611 |
| ||
277 |
| Vonage Holdings Corp.* |
| 291 |
| ||
|
|
|
| 117,543 |
| ||
|
| Utilities - 7.4% |
|
|
| ||
|
|
|
|
|
| ||
883 |
| Allete, Inc. |
| 30,216 |
| ||
581 |
| American States Water Co. |
| 20,353 |
| ||
1,791 |
| Avista Corp. |
| 31,647 |
| ||
1,296 |
| Black Hills Corp. |
| 33,450 |
| ||
662 |
| California Water Service Group |
| 28,135 |
| ||
351 |
| Central Vermont Public Service Corp. |
| 6,630 |
| ||
530 |
| CH Energy Group, Inc. |
| 23,182 |
| ||
228 |
| Chesapeake Utilities Corp. |
| 7,216 |
| ||
2,033 |
| Cleco Corp. |
| 47,918 |
| ||
282 |
| Connecticut Water Service, Inc. |
| 7,033 |
| ||
1,512 |
| El Paso Electric Co.* |
| 27,246 |
| ||
1,137 |
| Empire District Electric Co. (The) |
| 19,943 |
| ||
1,524 |
| Idacorp, Inc. |
| 46,330 |
| ||
738 |
| Laclede Group, Inc. (The) |
| 38,878 |
| ||
745 |
| MGE Energy, Inc. |
| 26,373 |
| ||
446 |
| Middlesex Water Co. |
| 7,671 |
| ||
1,413 |
| New Jersey Resources Corp. |
| 56,746 |
| ||
1,522 |
| Nicor, Inc. |
| 62,067 |
| ||
889 |
| Northwest Natural Gas Co. |
| 44,406 |
| ||
1,317 |
| NorthWestern Corp. |
| 27,209 |
| ||
2,478 |
| Piedmont Natural Gas Co. |
| 83,261 |
| ||
2,917 |
| PNM Resources, Inc. |
| 30,483 |
| ||
2,113 |
| Portland General Electric Co. |
| 38,689 |
| ||
416 |
| SJW Corp. |
| 11,648 |
| ||
1,001 |
| South Jersey Industries, Inc. |
| 39,039 |
| ||
1,461 |
| Southwest Gas Corp. |
| 37,840 |
| ||
826 |
| Southwest Water Co. |
| 3,494 |
| ||
354 |
| Synthesis Energy Systems, Inc.* |
| 347 |
| ||
852 |
| UIL Holdings Corp. |
| 25,381 |
| ||
1,161 |
| Unisource Energy Corp. |
| 32,589 |
| ||
3,536 |
| Westar Energy, Inc. |
| 71,533 |
| ||
1,672 |
| WGL Holdings, Inc. |
| 60,359 |
| ||
|
|
|
| 1,027,312 |
| ||
|
| Total Common Stock |
| 12,617,558 |
| ||
|
|
|
|
|
| ||
Principal |
|
|
|
|
| ||
|
| Repurchase Agreements - 30.3% |
|
|
| ||
$ | 560,540 |
| Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $560,550(b) |
| 560,540 |
| |
560,540 |
| Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $560,554(c) |
| 560,540 |
| ||
42,040 |
| Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $42,041(d) |
| 42,040 |
| ||
140,135 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $140,145(e) |
| 140,135 |
| ||
280,270 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $280,289(f) |
| 280,270 |
| ||
980,944 |
| ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $980,967(g) |
| 980,944 |
| ||
840,809 |
| JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $840,823(h) |
| 840,809 |
| ||
799,405 |
| UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $799,422(i) |
| 799,405 |
| ||
|
| Total Repurchase Agreements |
| 4,204,683 |
| ||
|
| Total Investments |
| 16,822,241 |
| ||
|
| Liabilities in excess of other assets — (21.2)% |
| (2,944,936 | ) | ||
|
| Net Assets — 100.0% |
| $ | 13,877,305 |
| |
* |
| Non-income producing security. |
(a) |
| A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. |
(b) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $571,751. The investment in the repurchase agreement was through participation in a pooled account. |
(c) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $571,751. The investment in the repurchase agreement was through participation in a pooled account. |
(d) |
| Represents the Fund’s 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $42,883. The investment in the repurchase agreement was through participation in a pooled account. |
See accompanying notes to the financial statements.
(e) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $142,938. The investment in the repurchase agreement was through participation in a pooled account. |
(f) |
| Represents the Fund’s 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $285,875. The investment in the repurchase agreement was through participation in a pooled account. |
(g) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $1,000,564. The investment in the repurchase agreement was through participation in a pooled account. |
(h) |
| Represents the Fund’s 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $857,626. The investment in the repurchase agreement was through participation in a pooled account. |
(i) |
| Represents the Fund’s 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $815,395. The investment in the repurchase agreement was through participation in a pooled account. |
See accompanying notes to the financial statements.
REIT |
| Real Estate Investment Trust |
As of November 30, 2008, 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 |
| $ | — |
|
Aggregate gross unrealized depreciation |
| (4,329,873 | ) | |
Net unrealized depreciation |
| $ | (4,329,873 | ) |
Federal income tax cost of investments |
| $ | 21,152,114 |
|
Swap Agreements
Ultra Russell2000 Value had the following open swap agreements as of November 30, 2008:
|
| Termination |
| Notional Amount |
| Unrealized |
| ||
Equity Index Swap Agreement based on the Russell 2000® Value Index |
| 12/08/08 |
| $ | 7,119,584 |
| $ | (423,738 | ) |
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement based on the Russell 2000® Value Index |
| 12/08/08 |
| 7,746,800 |
| (772,087 | ) | ||
|
|
|
|
|
|
|
| ||
|
|
|
| $ | 14,866,384 |
| $ | (1,195,825 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Russell2000 Growth
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) - 77.7% |
|
|
| |
|
| Consumer Discretionary - 9.5% |
|
|
| |
|
|
|
|
|
| |
731 |
| 1-800-FLOWERS.COM, Inc., Class A* |
| $ | 2,727 |
|
727 |
| 99 Cents Only Stores* |
| 7,837 |
| |
1,867 |
| Aeropostale, Inc.* |
| 28,229 |
| |
370 |
| AFC Enterprises, Inc.* |
| 1,491 |
| |
533 |
| Ambassadors Group, Inc. |
| 4,829 |
| |
946 |
| American Apparel, Inc.* |
| 4,021 |
| |
307 |
| American Public Education, Inc.* |
| 12,145 |
| |
618 |
| Amerigon, Inc.* |
| 2,305 |
| |
762 |
| Arbitron, Inc. |
| 10,691 |
| |
32 |
| Aristotle Corp. (The)* |
| 118 |
| |
1,528 |
| Bally Technologies, Inc.* |
| 28,222 |
| |
239 |
| Bebe Stores, Inc. |
| 1,477 |
| |
161 |
| Bidz.com, Inc.* |
| 613 |
| |
382 |
| BJ’s Restaurants, Inc.* |
| 3,736 |
| |
373 |
| Blue Nile, Inc.* |
| 8,900 |
| |
882 |
| Borders Group, Inc. |
| 944 |
| |
649 |
| Buckle, Inc. (The) |
| 12,240 |
| |
497 |
| Buffalo Wild Wings, Inc.* |
| 11,411 |
| |
186 |
| Cache, Inc.* |
| 381 |
| |
435 |
| California Pizza Kitchen, Inc.* |
| 3,371 |
| |
398 |
| Capella Education Co.* |
| 23,824 |
| |
146 |
| Cato Corp. (The), Class A |
| 2,038 |
| |
139 |
| Cavco Industries, Inc.* |
| 4,206 |
| |
420 |
| CBRL Group, Inc. |
| 8,119 |
| |
492 |
| CEC Entertainment, Inc.* |
| 8,467 |
| |
1,055 |
| Champion Enterprises, Inc.* |
| 770 |
| |
91 |
| Charlotte Russe Holding, Inc.* |
| 455 |
| |
4,911 |
| Charter Communications, Inc., Class A* |
| 933 |
| |
1,668 |
| Cheesecake Factory (The)* |
| 12,143 |
| |
112 |
| Cherokee, Inc. |
| 1,802 |
| |
1,542 |
| Chico’s FAS, Inc.* |
| 3,932 |
| |
669 |
| Christopher & Banks Corp. |
| 2,255 |
| |
300 |
| Cinemark Holdings, Inc. |
| 2,259 |
| |
400 |
| Citi Trends, Inc.* |
| 4,920 |
| |
1,463 |
| CKE Restaurants, Inc. |
| 10,534 |
| |
845 |
| CKX, Inc.* |
| 3,718 |
| |
780 |
| Coinstar, Inc.* |
| 14,477 |
| |
1,590 |
| Coldwater Creek, Inc.* |
| 3,053 |
| |
2,380 |
| Corinthian Colleges, Inc.* |
| 38,270 |
| |
2,154 |
| CROCS, Inc.* |
| 2,736 |
| |
133 |
| Crown Media Holdings, Inc., Class A* |
| 283 |
| |
363 |
| Deckers Outdoor Corp.* |
| 21,649 |
| |
2,652 |
| Denny’s Corp.* |
| 4,933 |
| |
484 |
| DineEquity, Inc. |
| 6,161 |
| |
710 |
| Dolan Media Co.* |
| 3,060 |
| |
389 |
| Dover Downs Gaming & Entertainment, Inc. |
| 1,404 |
| |
423 |
| Dover Motorsports, Inc. |
| 635 |
| |
49 |
| Drew Industries, Inc.* |
| 689 |
| |
2,335 |
| Drugstore.Com* |
| 2,335 |
| |
213 |
| DSW, Inc., Class A* |
| 2,141 |
| |
65 |
| Einstein Noah Restaurant Group, Inc.* |
| 324 |
| |
824 |
| Entravision Communications Corp., Class A* |
| 634 |
| |
2,101 |
| Exide Technologies* |
| 9,455 |
| |
382 |
| FGX International Holdings Ltd.* |
| 3,919 |
| |
374 |
| Finish Line (The), Class A |
| 1,986 |
| |
2,131 |
| Fleetwood Enterprises, Inc.* |
| 320 |
| |
1,265 |
| Fossil, Inc.* |
| 19,228 |
| |
318 |
| Fuel Systems Solutions, Inc.* |
| 11,000 |
| |
273 |
| Fuqi International, Inc.* |
| 1,698 |
| |
239 |
| G-III Apparel Group Ltd.* |
| 1,895 |
| |
503 |
| Gaiam, Inc., Class A* |
| 2,585 |
| |
473 |
| Global Sources Ltd.* |
| 3,056 |
| |
331 |
| Global Traffic Network, Inc.* |
| 2,310 |
| |
78 |
| Great Wolf Resorts, Inc.* |
| 88 |
| |
572 |
| Gymboree Corp.* |
| 14,386 |
| |
133 |
| Harte-Hanks, Inc. |
| 794 |
| |
133 |
| Haverty Furniture Cos., Inc. |
| 1,129 |
| |
333 |
| Hayes Lemmerz International, Inc.* |
| 233 |
| |
349 |
| hhgregg, Inc.* |
| 2,080 |
| |
793 |
| Hibbett Sports, Inc.* |
| 11,292 |
| |
13 |
| Hooker Furniture Corp. |
| 87 |
| |
1,142 |
| Iconix Brand Group, Inc.* |
| 9,673 |
| |
484 |
| Interactive Data Corp. |
| 11,209 |
| |
500 |
| iRobot Corp.* |
| 5,220 |
| |
1,185 |
| J. Crew Group, Inc.* |
| 12,016 |
| |
1,020 |
| Jack in the Box, Inc.* |
| 17,850 |
| |
108 |
| JOS. A. Bank Clothiers, Inc.* |
| 2,111 |
| |
174 |
| K12, Inc.* |
| 3,175 |
| |
1,573 |
| Krispy Kreme Doughnuts, Inc.* |
| 3,964 |
| |
919 |
| Leapfrog Enterprises, Inc.* |
| 3,988 |
| |
250 |
| Learning Tree International, Inc.* |
| 2,927 |
| |
346 |
| Libbey, Inc. |
| 692 |
| |
973 |
| Life Time Fitness, Inc.* |
| 14,566 |
| |
57 |
| Lincoln Educational Services Corp.* |
| 784 |
| |
504 |
| Lululemon Athletica, Inc.* |
| 4,949 |
| |
261 |
| Lumber Liquidators, Inc.* |
| 2,474 |
| |
313 |
| Maidenform Brands, Inc.* |
| 2,898 |
| |
93 |
| Marine Products Corp. |
| 538 |
| |
707 |
| Martha Stewart Living Omnimedia, Class A* |
| 2,361 |
| |
1,368 |
| Marvel Entertainment, Inc.* |
| 40,288 |
| |
824 |
| Matthews International Corp., Class A |
| 33,644 |
| |
161 |
| Men’s Wearhouse, Inc. (The) |
| 1,713 |
| |
386 |
| Midas, Inc.* |
| 3,196 |
| |
134 |
| Monarch Casino & Resort, Inc.* |
| 1,206 |
| |
36 |
| Monro Muffler, Inc. |
| 735 |
| |
679 |
| Morgans Hotel Group Co.* |
| 2,716 |
| |
1,175 |
| National CineMedia, Inc. |
| 9,564 |
| |
10 |
| National Presto Industries, Inc. |
| 656 |
| |
1,126 |
| NetFlix, Inc.* |
| 25,875 |
| |
103 |
| New York & Co., Inc.* |
| 194 |
| |
854 |
| NutriSystem, Inc. |
| 11,965 |
| |
65 |
| Orbitz Worldwide, Inc.* |
| 158 |
| |
431 |
| Overstock.com, Inc.* |
| 4,521 |
| |
473 |
| Papa John’s International, Inc.* |
| 8,382 |
| |
390 |
| Peet’s Coffee & Tea, Inc.* |
| 8,802 |
| |
184 |
| Perry Ellis International, Inc.* |
| 997 |
| |
663 |
| PetMed Express, Inc.* |
| 11,888 |
| |
629 |
| PF Chang’s China Bistro, Inc.* |
| 11,781 |
| |
410 |
| Pier 1 Imports, Inc.* |
| 365 |
| |
343 |
| Playboy Enterprises, Inc., Class B* |
| 429 |
| |
813 |
| Polaris Industries, Inc. |
| 22,195 |
| |
1,080 |
| Pool Corp. |
| 18,608 |
| |
223 |
| Pre-Paid Legal Services, Inc.* |
| 8,920 |
| |
374 |
| Princeton Review, Inc.* |
| 1,941 |
| |
2,304 |
| Quantum Fuel Systems Technologies Worldwide, Inc.* |
| 1,797 |
| |
776 |
| Raser Technologies, Inc.* |
| 3,647 |
| |
561 |
| RCN Corp.* |
| 3,916 |
| |
422 |
| Red Robin Gourmet Burgers, Inc.* |
| 5,144 |
| |
41 |
| Retail Ventures, Inc.* |
| 51 |
| |
60 |
| RHI Entertainment, Inc. |
| 245 |
| |
182 |
| Rick’s Cabaret International, Inc.* |
| 810 |
| |
224 |
| Riviera Holdings Corp.* |
| 930 |
| |
313 |
| Ruth’s Hospitality Group, Inc.* |
| 466 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
2,456 |
| Sally Beauty Holdings, Inc.* |
| $ | 10,684 |
|
1,477 |
| Shuffle Master, Inc.* |
| 6,322 |
| |
548 |
| Shutterfly, Inc.* |
| 3,748 |
| |
515 |
| Sinclair Broadcast Group, Inc., Class A |
| 1,627 |
| |
64 |
| Skechers U.S.A., Inc., Class A* |
| 771 |
| |
1,049 |
| Smith & Wesson Holding Corp.* |
| 2,161 |
| |
1,413 |
| Sonic Corp.* |
| 11,940 |
| |
1,881 |
| Sotheby’s |
| 18,697 |
| |
71 |
| Spartan Motors, Inc. |
| 212 |
| |
380 |
| Stamps.com, Inc.* |
| 3,367 |
| |
261 |
| Steiner Leisure Ltd.* |
| 6,314 |
| |
126 |
| Systemax, Inc. |
| 1,232 |
| |
1,287 |
| Tempur-Pedic International, Inc. |
| 8,996 |
| |
1,463 |
| Texas Roadhouse, Inc., Class A* |
| 8,178 |
| |
1,452 |
| thinkorswim Group, Inc.* |
| 9,380 |
| |
488 |
| Town Sports International Holdings, Inc.* |
| 1,381 |
| |
696 |
| Tractor Supply Co.* |
| 26,712 |
| |
477 |
| True Religion Apparel, Inc.* |
| 6,005 |
| |
1,731 |
| Tupperware Brands Corp. |
| 34,049 |
| |
548 |
| Tween Brands, Inc.* |
| 2,104 |
| |
565 |
| Ulta Salon Cosmetics & Fragrance, Inc.* |
| 4,057 |
| |
920 |
| Under Armour, Inc., Class A* |
| 21,151 |
| |
365 |
| Universal Electronics, Inc.* |
| 6,059 |
| |
225 |
| Universal Technical Institute, Inc.* |
| 4,327 |
| |
825 |
| Vail Resorts, Inc.* |
| 17,944 |
| |
656 |
| Valassis Communications, Inc.* |
| 971 |
| |
37 |
| Value Line, Inc. |
| 1,188 |
| |
965 |
| Visteon Corp.* |
| 724 |
| |
507 |
| Volcom, Inc.* |
| 5,111 |
| |
1,270 |
| Warnaco Group, Inc. (The)* |
| 22,733 |
| |
9,557 |
| Wendy’s/Arby’s Group, Inc., Class A |
| 38,419 |
| |
2,571 |
| Wet Seal, Inc. (The), Class A* |
| 7,225 |
| |
113 |
| Weyco Group, Inc. |
| 3,792 |
| |
812 |
| Winnebago Industries |
| 4,775 |
| |
1,224 |
| WMS Industries, Inc.* |
| 30,172 |
| |
1,391 |
| Wolverine World Wide, Inc. |
| 26,805 |
| |
410 |
| Wonder Auto Technology, Inc.* |
| 1,542 |
| |
592 |
| World Wrestling Entertainment, Inc., Class A |
| 6,885 |
| |
547 |
| Zumiez, Inc.* |
| 4,726 |
| |
|
|
|
| 1,148,014 |
| |
|
| Consumer Staples - 2.4% |
|
|
| |
|
|
|
|
|
| |
554 |
| AgFeed Industries, Inc.* |
| 1,086 |
| |
77 |
| Alico, Inc. |
| 2,499 |
| |
1,781 |
| Alliance One International, Inc.* |
| 5,521 |
| |
137 |
| American Dairy, Inc.* |
| 2,332 |
| |
1,723 |
| American Oriental Bioengineering, Inc.* |
| 9,770 |
| |
32 |
| Arden Group, Inc., Class A |
| 4,377 |
| |
237 |
| Boston Beer Co., Inc., Class A* |
| 7,603 |
| |
289 |
| Calavo Growers, Inc. |
| 2,549 |
| |
330 |
| Cal-Maine Foods, Inc. |
| 8,319 |
| |
451 |
| Chattem, Inc.* |
| 32,729 |
| |
220 |
| China Sky One Medical, Inc.* |
| 2,246 |
| |
113 |
| Coca-Cola Bottling Co. Consolidated |
| 4,809 |
| |
2,277 |
| Darling International, Inc.* |
| 11,385 |
| |
447 |
| Diamond Foods, Inc. |
| 13,508 |
| |
1,303 |
| Flowers Foods, Inc. |
| 34,894 |
| |
356 |
| Great Atlantic & Pacific Tea Co.* |
| 1,851 |
| |
481 |
| Green Mountain Coffee Roasters, Inc.* |
| 17,480 |
| |
122 |
| Hain Celestial Group, Inc.* |
| 1,920 |
| |
186 |
| HQ Sustainable Maritime Industries, Inc.* |
| 991 |
| |
23 |
| Inter Parfums, Inc. |
| 169 |
| |
564 |
| Lancaster Colony Corp. |
| 17,005 |
| |
159 |
| Lance, Inc. |
| 3,105 |
| |
133 |
| Lifeway Foods, Inc.* |
| 902 |
| |
70 |
| Mannatech, Inc. |
| 158 |
| |
21 |
| National Beverage Corp.* |
| 186 |
| |
916 |
| Nu Skin Enterprises, Inc., Class A |
| 9,856 |
| |
110 |
| Pantry, Inc. (The)* |
| 2,127 |
| |
125 |
| Pilgrim’s Pride Corp. |
| 144 |
| |
401 |
| Pricesmart, Inc. |
| 5,478 |
| |
161 |
| Ralcorp Holdings, Inc.* |
| 10,072 |
| |
65 |
| Ruddick Corp. |
| 1,778 |
| |
92 |
| Sanderson Farms, Inc. |
| 2,869 |
| |
16 |
| Schiff Nutrition International, Inc.* |
| 97 |
| |
1,344 |
| Smart Balance, Inc.* |
| 7,862 |
| |
72 |
| Spartan Stores, Inc. |
| 1,708 |
| |
374 |
| Star Scientific, Inc.* |
| 1,145 |
| |
289 |
| Synutra International, Inc.* |
| 3,439 |
| |
223 |
| Tootsie Roll Industries, Inc. |
| 5,787 |
| |
367 |
| United Natural Foods, Inc.* |
| 6,610 |
| |
197 |
| USANA Health Sciences, Inc.* |
| 5,983 |
| |
920 |
| Vector Group Ltd. |
| 13,211 |
| |
216 |
| WD-40 Co. |
| 6,178 |
| |
874 |
| Winn-Dixie Stores, Inc.* |
| 13,066 |
| |
515 |
| Zhongpin, Inc.* |
| 4,475 |
| |
|
|
|
| 289,279 |
| |
|
| Energy - 5.6% |
|
|
| |
|
|
|
|
|
| |
1,172 |
| Abraxas Petroleum Corp.* |
| 1,453 |
| |
249 |
| American Oil & Gas, Inc.* |
| 237 |
| |
108 |
| APCO Argentina, Inc. |
| 3,078 |
| |
251 |
| Approach Resources, Inc.* |
| 2,181 |
| |
1,060 |
| Arena Resources, Inc.* |
| 28,058 |
| |
356 |
| Arlington Tankers Ltd. |
| 3,407 |
| |
963 |
| Atlas America, Inc. |
| 14,435 |
| |
775 |
| ATP Oil & Gas Corp.* |
| 5,177 |
| |
256 |
| Aventine Renewable Energy Holdings, Inc.* |
| 205 |
| |
1,152 |
| Basic Energy Services, Inc.* |
| 13,225 |
| |
755 |
| Berry Petroleum Co., Class A |
| 8,841 |
| |
475 |
| Bill Barrett Corp.* |
| 10,626 |
| |
92 |
| BMB Munai, Inc.* |
| 109 |
| |
240 |
| Bolt Technology Corp.* |
| 2,021 |
| |
1,675 |
| BPZ Resources, Inc.* |
| 10,318 |
| |
90 |
| Cal Dive International, Inc.* |
| 550 |
| |
1,321 |
| Cano Petroleum, Inc.* |
| 766 |
| |
573 |
| CARBO Ceramics, Inc. |
| 27,447 |
| |
763 |
| Carrizo Oil & Gas, Inc.* |
| 15,794 |
| |
1,053 |
| Cheniere Energy, Inc.* |
| 3,306 |
| |
152 |
| Clayton Williams Energy, Inc.* |
| 6,980 |
| |
608 |
| Clean Energy Fuels Corp.* |
| 2,949 |
| |
1,272 |
| Comstock Resources, Inc.* |
| 53,335 |
| |
1,545 |
| Concho Resources, Inc.* |
| 36,447 |
| |
367 |
| Contango Oil & Gas Co.* |
| 19,282 |
| |
1,121 |
| Crosstex Energy, Inc. |
| 4,652 |
| |
643 |
| CVR Energy, Inc.* |
| 2,250 |
| |
142 |
| Dawson Geophysical Co.* |
| 2,921 |
| |
1,737 |
| Delta Petroleum Corp.* |
| 9,918 |
| |
514 |
| DHT Maritime, Inc. |
| 2,750 |
| |
228 |
| Double Eagle Petroleum Co.* |
| 1,546 |
| |
864 |
| Dril-Quip, Inc.* |
| 17,003 |
| |
3,176 |
| Endeavour International Corp.* |
| 2,001 |
| |
892 |
| Energy Partners Ltd.* |
| 3,015 |
| |
208 |
| Energy XXI Bermuda Ltd. |
| 231 |
| |
755 |
| ENGlobal Corp.* |
| 2,220 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
2,362 |
| Evergreen Energy, Inc.* |
| $ | 898 |
|
3,922 |
| EXCO Resources, Inc.* |
| 30,082 |
| |
1,125 |
| FX Energy, Inc.* |
| 3,994 |
| |
2,618 |
| Gasco Energy, Inc.* |
| 1,623 |
| |
746 |
| General Maritime Corp. |
| 9,668 |
| |
1,060 |
| GeoGlobal Resources, Inc.* |
| 1,908 |
| |
71 |
| Geokinetics, Inc.* |
| 264 |
| |
67 |
| GeoMet, Inc.* |
| 137 |
| |
171 |
| Georesources, Inc.* |
| 1,317 |
| |
177 |
| GMX Resources, Inc.* |
| 5,085 |
| |
828 |
| Golar LNG Ltd. |
| 5,357 |
| |
629 |
| Goodrich Petroleum Corp.* |
| 22,688 |
| |
6,175 |
| Gran Tierra Energy, Inc.* |
| 16,858 |
| |
120 |
| GreenHunter Energy, Inc.* |
| 732 |
| |
1,162 |
| Grey Wolf, Inc.* |
| 6,368 |
| |
338 |
| Gulf Island Fabrication, Inc. |
| 4,871 |
| |
478 |
| Gulfmark Offshore, Inc.* |
| 13,527 |
| |
237 |
| Gulfport Energy Corp.* |
| 1,173 |
| |
417 |
| Houston American Energy Corp. |
| 1,072 |
| |
3,553 |
| International Coal Group, Inc.* |
| 10,091 |
| |
2,361 |
| ION Geophysical Corp.* |
| 7,083 |
| |
766 |
| James River Coal Co.* |
| 8,702 |
| |
478 |
| Knightsbridge Tankers Ltd. |
| 7,108 |
| |
139 |
| Lufkin Industries, Inc. |
| 6,854 |
| |
727 |
| Matrix Service Co.* |
| 5,554 |
| |
1,676 |
| McMoRan Exploration Co.* |
| 18,855 |
| |
274 |
| Mitcham Industries, Inc.* |
| 1,175 |
| |
559 |
| NATCO Group, Inc., Class A* |
| 10,135 |
| |
707 |
| National Coal Corp.* |
| 1,329 |
| |
339 |
| Natural Gas Services Group, Inc.* |
| 3,492 |
| |
257 |
| Nordic American Tanker Shipping |
| 7,512 |
| |
596 |
| Northern Oil and Gas, Inc.* |
| 2,497 |
| |
540 |
| Oilsands Quest, Inc.* |
| 594 |
| |
113 |
| OYO Geospace Corp.* |
| 2,572 |
| |
978 |
| Pacific Ethanol, Inc.* |
| 655 |
| |
204 |
| Panhandle Oil and Gas, Inc., Class A |
| 4,723 |
| |
1,156 |
| Parallel Petroleum Corp.* |
| 3,641 |
| |
562 |
| Parker Drilling Co.* |
| 1,720 |
| |
1,162 |
| Penn Virginia Corp. |
| 34,895 |
| |
415 |
| Petroleum Development Corp.* |
| 7,968 |
| |
593 |
| Petroquest Energy, Inc.* |
| 4,157 |
| |
258 |
| PHI, Inc. (Non-Voting)* |
| 3,186 |
| |
173 |
| Pioneer Drilling Co.* |
| 1,270 |
| |
26 |
| PrimeEnergy Corp.* |
| 1,409 |
| |
712 |
| Quest Resource Corp.* |
| 235 |
| |
650 |
| RAM Energy Resources, Inc.* |
| 741 |
| |
4,629 |
| Rentech, Inc.* |
| 2,963 |
| |
468 |
| Rex Energy Corp.* |
| 2,855 |
| |
811 |
| RPC, Inc. |
| 6,975 |
| |
1,179 |
| Ship Finance International Ltd. |
| 14,018 |
| |
91 |
| Stone Energy Corp.* |
| 1,512 |
| |
1,488 |
| Sulphco, Inc.* |
| 2,381 |
| |
306 |
| Superior Well Services, Inc.* |
| 3,136 |
| |
348 |
| T-3 Energy Services, Inc.* |
| 4,576 |
| |
378 |
| Teekay Tankers Ltd., Class A |
| 4,128 |
| |
627 |
| Tri-Valley Corp.* |
| 2,075 |
| |
135 |
| Union Drilling, Inc.* |
| 910 |
| |
1,115 |
| Uranium Resources, Inc.* |
| 569 |
| |
950 |
| USEC, Inc.* |
| 3,657 |
| |
518 |
| Vaalco Energy, Inc.* |
| 3,263 |
| |
567 |
| Venoco, Inc.* |
| 1,894 |
| |
1,628 |
| Warren Resources, Inc.* |
| 5,421 |
| |
243 |
| Westmoreland Coal Co.* |
| 2,304 |
| |
1,083 |
| Willbros Group, Inc.* |
| 8,956 |
| |
|
|
|
| 676,102 |
| |
|
| Financials - 4.3% |
|
|
| |
|
|
|
|
|
| |
438 |
| Acadia Realty Trust (REIT) |
| 6,123 |
| |
360 |
| Advance America Cash Advance Centers, Inc. |
| 616 |
| |
36 |
| Alexander’s, Inc. (REIT) |
| 7,661 |
| |
26 |
| Amtrust Financial Services, Inc. |
| 232 |
| |
300 |
| Argo Group International Holdings Ltd.* |
| 9,492 |
| |
333 |
| Asset Acceptance Capital Corp.* |
| 2,158 |
| |
254 |
| Associated Estates Realty Corp. (REIT) |
| 2,225 |
| |
503 |
| BGC Partners, Inc., Class A |
| 1,911 |
| |
116 |
| Broadpoint Securities Group, Inc.* |
| 302 |
| |
424 |
| Cardinal Financial Corp. |
| 2,251 |
| |
337 |
| Cardtronics, Inc.* |
| 452 |
| |
359 |
| Cash America International, Inc. |
| 9,697 |
| |
292 |
| Cohen & Steers, Inc. |
| 3,340 |
| |
100 |
| Consolidated-Tomoka Land Co. |
| 3,435 |
| |
710 |
| Cousins Properties, Inc. (REIT) |
| 7,654 |
| |
107 |
| Credit Acceptance Corp.* |
| 1,402 |
| |
217 |
| Danvers Bancorp, Inc. |
| 2,765 |
| |
57 |
| Diamond Hill Investment Group, Inc. |
| 3,198 |
| |
676 |
| Dollar Financial Corp.* |
| 5,124 |
| |
12 |
| Doral Financial Corp.* |
| 88 |
| |
198 |
| DuPont Fabros Technology, Inc. (REIT) |
| 424 |
| |
217 |
| EastGroup Properties, Inc. (REIT) |
| 6,994 |
| |
695 |
| eHealth, Inc.* |
| 7,624 |
| |
76 |
| Employers Holdings, Inc. |
| 1,238 |
| |
91 |
| Enstar Group Ltd.* |
| 4,325 |
| |
157 |
| Enterprise Financial Services Corp. |
| 2,284 |
| |
260 |
| Epoch Holding Corp. |
| 2,184 |
| |
363 |
| Equity Lifestyle Properties, Inc. (REIT) |
| 12,560 |
| |
1,074 |
| Ezcorp, Inc., Class A* |
| 17,710 |
| |
634 |
| FCStone Group, Inc.* |
| 2,156 |
| |
55 |
| Fifth Street Finance Corp. |
| 403 |
| |
518 |
| First Cash Financial Services, Inc.* |
| 7,988 |
| |
104 |
| First Financial Bankshares, Inc. |
| 5,434 |
| |
1,005 |
| First Marblehead Corp. (The) |
| 1,397 |
| |
75 |
| First Mercury Financial Corp.* |
| 912 |
| |
74 |
| Forestar Group, Inc.* |
| 343 |
| |
68 |
| GAMCO Investors, Inc., Class A |
| 1,865 |
| |
1,845 |
| GFI Group, Inc. |
| 6,993 |
| |
485 |
| Greenhill & Co., Inc. |
| 33,028 |
| |
815 |
| Grubb & Ellis Co. |
| 1,084 |
| |
50 |
| Hancock Holding Co. |
| 2,155 |
| |
95 |
| Highwoods Properties, Inc. (REIT) |
| 2,269 |
| |
381 |
| Home Properties, Inc. (REIT) |
| 14,859 |
| |
517 |
| Inland Real Estate Corp. (REIT) |
| 5,775 |
| |
1,134 |
| Interactive Brokers Group, Inc., Class A* |
| 20,684 |
| |
118 |
| International Assets Holding Corp.* |
| 992 |
| |
36 |
| KBW, Inc.* |
| 818 |
| |
322 |
| Knight Capital Group, Inc., Class A* |
| 5,329 |
| |
2,997 |
| Ladenburg Thalmann Financial Services, Inc.* |
| 3,147 |
| |
148 |
| Life Partners Holdings, Inc. |
| 5,284 |
| |
412 |
| Mid-America Apartment Communities, Inc. (REIT) |
| 15,256 |
| |
208 |
| NewStar Financial, Inc.* |
| 990 |
| |
273 |
| Omega Healthcare Investors, Inc. (REIT) |
| 3,614 |
| |
1,184 |
| optionsXpress Holdings, Inc. |
| 16,683 |
| |
312 |
| Oritani Financial Corp.* |
| 5,263 |
| |
144 |
| Pinnacle Financial Partners, Inc.* |
| 3,960 |
| |
277 |
| Portfolio Recovery Associates, Inc.* |
| 9,352 |
| |
401 |
| Potlatch Corp. (REIT) |
| 10,699 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
320 |
| Primus Guaranty Ltd.* |
| $ | 285 |
|
601 |
| PrivateBancorp, Inc. |
| 18,727 |
| |
120 |
| PS Business Parks, Inc. (REIT) |
| 5,719 |
| |
173 |
| Pzena Investment Management, Inc., Class A |
| 612 |
| |
600 |
| Riskmetrics Group, Inc.* |
| 8,964 |
| |
171 |
| Saul Centers, Inc. (REIT) |
| 6,019 |
| |
875 |
| Signature Bank/NY* |
| 26,075 |
| |
51 |
| Smithtown Bancorp, Inc. |
| 1,018 |
| |
40 |
| Stifel Financial Corp.* |
| 1,720 |
| |
106 |
| Suffolk Bancorp |
| 3,509 |
| |
296 |
| Sun Communities, Inc. (REIT) |
| 3,241 |
| |
175 |
| SVB Financial Group* |
| 7,009 |
| |
46 |
| SY Bancorp, Inc. |
| 1,219 |
| |
880 |
| Tanger Factory Outlet Centers (REIT) |
| 32,243 |
| |
311 |
| Tejon Ranch Co.* |
| 8,120 |
| |
132 |
| Thomas Properties Group, Inc. |
| 267 |
| |
566 |
| Tower Group, Inc. |
| 12,910 |
| |
896 |
| TradeStation Group, Inc.* |
| 6,290 |
| |
739 |
| Trustco Bank Corp./NY |
| 7,826 |
| |
300 |
| U.S. Global Investors, Inc., Class A |
| 1,503 |
| |
41 |
| Universal Health Realty Income Trust (REIT) |
| 1,286 |
| |
281 |
| ViewPoint Financial Group |
| 4,493 |
| |
733 |
| Washington Real Estate Investment Trust (REIT) |
| 19,402 |
| |
370 |
| Westamerica Bancorporation |
| 19,669 |
| |
129 |
| Westwood Holdings Group, Inc. |
| 4,038 |
| |
457 |
| World Acceptance Corp.* |
| 8,943 |
| |
|
|
|
| 525,308 |
| |
|
| Health Care - 20.0% |
|
|
| |
|
|
|
|
|
| |
606 |
| Abaxis, Inc.* |
| 8,036 |
| |
950 |
| Abiomed, Inc.* |
| 13,338 |
| |
921 |
| Acadia Pharmaceuticals, Inc.* |
| 1,179 |
| |
750 |
| Accelrys, Inc.* |
| 2,925 |
| |
1,007 |
| Accuray, Inc.* |
| 5,085 |
| |
1,035 |
| Acorda Therapeutics, Inc.* |
| 18,754 |
| |
228 |
| Acura Pharmaceuticals, Inc.* |
| 1,774 |
| |
1,287 |
| Adolor Corp.* |
| 2,432 |
| |
293 |
| Affymax, Inc.* |
| 3,413 |
| |
1,032 |
| Affymetrix, Inc.* |
| 2,828 |
| |
298 |
| Air Methods Corp.* |
| 4,723 |
| |
1,593 |
| Akorn, Inc.* |
| 2,613 |
| |
248 |
| Albany Molecular Research, Inc.* |
| 2,354 |
| |
2,146 |
| Alexion Pharmaceuticals, Inc.* |
| 72,234 |
| |
667 |
| Alexza Pharmaceuticals, Inc.* |
| 1,201 |
| |
1,731 |
| Align Technology, Inc.* |
| 12,117 |
| |
2,667 |
| Alkermes, Inc.* |
| 19,682 |
| |
656 |
| Alliance Imaging, Inc.* |
| 5,130 |
| |
1,478 |
| Allos Therapeutics, Inc.* |
| 10,642 |
| |
1,594 |
| Allscripts Healthcare Solutions, Inc. |
| 12,274 |
| |
177 |
| Almost Family, Inc.* |
| 7,781 |
| |
994 |
| Alnylam Pharmaceuticals, Inc.* |
| 18,121 |
| |
639 |
| Alpharma, Inc., Class A* |
| 23,068 |
| |
695 |
| Alphatec Holdings, Inc.* |
| 1,383 |
| |
475 |
| AMAG Pharmaceuticals, Inc.* |
| 15,998 |
| |
740 |
| Amedisys, Inc.* |
| 28,779 |
| |
2,031 |
| American Medical Systems Holdings, Inc.* |
| 17,873 |
| |
135 |
| Amicus Therapeutics, Inc.* |
| 1,202 |
| |
877 |
| AMN Healthcare Services, Inc.* |
| 7,823 |
| |
375 |
| Analogic Corp. |
| 14,648 |
| |
278 |
| Angiodynamics, Inc.* |
| 3,317 |
| |
340 |
| Ardea Biosciences, Inc.* |
| 3,104 |
| |
545 |
| Arena Pharmaceuticals, Inc.* |
| 2,104 |
| |
1,940 |
| Ariad Pharmaceuticals, Inc.* |
| 2,580 |
| |
1,132 |
| Arqule, Inc.* |
| 3,837 |
| |
1,329 |
| Array Biopharma, Inc.* |
| 5,024 |
| |
744 |
| Arthrocare Corp.* |
| 9,732 |
| |
835 |
| Assisted Living Concepts, Inc., Class A* |
| 3,899 |
| |
577 |
| athenahealth, Inc.* |
| 15,769 |
| |
42 |
| Atrion Corp. |
| 4,032 |
| |
1,149 |
| Auxilium Pharmaceuticals, Inc.* |
| 25,025 |
| |
299 |
| Biodel, Inc.* |
| 822 |
| |
490 |
| BioForm Medical, Inc.* |
| 652 |
| |
370 |
| BioMimetic Therapeutics, Inc.* |
| 3,182 |
| |
528 |
| Bio-Rad Laboratories, Inc., Class A* |
| 39,156 |
| |
321 |
| Bio-Reference Labs, Inc.* |
| 7,155 |
| |
570 |
| BMP Sunstone Corp.* |
| 3,420 |
| |
1,411 |
| Bruker Corp.* |
| 6,632 |
| |
566 |
| Cadence Pharmaceuticals, Inc.* |
| 3,770 |
| |
463 |
| Cambrex Corp.* |
| 1,611 |
| |
40 |
| Capital Senior Living Corp.* |
| 109 |
| |
305 |
| Caraco Pharmaceutical Laboratories Ltd.* |
| 1,324 |
| |
126 |
| CardioNet, Inc.* |
| 2,505 |
| |
920 |
| Catalyst Health Solutions, Inc.* |
| 20,700 |
| |
839 |
| Celera Corp.* |
| 8,172 |
| |
2,400 |
| Cell Genesys, Inc.* |
| 576 |
| |
417 |
| Celldex Therapeutics, Inc.* |
| 2,706 |
| |
99 |
| Centene Corp.* |
| 1,832 |
| |
1,591 |
| Cepheid, Inc.* |
| 21,606 |
| |
465 |
| Chemed Corp. |
| 18,953 |
| |
308 |
| Chindex International, Inc.* |
| 1,848 |
| |
289 |
| Clinical Data, Inc.* |
| 2,746 |
| |
1,308 |
| Columbia Laboratories, Inc.* |
| 2,184 |
| |
215 |
| Computer Programs & Systems, Inc. |
| 6,016 |
| |
844 |
| Conceptus, Inc.* |
| 12,407 |
| |
63 |
| Conmed Corp.* |
| 1,481 |
| |
223 |
| Corvel Corp.* |
| 4,928 |
| |
417 |
| Cougar Biotechnology, Inc.* |
| 10,091 |
| |
156 |
| Cross Country Healthcare, Inc.* |
| 1,359 |
| |
776 |
| CryoLife, Inc.* |
| 7,062 |
| |
1,576 |
| Cubist Pharmaceuticals, Inc.* |
| 38,707 |
| |
1,697 |
| CV Therapeutics, Inc.* |
| 15,375 |
| |
664 |
| Cyberonics, Inc.* |
| 9,117 |
| |
267 |
| Cynosure, Inc., Class A* |
| 2,467 |
| |
853 |
| Cypress Bioscience, Inc.* |
| 4,572 |
| |
886 |
| Cytokinetics, Inc.* |
| 2,295 |
| |
556 |
| Cytori Therapeutics, Inc.* |
| 1,251 |
| |
343 |
| Datascope Corp. |
| 17,908 |
| |
2,604 |
| Dendreon Corp.* |
| 12,708 |
| |
1,342 |
| Depomed, Inc.* |
| 2,080 |
| |
731 |
| DexCom, Inc.* |
| 1,462 |
| |
511 |
| Dionex Corp.* |
| 26,209 |
| |
2,701 |
| Discovery Laboratories, Inc.* |
| 2,674 |
| |
2,284 |
| Durect Corp.* |
| 9,593 |
| |
1,554 |
| Dyax Corp.* |
| 4,040 |
| |
1,517 |
| Eclipsys Corp.* |
| 19,903 |
| |
118 |
| Emergency Medical Services Corp., Class A* |
| 4,003 |
| |
279 |
| Emergent Biosolutions, Inc.* |
| 6,311 |
| |
548 |
| Emeritus Corp.* |
| 3,737 |
| |
13 |
| Ensign Group, Inc. (The) |
| 190 |
| |
681 |
| Enzo Biochem, Inc.* |
| 3,466 |
| |
1,248 |
| Enzon Pharmaceuticals, Inc.* |
| 6,128 |
| |
1,206 |
| eResearchTechnology, Inc.* |
| 6,802 |
| |
383 |
| ev3, Inc.* |
| 1,915 |
| |
213 |
| Exactech, Inc.* |
| 3,730 |
| |
2,934 |
| Exelixis, Inc.* |
| 9,066 |
| |
50 |
| Five Star Quality Care, Inc.* |
| 71 |
| |
388 |
| Genomic Health, Inc.* |
| 7,190 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
233 |
| Genoptix, Inc.* |
| $ | 7,393 |
|
305 |
| Gentiva Health Services, Inc.* |
| 7,695 |
| |
1,372 |
| Geron Corp.* |
| 4,802 |
| |
521 |
| GTx, Inc.* |
| 7,695 |
| |
718 |
| Haemonetics Corp.* |
| 41,062 |
| |
1,700 |
| Halozyme Therapeutics, Inc.* |
| 6,307 |
| |
477 |
| Hansen Medical, Inc.* |
| 4,384 |
| |
980 |
| Healthways, Inc.* |
| 7,928 |
| |
698 |
| HMS Holdings Corp.* |
| 20,591 |
| |
440 |
| Human Genome Sciences, Inc.* |
| 761 |
| |
153 |
| ICU Medical, Inc.* |
| 4,628 |
| |
699 |
| Idenix Pharmaceuticals, Inc.* |
| 4,047 |
| |
573 |
| Idera Pharmaceuticals, Inc.* |
| 4,028 |
| |
604 |
| I-Flow Corp.* |
| 2,404 |
| |
1,956 |
| Immucor, Inc.* |
| 47,472 |
| |
1,416 |
| Immunogen, Inc.* |
| 5,409 |
| |
1,824 |
| Immunomedics, Inc.* |
| 3,247 |
| |
2,129 |
| Incyte Corp.* |
| 7,111 |
| |
2,165 |
| Indevus Pharmaceuticals, Inc.* |
| 5,412 |
| |
1,179 |
| Inspire Pharmaceuticals, Inc.* |
| 4,244 |
| |
511 |
| Insulet Corp.* |
| 2,499 |
| |
498 |
| Integra LifeSciences Holdings Corp.* |
| 15,682 |
| |
882 |
| InterMune, Inc.* |
| 10,152 |
| |
166 |
| Invacare Corp. |
| 2,453 |
| |
922 |
| inVentiv Health, Inc.* |
| 11,092 |
| |
159 |
| IPC The Hospitalist Co., Inc.* |
| 2,775 |
| |
514 |
| IRIS International, Inc.* |
| 6,579 |
| |
2,521 |
| Isis Pharmaceuticals, Inc.* |
| 28,916 |
| |
1,373 |
| Javelin Pharmaceuticals, Inc.* |
| 1,111 |
| |
114 |
| Jazz Pharmaceuticals, Inc.* |
| 171 |
| |
361 |
| Kendle International, Inc.* |
| 7,390 |
| |
201 |
| Kensey Nash Corp.* |
| 3,714 |
| |
918 |
| KV Pharmaceutical Co., Class A* |
| 4,204 |
| |
140 |
| Landauer, Inc. |
| 8,039 |
| |
660 |
| Lexicon Pharmaceuticals, Inc.* |
| 1,129 |
| |
408 |
| LHC Group, Inc.* |
| 13,619 |
| |
243 |
| Life Sciences Research, Inc.* |
| 2,389 |
| |
2,355 |
| Ligand Pharmaceuticals, Inc., Class B* |
| 4,851 |
| |
1,151 |
| Luminex Corp.* |
| 25,334 |
| |
751 |
| MannKind Corp.* |
| 2,366 |
| |
217 |
| MAP Pharmaceuticals, Inc.* |
| 998 |
| |
577 |
| Marshall Edwards, Inc.* |
| 577 |
| |
916 |
| Martek Biosciences Corp.* |
| 25,602 |
| |
1,288 |
| Masimo Corp.* |
| 35,150 |
| |
286 |
| Maxygen, Inc.* |
| 1,401 |
| |
3,565 |
| Medarex, Inc.* |
| 18,003 |
| |
509 |
| MedAssets, Inc.* |
| 6,464 |
| |
150 |
| Medical Action Industries, Inc.* |
| 1,292 |
| |
1,451 |
| Medicines Co. (The)* |
| 18,703 |
| |
1,575 |
| Medicis Pharmaceutical Corp., Class A |
| 19,262 |
| |
711 |
| Medivation, Inc.* |
| 10,601 |
| |
942 |
| Mentor Corp. |
| 15,213 |
| |
1,123 |
| Meridian Bioscience, Inc. |
| 26,761 |
| |
772 |
| Merit Medical Systems, Inc.* |
| 11,202 |
| |
529 |
| Metabolix, Inc.* |
| 3,698 |
| |
434 |
| Micrus Endovascular Corp.* |
| 4,600 |
| |
1,000 |
| MiddleBrook Pharmaceuticals, Inc.* |
| 1,340 |
| |
494 |
| Molecular Insight Pharmaceuticals, Inc.* |
| 1,556 |
| |
686 |
| Momenta Pharmaceuticals, Inc.* |
| 6,105 |
| |
286 |
| MWI Veterinary Supply, Inc.* |
| 7,136 |
| |
1,245 |
| Myriad Genetics, Inc.* |
| 73,804 |
| |
126 |
| Nabi Biopharmaceuticals* |
| 503 |
| |
362 |
| Nanosphere, Inc.* |
| 1,810 |
| |
208 |
| National Healthcare Corp. |
| 9,441 |
| |
36 |
| National Research Corp. |
| 964 |
| |
771 |
| Natus Medical, Inc.* |
| 9,799 |
| |
1,074 |
| Nektar Therapeutics* |
| 5,102 |
| |
401 |
| Neogen Corp.* |
| 9,059 |
| |
1,074 |
| Neurocrine Biosciences, Inc.* |
| 3,340 |
| |
55 |
| Nighthawk Radiology Holdings, Inc.* |
| 160 |
| |
1,620 |
| Novavax, Inc.* |
| 3,434 |
| |
692 |
| Noven Pharmaceuticals, Inc.* |
| 7,923 |
| |
1,318 |
| NPS Pharmaceuticals, Inc.* |
| 8,093 |
| |
994 |
| NuVasive, Inc.* |
| 34,243 |
| |
427 |
| NxStage Medical, Inc.* |
| 1,068 |
| |
496 |
| Obagi Medical Products, Inc.* |
| 3,358 |
| |
197 |
| Odyssey HealthCare, Inc.* |
| 1,609 |
| |
868 |
| Omnicell, Inc.* |
| 9,843 |
| |
401 |
| Omrix Biopharmaceuticals, Inc.* |
| 9,977 |
| |
1,553 |
| Onyx Pharmaceuticals, Inc.* |
| 43,639 |
| |
1,341 |
| Opko Health, Inc.* |
| 2,079 |
| |
718 |
| Optimer Pharmaceuticals, Inc.* |
| 5,708 |
| |
1,223 |
| OraSure Technologies, Inc.* |
| 4,207 |
| |
560 |
| Orexigen Therapeutics, Inc.* |
| 3,914 |
| |
157 |
| Orthofix International N.V.* |
| 1,879 |
| |
1,848 |
| Orthovita, Inc.* |
| 6,191 |
| |
1,596 |
| OSI Pharmaceuticals, Inc.* |
| 59,371 |
| |
418 |
| Osiris Therapeutics, Inc.* |
| 7,955 |
| |
1,044 |
| Owens & Minor, Inc. |
| 43,357 |
| |
771 |
| Pain Therapeutics, Inc.* |
| 6,769 |
| |
1,580 |
| Parexel International Corp.* |
| 13,146 |
| |
3,331 |
| PDL BioPharma, Inc. |
| 31,911 |
| |
66 |
| PharmaNet Development Group, Inc.* |
| 80 |
| |
469 |
| Pharmasset, Inc.* |
| 7,724 |
| |
1,195 |
| Phase Forward, Inc.* |
| 16,575 |
| |
728 |
| Pozen, Inc.* |
| 4,958 |
| |
744 |
| Progenics Pharmaceuticals, Inc.* |
| 6,897 |
| |
299 |
| Protalix BioTherapeutics, Inc.* |
| 359 |
| |
291 |
| Providence Service Corp. (The)* |
| 477 |
| |
1,730 |
| PSS World Medical, Inc.* |
| 30,085 |
| |
1,548 |
| Psychiatric Solutions, Inc.* |
| 39,164 |
| |
1,509 |
| Questcor Pharmaceuticals, Inc.* |
| 12,902 |
| |
788 |
| Quidel Corp.* |
| 10,740 |
| |
547 |
| RadNet, Inc.* |
| 1,931 |
| |
1,732 |
| Regeneron Pharmaceuticals, Inc.* |
| 26,777 |
| |
867 |
| Repligen Corp.* |
| 3,381 |
| |
814 |
| Rexahn Pharmaceuticals, Inc.* |
| 741 |
| |
1,020 |
| Rigel Pharmaceuticals, Inc.* |
| 7,568 |
| |
1,501 |
| RTI Biologics, Inc.* |
| 4,083 |
| |
1,022 |
| Sangamo Biosciences, Inc.* |
| 2,514 |
| |
1,513 |
| Savient Pharmaceuticals, Inc.* |
| 5,598 |
| |
1,692 |
| Seattle Genetics, Inc.* |
| 14,653 |
| |
1,579 |
| Sequenom, Inc.* |
| 26,385 |
| |
443 |
| Sirona Dental Systems, Inc.* |
| 5,307 |
| |
337 |
| Somanetics Corp.* |
| 5,911 |
| |
469 |
| SonoSite, Inc.* |
| 8,484 |
| |
884 |
| Spectranetics Corp.* |
| 2,493 |
| |
763 |
| Stereotaxis, Inc.* |
| 3,670 |
| |
1,636 |
| STERIS Corp. |
| 45,235 |
| |
256 |
| Sucampo Pharmaceuticals, Inc., Class A* |
| 1,569 |
| |
1,203 |
| Sun Healthcare Group, Inc.* |
| 12,054 |
| |
1,112 |
| Sunrise Senior Living, Inc.* |
| 845 |
| |
430 |
| SurModics, Inc.* |
| 9,778 |
| |
294 |
| Symmetry Medical, Inc.* |
| 2,634 |
| |
348 |
| Synovis Life Technologies, Inc.* |
| 4,980 |
| |
466 |
| Synta Pharmaceuticals Corp.* |
| 2,470 |
| |
506 |
| Targacept, Inc.* |
| 1,240 |
| |
1,446 |
| Theravance, Inc.* |
| 9,659 |
| |
1,521 |
| Thoratec Corp.* |
| 38,071 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
1,081 |
| TomoTherapy, Inc.* |
| $ | 2,497 |
|
340 |
| TranS1, Inc.* |
| 2,526 |
| |
332 |
| U.S. Physical Therapy, Inc.* |
| 4,017 |
| |
628 |
| United Therapeutics Corp.* |
| 34,433 |
| |
934 |
| Valeant Pharmaceuticals International* |
| 18,194 |
| |
781 |
| Varian, Inc.* |
| 28,585 |
| |
197 |
| Virtual Radiologic Corp.* |
| 1,428 |
| |
469 |
| Vision-Sciences, Inc.* |
| 1,055 |
| |
228 |
| Vital Images, Inc.* |
| 2,658 |
| |
1,927 |
| Vivus, Inc.* |
| 11,446 |
| |
362 |
| Vnus Medical Technologies, Inc.* |
| 5,430 |
| |
1,318 |
| Volcano Corp.* |
| 21,510 |
| |
903 |
| West Pharmaceutical Services, Inc. |
| 32,056 |
| |
1,039 |
| Wright Medical Group, Inc.* |
| 17,621 |
| |
702 |
| XenoPort, Inc.* |
| 22,071 |
| |
3,695 |
| XOMA Ltd.* |
| 3,473 |
| |
585 |
| Zoll Medical Corp.* |
| 10,419 |
| |
1,041 |
| Zymogenetics, Inc.* |
| 2,821 |
| |
|
|
|
| 2,426,445 |
| |
|
| Industrials - 14.7% |
|
|
| |
|
|
|
|
|
| |
451 |
| 3D Systems Corp.* |
| 3,270 |
| |
375 |
| AAON, Inc. |
| 7,140 |
| |
246 |
| AAR Corp.* |
| 4,167 |
| |
40 |
| Aceto Corp. |
| 354 |
| |
1,408 |
| Actuant Corp., Class A |
| 25,260 |
| |
981 |
| Acuity Brands, Inc. |
| 26,448 |
| |
603 |
| Administaff, Inc. |
| 10,299 |
| |
1,226 |
| Advanced Battery Technologies, Inc.* |
| 2,526 |
| |
485 |
| Advisory Board Co. (The)* |
| 12,149 |
| |
286 |
| Aerovironment, Inc.* |
| 9,218 |
| |
1,693 |
| Airtran Holdings, Inc.* |
| 5,773 |
| |
585 |
| Akeena Solar, Inc.* |
| 1,228 |
| |
319 |
| Allegiant Travel Co.* |
| 13,762 |
| |
737 |
| Altra Holdings, Inc.* |
| 5,675 |
| |
999 |
| American Commercial Lines, Inc.* |
| 4,466 |
| |
454 |
| American Ecology Corp. |
| 8,027 |
| |
204 |
| American Railcar Industries, Inc. |
| 1,754 |
| |
1,018 |
| American Reprographics Co.* |
| 7,971 |
| |
255 |
| American Science & Engineering, Inc. |
| 19,347 |
| |
1,173 |
| American Superconductor Corp.* |
| 15,355 |
| |
229 |
| American Woodmark Corp. |
| 3,762 |
| |
54 |
| Ameron International Corp. |
| 2,910 |
| |
171 |
| Ampco-Pittsburgh Corp. |
| 2,847 |
| |
5 |
| Amrep Corp.* |
| 143 |
| |
405 |
| Apogee Enterprises, Inc. |
| 3,159 |
| |
355 |
| Applied Industrial Technologies, Inc. |
| 6,766 |
| |
95 |
| Applied Signal Technology, Inc. |
| 1,491 |
| |
318 |
| Argon ST, Inc.* |
| 6,230 |
| |
209 |
| Ascent Solar Technologies, Inc.* |
| 780 |
| |
464 |
| Astec Industries, Inc.* |
| 14,036 |
| |
243 |
| Axsys Technologies, Inc.* |
| 16,964 |
| |
137 |
| AZZ, Inc.* |
| 3,296 |
| |
381 |
| Badger Meter, Inc. |
| 11,952 |
| |
1,336 |
| Barnes Group, Inc. |
| 17,889 |
| |
2,709 |
| Beacon Power Corp.* |
| 1,761 |
| |
582 |
| Beacon Roofing Supply, Inc.* |
| 6,879 |
| |
370 |
| Belden, Inc. |
| 6,445 |
| |
65 |
| Bowne & Co., Inc. |
| 231 |
| |
146 |
| CAI International, Inc.* |
| 731 |
| |
4,068 |
| Capstone Turbine Corp.* |
| 3,498 |
| |
359 |
| Casella Waste Systems, Inc., Class A* |
| 1,799 |
| |
1,248 |
| CBIZ, Inc.* |
| 10,021 |
| |
32 |
| CDI Corp. |
| 327 |
| |
1,342 |
| Cenveo, Inc.* |
| 5,046 |
| |
792 |
| Chart Industries, Inc.* |
| 7,572 |
| |
522 |
| China Architectural Engineering, Inc.* |
| 1,514 |
| |
707 |
| China BAK Battery, Inc.* |
| 1,753 |
| |
191 |
| China Direct, Inc.* |
| 300 |
| |
390 |
| China Fire & Security Group, Inc.* |
| 2,687 |
| |
401 |
| CIRCOR International, Inc. |
| 8,754 |
| |
873 |
| Clarcor, Inc. |
| 28,032 |
| |
552 |
| Clean Harbors, Inc.* |
| 34,848 |
| |
160 |
| Coleman Cable, Inc.* |
| 856 |
| |
603 |
| Colfax Corp.* |
| 5,765 |
| |
58 |
| Columbus McKinnon Corp.* |
| 680 |
| |
157 |
| Consolidated Graphics, Inc.* |
| 2,256 |
| |
547 |
| CoStar Group, Inc.* |
| 17,843 |
| |
193 |
| CRA International, Inc.* |
| 5,601 |
| |
1,060 |
| Curtiss-Wright Corp. |
| 35,404 |
| |
752 |
| Deluxe Corp. |
| 7,911 |
| |
298 |
| Duff & Phelps Corp., Class A* |
| 3,427 |
| |
199 |
| DXP Enterprises, Inc.* |
| 2,629 |
| |
124 |
| Dynamex, Inc.* |
| 2,265 |
| |
352 |
| Dynamic Materials Corp. |
| 5,597 |
| |
47 |
| DynCorp International, Inc., Class A* |
| 698 |
| |
1,307 |
| Eagle Bulk Shipping, Inc. |
| 5,659 |
| |
732 |
| EMCOR Group, Inc.* |
| 11,544 |
| |
1,003 |
| Ener1, Inc.* |
| 8,064 |
| |
1,259 |
| Energy Conversion Devices, Inc.* |
| 35,227 |
| |
278 |
| Energy Recovery, Inc. |
| 1,949 |
| |
928 |
| EnergySolutions, Inc. |
| 4,232 |
| |
28 |
| EnerNOC, Inc.* |
| 200 |
| |
232 |
| EnerSys* |
| 1,979 |
| |
69 |
| EnPro Industries, Inc.* |
| 1,288 |
| |
725 |
| ESCO Technologies, Inc.* |
| 22,170 |
| |
679 |
| Esterline Technologies Corp.* |
| 25,062 |
| |
4,004 |
| Evergreen Solar, Inc.* |
| 10,931 |
| |
286 |
| Exponent, Inc.* |
| 8,729 |
| |
449 |
| Flanders Corp.* |
| 2,483 |
| |
1,050 |
| Flow International Corp.* |
| 2,289 |
| |
1,107 |
| Force Protection, Inc.* |
| 4,406 |
| |
805 |
| Forward Air Corp. |
| 18,612 |
| |
388 |
| Franklin Electric Co., Inc. |
| 11,454 |
| |
36 |
| FreightCar America, Inc. |
| 783 |
| |
527 |
| Fuel Tech, Inc.* |
| 4,659 |
| |
1,915 |
| FuelCell Energy, Inc.* |
| 8,349 |
| |
754 |
| Furmanite Corp.* |
| 4,057 |
| |
401 |
| Fushi Copperweld, Inc.* |
| 1,524 |
| |
679 |
| Genco Shipping & Trading Ltd. |
| 6,186 |
| |
1,593 |
| GenCorp, Inc.* |
| 4,556 |
| |
618 |
| Genesee & Wyoming, Inc., Class A* |
| 18,775 |
| |
1,425 |
| Geo Group, Inc. (The)* |
| 27,502 |
| |
50 |
| GeoEye, Inc.* |
| 999 |
| |
402 |
| Gorman-Rupp Co. (The) |
| 11,095 |
| |
2,749 |
| GrafTech International Ltd.* |
| 18,391 |
| |
279 |
| Graham Corp. |
| 2,539 |
| |
573 |
| GT Solar International, Inc.* |
| 2,017 |
| |
209 |
| Harbin Electric, Inc.* |
| 1,668 |
| |
963 |
| Hawaiian Holdings, Inc.* |
| 4,314 |
| |
1,203 |
| Healthcare Services Group |
| 19,128 |
| |
970 |
| Heartland Express, Inc. |
| 14,977 |
| |
619 |
| HEICO Corp. |
| 19,888 |
| |
128 |
| Herley Industries, Inc.* |
| 1,536 |
| |
858 |
| Herman Miller, Inc. |
| 12,621 |
| |
2,680 |
| Hexcel Corp.* |
| 20,100 |
| |
654 |
| Hill International, Inc.* |
| 3,597 |
| |
109 |
| HNI Corp. |
| 1,455 |
| |
834 |
| Horizon Lines, Inc., Class A |
| 3,336 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
497 |
| Houston Wire & Cable Co. |
| $ | 3,867 |
|
670 |
| HUB Group, Inc., Class A* |
| 17,889 |
| |
586 |
| Hudson Highland Group, Inc.* |
| 1,840 |
| |
580 |
| Huron Consulting Group, Inc.* |
| 30,218 |
| |
9 |
| ICF International, Inc.* |
| 176 |
| |
108 |
| ICT Group, Inc.* |
| 363 |
| |
682 |
| II-VI, Inc.* |
| 13,722 |
| |
883 |
| Innerworkings, Inc.* |
| 4,954 |
| |
47 |
| INSTEEL Industries, Inc. |
| 459 |
| |
47 |
| Integrated Electrical Services, Inc.* |
| 293 |
| |
1,489 |
| Interface, Inc., Class A |
| 8,249 |
| |
40 |
| Kaman Corp. |
| 942 |
| |
771 |
| Kaydon Corp. |
| 23,785 |
| |
156 |
| Key Technology, Inc.* |
| 2,457 |
| |
114 |
| Kforce, Inc.* |
| 775 |
| |
1,597 |
| Knight Transportation, Inc. |
| 25,169 |
| |
1,214 |
| Knoll, Inc. |
| 13,075 |
| |
93 |
| Korn/Ferry International* |
| 1,145 |
| |
69 |
| K-Tron International, Inc.* |
| 4,965 |
| |
307 |
| LaBarge, Inc.* |
| 3,837 |
| |
119 |
| Layne Christensen Co.* |
| 2,687 |
| |
258 |
| LECG Corp.* |
| 1,357 |
| |
333 |
| Lindsay Corp. |
| 12,957 |
| |
152 |
| LMI Aerospace, Inc.* |
| 1,669 |
| |
17 |
| M&F Worldwide Corp.* |
| 268 |
| |
1,075 |
| MasTec, Inc.* |
| 6,891 |
| |
449 |
| McGrath Rentcorp |
| 8,073 |
| |
829 |
| Medis Technologies Ltd.* |
| 555 |
| |
675 |
| Metalico, Inc.* |
| 1,694 |
| |
421 |
| Met-Pro Corp. |
| 4,955 |
| |
31 |
| Michael Baker Corp.* |
| 1,020 |
| |
1,900 |
| Microvision, Inc.* |
| 2,356 |
| |
473 |
| Middleby Corp.* |
| 15,311 |
| |
303 |
| Mine Safety Appliances Co. |
| 7,408 |
| |
808 |
| Mobile Mini, Inc.* |
| 10,496 |
| |
122 |
| Moog, Inc., Class A* |
| 3,926 |
| |
73 |
| Mueller Industries, Inc. |
| 1,701 |
| |
262 |
| Multi-Color Corp. |
| 3,511 |
| |
1,351 |
| Navigant Consulting, Inc.* |
| 25,547 |
| |
363 |
| NN, Inc. |
| 508 |
| |
940 |
| Nordson Corp. |
| 30,503 |
| |
1,082 |
| Odyssey Marine Exploration, Inc.* |
| 3,560 |
| |
544 |
| Old Dominion Freight Line, Inc.* |
| 12,947 |
| |
88 |
| Omega Flex, Inc. |
| 2,200 |
| |
1,636 |
| Orbital Sciences Corp.* |
| 28,139 |
| |
251 |
| Orion Energy Systems, Inc.* |
| 964 |
| |
603 |
| Orion Marine Group, Inc.* |
| 4,613 |
| |
375 |
| Pacer International, Inc. |
| 3,634 |
| |
3 |
| Patriot Transportation Holding, Inc.* |
| 208 |
| |
568 |
| Perini Corp.* |
| 10,877 |
| |
153 |
| Pike Electric Corp.* |
| 1,859 |
| |
361 |
| PMFG, Inc.* |
| 2,924 |
| |
444 |
| Polypore International, Inc.* |
| 2,002 |
| |
194 |
| Powell Industries, Inc.* |
| 4,629 |
| |
135 |
| Power-One, Inc.* |
| 169 |
| |
472 |
| PowerSecure International, Inc.* |
| 2,181 |
| |
12 |
| Preformed Line Products Co. |
| 465 |
| |
420 |
| PRG-Schultz International, Inc.* |
| 1,882 |
| |
174 |
| Protection One, Inc.* |
| 1,044 |
| |
671 |
| Quanex Building Products Corp. |
| 6,213 |
| |
446 |
| Raven Industries, Inc. |
| 11,395 |
| |
607 |
| RBC Bearings, Inc.* |
| 13,791 |
| |
1,270 |
| Resources Connection, Inc.* |
| 21,984 |
| |
460 |
| Robbins & Myers, Inc. |
| 10,350 |
| |
1,162 |
| Rollins, Inc. |
| 20,126 |
| |
1,327 |
| RSC Holdings, Inc.* |
| 10,802 |
| |
278 |
| Sauer-Danfoss, Inc. |
| 2,249 |
| |
758 |
| Spherion Corp.* |
| 1,705 |
| |
176 |
| Standard Parking Corp.* |
| 3,520 |
| |
128 |
| Standard Register Co. (The) |
| 718 |
| |
247 |
| Stanley, Inc.* |
| 7,879 |
| |
216 |
| Sterling Construction Co., Inc.* |
| 3,555 |
| |
325 |
| Sun Hydraulics Corp. |
| 4,946 |
| |
921 |
| SYKES Enterprises, Inc.* |
| 17,085 |
| |
114 |
| TAL International Group, Inc. |
| 1,287 |
| |
1,748 |
| Taser International, Inc.* |
| 7,604 |
| |
293 |
| TBS International Ltd., Class A* |
| 1,377 |
| |
516 |
| Team, Inc.* |
| 14,562 |
| |
989 |
| Teledyne Technologies, Inc.* |
| 40,173 |
| |
431 |
| Tennant Co. |
| 10,383 |
| |
1,643 |
| Tetra Tech, Inc.* |
| 32,926 |
| |
115 |
| Textainer Group Holdings Ltd. |
| 1,165 |
| |
81 |
| Thermadyne Holdings Corp.* |
| 526 |
| |
956 |
| Titan International, Inc. |
| 9,120 |
| |
204 |
| Titan Machinery, Inc.* |
| 2,385 |
| |
928 |
| TransDigm Group, Inc.* |
| 32,944 |
| |
115 |
| Trex Co., Inc.* |
| 1,559 |
| |
258 |
| Triumph Group, Inc. |
| 8,824 |
| |
118 |
| TrueBlue, Inc.* |
| 874 |
| |
660 |
| TurboChef Technologies, Inc.* |
| 2,495 |
| |
27 |
| Twin Disc, Inc. |
| 179 |
| |
1,655 |
| UAL Corp. |
| 18,619 |
| |
351 |
| Ultralife Corp.* |
| 3,580 |
| |
36 |
| Universal Truckload Services, Inc.* |
| 649 |
| |
1,089 |
| Valence Technology, Inc.* |
| 2,145 |
| |
543 |
| Vicor Corp. |
| 3,144 |
| |
114 |
| VSE Corp. |
| 3,803 |
| |
1,175 |
| Wabtec Corp. |
| 45,343 |
| |
2,226 |
| Waste Connections, Inc.* |
| 62,840 |
| |
345 |
| Watsco, Inc. |
| 13,572 |
| |
793 |
| Watson Wyatt Worldwide, Inc., Class A |
| 31,974 |
| |
1,291 |
| Woodward Governor Co. |
| 27,421 |
| |
580 |
| Xerium Technologies, Inc. |
| 690 |
| |
|
|
|
| 1,784,225 |
| |
|
| Information Technology - 17.2% |
|
|
| |
|
|
|
|
|
| |
760 |
| 3PAR, Inc.* |
| 6,270 |
| |
959 |
| ACI Worldwide, Inc.* |
| 15,056 |
| |
758 |
| Acme Packet, Inc.* |
| 2,956 |
| |
37 |
| Actel Corp.* |
| 343 |
| |
1,689 |
| Actuate Corp.* |
| 4,442 |
| |
882 |
| Adtran, Inc. |
| 12,524 |
| |
1,274 |
| Advanced Analogic Technologies, Inc.* |
| 3,198 |
| |
192 |
| Advanced Energy Industries, Inc.* |
| 1,494 |
| |
464 |
| Advent Software, Inc.* |
| 10,347 |
| |
608 |
| Airvana, Inc.* |
| 2,870 |
| |
415 |
| American Software, Inc., Class A |
| 1,689 |
| |
378 |
| Amkor Technology, Inc.* |
| 832 |
| |
1,748 |
| Anadigics, Inc.* |
| 2,168 |
| |
72 |
| Anixter International, Inc.* |
| 1,973 |
| |
579 |
| Applied Micro Circuits Corp.* |
| 2,142 |
| |
193 |
| ArcSight, Inc.* |
| 1,062 |
| |
2,049 |
| Ariba, Inc.* |
| 16,494 |
| |
3,596 |
| Art Technology Group, Inc.* |
| 6,904 |
| |
1,460 |
| Aruba Networks, Inc.* |
| 3,460 |
| |
967 |
| AsiaInfo Holdings, Inc.* |
| 10,666 |
| |
164 |
| Asyst Technologies, Inc.* |
| 72 |
| |
1,658 |
| Atheros Communications, Inc.* |
| 24,207 |
| |
895 |
| ATMI, Inc.* |
| 10,668 |
| |
700 |
| AuthenTec, Inc.* |
| 1,120 |
| |
376 |
| Avanex Corp.* |
| 429 |
| |
356 |
| Bankrate, Inc.* |
| 9,779 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
22 |
| Bel Fuse, Inc., Class B |
| $ | 429 |
|
330 |
| Benchmark Electronics, Inc.* |
| 4,184 |
| |
916 |
| BigBand Networks, Inc.* |
| 3,334 |
| |
1,155 |
| Blackbaud, Inc. |
| 14,438 |
| |
864 |
| Blackboard, Inc.* |
| 21,280 |
| |
924 |
| Blue Coat Systems, Inc.* |
| 8,214 |
| |
655 |
| Cabot Microelectronics Corp.* |
| 16,224 |
| |
174 |
| CACI International, Inc., Class A* |
| 7,727 |
| |
841 |
| Callidus Software, Inc.* |
| 1,716 |
| |
190 |
| Cass Information Systems, Inc. |
| 6,745 |
| |
846 |
| Cavium Networks, Inc.* |
| 9,179 |
| |
416 |
| Ceva, Inc.* |
| 3,074 |
| |
641 |
| China Information Security Technology, Inc.* |
| 2,564 |
| |
791 |
| China Security & Surveillance Technology, Inc.* |
| 4,532 |
| |
839 |
| Chordiant Software, Inc.* |
| 2,307 |
| |
1,218 |
| Cirrus Logic, Inc.* |
| 5,140 |
| |
668 |
| Cogent, Inc.* |
| 8,978 |
| |
1,170 |
| Cognex Corp. |
| 15,947 |
| |
719 |
| Cogo Group, Inc.* |
| 2,445 |
| |
47 |
| Cohu, Inc. |
| 526 |
| |
1,194 |
| Commvault Systems, Inc.* |
| 12,239 |
| |
395 |
| Compellent Technologies, Inc.* |
| 4,242 |
| |
503 |
| comScore, Inc.* |
| 4,688 |
| |
676 |
| Comtech Telecommunications Corp.* |
| 32,063 |
| |
579 |
| Comverge, Inc.* |
| 2,351 |
| |
1,205 |
| Concur Technologies, Inc.* |
| 33,077 |
| |
566 |
| Constant Contact, Inc.* |
| 7,896 |
| |
25 |
| CPI International, Inc.* |
| 234 |
| |
258 |
| Cray, Inc.* |
| 485 |
| |
529 |
| CSG Systems International, Inc.* |
| 8,908 |
| |
1,926 |
| Cybersource Corp.* |
| 17,873 |
| |
208 |
| Cymer, Inc.* |
| 4,886 |
| |
917 |
| Daktronics, Inc. |
| 8,354 |
| |
922 |
| Data Domain, Inc.* |
| 14,983 |
| |
868 |
| DealerTrack Holdings, Inc.* |
| 10,286 |
| |
324 |
| Deltek, Inc.* |
| 1,555 |
| |
547 |
| DemandTec, Inc.* |
| 3,971 |
| |
443 |
| DG FastChannel, Inc.* |
| 7,420 |
| |
440 |
| Dice Holdings, Inc.* |
| 1,404 |
| |
129 |
| Digi International, Inc.* |
| 1,189 |
| |
152 |
| Digimarc Corp.* |
| 1,368 |
| |
1,038 |
| Digital River, Inc.* |
| 21,933 |
| |
809 |
| Diodes, Inc.* |
| 3,778 |
| |
751 |
| DivX, Inc.* |
| 3,620 |
| |
484 |
| Double-Take Software, Inc.* |
| 3,819 |
| |
498 |
| DTS, Inc.* |
| 8,252 |
| |
3,064 |
| Earthlink, Inc.* |
| 20,406 |
| |
171 |
| Ebix, Inc.* |
| 4,433 |
| |
829 |
| Echelon Corp.* |
| 5,297 |
| |
1,890 |
| Elixir Gaming Technologies, Inc.* |
| 95 |
| |
2,051 |
| Emcore Corp.* |
| 4,020 |
| |
192 |
| Entegris, Inc.* |
| 267 |
| |
227 |
| Entropic Communications, Inc.* |
| 227 |
| |
1,712 |
| Entrust, Inc.* |
| 2,414 |
| |
652 |
| EPIQ Systems, Inc.* |
| 10,588 |
| |
99 |
| Exar Corp.* |
| 667 |
| |
397 |
| ExlService Holdings, Inc.* |
| 2,819 |
| |
1,065 |
| FalconStor Software, Inc.* |
| 3,089 |
| |
464 |
| FARO Technologies, Inc.* |
| 6,677 |
| |
11,022 |
| Finisar Corp.* |
| 4,849 |
| |
828 |
| Formfactor, Inc.* |
| 11,203 |
| |
434 |
| Forrester Research, Inc.* |
| 9,947 |
| |
1,133 |
| Foundry Networks, Inc.* |
| 17,550 |
| |
1,654 |
| Gartner, Inc.* |
| 25,405 |
| |
700 |
| Global Cash Access Holdings, Inc.* |
| 2,163 |
| |
376 |
| Globecomm Systems, Inc.* |
| 1,951 |
| |
655 |
| GSI Commerce, Inc.* |
| 5,214 |
| |
259 |
| Guidance Software, Inc.* |
| 878 |
| |
1,150 |
| Hackett Group, Inc. (The)* |
| 3,427 |
| |
1,178 |
| Harmonic, Inc.* |
| 6,067 |
| |
682 |
| Heartland Payment Systems, Inc. |
| 11,717 |
| |
547 |
| Hittite Microwave Corp.* |
| 15,983 |
| |
337 |
| HSW International, Inc.* |
| 118 |
| |
199 |
| Hughes Communications, Inc.* |
| 3,483 |
| |
1,091 |
| Hypercom Corp.* |
| 862 |
| |
212 |
| ICx Technologies, Inc.* |
| 1,658 |
| |
610 |
| iGate Corp.* |
| 3,721 |
| |
445 |
| Immersion Corp.* |
| 1,722 |
| |
2,591 |
| Infinera Corp.* |
| 25,288 |
| |
2,472 |
| Informatica Corp.* |
| 34,311 |
| |
554 |
| Infospace, Inc. |
| 4,327 |
| |
473 |
| Integral Systems, Inc.* |
| 11,352 |
| |
387 |
| Interactive Intelligence, Inc.* |
| 2,883 |
| |
1,268 |
| InterDigital, Inc.* |
| 33,627 |
| |
1,720 |
| Intermec, Inc.* |
| 22,842 |
| |
708 |
| Internap Network Services Corp.* |
| 1,940 |
| |
275 |
| Internet Brands, Inc., Class A* |
| 1,724 |
| |
667 |
| Internet Capital Group, Inc.* |
| 2,455 |
| |
1,077 |
| Interwoven, Inc.* |
| 14,012 |
| |
537 |
| IPG Photonics Corp.* |
| 7,298 |
| |
689 |
| Isilon Systems, Inc.* |
| 2,246 |
| |
711 |
| Ixia* |
| 4,366 |
| |
504 |
| IXYS Corp. |
| 3,669 |
| |
1,241 |
| j2 Global Communications, Inc.* |
| 24,224 |
| |
1,932 |
| Jack Henry & Associates, Inc. |
| 35,568 |
| |
52 |
| JDA Software Group, Inc.* |
| 685 |
| |
490 |
| Kenexa Corp.* |
| 2,960 |
| |
73 |
| Keynote Systems, Inc.* |
| 556 |
| |
789 |
| Knot, Inc. (The)* |
| 5,933 |
| |
204 |
| Kopin Corp.* |
| 428 |
| |
1,494 |
| Kulicke & Soffa Industries, Inc.* |
| 2,107 |
| |
213 |
| L-1 Identity Solutions, Inc.* |
| 1,244 |
| |
1,631 |
| Lattice Semiconductor Corp.* |
| 2,479 |
| |
3,297 |
| Lawson Software, Inc.* |
| 12,924 |
| |
445 |
| Limelight Networks, Inc.* |
| 1,206 |
| |
408 |
| Liquidity Services, Inc.* |
| 3,003 |
| |
262 |
| Littelfuse, Inc.* |
| 3,940 |
| |
816 |
| LoopNet, Inc.* |
| 5,239 |
| |
177 |
| LTX-Credence Corp.* |
| 65 |
| |
176 |
| Macrovision Solutions Corp.* |
| 2,070 |
| |
1,228 |
| Magma Design Automation, Inc.* |
| 2,186 |
| |
689 |
| Manhattan Associates, Inc.* |
| 10,576 |
| |
573 |
| Mantech International Corp., Class A* |
| 31,183 |
| |
664 |
| Marchex, Inc., Class B |
| 3,705 |
| |
70 |
| MAXIMUS, Inc. |
| 2,198 |
| |
509 |
| Maxwell Technologies, Inc.* |
| 2,484 |
| |
165 |
| Mentor Graphics Corp.* |
| 1,119 |
| |
710 |
| MercadoLibre, Inc.* |
| 8,747 |
| |
1,388 |
| Micrel, Inc. |
| 10,271 |
| |
2,276 |
| Micros Systems, Inc.* |
| 37,895 |
| |
2,195 |
| Microsemi Corp.* |
| 42,781 |
| |
254 |
| MicroStrategy, Inc., Class A* |
| 9,063 |
| |
1,515 |
| Microtune, Inc.* |
| 3,485 |
| |
319 |
| Midway Games, Inc.* |
| 121 |
| |
153 |
| MIPS Technologies, Inc.* |
| 207 |
| |
85 |
| MKS Instruments, Inc.* |
| 1,216 |
| |
729 |
| Monolithic Power Systems, Inc.* |
| 6,977 |
| |
299 |
| Monotype Imaging Holdings, Inc.* |
| 1,615 |
| |
3,584 |
| Move, Inc.* |
| 4,265 |
| |
170 |
| MTS Systems Corp. |
| 4,422 |
| |
213 |
| Multi-Fineline Electronix, Inc.* |
| 2,224 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
182 |
| NCI, Inc., Class A* |
| $ | 5,238 |
|
100 |
| Ness Technologies, Inc.* |
| 471 |
| |
1,255 |
| Net 1 UEPS Technologies, Inc.* |
| 12,801 |
| |
1,103 |
| Netezza Corp.* |
| 7,964 |
| |
164 |
| Netgear, Inc.* |
| 1,984 |
| |
478 |
| Netlogic Microsystems, Inc.* |
| 8,910 |
| |
694 |
| Netscout Systems, Inc.* |
| 5,517 |
| |
197 |
| NetSuite, Inc.* |
| 1,708 |
| |
464 |
| Neutral Tandem, Inc.* |
| 6,825 |
| |
1,353 |
| Nextwave Wireless, Inc.* |
| 162 |
| |
1,114 |
| NIC, Inc. |
| 5,158 |
| |
391 |
| Novatel Wireless, Inc.* |
| 1,498 |
| |
130 |
| NVE Corp.* |
| 3,002 |
| |
1,741 |
| Omniture, Inc.* |
| 17,306 |
| |
122 |
| Omnivision Technologies, Inc.* |
| 732 |
| |
805 |
| Online Resources Corp.* |
| 2,560 |
| |
236 |
| OpenTV Corp., Class A* |
| 274 |
| |
212 |
| Oplink Communications, Inc.* |
| 1,601 |
| |
333 |
| Opnet Technologies, Inc.* |
| 3,676 |
| |
296 |
| Opnext, Inc.* |
| 613 |
| |
724 |
| Orbcomm, Inc.* |
| 1,339 |
| |
348 |
| OSI Systems, Inc.* |
| 4,830 |
| |
2,558 |
| Palm, Inc.* |
| 6,114 |
| |
3,052 |
| Parametric Technology Corp.* |
| 35,281 |
| |
464 |
| Park Electrochemical Corp. |
| 8,250 |
| |
642 |
| Parkervision, Inc.* |
| 2,375 |
| |
255 |
| PC Mall, Inc.* |
| 938 |
| |
333 |
| PC-Tel, Inc. |
| 2,011 |
| |
401 |
| Pegasystems, Inc. |
| 4,752 |
| |
616 |
| Pericom Semiconductor Corp.* |
| 3,333 |
| |
770 |
| Phoenix Technologies Ltd.* |
| 2,572 |
| |
1,017 |
| Plexus Corp.* |
| 16,964 |
| |
746 |
| PLX Technology, Inc.* |
| 1,559 |
| |
3,596 |
| PMC - Sierra, Inc.* |
| 14,420 |
| |
2,269 |
| Polycom, Inc.* |
| 42,725 |
| |
849 |
| Power Integrations, Inc. |
| 15,537 |
| |
772 |
| Presstek, Inc.* |
| 1,891 |
| |
1,056 |
| Progress Software Corp.* |
| 22,472 |
| |
360 |
| PROS Holdings, Inc.* |
| 1,735 |
| |
347 |
| QAD, Inc. |
| 1,412 |
| |
488 |
| Quality Systems, Inc. |
| 14,674 |
| |
3,237 |
| Quantum Corp.* |
| 388 |
| |
93 |
| Rackable Systems, Inc.* |
| 371 |
| |
358 |
| Rackspace Hosting, Inc.* |
| 2,470 |
| |
773 |
| Radiant Systems, Inc.* |
| 3,788 |
| |
1,013 |
| RealNetworks, Inc.* |
| 3,849 |
| |
268 |
| Renaissance Learning, Inc. |
| 2,546 |
| |
776 |
| RightNow Technologies, Inc.* |
| 6,255 |
| |
15 |
| Rimage Corp.* |
| 212 |
| |
1,566 |
| Riverbed Technology, Inc.* |
| 14,705 |
| |
830 |
| Rofin-Sinar Technologies, Inc.* |
| 19,704 |
| |
370 |
| Rubicon Technology, Inc.* |
| 1,687 |
| |
91 |
| Rudolph Technologies, Inc.* |
| 300 |
| |
1,039 |
| S1 Corp.* |
| 7,772 |
| |
260 |
| Safeguard Scientifics, Inc.* |
| 182 |
| |
4,610 |
| Sanmina-SCI Corp.* |
| 2,950 |
| |
2,452 |
| Sapient Corp.* |
| 9,661 |
| |
1,049 |
| SAVVIS, Inc.* |
| 8,256 |
| |
555 |
| Scansource, Inc.* |
| 9,441 |
| |
524 |
| Semitool, Inc.* |
| 1,955 |
| |
1,630 |
| Semtech Corp.* |
| 18,452 |
| |
1,027 |
| ShoreTel, Inc.* |
| 4,539 |
| |
614 |
| Sigma Designs, Inc.* |
| 5,729 |
| |
2,049 |
| Silicon Image, Inc.* |
| 7,745 |
| |
3,074 |
| Skyworks Solutions, Inc.* |
| 16,569 |
| |
709 |
| Smith Micro Software, Inc.* |
| 3,623 |
| |
1,440 |
| Solera Holdings, Inc.* |
| 28,181 |
| |
376 |
| Sonic Solutions, Inc.* |
| 481 |
| |
175 |
| SonicWALL, Inc.* |
| 686 |
| |
5,696 |
| Sonus Networks, Inc.* |
| 8,829 |
| |
450 |
| Sourcefire, Inc.* |
| 2,601 |
| |
340 |
| Spansion, Inc., Class A* |
| 85 |
| |
499 |
| SPSS, Inc.* |
| 12,196 |
| |
636 |
| SRA International, Inc., Class A* |
| 9,553 |
| |
344 |
| Standard Microsystems Corp.* |
| 5,243 |
| |
831 |
| Starent Networks Corp.* |
| 8,268 |
| |
857 |
| STEC, Inc.* |
| 4,671 |
| |
577 |
| Stratasys, Inc.* |
| 6,439 |
| |
679 |
| SuccessFactors, Inc.* |
| 4,210 |
| |
525 |
| Super Micro Computer, Inc.* |
| 2,735 |
| |
310 |
| Supertex, Inc.* |
| 6,464 |
| |
884 |
| SupportSoft, Inc.* |
| 1,777 |
| |
573 |
| Switch & Data Facilities Co., Inc.* |
| 2,985 |
| |
1,863 |
| Sybase, Inc.* |
| 45,904 |
| |
577 |
| Sycamore Networks, Inc.* |
| 1,771 |
| |
497 |
| Symyx Technologies, Inc.* |
| 1,998 |
| |
950 |
| Synaptics, Inc.* |
| 20,872 |
| |
612 |
| Synchronoss Technologies, Inc.* |
| 4,296 |
| |
362 |
| Syntel, Inc. |
| 8,695 |
| |
2,147 |
| Take-Two Interactive Software, Inc.* |
| 26,086 |
| |
727 |
| Taleo Corp., Class A* |
| 4,696 |
| |
73 |
| Technitrol, Inc. |
| 256 |
| |
388 |
| TechTarget, Inc.* |
| 1,777 |
| |
428 |
| Techwell, Inc.* |
| 2,375 |
| |
205 |
| Tekelec* |
| 2,511 |
| |
939 |
| TeleCommunication Systems, Inc., Class A* |
| 7,418 |
| |
1,091 |
| TeleTech Holdings, Inc.* |
| 9,623 |
| |
1,475 |
| Terremark Worldwide, Inc.* |
| 5,354 |
| |
1,349 |
| Tessera Technologies, Inc.* |
| 24,795 |
| |
305 |
| TheStreet.com, Inc. |
| 1,034 |
| |
1,283 |
| THQ, Inc.* |
| 6,081 |
| |
2,846 |
| TiVo, Inc.* |
| 14,287 |
| |
613 |
| TNS, Inc.* |
| 5,241 |
| |
309 |
| Transmeta Corp.* |
| 5,547 |
| |
674 |
| Trident Microsystems, Inc.* |
| 1,132 |
| |
148 |
| TTM Technologies, Inc.* |
| 756 |
| |
1,060 |
| Tyler Technologies, Inc.* |
| 13,388 |
| |
688 |
| Ultimate Software Group, Inc.* |
| 10,533 |
| |
652 |
| Ultratech, Inc.* |
| 8,183 |
| |
390 |
| Unica Corp.* |
| 1,517 |
| |
808 |
| Universal Display Corp.* |
| 5,890 |
| |
157 |
| Utstarcom, Inc.* |
| 298 |
| |
2,420 |
| Valueclick, Inc.* |
| 14,931 |
| |
752 |
| Vasco Data Security International, Inc.* |
| 7,851 |
| |
753 |
| Veeco Instruments, Inc.* |
| 4,465 |
| |
998 |
| VeriFone Holdings, Inc.* |
| 4,102 |
| |
147 |
| Viasat, Inc.* |
| 3,150 |
| |
368 |
| Vignette Corp.* |
| 3,202 |
| |
179 |
| Virtusa Corp.* |
| 888 |
| |
1,233 |
| VistaPrint Ltd.* |
| 20,160 |
| |
447 |
| Vocus, Inc.* |
| 8,122 |
| |
709 |
| Volterra Semiconductor Corp.* |
| 5,303 |
| |
176 |
| Web.com Group, Inc.* |
| 445 |
| |
1,139 |
| Websense, Inc.* |
| 18,418 |
| |
2,010 |
| Wind River Systems, Inc.* |
| 16,763 |
| |
1,019 |
| Wright Express Corp.* |
| 11,596 |
| |
|
|
|
| 2,079,097 |
| |
|
| Materials - 2.2% |
|
|
| |
|
|
|
|
|
| |
153 |
| AEP Industries, Inc.* |
| 3,172 |
| |
1,108 |
| Allied Nevada Gold Corp.* |
| 3,158 |
| |
237 |
| AMCOL International Corp. |
| 4,773 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| ||
|
| Common Stocks (a) (continued) |
|
|
| ||
496 |
| American Vanguard Corp. |
| $ | 4,841 |
| |
331 |
| Apex Silver Mines Ltd.* |
| 268 |
| ||
238 |
| Arch Chemicals, Inc. |
| 6,873 |
| ||
504 |
| Balchem Corp. |
| 13,119 |
| ||
158 |
| Bway Holding Co.* |
| 760 |
| ||
1,144 |
| Calgon Carbon Corp.* |
| 14,609 |
| ||
474 |
| Compass Minerals International, Inc. |
| 26,539 |
| ||
294 |
| Deltic Timber Corp. |
| 14,088 |
| ||
1,068 |
| Ferro Corp. |
| 6,867 |
| ||
632 |
| Flotek Industries, Inc.* |
| 1,902 |
| ||
1,425 |
| General Moly, Inc.* |
| 1,639 |
| ||
299 |
| General Steel Holdings, Inc.* |
| 1,002 |
| ||
197 |
| GenTek, Inc.* |
| 3,629 |
| ||
4,036 |
| Graphic Packaging Holding Co.* |
| 6,659 |
| ||
83 |
| Haynes International, Inc.* |
| 1,513 |
| ||
172 |
| Headwaters, Inc.* |
| 977 |
| ||
295 |
| ICO, Inc.* |
| 1,325 |
| ||
154 |
| Innophos Holdings, Inc. |
| 2,538 |
| ||
400 |
| Innospec, Inc. |
| 2,304 |
| ||
36 |
| Koppers Holdings, Inc. |
| 771 |
| ||
649 |
| Landec Corp.* |
| 4,504 |
| ||
319 |
| LSB Industries, Inc.* |
| 2,865 |
| ||
242 |
| Minerals Technologies, Inc. |
| 11,362 |
| ||
451 |
| Myers Industries, Inc. |
| 2,742 |
| ||
377 |
| NewMarket Corp. |
| 12,622 |
| ||
114 |
| NL Industries, Inc. |
| 1,306 |
| ||
191 |
| Olympic Steel, Inc. |
| 3,343 |
| ||
240 |
| Quaker Chemical Corp. |
| 3,074 |
| ||
402 |
| Rock-Tenn Co., Class A |
| 13,576 |
| ||
841 |
| ShengdaTech, Inc.* |
| 3,347 |
| ||
354 |
| Silgan Holdings, Inc. |
| 16,015 |
| ||
2,028 |
| Solutia, Inc.* |
| 13,790 |
| ||
71 |
| Stepan Co. |
| 3,265 |
| ||
305 |
| Stillwater Mining Co.* |
| 955 |
| ||
113 |
| Sutor Technology Group Ltd.* |
| 214 |
| ||
651 |
| Texas Industries, Inc. |
| 20,090 |
| ||
29 |
| United States Lime & Minerals, Inc.* |
| 778 |
| ||
17 |
| Universal Stainless & Alloy* |
| 207 |
| ||
323 |
| Worthington Industries, Inc. |
| 4,289 |
| ||
1,549 |
| WR Grace & Co.* |
| 7,946 |
| ||
585 |
| Zep, Inc. |
| 10,594 |
| ||
770 |
| Zoltek Cos., Inc.* |
| 6,199 |
| ||
|
|
|
| 266,409 |
| ||
|
| Telecommunication Services - 1.1% |
|
|
| ||
|
|
|
|
|
| ||
620 |
| Alaska Communications Systems Group, Inc. |
| 6,014 |
| ||
670 |
| Cbeyond, Inc.* |
| 10,191 |
| ||
1,611 |
| Centennial Communications Corp.* |
| 12,453 |
| ||
1,327 |
| Cogent Communications Group, Inc.* |
| 7,298 |
| ||
236 |
| Consolidated Communications Holdings, Inc. |
| 2,402 |
| ||
237 |
| Global Crossing Ltd.* |
| 1,818 |
| ||
133 |
| Hungarian Telephone & Cable Corp.* |
| 1,237 |
| ||
935 |
| ICO Global Communications Holdings Ltd.* |
| 1,590 |
| ||
109 |
| Iowa Telecommunications Services, Inc. |
| 1,667 |
| ||
153 |
| iPCS, Inc.* |
| 1,140 |
| ||
833 |
| NTELOS Holdings Corp. |
| 18,501 |
| ||
2,591 |
| PAETEC Holding Corp.* |
| 3,757 |
| ||
1,481 |
| Premiere Global Services, Inc.* |
| 9,034 |
| ||
591 |
| Shenandoah Telecommunications Co. |
| 14,692 |
| ||
688 |
| Syniverse Holdings, Inc.* |
| 6,722 |
| ||
487 |
| TerreStar Corp.* |
| 209 |
| ||
3,608 |
| tw telecom, Inc.* |
| 27,529 |
| ||
848 |
| Virgin Mobile USA, Inc., Class A* |
| 848 |
| ||
1,203 |
| Vonage Holdings Corp.* |
| 1,263 |
| ||
|
|
|
| 128,365 |
| ||
|
| Utilities - 0.7% |
|
|
| ||
|
|
|
|
|
| ||
334 |
| Cadiz, Inc.* |
| 4,071 |
| ||
405 |
| Consolidated Water Co., Inc. |
| 4,333 |
| ||
1,380 |
| ITC Holdings Corp. |
| 57,960 |
| ||
501 |
| Ormat Technologies, Inc. |
| 15,080 |
| ||
22 |
| SJW Corp. |
| 616 |
| ||
417 |
| Synthesis Energy Systems, Inc.* |
| 409 |
| ||
1,732 |
| U.S. Geothermal, Inc.* |
| 970 |
| ||
|
|
|
| 83,439 |
| ||
|
| Total Common Stock |
| 9,406,683 |
| ||
|
|
|
|
|
| ||
No. of |
|
|
|
|
| ||
|
| Warrants - 0.0% |
|
|
| ||
19 |
| GreenHunter Energy, Inc., expiring 08/27/11 at $27.50* |
| — |
| ||
|
| Total Warrants |
| — |
| ||
|
|
|
|
|
| ||
Principal |
|
|
|
|
| ||
|
| Repurchase Agreements - 59.7% |
|
|
| ||
$ | 963,372 |
| Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $963,389(b) |
|
| 963,372 |
|
963,372 |
| Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $963,396(c) |
| 963,372 |
| ||
72,253 |
| Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $72,254(d) |
| 72,253 |
| ||
240,843 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $240,859(e) |
| 240,843 |
| ||
481,686 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $481,719(f) |
| 481,686 |
| ||
1,685,900 |
| ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $1,685,939(g) |
| 1,685,900 |
| ||
1,445,056 |
| JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $1,445,080(h) |
| 1,445,056 |
| ||
1,373,897 |
| UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $1,373,926(i) |
| 1,373,897 |
| ||
|
| Total Repurchase Agreements |
| 7,226,379 |
| ||
|
| Total Investments |
| 16,633,062 |
| ||
|
| Liabilities in excess of other assets — (37.4)% |
| (4,530,001 | ) | ||
|
| Net Assets — 100.0% |
| $ | 12,103,061 |
| |
* | Non-income producing security. |
(a) | A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. |
See accompanying notes to the financial statements.
(b) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $982,640. The investment in the repurchase agreement was through participation in a pooled account. | |
(c) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $982,640. The investment in the repurchase agreement was through participation in a pooled account. | |
(d) | Represents the Fund’s 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $73,701. The investment in the repurchase agreement was through participation in a pooled account. | |
(e) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $245,661. The investment in the repurchase agreement was through participation in a pooled account. | |
(f) | Represents the Fund’s 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $491,320. The investment in the repurchase agreement was through participation in a pooled account. | |
(g) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $1,719,620. The investment in the repurchase agreement was through participation in a pooled account. | |
(h) | Represents the Fund’s 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $1,473,959. The investment in the repurchase agreement was through participation in a pooled account. | |
(i) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $1,401,378. The investment in the repurchase agreement was through participation in a pooled account. | |
|
| |
REIT | Real Estate Investment Trust | |
See accompanying notes to the financial statements.
As of November 30, 2008, 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 |
| $ | 212,748 |
|
Aggregate gross unrealized depreciation |
| (4,116,888 | ) | |
Net unrealized depreciation |
| $ | (3,904,140 | ) |
Federal income tax cost of investments |
| $ | 20,537,202 |
|
Swap Agreements
Ultra Russell2000 Growth had the following open swap agreements as of November 30, 2008:
|
| Termination |
| Notional Amount |
| Unrealized |
| ||
Equity Index Swap Agreement based on Russell 2000 Growth® Index |
| 12/08/08 |
| $ | 4,206,308 |
| $ | (3,793,692 | ) |
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement based on Russell 2000 Growth® Index |
| 12/08/08 |
| 10,091,174 |
| (800,180 | ) | ||
|
|
|
|
|
|
|
| ||
|
|
|
| $ | 14,297,482 |
| $ | (4,593,872 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Consumer Services
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) — 85.1% |
|
|
| |
|
| Airlines — 1.7% |
|
|
| |
|
|
|
|
|
| |
266 |
| Alaska Air Group, Inc.* |
| $ | 6,105 |
|
1,846 |
| AMR Corp.* |
| 16,208 |
| |
807 |
| Continental Airlines, Inc., Class B* |
| 11,847 |
| |
4,375 |
| Delta Air Lines, Inc.* |
| 38,544 |
| |
1,341 |
| JetBlue Airways Corp.* |
| 7,027 |
| |
418 |
| Skywest, Inc. |
| 6,353 |
| |
5,398 |
| Southwest Airlines Co. |
| 46,693 |
| |
930 |
| UAL Corp. |
| 10,462 |
| |
|
|
|
| 143,239 |
| |
|
| Commercial Services & Supplies — 0.1% |
|
|
| |
|
|
|
|
|
| |
471 |
| Copart, Inc.* |
| 12,561 |
| |
|
|
|
|
|
| |
|
| Computers & Peripherals — 0.0% |
|
|
| |
|
|
|
|
|
| |
219 |
| Avid Technology, Inc.* |
| 2,742 |
| |
|
|
|
|
|
| |
|
| Diversified Consumer Services — 3.1% |
|
|
| |
|
|
|
|
|
| |
952 |
| Apollo Group, Inc., Class A* |
| 73,152 |
| |
662 |
| Career Education Corp.* |
| 12,234 |
| |
622 |
| Corinthian Colleges, Inc.* |
| 10,002 |
| |
459 |
| DeVry, Inc. |
| 26,383 |
| |
2,396 |
| H&R Block, Inc. |
| 45,835 |
| |
459 |
| Hillenbrand, Inc. |
| 7,307 |
| |
284 |
| ITT Educational Services, Inc.* |
| 25,583 |
| |
224 |
| Matthews International Corp., Class A |
| 9,146 |
| |
61 |
| Pre-Paid Legal Services, Inc.* |
| 2,440 |
| |
320 |
| Regis Corp. |
| 3,517 |
| |
1,919 |
| Service Corp. International |
| 11,169 |
| |
492 |
| Sotheby’s |
| 4,890 |
| |
611 |
| Stewart Enterprises, Inc., Class A |
| 1,949 |
| |
110 |
| Strayer Education, Inc. |
| 26,357 |
| |
|
|
|
| 259,964 |
| |
|
| Electronic Equipment, Instruments & Components — 0.1% |
|
|
| |
|
|
|
|
|
| |
385 |
| Dolby Laboratories, Inc., Class A* |
| 11,481 |
| |
|
|
|
|
|
| |
|
| Energy Equipment & Services — 0.1% |
|
|
| |
|
|
|
|
|
| |
335 |
| IHS, Inc., Class A* |
| 12,157 |
| |
|
|
|
|
|
| |
|
| Food & Staples Retailing — 23.8% |
|
|
| |
|
|
|
|
|
| |
435 |
| BJ’s Wholesale Club, Inc.* |
| 15,564 |
| |
367 |
| Casey’s General Stores, Inc. |
| 10,882 |
| |
3,219 |
| Costco Wholesale Corp. |
| 165,682 |
| |
10,528 |
| CVS/Caremark Corp. |
| 304,575 |
| |
4,486 |
| Kroger Co. (The) |
| 124,083 |
| |
4,238 |
| Rite Aid Corp.* |
| 2,204 |
| |
315 |
| Ruddick Corp. |
| 8,618 |
| |
3,249 |
| Safeway, Inc. |
| 70,828 |
| |
1,566 |
| SUPERVALU, Inc. |
| 18,651 |
| |
4,421 |
| SYSCO Corp. |
| 103,672 |
| |
286 |
| United Natural Foods, Inc.* |
| 5,151 |
| |
7,293 |
| Walgreen Co. |
| 180,429 |
| |
17,944 |
| Wal-Mart Stores, Inc. |
| 1,002,711 |
| |
1,022 |
| Whole Foods Market, Inc. |
| 10,813 |
| |
|
|
|
| 2,023,863 |
| |
|
| Health Care Providers & Services — 2.7% |
|
|
| |
|
|
|
|
|
| |
1,165 |
| AmerisourceBergen Corp. |
| 36,523 |
| |
2,618 |
| Cardinal Health, Inc. |
| 85,137 |
| |
163 |
| Chemed Corp. |
| 6,644 |
| |
2,041 |
| McKesson Corp. |
| 71,312 |
| |
790 |
| Omnicare, Inc. |
| 19,047 |
| |
613 |
| VCA Antech, Inc.* |
| 11,678 |
| |
|
|
|
| 230,341 |
| |
|
| Hotels, Restaurants & Leisure — 11.8% |
|
|
| |
|
|
|
|
|
| |
360 |
| Bally Technologies, Inc.* |
| 6,649 |
| |
224 |
| Bob Evans Farms, Inc. |
| 3,757 |
| |
421 |
| Boyd Gaming Corp. |
| 1,852 |
| |
745 |
| Brinker International, Inc. |
| 4,947 |
| |
677 |
| Burger King Holdings, Inc. |
| 14,562 |
| |
3,109 |
| Carnival Corp. |
| 65,289 |
| |
159 |
| CBRL Group, Inc. |
| 3,073 |
| |
185 |
| CEC Entertainment, Inc.* |
| 3,184 |
| |
456 |
| Cheesecake Factory (The)* |
| 3,320 |
| |
112 |
| Chipotle Mexican Grill, Inc., Class A* |
| 5,553 |
| |
136 |
| Chipotle Mexican Grill, Inc., Class B* |
| 6,268 |
| |
253 |
| Choice Hotels International, Inc. |
| 6,353 |
| |
946 |
| Darden Restaurants, Inc. |
| 17,302 |
| |
117 |
| DineEquity, Inc. |
| 1,489 |
| |
296 |
| Gaylord Entertainment Co.* |
| 2,720 |
| |
2,184 |
| International Game Technology |
| 23,391 |
| |
207 |
| International Speedway Corp., Class A |
| 5,372 |
| |
286 |
| Interval Leisure Group, Inc.* |
| 1,516 |
| |
416 |
| Jack in the Box, Inc.* |
| 7,280 |
| |
2,107 |
| Las Vegas Sands Corp.* |
| 10,893 |
| |
260 |
| Life Time Fitness, Inc.* |
| 3,892 |
| |
2,270 |
| Marriott International, Inc., Class A |
| 38,113 |
| |
8,334 |
| McDonald’s Corp. |
| 489,623 |
| |
700 |
| MGM Mirage* |
| 8,386 |
| |
317 |
| Orient-Express Hotels Ltd., Class A |
| 2,171 |
| |
210 |
| Panera Bread Co., Class A* |
| 9,332 |
| |
161 |
| Papa John’s International, Inc.* |
| 2,853 |
| |
546 |
| Penn National Gaming, Inc.* |
| 11,575 |
| |
160 |
| PF Chang’s China Bistro, Inc.* |
| 2,997 |
| |
434 |
| Pinnacle Entertainment, Inc.* |
| 2,474 |
| |
983 |
| Royal Caribbean Cruises Ltd. |
| 9,260 |
| |
392 |
| Ruby Tuesday, Inc.* |
| 451 |
| |
504 |
| Scientific Games Corp., Class A* |
| 7,565 |
| |
452 |
| Sonic Corp.* |
| 3,819 |
| |
5,375 |
| Starbucks Corp.* |
| 47,999 |
| |
1,272 |
| Starwood Hotels & Resorts Worldwide, Inc. |
| 21,446 |
| |
222 |
| Vail Resorts, Inc.* |
| 4,829 |
| |
3,099 |
| Wendy’s/Arby’s Group, Inc., Class A |
| 12,458 |
| |
333 |
| WMS Industries, Inc.* |
| 8,208 |
| |
1,311 |
| Wyndham Worldwide Corp. |
| 6,267 |
| |
490 |
| Wynn Resorts Ltd.* |
| 19,512 |
| |
3,453 |
| Yum! Brands, Inc. |
| 93,024 |
| |
|
|
|
| 1,001,024 |
| |
|
| Household Durables — 0.0% |
|
|
| |
|
|
|
|
|
| |
335 |
| American Greetings Corp., Class A |
| 3,859 |
| |
|
|
|
|
|
| |
|
| Internet & Catalog Retail — 1.7% |
|
|
| |
|
|
|
|
|
| |
2,266 |
| Amazon.com, Inc.* |
| 96,758 |
| |
1,541 |
| Expedia, Inc.* |
| 12,945 |
| |
286 |
| HSN, Inc.* |
| 1,070 |
| |
4,153 |
| Liberty Media Corp. - Interactive, Class A* |
| 10,922 |
| |
354 |
| NetFlix, Inc.* |
| 8,135 |
| |
259 |
| priceline.com, Inc.* |
| 17,871 |
| |
286 |
| Ticketmaster Entertainment, Inc.* |
| 1,141 |
| |
|
|
|
| 148,842 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
|
| Internet Software & Services — 1.4% |
|
|
| |
|
|
|
|
|
| |
8,226 |
| eBay, Inc.* |
| $ | 108,007 |
|
694 |
| RealNetworks, Inc.* |
| 2,637 |
| |
697 |
| Valueclick, Inc.* |
| 4,301 |
| |
|
|
|
| 114,945 |
| |
|
| Media — 19.2% |
|
|
| |
|
|
|
|
|
| |
201 |
| Arbitron, Inc. |
| 2,820 |
| |
92 |
| Ascent Media Corp., Class A* |
| 1,840 |
| |
640 |
| Belo Corp., Class A |
| 1,235 |
| |
1,716 |
| Cablevision Systems Corp., Class A |
| 25,157 |
| |
4,298 |
| CBS Corp., Class B |
| 28,625 |
| |
2,803 |
| Charter Communications, Inc., Class A* |
| 533 |
| |
14,025 |
| Comcast Corp., Class A |
| 243,193 |
| |
6,255 |
| Comcast Corp., Special, Class A |
| 104,896 |
| |
387 |
| CTC Media, Inc.* |
| 1,645 |
| |
4,249 |
| DIRECTV Group, Inc. (The)* |
| 93,520 |
| |
981 |
| Discovery Communications, Inc., Class A* |
| 14,715 |
| |
1,029 |
| Discovery Communications, Inc., Class C* |
| 15,569 |
| |
1,549 |
| DISH Network Corp., Class A* |
| 17,163 |
| |
437 |
| DreamWorks Animation SKG, Inc., Class A* |
| 10,095 |
| |
1,693 |
| Gannett Co., Inc. |
| 14,746 |
| |
281 |
| Harte-Hanks, Inc. |
| 1,678 |
| |
3,501 |
| Interpublic Group of Cos., Inc.* |
| 14,319 |
| |
359 |
| John Wiley & Sons, Inc., Class A |
| 12,910 |
| |
477 |
| Lamar Advertising Co., Class A* |
| 7,093 |
| |
1,098 |
| Liberty Global, Inc., Class A* |
| 15,910 |
| |
1,134 |
| Liberty Global, Inc., Class C* |
| 15,989 |
| |
771 |
| Liberty Media Corp. - Capital, Class A* |
| 2,552 |
| |
3,622 |
| Liberty Media Corp. - Entertainment, Class A* |
| 42,993 |
| |
555 |
| Live Nation, Inc.* |
| 2,714 |
| |
418 |
| McClatchy Co., Class A |
| 815 |
| |
2,363 |
| McGraw-Hill Cos., Inc. (The) |
| 59,075 |
| |
266 |
| Meredith Corp. |
| 4,293 |
| |
846 |
| New York Times Co. (The), Class A |
| 6,379 |
| |
13,352 |
| News Corp., Class A |
| 105,481 |
| |
3,200 |
| News Corp., Class B |
| 26,208 |
| |
2,363 |
| Omnicom Group, Inc. |
| 66,849 |
| |
571 |
| Regal Entertainment Group, Class A |
| 5,236 |
| |
245 |
| Scholastic Corp. |
| 3,741 |
| |
640 |
| Scripps Networks Interactive, Inc., Class A |
| 17,786 |
| |
392 |
| Sinclair Broadcast Group, Inc., Class A |
| 1,239 |
| |
23,371 |
| Sirius XM Radio, Inc.* |
| 4,868 |
| |
1,149 |
| Time Warner Cable, Inc., Class A* |
| 23,325 |
| |
26,322 |
| Time Warner, Inc. |
| 238,214 |
| |
349 |
| Valassis Communications, Inc.* |
| 516 |
| |
86 |
| Viacom, Inc., Class A* |
| 1,512 |
| |
4,148 |
| Viacom, Inc., Class B* |
| 66,036 |
| |
12,939 |
| Walt Disney Co. (The) |
| 291,386 |
| |
47 |
| Washington Post Co. (The), Class B |
| 18,607 |
| |
|
|
|
| 1,633,476 |
| |
|
| Multiline Retail — 4.8% |
|
|
| |
|
|
|
|
|
| |
398 |
| 99 Cents Only Stores* |
| 4,290 |
| |
601 |
| Big Lots, Inc.* |
| 10,530 |
| |
457 |
| Dillard’s, Inc., Class A |
| 1,673 |
| |
665 |
| Dollar Tree, Inc.* |
| 28,169 |
| |
971 |
| Family Dollar Stores, Inc. |
| 26,974 |
| |
274 |
| Fred’s, Inc., Class A |
| 3,151 |
| |
1,433 |
| JC Penney Co., Inc. |
| 27,213 |
| |
2,138 |
| Kohl’s Corp.* |
| 69,827 |
| |
3,084 |
| Macy’s, Inc. |
| 22,883 |
| |
1,237 |
| Nordstrom, Inc. |
| 14,065 |
| |
928 |
| Saks, Inc.* |
| 4,000 |
| |
531 |
| Sears Holdings Corp.* |
| 19,249 |
| |
5,187 |
| Target Corp. |
| 175,113 |
| |
|
|
|
| 407,137 |
| |
|
| Professional Services — 0.4% |
|
|
| |
|
|
|
|
|
| |
415 |
| Dun & Bradstreet Corp. |
| 33,200 |
| |
|
|
|
|
|
| |
|
| Road & Rail — 0.0% |
|
|
| |
|
|
|
|
|
| |
750 |
| Avis Budget Group, Inc.* |
| 570 |
| |
976 |
| Hertz Global Holdings, Inc.* |
| 3,406 |
| |
|
|
|
| 3,976 |
| |
|
| Software — 0.2% |
|
|
| |
|
|
|
|
|
| |
326 |
| Factset Research Systems, Inc. |
| 13,040 |
| |
|
|
|
|
|
| |
|
| Specialty Retail — 13.8% |
|
|
| |
|
|
|
|
|
| |
637 |
| Abercrombie & Fitch Co., Class A |
| 12,313 |
| |
693 |
| Advance Auto Parts, Inc. |
| 21,039 |
| |
490 |
| Aeropostale, Inc.* |
| 7,409 |
| |
1,296 |
| American Eagle Outfitters, Inc. |
| 12,442 |
| |
430 |
| AnnTaylor Stores Corp.* |
| 1,931 |
| |
817 |
| AutoNation, Inc.* |
| 6,977 |
| |
317 |
| Autozone, Inc.* |
| 34,623 |
| |
276 |
| Barnes & Noble, Inc. |
| 4,355 |
| |
1,924 |
| Bed Bath & Beyond, Inc.* |
| 39,038 |
| |
2,466 |
| Best Buy Co., Inc. |
| 51,071 |
| |
830 |
| Blockbuster, Inc., Class A* |
| 988 |
| |
361 |
| Borders Group, Inc. |
| 386 |
| |
316 |
| Brown Shoe Co., Inc. |
| 1,782 |
| |
1,451 |
| Carmax, Inc.* |
| 11,042 |
| |
204 |
| Cato Corp. (The), Class A |
| 2,848 |
| |
723 |
| Charming Shoppes, Inc.* |
| 1,084 |
| |
1,292 |
| Chico’s FAS, Inc.* |
| 3,295 |
| |
182 |
| Childrens Place Retail Stores, Inc. (The)* |
| 4,268 |
| |
263 |
| Christopher & Banks Corp. |
| 886 |
| |
471 |
| Collective Brands, Inc.* |
| 3,603 |
| |
626 |
| Dick’s Sporting Goods, Inc.* |
| 7,894 |
| |
329 |
| Dress Barn, Inc.* |
| 2,576 |
| |
1,153 |
| Foot Locker, Inc. |
| 7,760 |
| |
1,117 |
| GameStop Corp., Class A* |
| 24,406 |
| |
3,883 |
| Gap, Inc. (The) |
| 50,557 |
| |
140 |
| Genesco, Inc.* |
| 1,884 |
| |
177 |
| Group 1 Automotive, Inc. |
| 1,857 |
| |
451 |
| Guess?, Inc. |
| 5,967 |
| |
210 |
| Gymboree Corp.* |
| 5,281 |
| |
12,491 |
| Home Depot, Inc. |
| 288,667 |
| |
384 |
| J. Crew Group, Inc.* |
| 3,894 |
| |
10,761 |
| Lowe’s Cos., Inc. |
| 222,322 |
| |
2,135 |
| Ltd Brands, Inc. |
| 19,877 |
| |
343 |
| Men’s Wearhouse, Inc. (The) |
| 3,650 |
| |
2,002 |
| Office Depot, Inc.* |
| 3,944 |
| |
556 |
| OfficeMax, Inc. |
| 3,030 |
| |
980 |
| O’Reilly Automotive, Inc.* |
| 25,549 |
| |
502 |
| Pacific Sunwear of California* |
| 758 |
| |
336 |
| PEP Boys-Manny Moe & Jack |
| 1,512 |
| |
939 |
| PetSmart, Inc. |
| 16,479 |
| |
595 |
| Pier 1 Imports, Inc.* |
| 530 |
| |
963 |
| RadioShack Corp. |
| 9,486 |
| |
490 |
| Rent-A-Center, Inc.* |
| 8,041 |
| |
976 |
| Ross Stores, Inc. |
| 25,864 |
| |
618 |
| Sally Beauty Holdings, Inc.* |
| 2,688 |
| |
5,198 |
| Staples, Inc. |
| 90,237 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| ||
|
| Common Stocks (a) (continued) |
|
|
| ||
938 |
| Tiffany & Co. |
| $ | 18,563 |
| |
3,082 |
| TJX Cos., Inc. |
| 70,331 |
| ||
244 |
| Tractor Supply Co.* |
| 9,365 |
| ||
185 |
| Tween Brands, Inc.* |
| 710 |
| ||
878 |
| Urban Outfitters, Inc.* |
| 15,953 |
| ||
627 |
| Williams-Sonoma, Inc. |
| 4,395 |
| ||
262 |
| Zale Corp.* |
| 1,554 |
| ||
|
|
|
| 1,176,961 |
| ||
|
| Textiles, Apparel & Luxury Goods — 0.2% |
|
|
| ||
|
|
|
|
|
| ||
414 |
| Polo Ralph Lauren Corp. |
| 17,885 |
| ||
|
|
|
|
|
| ||
|
| Thrifts & Mortgage Finance — 0.0% |
|
|
| ||
|
|
|
|
|
| ||
1 |
| Tree.com, Inc.* |
| 2 |
| ||
|
|
|
|
|
| ||
|
| Total Common Stock |
| 7,250,695 |
| ||
|
|
|
|
|
| ||
Principal |
|
|
|
|
| ||
|
| Repurchase Agreements - 26.8% |
|
|
| ||
$ | 304,209 |
| Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $304,214(b) |
| 304,209 |
| |
304,209 |
| Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $304,217(c) |
| 304,209 |
| ||
22,816 |
| Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $22,816(d) |
| 22,816 |
| ||
76,052 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $76,057(e) |
| 76,052 |
| ||
152,104 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $152,114(f) |
| 152,104 |
| ||
532,366 |
| ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $532,378(g) |
| 532,366 |
| ||
456,313 |
| JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $456,321(h) |
| 456,313 |
| ||
433,843 |
| UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $433,852(i) |
| 433,843 |
| ||
|
| Total Repurchase Agreements |
| 2,281,912 |
| ||
|
| Total Investments |
| 9,532,607 |
| ||
|
| Liabilities in excess of other assets — (11.9%) |
| (1,013,563 | ) | ||
|
|
|
|
|
| ||
|
| Net Assets — 100.0% |
| $ | 8,519,044 |
| |
* | Non-income producing security. |
(a) | A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. |
(b) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $310,293. The investment in the repurchase agreement was through participation in a pooled account. |
(c) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $310,293. The investment in the repurchase agreement was through participation in a pooled account. |
(d) | Represents the Fund’s 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $23,273. The investment in the repurchase agreement was through participation in a pooled account. |
(e) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $77,573. The investment in the repurchase agreement was through participation in a pooled account. |
(f) | Represents the Fund’s 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $155,146. The investment in the repurchase agreement was through participation in a pooled account. |
See accompanying notes to the financial statements.
(g) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $543,014. The investment in the repurchase agreement was through participation in a pooled account. |
(h) | Represents the Fund’s 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $465,439. The investment in the repurchase agreement was through participation in a pooled account. |
(i) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $442,521. The investment in the repurchase agreement was through participation in a pooled account. |
As of November 30, 2008, 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 |
| $ | 692 |
|
Aggregate gross unrealized depreciation |
| (1,910,174 | ) | |
Net unrealized depreciation |
| $ | (1,909,482 | ) |
Federal income tax cost of investments |
| $ | 11,442,089 |
|
See accompanying notes to the financial statements.
Swap Agreements
Ultra Consumer Services had the following open swap agreements as of November 30, 2008:
|
| Termination |
| Notional Amount |
| Unrealized |
| ||
Equity Index Swap based on the Dow Jones U.S. Consumer ServicesSM Inded |
| 12/08/08 |
| $ | 3,162,208 |
| $ | (84,496 | ) |
|
|
|
|
|
|
|
| ||
Equity Index Swap based on the Dow Jones U.S. Consumer ServicesSM Index |
| 12/08/08 |
| 6,548,396 |
| (441,533 | ) | ||
|
|
|
|
|
|
|
| ||
|
|
|
| $ | 9,710,604 |
| $ | (526,029 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Financials
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) — 89.0% |
|
|
| |
|
| Capital Markets — 13.6% |
|
|
| |
|
|
|
|
|
| |
64,785 |
| Affiliated Managers Group, Inc.* |
| $ | 1,813,980 |
|
354,469 |
| Ameriprise Financial, Inc. |
| 6,543,498 |
| |
1,814,724 |
| Bank of New York Mellon Corp. (The) |
| 54,822,812 |
| |
32,633 |
| BlackRock, Inc. |
| 4,102,294 |
| |
1,500,872 |
| Charles Schwab Corp. (The) |
| 27,510,984 |
| |
704,515 |
| E*Trade Financial Corp.* |
| 951,095 |
| |
183,760 |
| Eaton Vance Corp. |
| 3,513,491 |
| |
152,983 |
| Federated Investors, Inc., Class B |
| 3,036,713 |
| |
252,917 |
| Franklin Resources, Inc. |
| 15,364,708 |
| |
316,816 |
| GLG Partners, Inc. |
| 804,713 |
| |
635,970 |
| Goldman Sachs Group, Inc. (The) |
| 50,235,270 |
| |
618,110 |
| Invesco Ltd. |
| 7,757,281 |
| |
68,848 |
| Investment Technology Group, Inc.* |
| 1,151,827 |
| |
254,656 |
| Janus Capital Group, Inc. |
| 2,075,446 |
| |
185,519 |
| Jefferies Group, Inc. |
| 2,307,856 |
| |
149,370 |
| Knight Capital Group, Inc., Class A* |
| 2,472,073 |
| |
109,514 |
| Lazard Ltd., Class A |
| 3,423,408 |
| |
221,722 |
| Legg Mason, Inc. |
| 3,995,430 |
| |
2,042,430 |
| Merrill Lynch & Co., Inc. |
| 27,000,925 |
| |
155,759 |
| MF Global Ltd.* |
| 408,089 |
| |
1,605,559 |
| Morgan Stanley |
| 23,681,995 |
| |
350,890 |
| Northern Trust Corp. |
| 16,102,342 |
| |
74,493 |
| optionsXpress Holdings, Inc. |
| 1,049,606 |
| |
29,849 |
| Piper Jaffray Cos.* |
| 1,130,979 |
| |
153,631 |
| Raymond James Financial, Inc. |
| 3,375,273 |
| |
221,716 |
| SEI Investments Co. |
| 3,427,729 |
| |
688,264 |
| State Street Corp. |
| 28,982,797 |
| |
43,766 |
| SWS Group, Inc. |
| 639,859 |
| |
413,037 |
| T. Rowe Price Group, Inc. |
| 14,129,996 |
| |
384,202 |
| TD Ameritrade Holding Corp.* |
| 5,109,887 |
| |
137,096 |
| Waddell & Reed Financial, Inc., Class A |
| 1,842,570 |
| |
|
|
|
| 318,764,926 |
| |
|
| Commercial Banks — 20.4% |
|
|
| |
|
|
|
|
|
| |
189,881 |
| Associated Banc-Corp |
| 4,126,114 |
| |
123,602 |
| Bancorpsouth, Inc. |
| 2,748,908 |
| |
77,746 |
| Bank of Hawaii Corp. |
| 3,468,249 |
| |
878,883 |
| BB&T Corp. |
| 26,340,124 |
| |
35,776 |
| BOK Financial Corp. |
| 1,659,649 |
| |
78,211 |
| Cathay General Bancorp |
| 1,604,890 |
| |
152,990 |
| Citizens Republic Bancorp, Inc. |
| 361,056 |
| |
62,409 |
| City National Corp./CA |
| 2,738,507 |
| |
321,589 |
| Colonial BancGroup, Inc. (The) |
| 807,188 |
| |
240,395 |
| Comerica, Inc. |
| 5,420,907 |
| |
98,061 |
| Commerce Bancshares, Inc./MO |
| 4,296,052 |
| |
88,343 |
| Cullen/Frost Bankers, Inc. |
| 4,789,074 |
| |
100,292 |
| East West Bancorp, Inc. |
| 1,484,322 |
| |
842,474 |
| Fifth Third Bancorp |
| 8,054,051 |
| |
123,573 |
| First Bancorp/Puerto Rico |
| 1,351,889 |
| |
321,318 |
| First Horizon National Corp. |
| 3,434,889 |
| |
77,743 |
| First Midwest Bancorp, Inc./IL |
| 1,431,249 |
| |
118,969 |
| FirstMerit Corp. |
| 2,617,318 |
| |
136,426 |
| FNB Corp./PA |
| 1,686,225 |
| |
74,472 |
| Frontier Financial Corp. |
| 212,990 |
| |
276,318 |
| Fulton Financial Corp. |
| 3,072,656 |
| |
41,268 |
| Hancock Holding Co. |
| 1,779,064 |
| |
584,516 |
| Huntington Bancshares, Inc./OH |
| 4,676,128 |
| |
85,027 |
| International Bancshares Corp. |
| 1,998,135 |
| |
788,164 |
| Keycorp |
| 7,392,978 |
| |
125,191 |
| M&T Bank Corp. |
| 8,043,522 |
| |
387,514 |
| Marshall & Ilsley Corp. |
| 5,987,091 |
| |
1,023,416 |
| National City Corp. |
| 2,057,066 |
| |
106,634 |
| Old National Bancorp/IN |
| 1,831,972 |
| |
74,138 |
| Pacific Capital Bancorp N.A. |
| 1,171,380 |
| |
41,440 |
| PacWest Bancorp |
| 1,102,304 |
| |
17,805 |
| Park National Corp. |
| 1,219,464 |
| |
551,251 |
| PNC Financial Services Group, Inc. |
| 29,089,515 |
| |
407,291 |
| Popular, Inc. |
| 2,545,569 |
| |
73,824 |
| Prosperity Bancshares, Inc. |
| 2,436,930 |
| |
52,645 |
| Provident Bankshares Corp. |
| 495,916 |
| |
1,108,198 |
| Regions Financial Corp. |
| 11,292,538 |
| |
116,156 |
| South Financial Group, Inc. (The) |
| 501,794 |
| |
116,970 |
| Sterling Bancshares, Inc./TX |
| 783,699 |
| |
82,088 |
| Sterling Financial Corp./WA |
| 436,708 |
| |
563,617 |
| SunTrust Banks, Inc. |
| 17,883,567 |
| |
136,542 |
| Susquehanna Bancshares, Inc. |
| 2,086,362 |
| |
51,872 |
| SVB Financial Group* |
| 2,077,474 |
| |
436,239 |
| Synovus Financial Corp. |
| 3,629,508 |
| |
197,648 |
| TCF Financial Corp. |
| 3,300,722 |
| |
80,774 |
| Trustmark Corp. |
| 1,612,249 |
| |
2,751,347 |
| U.S. Bancorp |
| 74,231,342 |
| |
176,215 |
| UCBH Holdings, Inc. |
| 817,638 |
| |
49,223 |
| UMB Financial Corp. |
| 2,353,352 |
| |
95,237 |
| Umpqua Holdings Corp. |
| 1,260,938 |
| |
69,143 |
| United Bankshares, Inc. |
| 2,299,005 |
| |
77,149 |
| United Community Banks, Inc./GA |
| 1,016,824 |
| |
201,004 |
| Valley National Bancorp |
| 3,885,407 |
| |
3,442,485 |
| Wachovia Corp. |
| 19,346,766 |
| |
83,625 |
| Webster Financial Corp. |
| 1,254,375 |
| |
5,575,643 |
| Wells Fargo & Co. |
| 161,080,326 |
| |
45,672 |
| Westamerica Bancorporation |
| 2,427,924 |
| |
102,887 |
| Whitney Holding Corp./LA |
| 1,803,609 |
| |
107,307 |
| Wilmington Trust Corp. |
| 2,595,756 |
| |
37,489 |
| Wintrust Financial Corp. |
| 773,398 |
| |
169,990 |
| Zions Bancorporation |
| 5,420,981 |
| |
|
|
|
| 477,705,603 |
| |
|
| Consumer Finance — 3.2% |
|
|
| |
|
|
|
|
|
| |
1,632,637 |
| American Express Co. |
| 38,056,768 |
| |
181,940 |
| AmeriCredit Corp.* |
| 1,337,259 |
| |
594,595 |
| Capital One Financial Corp. |
| 20,460,014 |
| |
694,333 |
| Discover Financial Services |
| 7,103,027 |
| |
743,032 |
| SLM Corp.* |
| 6,843,325 |
| |
|
|
|
| 73,800,393 |
| |
|
| Diversified Financial Services — 18.5% |
|
|
| |
|
|
|
|
|
| |
7,948,293 |
| Bank of America Corp. |
| 129,159,761 |
| |
454,864 |
| CIT Group, Inc. |
| 1,519,246 |
| |
8,676,607 |
| Citigroup, Inc. |
| 71,929,072 |
| |
121,458 |
| CME Group, Inc. |
| 25,743,023 |
| |
111,652 |
| IntercontinentalExchange, Inc.* |
| 8,217,587 |
| |
5,502,637 |
| JPMorgan Chase & Co. |
| 174,213,488 |
| |
330,227 |
| Moody’s Corp. |
| 7,169,228 |
| |
111,481 |
| MSCI, Inc., Class A* |
| 1,720,152 |
| |
251,504 |
| Nasdaq OMX Group, Inc. (The)* |
| 5,407,336 |
| |
357,905 |
| NYSE Euronext |
| 8,521,718 |
| |
|
|
|
| 433,600,611 |
| |
|
| Insurance — 19.0% |
|
|
| |
|
|
|
|
|
| |
530,894 |
| ACE Ltd. |
| 27,739,212 |
| |
755,970 |
| Aflac, Inc. |
| 35,001,411 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
9,088 |
| Alleghany Corp.* |
| $ | 2,408,320 |
|
55,488 |
| Allied World Assurance Co. Holdings Ltd. |
| 1,962,056 |
| |
862,734 |
| Allstate Corp. (The) |
| 21,947,953 |
| |
457,158 |
| AMBAC Financial Group, Inc. |
| 640,021 |
| |
120,151 |
| American Financial Group, Inc./OH |
| 2,461,894 |
| |
3,728,412 |
| American International Group, Inc. |
| 7,494,108 |
| |
25,387 |
| American National Insurance Co. |
| 1,874,068 |
| |
390,468 |
| AON Corp. |
| 17,688,200 |
| |
79,169 |
| Arch Capital Group Ltd.* |
| 5,366,867 |
| |
147,190 |
| Arthur J. Gallagher & Co. |
| 3,650,312 |
| |
112,072 |
| Aspen Insurance Holdings Ltd. |
| 2,065,487 |
| |
156,771 |
| Assurant, Inc. |
| 3,412,905 |
| |
94,727 |
| Assured Guaranty Ltd. |
| 1,064,732 |
| |
235,369 |
| Axis Capital Holdings Ltd. |
| 5,957,189 |
| |
171,694 |
| Brown & Brown, Inc. |
| 3,416,711 |
| |
573,972 |
| Chubb Corp. |
| 29,479,202 |
| |
242,033 |
| Cincinnati Financial Corp. |
| 7,077,045 |
| |
293,974 |
| Conseco, Inc.* |
| 990,692 |
| |
65,411 |
| Delphi Financial Group, Inc., Class A |
| 791,473 |
| |
84,964 |
| Endurance Specialty Holdings Ltd. |
| 2,287,231 |
| |
50,271 |
| Erie Indemnity Co., Class A |
| 1,882,146 |
| |
93,569 |
| Everest Re Group Ltd. |
| 7,341,424 |
| |
337,256 |
| Fidelity National Financial, Inc., Class A |
| 4,158,367 |
| |
130,174 |
| First American Corp. |
| 3,126,780 |
| |
689,334 |
| Genworth Financial, Inc., Class A |
| 999,534 |
| |
81,977 |
| Hanover Insurance Group, Inc. (The) |
| 3,305,313 |
| |
479,377 |
| Hartford Financial Services Group, Inc. |
| 4,050,736 |
| |
182,537 |
| HCC Insurance Holdings, Inc. |
| 4,254,937 |
| |
62,645 |
| Horace Mann Educators Corp. |
| 533,735 |
| |
79,681 |
| IPC Holdings Ltd. |
| 2,231,068 |
| |
413,114 |
| Lincoln National Corp. |
| 5,672,055 |
| |
564,501 |
| Loews Corp. |
| 15,461,682 |
| |
15,896 |
| Markel Corp.* |
| 4,895,968 |
| |
814,237 |
| Marsh & McLennan Cos., Inc. |
| 20,763,044 |
| |
75,018 |
| Max Capital Group Ltd. |
| 867,208 |
| |
370,951 |
| MBIA, Inc. |
| 2,170,063 |
| |
41,407 |
| Mercury General Corp. |
| 1,883,604 |
| |
772,020 |
| MetLife, Inc. |
| 22,203,295 |
| |
135,464 |
| Montpelier Re Holdings Ltd. |
| 1,865,339 |
| |
62,414 |
| National Financial Partners Corp. |
| 99,238 |
| |
73,931 |
| Nationwide Financial Services |
| 3,755,695 |
| |
367,908 |
| Old Republic International Corp. |
| 3,774,736 |
| |
86,880 |
| PartnerRe Ltd. |
| 6,078,125 |
| |
95,861 |
| Philadelphia Consolidated Holding Co.* |
| 5,890,658 |
| |
172,325 |
| Phoenix Cos, Inc. (The) |
| 491,126 |
| |
77,777 |
| Platinum Underwriters Holdings Ltd. |
| 2,390,087 |
| |
382,829 |
| Principal Financial Group, Inc. |
| 5,286,869 |
| |
46,759 |
| ProAssurance Corp.* |
| 2,552,574 |
| |
1,009,903 |
| Progressive Corp. (The) |
| 15,168,743 |
| |
110,960 |
| Protective Life Corp. |
| 1,034,147 |
| |
677,494 |
| Prudential Financial, Inc. |
| 14,701,620 |
| |
98,774 |
| Reinsurance Group of America, Inc. |
| 4,010,224 |
| |
97,913 |
| RenaissanceRe Holdings Ltd. |
| 4,614,640 |
| |
29,601 |
| RLI Corp. |
| 1,726,330 |
| |
85,027 |
| Selective Insurance Group |
| 1,952,220 |
| |
77,876 |
| StanCorp Financial Group, Inc. |
| 2,594,050 |
| |
139,144 |
| Torchmark Corp. |
| 5,030,056 |
| |
41,425 |
| Transatlantic Holdings, Inc. |
| 1,642,087 |
| |
941,088 |
| Travelers Cos., Inc. (The) |
| 41,078,491 |
| |
73,063 |
| Unitrin, Inc. |
| 1,398,426 |
| |
551,919 |
| Unum Group |
| 8,223,593 |
| |
12,224 |
| White Mountains Insurance Group Ltd. |
| 3,300,480 |
| |
271,329 |
| Willis Group Holdings Ltd. |
| 6,259,560 |
| |
227,849 |
| WR Berkley Corp. |
| 6,477,747 |
| |
497,519 |
| XL Capital Ltd., Class A |
| 2,502,521 |
| |
58,857 |
| Zenith National Insurance Corp. |
| 1,941,692 |
| |
|
|
|
| 446,419,122 |
| |
|
| IT Services — 2.4% |
|
|
| |
|
|
|
|
|
| |
128,572 |
| Mastercard, Inc., Class A |
| 18,681,512 |
| |
1 |
| Metavante Technologies, Inc.* |
| 17 |
| |
711,671 |
| Visa, Inc., Class A |
| 37,405,428 |
| |
|
|
|
| 56,086,957 |
| |
|
| Professional Services — 0.2% |
|
|
| |
|
|
|
|
|
| |
206,419 |
| Equifax, Inc. |
| 5,253,363 |
| |
|
|
|
|
|
| |
|
| Real Estate Investment Trusts — 9.5% |
|
|
| |
|
|
|
|
|
| |
50,576 |
| Alexandria Real Estate Equities, Inc. |
| 2,239,505 |
| |
156,896 |
| AMB Property Corp. |
| 2,701,749 |
| |
857,220 |
| Annaly Capital Management, Inc. |
| 12,318,251 |
| |
136,603 |
| Apartment Investment & Management Co., Class A |
| 1,566,836 |
| |
122,853 |
| AvalonBay Communities, Inc. |
| 7,453,492 |
| |
117,433 |
| BioMed Realty Trust, Inc. |
| 1,094,476 |
| |
189,668 |
| Boston Properties, Inc. |
| 10,128,271 |
| |
141,338 |
| Brandywine Realty Trust |
| 695,383 |
| |
82,009 |
| BRE Properties, Inc. |
| 2,407,784 |
| |
83,746 |
| Camden Property Trust |
| 2,216,757 |
| |
357,645 |
| CapitalSource, Inc. |
| 1,863,330 |
| |
105,947 |
| CBL & Associates Properties, Inc. |
| 431,204 |
| |
67,338 |
| Colonial Properties Trust |
| 381,807 |
| |
74,699 |
| Corporate Office Properties Trust SBI MD |
| 2,219,307 |
| |
66,200 |
| Cousins Properties, Inc. |
| 713,636 |
| |
273,364 |
| DCT Industrial Trust, Inc. |
| 1,224,671 |
| |
189,700 |
| Developers Diversified Realty Corp. |
| 910,560 |
| |
147,331 |
| DiamondRock Hospitality Co. |
| 548,071 |
| |
106,063 |
| Digital Realty Trust, Inc. |
| 2,901,884 |
| |
173,787 |
| Douglas Emmett, Inc. |
| 1,772,627 |
| |
231,823 |
| Duke Realty Corp. |
| 1,903,267 |
| |
49,897 |
| Entertainment Properties Trust |
| 1,223,973 |
| |
36,187 |
| Equity Lifestyle Properties, Inc. |
| 1,252,070 |
| |
432,098 |
| Equity Residential |
| 13,148,742 |
| |
40,916 |
| Essex Property Trust, Inc. |
| 3,538,007 |
| |
94,288 |
| Federal Realty Investment Trust |
| 5,453,618 |
| |
100,168 |
| FelCor Lodging Trust, Inc. |
| 169,284 |
| |
70,349 |
| First Industrial Realty Trust, Inc. |
| 608,519 |
| |
102,099 |
| Franklin Street Properties Corp. |
| 1,294,615 |
| |
397,601 |
| HCP, Inc. |
| 8,218,413 |
| |
162,250 |
| Health Care REIT, Inc. |
| 6,165,500 |
| |
86,378 |
| Healthcare Realty Trust, Inc. |
| 1,656,730 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| ||
|
| Common Stocks (a) (continued) |
|
|
| ||
90,511 |
| Highwoods Properties, Inc. |
| $ | 2,161,403 |
| |
50,575 |
| Home Properties, Inc. |
| 1,972,425 |
| ||
149,722 |
| Hospitality Properties Trust |
| 1,715,814 |
| ||
829,734 |
| Host Hotels & Resorts, Inc. |
| 6,239,600 |
| ||
359,036 |
| HRPT Properties Trust |
| 990,939 |
| ||
213,718 |
| iStar Financial, Inc. |
| 288,519 |
| ||
52,885 |
| Kilroy Realty Corp. |
| 1,611,406 |
| ||
349,549 |
| Kimco Realty Corp. |
| 4,946,118 |
| ||
63,786 |
| LaSalle Hotel Properties |
| 562,593 |
| ||
102,251 |
| Lexington Realty Trust |
| 495,917 |
| ||
147,641 |
| Liberty Property Trust |
| 2,822,896 |
| ||
118,963 |
| Macerich Co. (The) |
| 1,601,242 |
| ||
104,365 |
| Mack-Cali Realty Corp. |
| 1,979,804 |
| ||
58,926 |
| Maguire Properties, Inc. |
| 111,959 |
| ||
44,181 |
| Mid-America Apartment Communities, Inc. |
| 1,636,022 |
| ||
116,346 |
| National Retail Properties, Inc. |
| 1,560,200 |
| ||
153,542 |
| Nationwide Health Properties, Inc. |
| 3,474,655 |
| ||
83,831 |
| Newcastle Investment Corp. |
| 150,058 |
| ||
62,478 |
| Pennsylvania Real Estate Investment Trust |
| 281,151 |
| ||
274,477 |
| Plum Creek Timber Co., Inc. |
| 9,768,636 |
| ||
70,622 |
| Post Properties, Inc. |
| 1,107,353 |
| ||
62,416 |
| Potlatch Corp. |
| 1,665,259 |
| ||
417,903 |
| Prologis |
| 1,600,569 |
| ||
204,533 |
| Public Storage |
| 14,294,811 |
| ||
95,053 |
| RAIT Financial Trust |
| 225,276 |
| ||
124,462 |
| Rayonier, Inc. |
| 4,157,031 |
| ||
161,527 |
| Realty Income Corp. |
| 3,261,230 |
| ||
45,068 |
| Redwood Trust, Inc. |
| 588,137 |
| ||
110,698 |
| Regency Centers Corp. |
| 3,941,956 |
| ||
178,391 |
| Senior Housing Properties Trust |
| 2,484,987 |
| ||
355,623 |
| Simon Property Group, Inc. |
| 16,892,093 |
| ||
93,424 |
| SL Green Realty Corp. |
| 1,771,319 |
| ||
119,018 |
| Strategic Hotels & Resorts, Inc. |
| 119,018 |
| ||
79,582 |
| Sunstone Hotel Investors, Inc. |
| 379,606 |
| ||
83,655 |
| Taubman Centers, Inc. |
| 1,994,335 |
| ||
204,676 |
| UDR, Inc. |
| 3,096,748 |
| ||
227,072 |
| Ventas, Inc. |
| 5,218,115 |
| ||
229,618 |
| Vornado Realty Trust |
| 12,273,082 |
| ||
78,134 |
| Washington Real Estate Investment Trust |
| 2,068,207 |
| ||
123,237 |
| Weingarten Realty Investors |
| 1,757,360 |
| ||
|
|
|
| 223,690,188 |
| ||
|
| Real Estate Management & Development — 0.4% |
|
|
| ||
|
|
|
|
|
| ||
324,841 |
| Brookfield Properties Corp. |
| 2,377,836 |
| ||
353,917 |
| CB Richard Ellis Group, Inc., Class A* |
| 1,613,862 |
| ||
104,289 |
| Forest City Enterprises, Inc., Class A |
| 621,562 |
| ||
52,792 |
| Forestar Group, Inc.* |
| 244,427 |
| ||
50,376 |
| Jones Lang LaSalle, Inc. |
| 1,200,460 |
| ||
146,377 |
| St. Joe Co. (The)* |
| 3,865,817 |
| ||
|
|
|
| 9,923,964 |
| ||
|
| Thrifts & Mortgage Finance — 1.8% |
|
|
| ||
|
|
|
|
|
| ||
139,143 |
| Astoria Financial Corp. |
| 2,568,580 |
| ||
49,727 |
| Dime Community Bancshares |
| 670,817 |
| ||
174,506 |
| First Niagara Financial Group, Inc. |
| 2,706,588 |
| ||
65,936 |
| Guaranty Financial Group, Inc.* |
| 178,027 |
| ||
767,997 |
| Hudson City Bancorp, Inc. |
| 12,833,230 |
| ||
199,009 |
| MGIC Investment Corp. |
| 541,304 |
| ||
543,545 |
| New York Community Bancorp, Inc. |
| 7,093,262 |
| ||
161,851 |
| NewAlliance Bancshares, Inc. |
| 2,230,307 |
| ||
272,453 |
| People’s United Financial, Inc. |
| 5,195,679 |
| ||
89,691 |
| Provident Financial Services, Inc. |
| 1,344,468 |
| ||
869,168 |
| Sovereign Bancorp, Inc.* |
| 2,146,845 |
| ||
119,804 |
| Trustco Bank Corp./NY |
| 1,268,724 |
| ||
137,575 |
| Washington Federal, Inc. |
| 2,323,642 |
| ||
|
|
|
| 41,101,473 |
| ||
|
| Total Common Stock |
| 2,086,346,600 |
| ||
|
|
|
|
|
| ||
Principal |
|
|
|
|
| ||
|
| Repurchase Agreements - 19.9% |
|
|
| ||
$ | 62,129,256 |
| Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $62,130,343(b) |
| 62,129,256 |
| |
62,129,256 |
| Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $62,130,809(c) |
| 62,129,256 |
| ||
4,659,694 |
| Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $4,659,772(d) |
| 4,659,694 |
| ||
15,532,314 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $15,533,371(e) |
| 15,532,314 |
| ||
31,064,628 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $31,066,742(f) |
| 31,064,628 |
| ||
108,726,199 |
| ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $108,728,736(g) |
| 108,726,199 |
| ||
93,193,884 |
| JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $93,195,437(h) |
| 93,193,884 |
| ||
88,604,632 |
| UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $88,606,478(i) |
| 88,604,632 |
| ||
|
| Total Repurchase Agreements |
| 466,039,863 |
| ||
|
| Total Investments |
| 2,552,386,463 |
| ||
|
| Liabilities in excess of other assets — (8.9%) |
| (207,858,510 | ) | ||
|
| Net Assets — 100.0% |
| $ | 2,344,527,953 |
| |
* | Non-income producing security. |
(a) | A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. |
See accompanying notes to the financial statements.
(b) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $63,371,861. The investment in the repurchase agreement was through participation in a pooled account. |
(c) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $63,371,861. The investment in the repurchase agreement was through participation in a pooled account. |
(d) | Represents the Fund’s 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $4,753,078. The investment in the repurchase agreement was through participation in a pooled account. |
(e) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $15,843,018. The investment in the repurchase agreement was through participation in a pooled account. |
(f) | Represents the Fund’s 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $31,685,921. The investment in the repurchase agreement was through participation in a pooled account. |
(g) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $110,900,835. The investment in the repurchase agreement was through participation in a pooled account. |
(h) | Represents the Fund’s 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $95,057,802. The investment in the repurchase agreement was through participation in a pooled account. |
(i) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $90,376,906. The investment in the repurchase agreement was through participation in a pooled account. |
See accompanying notes to the financial statements.
As of November 30, 2008, 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 |
| $ | — |
|
Aggregate gross unrealized depreciation |
| (735,914,911 | ) | |
Net unrealized depreciation |
| $ | (735,914,911 | ) |
Federal income tax cost of investments |
| $ | 3,288,301,374 |
|
Swap Agreements
Ultra Financials had the following open swap agreements as of November 30, 2008:
|
| Termination |
| Notional Amount |
| Unrealized |
| ||
Equity Index Swap Agreement Based on the Dow Jones U.S. FinancialsSM Index |
| 12/08/08 |
| $ | 668,314,058 |
| $ | — |
|
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement Based on the Dow Jones U.S. FinancialsSM Index |
| 12/08/08 |
| 730,530 |
| (59,596 | ) | ||
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement Based on the Dow Jones U.S. FinancialsSM Index |
| 12/08/08 |
| 313,548,483 |
| — |
| ||
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement Based on the Dow Jones U.S. FinancialsSM Index |
| 12/08/08 |
| 1,599,372,132 |
| — |
| ||
|
|
|
|
|
|
|
| ||
|
|
|
| $ | 2,581,965,203 |
| $ | (59,596 | ) |
See accompanying notes to the financial statements.
Schedule of Portfolio Investments November 30, 2008 (Unaudited)
Ultra Industrials
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) — 82.7% |
|
|
| |
|
| Aerospace & Defense — 14.5% |
|
|
| |
|
|
|
|
|
| |
322 |
| AAR Corp.* |
| $ | 5,455 |
|
273 |
| Alliant Techsystems, Inc.* |
| 22,441 |
| |
776 |
| BE Aerospace, Inc.* |
| 6,348 |
| |
5,481 |
| Boeing Co. |
| 233,655 |
| |
222 |
| Ceradyne, Inc.* |
| 5,830 |
| |
371 |
| Curtiss-Wright Corp. |
| 12,391 |
| |
240 |
| Esterline Technologies Corp.* |
| 8,858 |
| |
2,787 |
| General Dynamics Corp. |
| 144,004 |
| |
1,031 |
| Goodrich Corp. |
| 34,693 |
| |
795 |
| Hexcel Corp.* |
| 5,963 |
| |
5,673 |
| Honeywell International, Inc. |
| 158,050 |
| |
1,017 |
| L-3 Communications Holdings, Inc. |
| 68,312 |
| |
2,612 |
| Lockheed Martin Corp. |
| 201,411 |
| |
321 |
| Moog, Inc., Class A* |
| 10,330 |
| |
2,605 |
| Northrop Grumman Corp. |
| 106,675 |
| |
479 |
| Orbital Sciences Corp.* |
| 8,239 |
| |
1,157 |
| Precision Castparts Corp. |
| 72,544 |
| |
3,464 |
| Raytheon Co. |
| 169,043 |
| |
1,336 |
| Rockwell Collins, Inc. |
| 45,531 |
| |
846 |
| Spirit Aerosystems Holdings, Inc., Class A* |
| 7,656 |
| |
517 |
| Taser International, Inc.* |
| 2,249 |
| |
276 |
| Teledyne Technologies, Inc.* |
| 11,211 |
| |
7,378 |
| United Technologies Corp. |
| 358,054 |
| |
|
|
|
| 1,698,943 |
| |
|
| Air Freight & Logistics — 5.5% |
|
|
| |
|
|
|
|
|
| |
1,404 |
| CH Robinson Worldwide, Inc. |
| 71,716 |
| |
1,767 |
| Expeditors International of Washington, Inc. |
| 59,071 |
| |
2,412 |
| FedEx Corp. |
| 170,408 |
| |
237 |
| Forward Air Corp. |
| 5,479 |
| |
285 |
| Pacer International, Inc. |
| 2,762 |
| |
5,658 |
| United Parcel Service, Inc., Class B |
| 325,901 |
| |
747 |
| UTi Worldwide, Inc. |
| 8,008 |
| |
|
|
|
| 643,345 |
| |
|
| Building Products — 0.6% |
|
|
| |
|
|
|
|
|
| |
449 |
| Lennox International, Inc. |
| 12,410 |
| |
3,023 |
| Masco Corp. |
| 28,960 |
| |
169 |
| NCI Building Systems, Inc.* |
| 2,572 |
| |
730 |
| Owens Corning, Inc.* |
| 11,644 |
| |
311 |
| Quanex Building Products Corp. |
| 2,880 |
| |
315 |
| Simpson Manufacturing Co., Inc. |
| 8,190 |
| |
553 |
| USG Corp.* |
| 5,226 |
| |
|
|
|
| 71,882 |
| |
|
| Chemicals — 0.1% |
|
|
| |
|
|
|
|
|
| |
1,169 |
| Nalco Holding Co. |
| 13,338 |
| |
|
|
|
|
|
| |
|
| Commercial Services & Supplies — 3.5% |
|
|
| |
|
|
|
|
|
| |
3,173 |
| Allied Waste Industries, Inc.* |
| 34,078 |
| |
224 |
| Bowne & Co., Inc. |
| 797 |
| |
334 |
| Brink’s Co. (The) |
| 7,271 |
| |
334 |
| Brink’s Home Security Holdings, Inc.* |
| 6,680 |
| |
1,103 |
| Cintas Corp. |
| 26,494 |
| |
172 |
| Clean Harbors, Inc.* |
| 10,858 |
| |
1,032 |
| Corrections Corp. of America* |
| 18,669 |
| |
423 |
| Deluxe Corp. |
| 4,450 |
| |
171 |
| G&K Services, Inc., Class A |
| 4,001 |
| |
1,516 |
| Iron Mountain, Inc.* |
| 32,943 |
| |
267 |
| Mine Safety Appliances Co. |
| 6,528 |
| |
1,747 |
| R.R. Donnelley & Sons Co. |
| 22,292 |
| |
1,344 |
| Republic Services, Inc. |
| 32,256 |
| |
710 |
| Stericycle, Inc.* |
| 40,683 |
| |
498 |
| Tetra Tech, Inc.* |
| 9,980 |
| |
192 |
| United Stationers, Inc.* |
| 6,108 |
| |
156 |
| Viad Corp. |
| 4,167 |
| |
552 |
| Waste Connections, Inc.* |
| 15,583 |
| |
4,114 |
| Waste Management, Inc. |
| 120,129 |
| |
|
|
|
| 403,967 |
| |
|
| Communications Equipment — 0.1% |
|
|
| |
|
|
|
|
|
| |
143 |
| Black Box Corp. |
| 3,501 |
| |
573 |
| CommScope, Inc.* |
| 6,469 |
| |
1,077 |
| Powerwave Technologies, Inc.* |
| 517 |
| |
|
|
|
| 10,487 |
| |
|
| Construction & Engineering — 2.2% |
|
|
| |
|
|
|
|
|
| |
616 |
| Aecom Technology Corp.* |
| 16,318 |
| |
546 |
| EMCOR Group, Inc.* |
| 8,610 |
| |
1,485 |
| Fluor Corp. |
| 67,627 |
| |
1,196 |
| Foster Wheeler Ltd.* |
| 26,623 |
| |
267 |
| Granite Construction, Inc. |
| 11,451 |
| |
232 |
| Insituform Technologies, Inc., Class A* |
| 3,761 |
| |
1,017 |
| Jacobs Engineering Group, Inc.* |
| 45,531 |
| |
1,404 |
| KBR, Inc. |
| 19,333 |
| |
1,446 |
| Quanta Services, Inc.* |
| 23,512 |
| |
647 |
| Shaw Group, Inc. (The)* |
| 11,905 |
| |
699 |
| URS Corp.* |
| 26,534 |
| |
|
|
|
| 261,205 |
| |
|
| Construction Materials — 0.8% |
|
|
| |
|
|
|
|
|
| |
363 |
| Eagle Materials, Inc. |
| 7,623 |
| |
355 |
| Headwaters, Inc.* |
| 2,017 |
| |
338 |
| Martin Marietta Materials, Inc. |
| 29,622 |
| |
228 |
| Texas Industries, Inc. |
| 7,036 |
| |
753 |
| Vulcan Materials Co. |
| 45,165 |
| |
|
|
|
| 91,463 |
| |
|
| Containers & Packaging — 1.8% |
|
|
| |
|
|
|
|
|
| |
526 |
| Aptargroup, Inc. |
| 17,589 |
| |
804 |
| Ball Corp. |
| 29,306 |
| |
834 |
| Bemis Co., Inc. |
| 22,535 |
| |
1,331 |
| Crown Holdings, Inc.* |
| 21,362 |
| |
194 |
| Greif, Inc., Class A |
| 6,431 |
| |
1,385 |
| Owens-Illinois, Inc.* |
| 28,005 |
| |
874 |
| Packaging Corp. of America |
| 13,049 |
| |
1,078 |
| Pactiv Corp.* |
| 26,939 |
| |
1,308 |
| Sealed Air Corp. |
| 20,706 |
| |
2,101 |
| Smurfit-Stone Container Corp.* |
| 1,198 |
| |
827 |
| Sonoco Products Co. |
| 20,758 |
| |
747 |
| Temple-Inland, Inc. |
| 2,360 |
| |
|
|
|
| 210,238 |
| |
|
| Diversified Financial Services — 0.0% |
|
|
| |
|
|
|
|
|
| |
453 |
| PHH Corp.* |
| 3,452 |
| |
|
|
|
|
|
| |
|
| Electrical Equipment — 4.0% |
|
|
| |
|
|
|
|
|
| |
334 |
| Acuity Brands, Inc. |
| 9,005 |
| |
880 |
| Ametek, Inc. |
| 30,739 |
| |
355 |
| Baldor Electric Co. |
| 5,850 |
| |
367 |
| Belden, Inc. |
| 6,393 |
| |
417 |
| Brady Corp., Class A |
| 8,611 |
| |
1,440 |
| Cooper Industries Ltd., Class A |
| 34,762 |
| |
6,481 |
| Emerson Electric Co. |
| 232,603 |
| |
373 |
| Energy Conversion Devices, Inc.* |
| 10,437 |
| |
357 |
| EnerSys* |
| 3,045 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| |
|
| Common Stocks (a) (continued) |
|
|
| |
433 |
| General Cable Corp.* |
| $ | 7,149 |
|
987 |
| GrafTech International Ltd.* |
| 6,603 |
| |
408 |
| Hubbell, Inc., Class B |
| 12,199 |
| |
269 |
| Regal-Beloit Corp. |
| 9,049 |
| |
1,082 |
| Rockwell Automation, Inc. |
| 33,704 |
| |
742 |
| Roper Industries, Inc. |
| 33,961 |
| |
480 |
| Thomas & Betts Corp.* |
| 9,115 |
| |
472 |
| Woodward Governor Co. |
| 10,025 |
| |
|
|
|
| 463,250 |
| |
|
| Electronic Equipment & Instruments — 0.1% |
|
|
| |
|
|
|
|
|
| |
596 |
| Molex, Inc., Class A |
| 7,188 |
| |
278 |
| Orbotech Ltd.* |
| 1,170 |
| |
|
|
|
| 8,358 |
| |
|
| Electronic Equipment, Instruments & Components — 3.2% |
|
|
| |
|
|
|
|
|
| |
2,982 |
| Agilent Technologies, Inc.* |
| 56,151 |
| |
1,449 |
| Amphenol Corp., Class A |
| 33,646 |
| |
248 |
| Anixter International, Inc.* |
| 6,795 |
| |
988 |
| Arrow Electronics, Inc.* |
| 13,634 |
| |
1,243 |
| Avnet, Inc.* |
| 17,700 |
| |
424 |
| AVX Corp. |
| 3,706 |
| |
553 |
| Benchmark Electronics, Inc.* |
| 7,012 |
| |
328 |
| Checkpoint Systems, Inc.* |
| 3,792 |
| |
319 |
| Cognex Corp. |
| 4,348 |
| |
279 |
| CTS Corp. |
| 1,543 |
| |
200 |
| Electro Scientific Industries, Inc.* |
| 1,362 |
| |
6,931 |
| Flextronics International Ltd.* |
| 16,219 |
| |
1,156 |
| Flir Systems, Inc.* |
| 35,859 |
| |
281 |
| Itron, Inc.* |
| 13,314 |
| |
1,523 |
| Jabil Circuit, Inc. |
| 10,021 |
| |
181 |
| Littelfuse, Inc.* |
| 2,722 |
| |
318 |
| Methode Electronics, Inc. |
| 2,690 |
| |
282 |
| Mettler Toledo International, Inc.* |
| 23,195 |
| |
552 |
| Molex, Inc. |
| 7,507 |
| |
469 |
| National Instruments Corp. |
| 11,308 |
| |
293 |
| Newport Corp.* |
| 1,702 |
| |
150 |
| Park Electrochemical Corp. |
| 2,667 |
| |
325 |
| Plexus Corp.* |
| 5,421 |
| |
4,413 |
| Sanmina-SCI Corp.* |
| 2,824 |
| |
336 |
| Technitrol, Inc. |
| 1,176 |
| |
991 |
| Trimble Navigation Ltd.* |
| 20,177 |
| |
3,912 |
| Tyco Electronics Ltd. |
| 64,470 |
| |
1,430 |
| Vishay Intertechnology, Inc.* |
| 6,235 |
| |
|
|
|
| 377,196 |
| |
|
| Health Care Technology — 0.3% |
|
|
| |
|
|
|
|
|
| |
1,500 |
| HLTH Corp.* |
| 14,055 |
| |
1,499 |
| IMS Health, Inc. |
| 19,712 |
| |
|
|
|
| 33,767 |
| |
|
| Household Durables — 0.4% |
|
|
| |
|
|
|
|
|
| |
1,246 |
| Fortune Brands, Inc. |
| 47,099 |
| |
|
|
|
|
|
| |
|
| Industrial Conglomerates — 16.6% |
|
|
| |
|
|
|
|
|
| |
5,322 |
| 3M Co. |
| 356,201 |
| |
507 |
| Carlisle Cos., Inc. |
| 10,764 |
| |
82,814 |
| General Electric Co. |
| 1,421,916 |
| |
1,886 |
| McDermott International, Inc.* |
| 18,389 |
| |
328 |
| Teleflex, Inc. |
| 15,541 |
| |
2,076 |
| Textron, Inc. |
| 31,617 |
| |
3,940 |
| Tyco International Ltd. |
| 82,346 |
| |
|
|
|
| 1,936,774 |
| |
|
| Internet Software & Services — 0.0% |
|
|
| |
|
|
|
|
|
| |
338 |
| VistaPrint Ltd.* |
| 5,526 |
| |
|
|
|
|
|
| |
|
| IT Services — 6.3% |
|
|
| |
|
|
|
|
|
| |
4,655 |
| Accenture Ltd., Class A |
| 144,212 |
| |
552 |
| Acxiom Corp. |
| 4,145 |
| |
742 |
| Affiliated Computer Services, Inc., Class A* |
| 30,014 |
| |
558 |
| Alliance Data Systems Corp.* |
| 24,167 |
| |
4,304 |
| Automatic Data Processing, Inc. |
| 176,722 |
| |
1,149 |
| Broadridge Financial Solutions, Inc. |
| 13,099 |
| |
966 |
| Convergys Corp.* |
| 6,076 |
| |
1,575 |
| Fidelity National Information Services, Inc. |
| 27,058 |
| |
1,363 |
| Fiserv, Inc.* |
| 46,533 |
| |
659 |
| Global Payments, Inc. |
| 23,836 |
| |
738 |
| Hewitt Associates, Inc., Class A* |
| 21,092 |
| |
787 |
| Lender Processing Services, Inc. |
| 17,361 |
| |
741 |
| Metavante Technologies, Inc.* |
| 12,797 |
| |
644 |
| NeuStar, Inc., Class A* |
| 12,333 |
| |
2,689 |
| Paychex, Inc. |
| 75,991 |
| |
328 |
| TeleTech Holdings, Inc.* |
| 2,893 |
| |
1,655 |
| Total System Services, Inc. |
| 23,617 |
| |
6,044 |
| Western Union Co. (The) |
| 80,204 |
| |
|
|
|
| 742,150 |
| |
|
| Life Sciences Tools & Services — 0.2% |
|
|
| |
|
|
|
|
|
| |
149 |
| Dionex Corp.* |
| 7,642 |
| |
980 |
| PerkinElmer, Inc. |
| 17,699 |
| |
|
|
|
| 25,341 |
| |
|
| Machinery — 11.6% |
|
|
| |
|
|
|
|
|
| |
461 |
| Actuant Corp., Class A |
| 8,270 |
| |
754 |
| AGCO Corp.* |
| 18,563 |
| |
222 |
| Albany International Corp., Class A |
| 3,414 |
| |
141 |
| Astec Industries, Inc.* |
| 4,265 |
| |
616 |
| Bucyrus International, Inc. |
| 12,031 |
| |
5,051 |
| Caterpillar, Inc. |
| 207,041 |
| |
234 |
| Chart Industries, Inc.* |
| 2,237 |
| |
421 |
| Clarcor, Inc. |
| 13,518 |
| |
429 |
| Crane Co. |
| 6,358 |
| |
1,520 |
| Cummins, Inc. |
| 38,882 |
| |
2,044 |
| Danaher Corp. |
| 113,728 |
| |
3,574 |
| Deere & Co. |
| 124,411 |
| |
566 |
| Donaldson Co., Inc. |
| 19,369 |
| |
1,573 |
| Dover Corp. |
| 46,923 |
| |
1,356 |
| Eaton Corp. |
| 62,837 |
| |
219 |
| ESCO Technologies, Inc.* |
| 6,697 |
| |
474 |
| Flowserve Corp. |
| 23,856 |
| |
447 |
| Gardner Denver, Inc.* |
| 11,063 |
| |
501 |
| Graco, Inc. |
| 10,751 |
| |
697 |
| Harsco Corp. |
| 17,530 |
| |
682 |
| IDEX Corp. |
| 15,686 |
| |
3,703 |
| Illinois Tool Works, Inc. |
| 126,346 |
| |
2,635 |
| Ingersoll-Rand Co., Ltd., Class A |
| 41,317 |
| |
1,500 |
| ITT Corp. |
| 62,790 |
| |
892 |
| Joy Global, Inc. |
| 20,775 |
| |
231 |
| Kaydon Corp. |
| 7,126 |
| |
608 |
| Kennametal, Inc. |
| 11,370 |
| |
333 |
| Lincoln Electric Holdings, Inc. |
| 15,215 |
| |
1,074 |
| Manitowoc Co., Inc. (The) |
| 8,463 |
| |
312 |
| Mueller Industries, Inc. |
| 7,270 |
| |
708 |
| Mueller Water Products, Inc., Class B |
| 4,198 |
| |
249 |
| Nordson Corp. |
| 8,080 |
| |
612 |
| Oshkosh Corp. |
| 4,284 |
| |
2,907 |
| PACCAR, Inc. |
| 81,018 |
| |
989 |
| Pall Corp. |
| 27,207 |
| |
See accompanying notes to the financial statements.
Shares |
|
|
| Value |
| ||
|
| Common Stocks (a) (continued) |
|
|
| ||
1,394 |
| Parker Hannifin Corp. |
| $ | 57,266 |
| |
830 |
| Pentair, Inc. |
| 20,634 |
| ||
453 |
| SPX Corp. |
| 16,906 |
| ||
802 |
| Terex Corp.* |
| 11,437 |
| ||
643 |
| Timken Co. |
| 9,330 |
| ||
314 |
| Toro Co. |
| 8,930 |
| ||
681 |
| Trinity Industries, Inc. |
| 10,126 |
| ||
151 |
| Valmont Industries, Inc. |
| 8,350 |
| ||
406 |
| Wabtec Corp. |
| 15,668 |
| ||
|
|
|
| 1,351,536 |
| ||
|
| Marine — 0.2% |
|
|
| ||
|
|
|
|
|
| ||
338 |
| Alexander & Baldwin, Inc. |
| 8,737 |
| ||
324 |
| American Commercial Lines, Inc.* |
| 1,448 |
| ||
266 |
| Genco Shipping & Trading Ltd. |
| 2,423 |
| ||
450 |
| Kirby Corp.* |
| 11,444 |
| ||
|
|
|
| 24,052 |
| ||
|
| Multi-Utilities — 0.2% |
|
|
| ||
|
|
|
|
|
| ||
1,394 |
| MDU Resources Group, Inc. |
| 28,340 |
| ||
|
|
|
|
|
| ||
|
| Office Electronics — 0.1% |
|
|
| ||
|
|
|
|
|
| ||
544 |
| Zebra Technologies Corp., Class A* |
| 11,511 |
| ||
|
|
|
|
|
| ||
|
| Oil, Gas & Consumable Fuels — 0.3% |
|
|
| ||
|
|
|
|
|
| ||
218 |
| General Maritime Corp. |
| 2,825 |
| ||
198 |
| Overseas Shipholding Group, Inc. |
| 7,338 |
| ||
359 |
| Teekay Corp. |
| 5,884 |
| ||
463 |
| Walter Industries, Inc. |
| 8,445 |
| ||
236 |
| World Fuel Services Corp. |
| 8,567 |
| ||
|
|
|
| 33,059 |
| ||
|
| Paper & Forest Products — 0.7% |
|
|
| ||
|
|
|
|
|
| ||
869 |
| Louisiana-Pacific Corp. |
| 2,007 |
| ||
1,341 |
| MeadWestvaco Corp. |
| 15,636 |
| ||
1,733 |
| Weyerhaeuser Co. |
| 65,196 |
| ||
|
|
|
| 82,839 |
| ||
|
| Professional Services — 1.1% |
|
|
| ||
|
|
|
|
|
| ||
191 |
| Administaff, Inc. |
| 3,262 |
| ||
282 |
| Corporate Executive Board Co. (The) |
| 6,503 |
| ||
416 |
| FTI Consulting, Inc.* |
| 22,813 |
| ||
658 |
| Manpower, Inc. |
| 20,714 |
| ||
987 |
| Monster Worldwide, Inc.* |
| 11,321 |
| ||
784 |
| MPS Group, Inc.* |
| 5,190 |
| ||
405 |
| Navigant Consulting, Inc.* |
| 7,659 |
| ||
376 |
| Resources Connection, Inc.* |
| 6,509 |
| ||
1,295 |
| Robert Half International, Inc. |
| 27,052 |
| ||
457 |
| Spherion Corp.* |
| 1,028 |
| ||
363 |
| TrueBlue, Inc.* |
| 2,690 |
| ||
357 |
| Watson Wyatt Worldwide, Inc., Class A |
| 14,394 |
| ||
|
|
|
| 129,135 |
| ||
|
| Road & Rail — 6.7% |
|
|
| ||
|
|
|
|
|
| ||
186 |
| Arkansas Best Corp. |
| 4,938 |
| ||
2,329 |
| Burlington Northern Santa Fe Corp. |
| 178,425 |
| ||
377 |
| Con-way, Inc. |
| 10,545 |
| ||
3,344 |
| CSX Corp. |
| 124,531 |
| ||
267 |
| Genesee & Wyoming, Inc., Class A* |
| 8,111 |
| ||
916 |
| JB Hunt Transport Services, Inc. |
| 24,558 |
| ||
753 |
| Kansas City Southern* |
| 16,506 |
| ||
432 |
| Landstar System, Inc. |
| 13,884 |
| ||
3,118 |
| Norfolk Southern Corp. |
| 154,247 |
| ||
246 |
| Old Dominion Freight Line, Inc.* |
| 5,855 |
| ||
467 |
| Ryder System, Inc. |
| 16,770 |
| ||
4,223 |
| Union Pacific Corp. |
| 211,319 |
| ||
422 |
| Werner Enterprises, Inc. |
| 7,334 |
| ||
471 |
| YRC Worldwide, Inc.* |
| 1,875 |
| ||
|
|
|
| 778,898 |
| ||
|
| Semiconductors & Semiconductor Equipment — 0.0% |
|
|
| ||
|
|
|
|
|
| ||
264 |
| ATMI, Inc.* |
| 3,147 |
| ||
246 |
| Veeco Instruments, Inc.* |
| 1,459 |
| ||
|
|
|
| 4,606 |
| ||
|
| Software — 0.1% |
|
|
| ||
|
|
|
|
|
| ||
664 |
| Jack Henry & Associates, Inc. |
| 12,224 |
| ||
|
|
|
|
|
| ||
|
| Specialty Retail — 0.4% |
|
|
| ||
|
|
|
|
|
| ||
824 |
| Sherwin-Williams Co. (The) |
| 48,558 |
| ||
|
|
|
|
|
| ||
|
| Trading Companies & Distributors — 1.1% |
|
|
| ||
|
|
|
|
|
| ||
1,156 |
| Fastenal Co. |
| 44,518 |
| ||
360 |
| GATX Corp. |
| 10,134 |
| ||
215 |
| Kaman Corp. |
| 5,065 |
| ||
372 |
| MSC Industrial Direct Co., Class A |
| 12,875 |
| ||
425 |
| United Rentals, Inc.* |
| 3,430 |
| ||
198 |
| Watsco, Inc. |
| 7,789 |
| ||
355 |
| WESCO International, Inc.* |
| 5,251 |
| ||
541 |
| WW Grainger, Inc. |
| 38,178 |
| ||
|
|
|
| 127,240 |
| ||
|
| Total Common Stock |
| 9,679,779 |
| ||
|
|
|
|
|
| ||
Principal |
|
|
|
|
| ||
|
| Repurchase Agreements - 60.5% |
|
|
| ||
$ | 944,154 |
| Bank of America Corp., 0.21%, dated 11/28/08, due 12/01/08, total to be received $944,171(b) |
| 944,154 |
| |
944,154 |
| Bank of America Corp., 0.30%, dated 11/28/08, due 12/01/08, total to be received $944,178(c) |
| 944,154 |
| ||
70,812 |
| Credit Suisse (USA) LLC, 0.20%, dated 11/28/08, due 12/01/08, total to be received $70,813(d) |
| 70,812 |
| ||
236,038 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/26/08, due 12/03/08, total to be received $236,054(e) |
| 236,038 |
| ||
472,076 |
| Credit Suisse (USA) LLC, 0.35%, dated 11/24/08, due 12/01/08, total to be received $472,108(f) |
| 472,076 |
| ||
1,652,269 |
| ING Financial Markets, LLC, 0.28%, dated 11/28/08, due 12/01/08, total to be received $1,652,308(g) |
| 1,652,269 |
| ||
1,416,230 |
| JPMorgan Chase & Co., 0.20%, dated 11/28/08, due 12/01/08, total to be received $1,416,254(h) |
| 1,416,230 |
| ||
See accompanying notes to the financial statements.
1,346,489 |
| UBS Warburg LLC, 0.25%, dated 11/28/08, due 12/01/08, total to be received $1,346,517(i) |
| 1,346,489 |
| |
|
| Total Repurchase Agreements |
| 7,082,222 |
| |
|
| Total Investments |
| 16,762,001 |
| |
|
| Liabilities in excess of other assets — (43.2%) |
| (5,060,332 | ) | |
|
| Net Assets — 100.0% |
| $ | 11,701,669 |
|
* | Non-income producing security. |
(a) | A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. |
(b) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0% to 7.63%, due 12/3/08 to 11/17/17; Federal Home Loan Mortgage Corp., 0%, due 12/15/08; Federal National Mortgage Association, 8.95%, due 2/12/18, Federal Farm Credit Bank, 2.38% to 6.90%, due 12/3/08 to 10/22/18, which had a total value of $963,037. The investment in the repurchase agreement was through participation in a pooled account. |
(c) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 5.00% to 5.25%, due 12/11/09 to 9/15/17; Federal Home Loan Mortgage Corp., 3.50%, due 5/5/11; Federal National Mortgage Association, 0% to 2.88%, due 1/30/09 to 10/12/10, Government National Mortgage Association, 5.00% to 8.05%, due 11/15/31 to 9/15/49, which had a total value of $963,037. The investment in the repurchase agreement was through participation in a pooled account. |
(d) | Represents the Fund’s 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 as follows: U.S. Treasury Bonds, 5.00%, due 5/15/37, which had a total value of $72,231. The investment in the repurchase agreement was through participation in a pooled account. |
(e) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 0%, due 12/1/08 to 8/6/09; Federal Home Loan Mortgage Corp., 0%, due 6/2/09 to 8/3/09; Federal National Mortgage Association, 0%, due 12/3/08 to 8/7/09, which had a total value of $240,760. The investment in the repurchase agreement was through participation in a pooled account. |
(f) | Represents the Fund’s 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 as follows: Federal Home Loan Mortgage Corp., 0%, due 12/2/08 to 8/17/09; Federal National Mortgage Association, 5.75%, due 7/27/20, which had a total value of $481,519. The investment in the repurchase agreement was through participation in a pooled account. |
(g) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 2.28% to 9.00%, due 2/6/09 to 6/10/11; Federal Home Loan Mortgage Corp., 2.38% to 6.88%, due 12/19/08 to 7/15/32; Federal National Mortgage Association, 0% to 7.25%, due 12/15/08 to 5/15/30; U.S. Treasury Bills, 0%, due 7/2/09 to 7/30/09, which had a total value of $1,685,316. The investment in the repurchase agreement was through participation in a pooled account. |
(h) | Represents the Fund’s 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 as follows: Federal National Mortgage Association, 0%, due 12/8/08; U.S. Treasury Bills, 0%, due 12/4/08 to 11/19/09; U.S. Treasury Notes, 2.63% to 4.00%, due 5/31/10 to 2/15/15, which had a total value of $1,444,555. The investment in the repurchase agreement was through participation in a pooled account. |
(i) | Represents the Fund’s 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 as follows: Federal Home Loan Bank, 4.75% to 6.25%, due 11/8/17 to 10/27/28; Federal Home Loan Mortgage Corp., 2.40% to 7.00%, due 12/5/08 to 4/16/37; Federal National Mortgage Association, 0% to 8.95%, due 12/9/08 to 10/9/19; U.S. Treasury Bonds, 6.13%, due 11/15/27, which had a total value of $1,373,422. The investment in the repurchase agreement was through participation in a pooled account. |
See accompanying notes to the financial statements.
As of November 30, 2008, 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 |
| $ | 67,275 |
|
Aggregate gross unrealized depreciation |
| (3,158,147 | ) | |
Net unrealized depreciation |
| $ | (3,090,872 | ) |
Federal income tax cost of investments |
| $ | 19,852,873 |
|
Swap Agreements
Ultra Industrials had the following open swap agreements as of November 30, 2008:
|
| Termination |
| Notional Amount |
| Unrealized |
| ||
Equity Index Swap Agreement based on the Dow Jones U.S. IndustrialsSM Index |
| 12/08/08 |
| $ | 3,876,851 |
| $ | (480,051 | ) |
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement based on the Dow Jones U.S. IndustrialsSM Index |
| 12/08/08 |
| 4,611,723 |
| — |
| ||
|
|
|
|
|
|
|
| ||
Equity Index Swap Agreement based on the Dow Jones U.S. IndustrialsSM Index |
| 12/08/08 |
| 4,951,004 |
| (4,248,996 | ) | ||
|
|
|
|
|
|
|
| ||
|
|
|
| $ | 13,439,578 |
| $ | (4,729,047 | ) |
See accompanying notes to the financial statements.
Item 7. Disclosure Of Proxy Voting Policies And Procedures For Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchase Of Equity Securities By Closed-End Management Investment Company And Affiliated Purchasers.
Not applicable to the Registrant.
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 second 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 required for this filing. |
|
|
|
(b)(1) |
| Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
|
|
|
(a)(3) |
| Not applicable. |
|
|
|
(b)(2) |
| Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
ProShares Trust
By: | /s/ Louis M. Mayberg |
|
| Louis M. Mayberg |
|
| President |
|
| January 27, 2009 |
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Louis M. Mayberg |
|
| Louis M. Mayberg |
|
| President |
|
| January 27, 2009 |
|
By: | /s/ Charles Todd |
|
| Charles Todd |
|
| Treasurer |
|
| January 27, 2009 |
|