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: 811-21276
J.P. Morgan Fleming Series Trust
(Exact name of registrant as specified in charter)
245 Park Avenue
New York, NY 10167
(Address of principal executive offices) (Zip code)
Stephen M. Benham
245 Park Avenue
New York, NY 10167
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800) 480-4111
Date of fiscal year end: June 30
Date of reporting period: July 1, 2006 through December 31, 2006
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
SIX MONTHS ENDED DECEMBER 31, 2006 (UNAUDITED)
JPMorgan Multi-Manager Small Cap Value Fund
![](https://capedge.com/proxy/N-CSRS/0001145443-07-000624/jpmorgan_asstmngklogo.jpg)
President’s Letter | 1 | |||||
Fund Commentaries: | ||||||
JPMorgan Multi-Manager Small Cap Growth Fund | 2 | |||||
JPMorgan Multi-Manager Small Cap Value Fund | 4 | |||||
Schedules of Portfolio Investments | 6 | |||||
Financial Statements | 23 | |||||
Financial Highlights | 26 | |||||
Notes to Financial Statements | 28 | |||||
Trustees | 33 | |||||
Officers | 34 | |||||
Schedule of Shareholder Expenses | 36 | |||||
Board Approval of Investment Advisory Agreement | 37 |
• | Markets sparked by Fed’s rate pause and falling oil prices |
• | Large-cap stocks surpassed their mid- and small-cap counterparts |
• | Home sales stabilized toward year-end but were offset somewhat by amount of unsold homes |
• | Consumer spending likely to moderate as job gains decrease |
JANUARY 5, 2007 (Unaudited)
![]() | “We expect economic growth to remain subdued over the next few quarters, keeping the pressure off inflation.” |
![](https://capedge.com/proxy/N-CSRS/0001145443-07-000624/georgecwgatch-sig.jpg)
President
JPMorgan Funds
AS OF DECEMBER 31, 2006 (Unaudited)
Fund Inception | February 28, 2003 | |||||
Fiscal Year End | June 30 | |||||
Net Assets as of 12/31/2006 (In Thousands) | $183,481 | |||||
Primary Benchmark | Russell 2000 Growth Index |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Multi-Manager Small Cap Growth Fund, which seeks to provide long-term capital growth by investing in equity securities of small-capitalization companies, returned 6.80% over the six months ended December 31, 2006, compared to the 6.86% return for the Russell 2000 Growth Index during the same period.* |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund slightly underperformed its benchmark for the period due to stock selection in the healthcare and materials sectors. Small-cap stocks continued to generate positive returns, supported by robust corporate earnings, moderate inflation and low interest rates. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We aim to invest with subadvisors that represent a complementary balance of approaches to small-cap growth investing. During the reporting period, we withdrew our allocation to Seligman, placing 15% of assets instead with ClariVest Asset Management LLC, a quantitative manager that seeks companies demonstrating accelerating growth with sustainable fundamentals that are not yet fully recognized by the market place. We believe ClariVest’s approach brings style and process diversification to our current sub-advisor mix. Our largest allocations continue to be with BlackRock and Oberweis at approximately 30% and 35%, respectively. BlackRock’s investment style of growth at a reasonable price worked well. In contrast, Oberweis, which focuses on companies demonstrating top- and bottom-line growth of at least 30% per year while trading at half its growth rate, faced a much more challenging market environment. While its approach can lead to volatility, over the long-term, Oberweis has demonstrated an ability to generate strong returns. Rounding out the Fund is UBS at approximately 20%. |
1. | Ceradyne, Inc. | 1.2 | % | |||||||
2. | Kyphon, Inc. | 1.2 | ||||||||
3. | SkillSoft plc ADR (Ireland) | 1.1 | ||||||||
4. | Focus Media Holding Ltd. ADR (China) | 1.0 | ||||||||
5. | Pediatrix Medical Group, Inc. | 1.0 | ||||||||
6. | CKX, Inc. | 0.9 | ||||||||
7. | Noven Pharmaceuticals, Inc. | 0.9 | ||||||||
8. | aQuantive, Inc. | 0.8 | ||||||||
9. | Orient-Express Hotels Ltd., Class H (Bermuda) | 0.8 | ||||||||
10. | Carrizo Oil & Gas, Inc. | 0.8 |
Information Technology | 30.2 | % | ||||
Health Care | 19.6 | |||||
Industrials | 16.1 | |||||
Consumer Discretionary | 15.5 | |||||
Energy | 6.8 | |||||
Financials | 4.4 | |||||
Materials | 3.2 | |||||
Consumer Staples | 1.5 | |||||
Telecommunication Services | 0.4 | |||||
Mutual Funds | 0.4 | |||||
Utilities | 0.2 | |||||
Short-Term Investments | 1.7 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | Percentages indicated are based upon net assets as of December 31, 2006. The Fund’s composition is subject to change. |
INCEPTION DATE | 1 YEAR | 3 YEAR | SINCE INCEPTION | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
MULTI-MANAGER SMALL CAP GROWTH FUND | 2/28/03 | 10.54 | % | 7.77 | % | 17.38 | % |
![](https://capedge.com/proxy/N-CSRS/0001145443-07-000624/d20393_smcapgrowth.jpg)
AS OF DECEMBER 31, 2006 (Unaudited)
Fund Inception | February 28, 2003 | |||||
Fiscal Year End | June 30 | |||||
Net Assets as of 12/31/2006 | ||||||
(In Thousands) | $336,660 | |||||
Primary Benchmark | Russell 2000 Value Index |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Multi-Manager Small Cap Value Fund, which seeks to provide long-term capital appreciation by investing in equity securities of small-capitalization companies, returned 7.08% over the six months ended December 31, 2006, compared to the 11.81% return for the Russell 2000 Value Index over the same period.* |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund underperformed its benchmark for the period mainly due to stock selection in the healthcare and industrials sectors. In addition, underweight allocations in real estate investment trusts (REITs) and utilities — areas where our sub-advisors feel valuations are most stretched — detracted from returns. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We aim to remain diversified across sub-advisors and multiple styles of small-cap value investing. Over the past six months, we have reduced our exposure to both JPMorgan and Earnest Partners. Both managers have reached capacity and we have moved to increase our weightings to both First Quadrant and Vaughan Nelson. Presently, JPMorgan and Earnest Partners constitute approximately 60% of the Fund, while First Quadrant and Vaughan Nelson make up the remaining 40%. |
1. | Cabot Oil & Gas Corp. | 1.1 | % | |||||||
2. | CompuCredit Corp. | 1.1 | ||||||||
3. | IKON Office Solutions, Inc. | 1.0 | ||||||||
4. | American Home Mortgage Investment Corp. | 1.0 | ||||||||
5. | Waste Connections, Inc. | 1.0 | ||||||||
6. | Raymond James Financial, Inc. | 0.9 | ||||||||
7. | Moog, Inc., Class A | 0.9 | ||||||||
8. | Phillips-Van Heusen Corp. | 0.9 | ||||||||
9. | Sterling Financial Corp. | 0.9 | ||||||||
10. | Ohio Casualty Corp. | 0.9 |
Financials | 31.8 | % | ||||
Industrials | 17.3 | |||||
Consumer Discretionary | 13.5 | |||||
Information Technology | 9.6 | |||||
Health Care | 7.8 | |||||
Energy | 5.7 | |||||
Materials | 5.6 | |||||
Utilities | 3.0 | |||||
Consumer Staples | 2.3 | |||||
Telecommunication Services | 0.8 | |||||
Mutual Funds | 0.6 | |||||
U.S. Treasury Obligations | 0.2 | |||||
Short-Term Investments | 1.4 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | Percentages indicated are based upon net assets as of December 31, 2006. The Fund’s composition is subject to change. |
INCEPTION DATE | 1 YEAR | 3 YEAR | SINCE INCEPTION | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
MULTI-MANAGER SMALL CAP VALUE FUND | 2/28/03 | 15.25 | % | 14.10 | % | 24.90 | % |
![](https://capedge.com/proxy/N-CSRS/0001145443-07-000624/d20393_smcapvalue.jpg)
AS OF DECEMBER 31, 2006 (Unaudited)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 98.3% | |||||||||||
Common Stocks — 97.9% | |||||||||||
Aerospace & Defense — 3.3% | |||||||||||
15 | AAR Corp. (a) | 423 | |||||||||
10 | Armor Holdings, Inc. (a) | 526 | |||||||||
40 | BE Aerospace, Inc. (a) | 1,030 | |||||||||
39 | Ceradyne, Inc. (a) | 2,219 | |||||||||
3 | DRS Technologies, Inc. | 146 | |||||||||
9 | Essex Corp. (a) | 225 | |||||||||
22 | Ladish Co., Inc. (a) | 824 | |||||||||
9 | LMI Aerospace, Inc. (a) | 132 | |||||||||
33 | Orbital Sciences Corp. (a) | 605 | |||||||||
6,130 | |||||||||||
Air Freight & Logistics — 0.4% | |||||||||||
17 | Hub Group, Inc., Class A (a) | 465 | |||||||||
12 | UTI Worldwide, Inc. (United Kingdom) | 359 | |||||||||
824 | |||||||||||
Airlines — 0.0% (g) | |||||||||||
1 | Allegiant Travel Co. (a) | 36 | |||||||||
Auto Components — 0.3% | |||||||||||
17 | China Automotive Systems, Inc. (China) (a) | 211 | |||||||||
13 | LKQ Corp. (a) | 294 | |||||||||
505 | |||||||||||
Beverages — 0.2% | |||||||||||
12 | MGP Ingredients, Inc. | 280 | |||||||||
Biotechnology — 2.5% | |||||||||||
4 | Alexion Pharmaceuticals, Inc. (a) | 158 | |||||||||
18 | BioMarin Pharmaceuticals, Inc. (a) | 293 | |||||||||
6 | Cubist Pharmaceuticals, Inc. (a) | 110 | |||||||||
22 | Digene Corp. (a) | 1,035 | |||||||||
12 | Emergent Biosolutions, Inc. (a) | 132 | |||||||||
14 | Isis Pharmaceuticals, Inc. (a) | 155 | |||||||||
11 | Keryx Biopharmaceuticals, Inc. (a) | 145 | |||||||||
24 | Martek Biosciences Corp. (a) | 562 | |||||||||
6 | Myriad Genetics, Inc. (a) | 172 | |||||||||
9 | Nuvelo, Inc. (a) | 37 | |||||||||
37 | Omrix Biopharmaceuticals, Inc. (a) | 1,118 | |||||||||
15 | Regeneron Pharmaceuticals, Inc. (a) | 303 | |||||||||
10 | Renovis, Inc. (a) | 33 | |||||||||
24 | SIGA Technologies, Inc. (a) | 88 | |||||||||
20 | Trimeris, Inc. (a) | 257 | |||||||||
4,598 | |||||||||||
Building Products — 0.1% | |||||||||||
5 | Insteel Industries, Inc. | 94 | |||||||||
Capital Markets — 2.4% | |||||||||||
5 | Affiliated Managers Group, Inc. (a) | 504 | |||||||||
23 | Apollo Investment Corp. | 506 | |||||||||
4 | Evercore Partners, Inc., Class A (a) | 144 | |||||||||
7 | Greenhill & Co., Inc. | 509 | |||||||||
26 | Investment Technology Group, Inc. (a) | 1,115 | |||||||||
11 | Investors Financial Services Corp. | 474 | |||||||||
1 | KBW, Inc. (a) | 15 | |||||||||
20 | MCG Capital Corp. | 396 | |||||||||
49 | TradeStation Group, Inc. (a) | 680 | |||||||||
4,343 | |||||||||||
Chemicals — 1.9% | |||||||||||
14 | Agrium, Inc. (Canada) | 447 | |||||||||
18 | Airgas, Inc. | 709 | |||||||||
25 | CF Industries Holdings, Inc. | 638 | |||||||||
— | (h) | FMC Corp. | 30 | ||||||||
2 | HB Fuller Co. | 62 | |||||||||
9 | Hercules, Inc. (a) | 170 | |||||||||
6 | Lubrizol Corp. | 301 | |||||||||
22 | Spartech Corp. | 585 | |||||||||
29 | Zoltek Cos, Inc. (a) | 577 | |||||||||
3,519 | |||||||||||
Commercial Banks — 0.8% | |||||||||||
16 | Signature Bank (a) | 480 | |||||||||
22 | UCBH Holdings, Inc. | 392 | |||||||||
15 | UMB Financial Corp. | 537 | |||||||||
1,409 | |||||||||||
Commercial Services & Supplies — 5.5% | |||||||||||
14 | Advisory Board Co. (The) (a) | 734 | |||||||||
20 | American Ecology Corp. | 373 | |||||||||
21 | CRA International, Inc. (a) | 1,121 | |||||||||
110 | Diamond Management & Technology Consultants, Inc. | 1,362 | |||||||||
37 | Healthcare Services Group, Inc. | 1,060 | |||||||||
33 | IHS, Inc., Class A (a) | 1,291 | |||||||||
24 | Kenexa Corp. (a) | 807 | |||||||||
5 | Korn/Ferry International (a) | 110 | |||||||||
19 | Labor Ready, Inc. (a) | 348 | |||||||||
33 | LECG Corp. (a) | 612 | |||||||||
10 | PeopleSupport, Inc. (a) | 206 | |||||||||
38 | TeleTech Holdings, Inc. (a) | 910 | |||||||||
25 | Watson Wyatt Worldwide, Inc., Class A | 1,111 | |||||||||
10,045 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Communications Equipment — 4.4% | |||||||||||
49 | Acme Packet, Inc. (a) | 1,006 | |||||||||
20 | C-COR, Inc. (a) | 225 | |||||||||
26 | EMS Technologies, Inc. (a) | 515 | |||||||||
34 | Foundry Networks, Inc. (a) | 508 | |||||||||
25 | Harmonic, Inc. (a) | 183 | |||||||||
18 | Nice Systems Ltd., ADR (Israel) (a) | 557 | |||||||||
51 | Occam Networks, Inc. (a) | 833 | |||||||||
46 | Oplink Communications, Inc. (a) | 936 | |||||||||
34 | Optium Corp. (a) | 838 | |||||||||
15 | Polycom, Inc. (a) | 458 | |||||||||
50 | Redback Networks, Inc. (a) | 1,259 | |||||||||
51 | Sierra Wireless (Canada) (a) | 723 | |||||||||
11 | UTStarcom, Inc. (a) | 95 | |||||||||
8,136 | |||||||||||
Computers & Peripherals — 0.7% | |||||||||||
12 | Neoware Systems, Inc. (a) | 153 | |||||||||
22 | Rackable Systems, Inc. (a) | 684 | |||||||||
36 | SimpleTech, Inc. (a) | 462 | |||||||||
1,299 | |||||||||||
Construction & Engineering — 0.5% | |||||||||||
16 | EMCOR Group, Inc. (a) | 887 | |||||||||
Consumer Finance — 0.1% | |||||||||||
2 | Cash America International, Inc. | 94 | |||||||||
Containers & Packaging — 0.5% | |||||||||||
5 | Greif, Inc., Class A | 639 | |||||||||
3 | Myers Industries, Inc. | 53 | |||||||||
11 | Rock-Tenn Co., Class A | 293 | |||||||||
985 | |||||||||||
Distributors — 0.1% | |||||||||||
5 | Core-Mark Holding Co., Inc. (a) | 164 | |||||||||
Diversified Consumer Services — 0.3% | |||||||||||
12 | Laureate Education, Inc. (a) | 603 | |||||||||
Diversified Telecommunication Services — 0.4% | |||||||||||
17 | Atlantic Tele-Network, Inc. | 503 | |||||||||
12 | CT Communications, Inc. | 268 | |||||||||
771 | |||||||||||
Electrical Equipment — 0.9% | |||||||||||
28 | Canadian Solar, Inc. (China) (a) | 297 | |||||||||
4 | Energy Conversion Devices, Inc. (a) | 132 | |||||||||
5 | First Solar, Inc. (a) | 161 | |||||||||
6 | Genlyte Group, Inc. (a) | 430 | |||||||||
21 | Magnetek, Inc. (a) | 119 | |||||||||
9 | Regal-Beloit Corp. | 488 | |||||||||
1,627 | |||||||||||
Electronic Equipment & Instruments — 1.5% | |||||||||||
16 | Benchmark Electronics, Inc. (a) | 395 | |||||||||
13 | Cognex Corp. | 317 | |||||||||
30 | Daktronics, Inc. | 1,105 | |||||||||
3 | Insight Enterprises, Inc. (a) | 56 | |||||||||
9 | IPG Photonics Corp. (a) | 204 | |||||||||
28 | Pemstar, Inc. (a) | 108 | |||||||||
10 | Radisys Corp. (a) | 165 | |||||||||
13 | SYNNEX Corp. (a) | 279 | |||||||||
4 | Zygo Corp. (a) | 59 | |||||||||
2,688 | |||||||||||
Energy Equipment & Services — 3.8% | |||||||||||
24 | Allis-Chalmers Energy, Inc. (a) | 556 | |||||||||
12 | Atwood Oceanics, Inc. (a) | 597 | |||||||||
17 | Bronco Drilling Co., Inc. (a) | 285 | |||||||||
4 | Core Laboratories N.V. (Netherlands) (a) | 316 | |||||||||
15 | Dril-Quip, Inc. (a) | 591 | |||||||||
22 | Hercules Offshore, Inc. (a) | 644 | |||||||||
8 | Lufkin Industries, Inc. | 493 | |||||||||
16 | Oceaneering International, Inc. (a) | 615 | |||||||||
20 | Parker Drilling Co. (a) | 159 | |||||||||
12 | Patterson-UTI Energy, Inc. | 279 | |||||||||
11 | Pioneer Drilling Co. (a) | 150 | |||||||||
33 | Superior Energy Services, Inc. (a) | 1,088 | |||||||||
29 | Tetra Technologies, Inc. (a) | 742 | |||||||||
10 | Unit Corp. (a) | 460 | |||||||||
6,975 | |||||||||||
Food & Staples Retailing — 0.7% | |||||||||||
40 | Central European Distribution Corp. (a) | 1,174 | |||||||||
5 | Spartan Stores, Inc. | 109 | |||||||||
1,283 | |||||||||||
Food Products — 0.1% | |||||||||||
29 | SunOpta, Inc. (Canada) (a) | 253 | |||||||||
Health Care Equipment & Supplies — 7.3% | |||||||||||
20 | Abaxis, Inc. (a) | 381 | |||||||||
35 | Adeza Biomedical Corp. (a) | 526 | |||||||||
83 | Align Technology, Inc. (a) | 1,158 | |||||||||
28 | Arthrocare Corp. (a) | 1,125 | |||||||||
8 | Aspect Medical Systems, Inc. (a) | 141 | |||||||||
20 | Cholestech Corp. (a) | 370 |
AS OF DECEMBER 31, 2006 (Unaudited) (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Health Care Equipment & Supplies — Continued | |||||||||||
23 | Cutera, Inc. (a) | 629 | |||||||||
11 | DexCom, Inc. (a) | 108 | |||||||||
18 | Foxhollow Technologies, Inc. (a) | 379 | |||||||||
11 | Hansen Medical, Inc. (a) | 125 | |||||||||
13 | Hologic, Inc. (a) | 634 | |||||||||
19 | Immucor, Inc. (a) | 564 | |||||||||
42 | Intralase Corp. (a) | 947 | |||||||||
52 | Kyphon, Inc. (a) | 2,118 | |||||||||
20 | LifeCell Corp. (a) | 471 | |||||||||
2 | Mentor Corp. | 93 | |||||||||
34 | Natus Medical, Inc. (a) | 565 | |||||||||
9 | Palomar Medical Technologies, Inc. (a) | 470 | |||||||||
5 | Resmed, Inc. (a) | 222 | |||||||||
33 | Spectranetics Corp. (a) | 369 | |||||||||
7 | Syneron Medical Ltd. (Israel) (a) | 190 | |||||||||
16 | Viasys Healthcare, Inc. (a) | 437 | |||||||||
60 | Wright Medical Group, Inc. (a) | 1,404 | |||||||||
13,426 | |||||||||||
Health Care Providers & Services — 5.1% | |||||||||||
10 | Chindex International, Inc. (a) | 189 | |||||||||
2 | Corvel Corp. (a) | 95 | |||||||||
13 | Cross Country Healthcare, Inc. (a) | 288 | |||||||||
31 | HealthExtras, Inc. (a) | 751 | |||||||||
43 | HealthSpring, Inc. (a) | 883 | |||||||||
14 | Healthways, Inc. (a) | 650 | |||||||||
17 | inVentiv Health, Inc. (a) | 595 | |||||||||
17 | LHC Group, Inc. (a) | 476 | |||||||||
37 | Nighthawk Radiology Holdings, Inc. (a) | 951 | |||||||||
38 | Pediatrix Medical Group, Inc. (a) | 1,878 | |||||||||
17 | Psychiatric Solutions, Inc. (a) | 653 | |||||||||
36 | Symbion, Inc. (a) | 674 | |||||||||
12 | United Surgical Partners International, Inc. (a) | 326 | |||||||||
23 | VCA Antech, Inc. (a) | 727 | |||||||||
12 | Visicu, Inc. (a) | 130 | |||||||||
9,266 | |||||||||||
Health Care Technology — 1.4% | |||||||||||
40 | Allscripts Healthcare Solutions, Inc. (a) | 1,073 | |||||||||
7 | Dendrite International, Inc. (a) | 77 | |||||||||
30 | Emageon, Inc. (a) | 467 | |||||||||
11 | Phase Forward, Inc. (a) | 157 | |||||||||
15 | Systems Xcellence, Inc. (Canada) (a) | 298 | |||||||||
16 | Vital Images, Inc. (a) | 565 | |||||||||
2,637 | |||||||||||
Hotels, Restaurants & Leisure — 3.5% | |||||||||||
6 | Buffalo Wild Wings, Inc. (a) | 297 | |||||||||
13 | California Pizza Kitchen, Inc. (a) | 430 | |||||||||
27 | CKE Restaurants, Inc. | 491 | |||||||||
10 | Ctrip.com International Ltd. ADR (China) | 595 | |||||||||
1 | Jack in the Box, Inc. (a) | 67 | |||||||||
31 | Orient-Express Hotels Ltd., Class H (Bermuda) | 1,453 | |||||||||
22 | Red Robin Gourmet Burgers, Inc. (a) | 771 | |||||||||
21 | Scientific Games Corp., Class A (a) | 647 | |||||||||
20 | Shuffle Master, Inc. (a) | 533 | |||||||||
13 | Triarc Cos., Inc., Class B | 258 | |||||||||
19 | Vail Resorts, Inc. (a) | 834 | |||||||||
6,376 | |||||||||||
Household Durables — 1.0% | |||||||||||
15 | Desarrolladora Homex S.A. de C.V. ADR (Mexico) (a) | 867 | |||||||||
17 | Helen of Troy Ltd. (Bermuda) (a) | 417 | |||||||||
14 | Interface, Inc., Class A (a) | 203 | |||||||||
45 | Syntax-Brillian Corp. (a) | 390 | |||||||||
1,877 | |||||||||||
Household Products — 0.2% | |||||||||||
9 | Central Garden & Pet Co. (a) | 412 | |||||||||
Industrial Conglomerates — 0.1% | |||||||||||
3 | Teleflex, Inc. | 161 | |||||||||
Insurance — 0.1% | |||||||||||
10 | eHealth, Inc. (a) | 209 | |||||||||
Internet & Catalog Retail — 0.7% | |||||||||||
54 | Gmarket, Inc. ADR (South Korea) (a) | 1,292 | |||||||||
Internet Software & Services — 5.6% | |||||||||||
62 | aQuantive, Inc. (a) | 1,533 | |||||||||
34 | Art Technology Group, Inc. (a) | 79 | |||||||||
37 | DealerTrack Holdings, Inc. (a) | 1,097 | |||||||||
26 | DivX, Inc. (a) | 602 | |||||||||
12 | Greenfield Online, Inc. (a) | 177 | |||||||||
41 | Interwoven, Inc. (a) | 596 | |||||||||
50 | Online Resources Corp. (a) | 514 | |||||||||
29 | Perficient, Inc. (a) | 483 | |||||||||
323 | SkillSoft plc ADR (Ireland) (a) | 2,008 | |||||||||
140 | SonicWALL, Inc. (a) | 1,181 | |||||||||
17 | SupportSoft, Inc. (a) | 93 | |||||||||
17 | Travelzoo, Inc. (a) | 502 | |||||||||
53 | ValueClick, Inc. (a) | 1,249 | |||||||||
14 | Vignette Corp. (a) | 241 | |||||||||
10,355 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
IT Services — 5.0% | |||||||||||
16 | CACI International, Inc., Class A (a) | 921 | |||||||||
15 | Convergys Corp. (a) | 354 | |||||||||
28 | Covansys Corp. (a) | 636 | |||||||||
24 | eFunds Corp. (a) | 652 | |||||||||
51 | ExlService Holdings, Inc. (a) | 1,083 | |||||||||
46 | Forrester Research, Inc. (a) | 1,250 | |||||||||
29 | Gartner, Inc. (a) | 576 | |||||||||
19 | Infocrossing, Inc. (a) | 311 | |||||||||
6 | infoUSA, Inc. | 70 | |||||||||
1 | Isilon Systems, Inc. (a) | 28 | |||||||||
12 | Lightbridge, Inc. (a) | 161 | |||||||||
34 | RightNow Technologies, Inc. (a) | 580 | |||||||||
13 | SI International, Inc. (a) | 434 | |||||||||
8 | Tyler Technologies, Inc. (a) | 107 | |||||||||
16 | VeriFone Holdings, Inc. (a) | 574 | |||||||||
14 | WNS Holdings, Ltd. ADS (India) (a) | 432 | |||||||||
33 | Wright Express Corp. (a) | 1,038 | |||||||||
9,207 | |||||||||||
Leisure Equipment & Products — 0.2% | |||||||||||
5 | Nautilus Group, Inc. | 63 | |||||||||
7 | RC2 Corp. (a) | 317 | |||||||||
380 | |||||||||||
Life Sciences Tools & Services — 0.7% | |||||||||||
43 | Bruker BioSciences Corp. (a) | 326 | |||||||||
5 | Charles River Laboratories International, Inc. (a) | 217 | |||||||||
15 | Exelixis, Inc. (a) | 132 | |||||||||
9 | Icon plc ADR (Ireland) (a) | 328 | |||||||||
6 | Illumina, Inc. (a) | 220 | |||||||||
1,223 | |||||||||||
Machinery — 4.1% | |||||||||||
12 | Actuant Corp., Class A | 557 | |||||||||
20 | Bucyrus International, Inc. | 1,017 | |||||||||
7 | Cascade Corp. | 376 | |||||||||
18 | Dynamic Materials Corp. | 516 | |||||||||
9 | ESCO Technologies, Inc. (a) | 423 | |||||||||
29 | Gardner Denver, Inc. (a) | 1,093 | |||||||||
4 | Harsco Corp. | 274 | |||||||||
18 | Kadant, Inc. (a) | 449 | |||||||||
10 | Kaydon Corp. | 409 | |||||||||
4 | Middleby Corp. (The) (a) | 366 | |||||||||
18 | Mueller Water Products. Inc., Class A | 274 | |||||||||
15 | RBC Bearings, Inc. (a) | 418 | |||||||||
16 | Robbins & Myers, Inc. | 716 | |||||||||
20 | TurboChef Technologies, Inc. (a) | 339 | |||||||||
1 | Valmont Industries, Inc. | 61 | |||||||||
6 | Wabtec Corp. | 170 | |||||||||
7,458 | |||||||||||
Marine — 0.9% | |||||||||||
34 | Diana Shipping, Inc. (Greece) | 542 | |||||||||
7 | Excel Maritime Carriers Ltd. (Greece) (a) | 95 | |||||||||
9 | Genco Shipping & Trading Ltd. | 246 | |||||||||
14 | Horizon Lines Inc., Class A | 383 | |||||||||
27 | Quintana Maritime Ltd. (Greece) | 300 | |||||||||
1,566 | |||||||||||
Media — 2.7% | |||||||||||
143 | CKX, Inc. (a) | 1,677 | |||||||||
29 | Focus Media Holding Ltd. ADR (China) (a) | 1,904 | |||||||||
29 | Journal Register Co. | 213 | |||||||||
57 | Outdoor Channel Holdings, Inc. (a) | 737 | |||||||||
23 | World Wrestling Entertainment, Inc., Class A | 375 | |||||||||
4,906 | |||||||||||
Metals & Mining — 0.6% | |||||||||||
11 | Century Aluminum Co. (a) | 495 | |||||||||
5 | Reliance Steel & Aluminum Co. | 209 | |||||||||
14 | Steel Dynamics, Inc. | 451 | |||||||||
1,155 | |||||||||||
Multi-Utilities — 0.2% | |||||||||||
13 | PNM Resources, Inc. | 414 | |||||||||
Multiline Retail — 0.3% | |||||||||||
27 | Big Lots, Inc. (a) | 628 | |||||||||
Oil, Gas & Consumable Fuels — 3.0% | |||||||||||
16 | ATP Oil & Gas Corp. (a) | 637 | |||||||||
2 | Calumet Specialty Products Partners LP | 96 | |||||||||
48 | Carrizo Oil & Gas, Inc. (a) | 1,404 | |||||||||
23 | Comstock Resources, Inc. (a) | 702 | |||||||||
29 | EXCO Resources, Inc. (a) | 492 | |||||||||
9 | Goodrich Petroleum Corp. (a) | 329 | |||||||||
16 | Massey Energy Co. | 379 | |||||||||
13 | Parallel Petroleum Corp. (a) | 228 | |||||||||
86 | PetroHawk Energy Corp. (a) | 984 | |||||||||
6 | Quicksilver Resources, Inc. (a) | 209 | |||||||||
5,460 | |||||||||||
Paper & Forest Products — 0.2% | |||||||||||
23 | Mercer International, Inc. (a) | 278 |
AS OF DECEMBER 31, 2006 (Unaudited) (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Personal Products — 0.2% | |||||||||||
11 | American Oriental Bioengineering, Inc. (China) (a) | 133 | |||||||||
5 | NBTY, Inc. (a) | 212 | |||||||||
345 | |||||||||||
Pharmaceuticals — 2.6% | |||||||||||
29 | Adams Respiratory Therapeutics, Inc. (a) | 1,170 | |||||||||
65 | Noven Pharmaceuticals, Inc. (a) | 1,659 | |||||||||
10 | Penwest Pharmaceuticals Co. (a) | 168 | |||||||||
49 | Salix Pharmaceuticals Ltd. (a) | 598 | |||||||||
62 | Santarus, Inc. (a) | 484 | |||||||||
33 | Sciele Pharma, Inc. (a) | 783 | |||||||||
4,862 | |||||||||||
Real Estate Investment Trusts (REITs) — 0.6% | |||||||||||
10 | Anthracite Capital, Inc. | 131 | |||||||||
7 | BioMed Realty Trust, Inc. | 209 | |||||||||
4 | JER Investors Trust, Inc. | 85 | |||||||||
14 | Luminent Mortgage Capital, Inc. | 139 | |||||||||
14 | Ventas, Inc. | 571 | |||||||||
1,135 | |||||||||||
Real Estate Management & Development — 0.4% | |||||||||||
139 | Move, Inc. (a) | 766 | |||||||||
Road & Rail — 0.3% | |||||||||||
12 | Landstar System, Inc. | 470 | |||||||||
Semiconductors & Semiconductor Equipment — 6.2% | |||||||||||
30 | Amkor Technology, Inc. (a) | 283 | |||||||||
11 | Asyst Technologies, Inc. (a) | 83 | |||||||||
35 | Atheros Communications, Inc. (a) | 742 | |||||||||
92 | Credence Systems Corp. (a) | 476 | |||||||||
10 | Cymer, Inc. (a) | 431 | |||||||||
16 | Diodes, Inc. (a) | 582 | |||||||||
12 | Exar Corp. (a) | 151 | |||||||||
7 | Hittite Microwave Corp. (a) | 236 | |||||||||
49 | Micrel, Inc. (a) | 527 | |||||||||
51 | Microsemi Corp. (a) | 996 | |||||||||
3 | NVE Corp. (a) | 92 | |||||||||
12 | Photronics, Inc. (a) | 188 | |||||||||
41 | PLX Technology, Inc. (a) | 538 | |||||||||
9 | Power Integrations, Inc. (a) | 213 | |||||||||
17 | Rudolph Technologies, Inc. (a) | 263 | |||||||||
22 | Sigma Designs, Inc. (a) | 573 | |||||||||
25 | Silicon Image, Inc. (a) | 312 | |||||||||
32 | Skyworks Solutions, Inc. (a) | 225 | |||||||||
38 | Standard Microsystems Corp. (a) | 1,060 | |||||||||
19 | Supertex, Inc. (a) | 741 | |||||||||
25 | Tessera Technologies, Inc. (a) | 1,027 | |||||||||
72 | Trident Microsystems, Inc. (a) | 1,311 | |||||||||
9 | Varian Semiconductor Equipment Associates, Inc. (a) | 405 | |||||||||
11,455 | |||||||||||
Software — 6.7% | |||||||||||
11 | Actuate Corp. (a) | 66 | |||||||||
36 | Aladdin Knowledge Systems (Israel) (a) | 696 | |||||||||
16 | Ansoft Corp. (a) | 448 | |||||||||
31 | Blackboard, Inc. (a) | 925 | |||||||||
35 | CDC Corp., Class A (Hong Kong) (a) | 334 | |||||||||
12 | CommVault Systems, Inc. (a) | 248 | |||||||||
49 | Concur Technologies, Inc. (a) | 781 | |||||||||
4 | Double-Take Software, Inc. (a) | 49 | |||||||||
6 | Factset Research Systems, Inc. | 353 | |||||||||
8 | Fair Isaac Corp. | 342 | |||||||||
45 | FalconStor Software, Inc. (a) | 390 | |||||||||
32 | i2 Technologies Inc. (a) | 723 | |||||||||
25 | Interactive Intelligence, Inc. (a) | 558 | |||||||||
14 | Kronos, Inc. (a) | 500 | |||||||||
5 | Manhattan Associates, Inc. (a) | 153 | |||||||||
11 | Mentor Graphics Corp. (a) | 204 | |||||||||
13 | MICROS Systems, Inc. (a) | 664 | |||||||||
1 | MicroStrategy, Inc., Class A (a) | 91 | |||||||||
33 | Net 1 UEPS Technologies Inc. (South Africa) (a) | 984 | |||||||||
35 | Nuance Communications, Inc. (a) | 401 | |||||||||
8 | Parametric Technology Corp. (a) | 148 | |||||||||
12 | Progress Software Corp. (a) | 321 | |||||||||
17 | Secure Computing Corp. (a) | 114 | |||||||||
12 | Shanda Interactive Entertainment Ltd. ADR (China) (a) | 262 | |||||||||
6 | THQ, Inc. (a) | 198 | |||||||||
35 | Transaction Systems Architechs, Inc. (a) | 1,143 | |||||||||
72 | Vasco Data Security International (a) | 853 | |||||||||
9 | Verint Systems, Inc. (a) | 307 | |||||||||
12,256 | |||||||||||
Specialty Retail — 3.3% | |||||||||||
3 | Aeropostale, Inc. (a) | 80 | |||||||||
3 | Buckle, Inc. | 127 | |||||||||
7 | Charlotte Russe Holding, Inc. (a) | 209 | |||||||||
17 | Children’s Place Retail Stores, Inc. (The) (a) | 1,061 | |||||||||
22 | Christopher & Banks Corp. | 412 | |||||||||
19 | Citi Trends, Inc. (a) | 752 | |||||||||
15 | Dick’s Sporting Goods, Inc. (a) | 735 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Specialty Retail — Continued | |||||||||||
10 | Dress Barn, Inc. (a) | 233 | |||||||||
4 | DSW, Inc., Class A (a) | 143 | |||||||||
43 | Golfsmith International Holdings, Inc. (a) | 416 | |||||||||
3 | Group 1 Automotive, Inc. | 176 | |||||||||
6 | Guitar Center, Inc. (a) | 268 | |||||||||
4 | Rent-A-Center, Inc. (a) | 127 | |||||||||
14 | Tween Brands, Inc. (a) | 571 | |||||||||
24 | Zumiez, Inc. (a) | 721 | |||||||||
6,031 | |||||||||||
Textiles, Apparel & Luxury Goods — 3.1% | |||||||||||
9 | Brown Shoe Co., Inc. | 444 | |||||||||
6 | Deckers Outdoor Corp. (a) | 330 | |||||||||
11 | Heelys, Inc. (a) | 356 | |||||||||
42 | Iconix Brand Group, Inc. (a) | 805 | |||||||||
12 | Perry Ellis International, Inc. (a) | 476 | |||||||||
13 | Phillips-Van Heusen Corp. | 657 | |||||||||
4 | Skechers U.S.A., Inc., Class A (a) | 140 | |||||||||
12 | Steven Madden Ltd. | 416 | |||||||||
24 | Volcom Inc. (a) | 706 | |||||||||
51 | Warnaco Group, Inc. (The) (a) | 1,291 | |||||||||
2 | Wolverine World Wide, Inc. | 69 | |||||||||
5,690 | |||||||||||
Thrifts & Mortgage Finance — 0.0% (g) | |||||||||||
— | (h) | New York Community Bancorp, Inc. | — | (h) | |||||||
Tobacco — 0.1% | |||||||||||
26 | Alliance One International, Inc. (a) | 184 | |||||||||
Trading Companies & Distributors — 0.1% | |||||||||||
7 | Beacon Roofing Supply, Inc. (a) | 132 | |||||||||
Total Common Stocks (Cost $143,549) | 179,560 | ||||||||||
Investment Company — 0.4% | |||||||||||
Equity Fund — 0.4% | |||||||||||
10 | iShares Russell 2000 Index Fund (Cost $713) | 741 | |||||||||
Total Long-Term Investments (Cost $144,262) | 180,301 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE ($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — 1.7% | |||||||||||
Discount Note — 0.2% | |||||||||||
380 | Federal Home Loan Bank, 4.80%, 01/02/07 (n) (Cost $380) | 380 |
SHARES | | SECURITY DESCRIPTION | | VALUE ($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company — 1.5% | ||||||||||
2,760 | JPMorgan Prime Money Market Fund (b) (Cost $2,760) | 2,760 | ||||||||
Total Short-Term Investments (Cost $3,140) | 3,140 | |||||||||
Total Investments — 100.0% (Cost $147,402) | 183,441 | |||||||||
Other Assets in Excess of Liabilities — 0.0% (g) | 40 | |||||||||
NET ASSETS — 100.0% | $183,481 |
AS OF DECEMBER 31, 2006 (Unaudited)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 98.0% | |||||||||||
Common Stocks — 97.4% | |||||||||||
Aerospace & Defense — 2.4% | |||||||||||
3 | AAR Corp. (a) (m) | 79 | |||||||||
22 | Alliant Techsystems, Inc. (a) | 1,734 | |||||||||
2 | Ceradyne, Inc. (a) | 136 | |||||||||
10 | Curtiss-Wright Corp. | 363 | |||||||||
9 | DRS Technologies, Inc. | 491 | |||||||||
7 | Esterline Technologies Corp. (a) | 286 | |||||||||
1 | Heico Corp. | 47 | |||||||||
93 | Hexcel Corp. (a) | 1,626 | |||||||||
82 | Moog, Inc., Class A (a) | 3,143 | |||||||||
6 | Orbital Sciences Corp. (a) | 101 | |||||||||
3 | Triumph Group, Inc. | 152 | |||||||||
8,158 | |||||||||||
Airlines — 1.0% | |||||||||||
42 | Alaska Air Group, Inc. (a) | 1,663 | |||||||||
6 | Continental Airlines, Inc., Class B (a) | 264 | |||||||||
19 | ExpressJet Holdings, Inc. (a) | 157 | |||||||||
9 | Mesa Air Group, Inc. (a) | 81 | |||||||||
20 | Republic Airways Holdings, Inc. (a) | 342 | |||||||||
28 | Skywest, Inc. | 702 | |||||||||
3,209 | |||||||||||
Auto Components — 0.6% | |||||||||||
7 | Aftermarket Technology Corp. (a) | 145 | |||||||||
3 | American Axle & Manufacturing Holdings, Inc. | 63 | |||||||||
29 | ArvinMeritor, Inc. | 530 | |||||||||
2 | Lear Corp. | 68 | |||||||||
7 | Modine Manufacturing Co. | 165 | |||||||||
5 | Quantum Fuel Systems Technologies Worldwide, Inc. (a) | 8 | |||||||||
3 | Sauer-Danfoss, Inc. | 90 | |||||||||
42 | Tenneco, Inc. (a) | 1,038 | |||||||||
8 | Visteon Corp. (a) | 70 | |||||||||
2,177 | |||||||||||
Automobiles — 0.2% | |||||||||||
16 | Winnebago Industries, Inc. | 520 | |||||||||
Biotechnology — 0.1% | |||||||||||
5 | Applera Corp. - Celera Group (a) | 64 | |||||||||
3 | Arena Pharmaceuticals, Inc. (a) | 44 | |||||||||
3 | Cubist Pharmaceuticals, Inc. (a) | 49 | |||||||||
— | (h) | Martek Biosciences Corp. (a) | 9 | ||||||||
3 | Progenics Pharmaceuticals, Inc. (a) | 85 | |||||||||
3 | Savient Pharmaceuticals, Inc. (a) | 34 | |||||||||
2 | United Therapeutics Corp. (a) | 103 | |||||||||
388 | |||||||||||
Building Products — 1.2% | |||||||||||
3 | Ameron International Corp. | 199 | |||||||||
4 | Apogee Enterprises, Inc. | 75 | |||||||||
2 | Builders FirstSource, Inc. (a) | 37 | |||||||||
62 | Griffon Corp. (a) | 1,568 | |||||||||
31 | Jacuzzi Brands, Inc. (a) | 389 | |||||||||
46 | Lennox International, Inc. | 1,412 | |||||||||
4 | NCI Building Systems, Inc. (a) | 223 | |||||||||
6 | Universal Forest Products, Inc. | 266 | |||||||||
4,169 | |||||||||||
Capital Markets — 3.9% | |||||||||||
14 | Affiliated Managers Group, Inc. (a) | 1,451 | |||||||||
76 | Apollo Investment Corp. | 1,711 | |||||||||
49 | Calamos Asset Management, Inc., Class A | 1,309 | |||||||||
61 | Eaton Vance Corp. | 2,000 | |||||||||
— | (h) | Greenhill & Co., Inc. | 30 | ||||||||
73 | Jefferies Group, Inc. | 1,961 | |||||||||
18 | Knight Capital Group, Inc., Class A (a) | 345 | |||||||||
38 | LaBranche & Co., Inc. (a) | 373 | |||||||||
9 | MCG Capital Corp. | 177 | |||||||||
2 | Piper Jaffray Cos. (a) | 143 | |||||||||
105 | Raymond James Financial, Inc. | 3,183 | |||||||||
21 | Technology Investment Capital Corp. | 334 | |||||||||
13,017 | |||||||||||
Chemicals — 2.6% | |||||||||||
6 | CF Industries Holdings, Inc. | 164 | |||||||||
18 | Cytec Industries, Inc. | 1,020 | |||||||||
11 | FMC Corp. | 875 | |||||||||
9 | Georgia Gulf Corp. | 178 | |||||||||
13 | H.B. Fuller Co. | 328 | |||||||||
20 | Hercules, Inc. (a) | 380 | |||||||||
2 | Innospec, Inc. (United Kingdom) | 107 | |||||||||
2 | Minerals Technologies, Inc. | 135 | |||||||||
2 | NewMarket Corp. | 130 | |||||||||
3 | OM Group, Inc. (a) | 136 | |||||||||
24 | PolyOne Corp. (a) | 181 | |||||||||
7 | Rockwood Holdings, Inc. (a) | 174 | |||||||||
53 | Scotts Miracle-Gro Co. (The), Class A | 2,740 | |||||||||
13 | Sensient Technologies Corp. | 312 | |||||||||
9 | Spartech Corp. | 225 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Chemicals — Continued | |||||||||||
55 | Valspar Corp. | 1,526 | |||||||||
9 | W.R. Grace & Co. (a) | 172 | |||||||||
8,783 | |||||||||||
Commercial Banks — 6.1% | |||||||||||
3 | 1st Source Corp. | 102 | |||||||||
3 | Amcore Financial, Inc. | 101 | |||||||||
2 | AmericanWest Bancorp | 46 | |||||||||
4 | Ameris Bancorp | 99 | |||||||||
2 | BancFirst Corp. | 124 | |||||||||
5 | Bank of Granite Corp. | 88 | |||||||||
2 | Banner Corp. | 84 | |||||||||
20 | Boston Private Financial Holdings, Inc. | 550 | |||||||||
2 | Camden National Corp. | 111 | |||||||||
1 | Capital Corp. of the West | 46 | |||||||||
3 | Capitol Bancorp Ltd. | 134 | |||||||||
1 | Cardinal Financial Corp. | 11 | |||||||||
3 | Cathay General Bancorp | 93 | |||||||||
10 | Central Pacific Financial Corp. | 368 | |||||||||
4 | Chemical Financial Corp. | 134 | |||||||||
8 | City Holding Co. | 315 | |||||||||
11 | Colonial BancGroup, Inc. (The) | 281 | |||||||||
3 | Columbia Banking System, Inc. | 121 | |||||||||
4 | Community Bank System, Inc. | 90 | |||||||||
5 | Community Trust Bancorp, Inc. | 211 | |||||||||
8 | Cullen/Frost Bankers, Inc. | 435 | |||||||||
2 | Farmers Capital Bank Corp. | 51 | |||||||||
73 | First Bancorp | 693 | |||||||||
3 | First Community Bancshares, Inc. | 115 | |||||||||
2 | First Regional Bancorp (a) | 75 | |||||||||
7 | First Republic Bank | 268 | |||||||||
19 | FirstMerit Corp. | 447 | |||||||||
2 | FNB Corp. | 96 | |||||||||
3 | Great Southern Bancorp, Inc. | 86 | |||||||||
9 | Greater Bay Bancorp | 226 | |||||||||
2 | Greene County Bancshares, Inc. | 64 | |||||||||
28 | Hanmi Financial Corp. | 638 | |||||||||
2 | Heartland Financial USA, Inc. | 61 | |||||||||
1 | Heritage Commerce Corp. | 29 | |||||||||
2 | Horizon Financial Corp. | 54 | |||||||||
10 | IBERIABANK Corp. | 579 | |||||||||
8 | Independent Bank Corp. of Massachusetts | 281 | |||||||||
9 | Independent Bank Corp. of Michigan | 235 | |||||||||
4 | Integra Bank Corp. | 116 | |||||||||
3 | Intervest Bancshares Corp. (a) | 114 | |||||||||
20 | Investors Bancorp, Inc. (a) | 311 | |||||||||
10 | Irwin Financial Corp. | 219 | |||||||||
1 | Lakeland Financial Corp. | 36 | |||||||||
5 | MainSource Financial Group, Inc. | 80 | |||||||||
30 | MB Financial, Inc. | 1,122 | |||||||||
2 | MBT Financial Corp. | 34 | |||||||||
3 | Mercantile Bank Corp. | 123 | |||||||||
4 | Mid-State Bancshares | 149 | |||||||||
4 | Nara Bancorp, Inc. | 73 | |||||||||
5 | National Penn Bancshares, Inc. | 110 | |||||||||
— | (h) | Old Second Bancorp, Inc. | 6 | ||||||||
27 | Oriental Financial Group | 345 | |||||||||
49 | Pacific Capital Bancorp | 1,645 | |||||||||
3 | Peoples Bancorp, Inc. | 96 | |||||||||
14 | PrivateBancorp, Inc. | 576 | |||||||||
4 | Prosperity Bancshares, Inc. | 121 | |||||||||
5 | Provident Bankshares Corp. | 171 | |||||||||
82 | R&G Financial Corp., Class B | 625 | |||||||||
3 | Renasant Corp. | 106 | |||||||||
26 | Republic Bancorp, Inc. | 352 | |||||||||
1 | Republic Bancorp, Inc., Class A | 21 | |||||||||
— | (h) | Royal Bancshares of Pennsylvania | 3 | ||||||||
1 | Santander BanCorp | 18 | |||||||||
— | (h) | SCBT Financial Corp. | 17 | ||||||||
3 | Security Bank Corp. | 73 | |||||||||
— | (h) | Sierra Bancorp | 12 | ||||||||
3 | Simmons First National Corp., Class A | 91 | |||||||||
9 | Southwest Bancorp, Inc. | 256 | |||||||||
14 | Sterling Bancshares, Inc. | 182 | |||||||||
6 | Sterling Financial Corp. | 147 | |||||||||
89 | Sterling Financial Corp. | 3,021 | |||||||||
3 | Taylor Capital Group, Inc. | 110 | |||||||||
3 | TriCo Bancshares | 84 | |||||||||
16 | UCBH Holdings, Inc. | 279 | |||||||||
9 | Umpqua Holdings Corp. | 273 | |||||||||
10 | Union Bankshares Corp. | 317 | |||||||||
3 | United Bancshares, Inc. | 100 | |||||||||
15 | West Coast Bancorp | 530 | |||||||||
6 | Westamerica Bancorp | 314 | |||||||||
4 | Wintrust Financial Corp. | 211 | |||||||||
9 | Yardville National Bancorp | 347 | |||||||||
20,478 |
AS OF DECEMBER 31, 2006 (Unaudited) (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Commercial Services & Supplies — 5.2% | |||||||||||
23 | Administaff, Inc. | 1,001 | |||||||||
122 | Allied Waste Industries, Inc. (a) | 1,502 | |||||||||
1 | Banta Corp. | 51 | |||||||||
3 | Consolidated Graphics, Inc. (a) | 177 | |||||||||
— | (h) | CRA International, Inc. (a) | 21 | ||||||||
10 | Deluxe Corp. | 252 | |||||||||
2 | Ennis, Inc. | 59 | |||||||||
10 | GEO Group, Inc. (The) (a) | 356 | |||||||||
44 | Healthcare Services Group, Inc. | 1,262 | |||||||||
21 | HNI Corp. | 915 | |||||||||
210 | IKON Office Solutions, Inc. | 3,433 | |||||||||
5 | John H. Harland Co. | 231 | |||||||||
7 | Kforce, Inc. (a) | 82 | |||||||||
23 | McGrath Rentcorp | 715 | |||||||||
7 | On Assignment, Inc. (a) | 80 | |||||||||
41 | Pike Electric Corp. (a) | 674 | |||||||||
27 | School Specialty, Inc. (a) | 1,027 | |||||||||
11 | Sirva, Inc. (a) | 40 | |||||||||
16 | Spherion Corp. (a) | 116 | |||||||||
20 | Team, Inc. (a) | 679 | |||||||||
11 | TeleTech Holdings, Inc. (a) | 267 | |||||||||
1 | Tetra Tech, Inc. (a) | 18 | |||||||||
5 | United Stationers, Inc. (a) | 252 | |||||||||
6 | Viad Corp. | 227 | |||||||||
— | (h) | Volt Information Sciences, Inc. (a) | 20 | ||||||||
80 | Waste Connections, Inc. (a) | 3,320 | |||||||||
2 | Waste Services, Inc. (Canada) (a) | 24 | |||||||||
15 | Watson Wyatt Worldwide, Inc., Class A | 673 | |||||||||
17,474 | |||||||||||
Communications Equipment — 1.4% | |||||||||||
33 | Arris Group, Inc. (a) | 418 | |||||||||
8 | Avocent Corp. (a) | 257 | |||||||||
3 | Bel Fuse, Inc., Class B | 108 | |||||||||
4 | Black Box Corp. | 147 | |||||||||
4 | C-COR, Inc. (a) | 39 | |||||||||
12 | Ciena Corp. (a) | 319 | |||||||||
26 | CommScope, Inc. (a) | 789 | |||||||||
5 | Digi International, Inc. (a) | 74 | |||||||||
4 | Ditech Networks, Inc. (a) | 28 | |||||||||
10 | Finisar Corp. (a) | 31 | |||||||||
6 | Foundry Networks, Inc. (a) | 96 | |||||||||
7 | Inter-Tel, Inc. | 153 | |||||||||
8 | MasTec, Inc. (a) | 88 | |||||||||
5 | MRV Communications, Inc. (a) | 18 | |||||||||
9 | Optical Communication Products, Inc. (a) | 15 | |||||||||
3 | Polycom, Inc. (a) | 102 | |||||||||
16 | Powerwave Technologies, Inc. (a) | 101 | |||||||||
2 | Redback Networks, Inc. (a) | 37 | |||||||||
3 | SafeNet, Inc. (a) | 78 | |||||||||
10 | Sycamore Networks, Inc. (a) | 36 | |||||||||
56 | Tekelec (a) | 824 | |||||||||
104 | UTStarcom, Inc. (a) | 906 | |||||||||
4,664 | |||||||||||
Computers & Peripherals — 0.6% | |||||||||||
15 | Adaptec, Inc. (a) | 70 | |||||||||
41 | Brocade Communications Systems, Inc. (a) | 340 | |||||||||
10 | Electronics for Imaging, Inc. (a) | 274 | |||||||||
3 | Emulex Corp. (a) | 62 | |||||||||
13 | Gateway, Inc. (a) | 26 | |||||||||
5 | Hutchinson Technology, Inc. (a) | 113 | |||||||||
5 | Hypercom Corp. (a) | 34 | |||||||||
9 | Imation Corp. | 437 | |||||||||
3 | Komag, Inc. (a) | 129 | |||||||||
33 | McData Corp., Class A (a) | 182 | |||||||||
15 | Palm, Inc. (a) | 207 | |||||||||
59 | Quantum Corp. (a) | 137 | |||||||||
2,011 | |||||||||||
Construction & Engineering — 0.6% | |||||||||||
2 | EMCOR Group, Inc. (a) | 131 | |||||||||
4 | Granite Construction, Inc. | 191 | |||||||||
34 | URS Corp. (a) | 1,457 | |||||||||
4 | Washington Group International, Inc. (a) | 233 | |||||||||
2,012 | |||||||||||
Construction Materials — 0.4% | |||||||||||
4 | Eagle Materials, Inc. | 169 | |||||||||
53 | Headwaters, Inc. (a) | 1,272 | |||||||||
1,441 | |||||||||||
Consumer Finance — 2.3% | |||||||||||
7 | Advanta Corp., Class B | 288 | |||||||||
15 | Cash America International, Inc. | 689 | |||||||||
92 | CompuCredit Corp. (a) | 3,651 | |||||||||
4 | Dollar Financial Corp. (a) | 124 | |||||||||
36 | First Cash Financial Services, Inc. (a) | 919 | |||||||||
8 | Student Loan Corp. | 1,596 | |||||||||
11 | World Acceptance Corp. (a) | 493 | |||||||||
7,760 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Containers & Packaging — 0.7% | |||||||||||
3 | Greif, Inc., Class A | 391 | |||||||||
12 | Myers Industries, Inc. | 194 | |||||||||
12 | Rock-Tenn Co., Class A | 322 | |||||||||
32 | Silgan Holdings, Inc. | 1,410 | |||||||||
2,317 | |||||||||||
Distributors — 0.1% | |||||||||||
7 | Building Material Holding Corp. | 180 | |||||||||
3 | Keystone Automotive Industries, Inc. (a) | 85 | |||||||||
265 | |||||||||||
Diversified Consumer Services — 0.5% | |||||||||||
21 | Regis Corp. | 845 | |||||||||
29 | Stewart Enterprises, Inc., Class A | 178 | |||||||||
14 | Universal Technical Institute, Inc. (a) | 321 | |||||||||
5 | Vertrue, Inc. (a) | 207 | |||||||||
1,551 | |||||||||||
Diversified Financial Services — 0.6% | |||||||||||
53 | Asset Acceptance Capital Corp. (a) | 885 | |||||||||
31 | Financial Federal Corp. | 909 | |||||||||
3 | Marlin Business Services Corp. (a) | 82 | |||||||||
5 | Medallion Financial Corp. | 61 | |||||||||
1,937 | |||||||||||
Diversified Telecommunication Services — 0.8% | |||||||||||
10 | Broadwing Corp. (a) | 150 | |||||||||
220 | Cincinnati Bell, Inc. (a) | 1,007 | |||||||||
2 | Commonwealth Telephone Enterprises, Inc. | 96 | |||||||||
13 | CT Communications, Inc. | 296 | |||||||||
7 | General Communication, Inc., Class A (a) | 107 | |||||||||
3 | North Pittsburgh Systems, Inc. | 70 | |||||||||
37 | Premiere Global Services, Inc. (a) | 347 | |||||||||
2 | SureWest Communications | 63 | |||||||||
2 | Time Warner Telecom, Inc., Class A (a) | 46 | |||||||||
38 | Windstream Corp. | 545 | |||||||||
2,727 | |||||||||||
Electric Utilities — 0.9% | |||||||||||
9 | Cleco Corp. | 235 | |||||||||
15 | El Paso Electric Co. (a) | 365 | |||||||||
8 | Idacorp, Inc. | 298 | |||||||||
2 | UIL Holdings Corp. | 96 | |||||||||
18 | UniSource Energy Corp. | 661 | |||||||||
48 | Westar Energy, Inc. | 1,234 | |||||||||
2,889 | |||||||||||
Electrical Equipment — 0.9% | |||||||||||
19 | A.O. Smith Corp. | 729 | |||||||||
7 | Acuity Brands, Inc. | 344 | |||||||||
3 | Belden CDT, Inc. | 129 | |||||||||
3 | Encore Wire Corp. | 57 | |||||||||
28 | General Cable Corp. (a) | 1,216 | |||||||||
2 | Genlyte Group, Inc. (a) | 172 | |||||||||
7 | Regal-Beloit Corp. | 383 | |||||||||
3,030 | |||||||||||
Electronic Equipment & Instruments — 2.4% | |||||||||||
10 | Aeroflex, Inc. (a) | 115 | |||||||||
11 | Agilysis, Inc. | 179 | |||||||||
4 | Anixter International, Inc. (a) | 212 | |||||||||
62 | Benchmark Electronics, Inc. (a) | 1,522 | |||||||||
30 | Brightpoint, Inc. (a) | 406 | |||||||||
69 | Checkpoint Systems, Inc. (a) | 1,388 | |||||||||
3 | Coherent, Inc. (a) | 82 | |||||||||
10 | CTS Corp. | 151 | |||||||||
1 | Electro Scientific Industries, Inc. (a) | 26 | |||||||||
71 | FLIR Systems, Inc. (a) | 2,273 | |||||||||
— | (h) | Global Imaging Systems, Inc. (a) | 4 | ||||||||
3 | Insight Enterprises, Inc. (a) | 53 | |||||||||
5 | Itron, Inc. (a) | 261 | |||||||||
5 | KEMET Corp. (a) | 35 | |||||||||
9 | Newport Corp. (a) | 182 | |||||||||
3 | Park Electrochemical Corp. | 69 | |||||||||
2 | Paxar Corp. (a) | 44 | |||||||||
3 | Plexus Corp. (a) | 60 | |||||||||
3 | Radisys Corp. (a) | 52 | |||||||||
279 | Sanmina-SCI Corp. (a) | 963 | |||||||||
1 | SYNNEX Corp. (a) | 31 | |||||||||
3 | Technitrol, Inc. | 64 | |||||||||
6 | TTM Technologies, Inc. (a) | 69 | |||||||||
8,241 | |||||||||||
Energy Equipment & Services — 2.0% | |||||||||||
3 | Bristow Group, Inc. (a) | 105 | |||||||||
3 | Hanover Compressor Co. (a) | 64 | |||||||||
14 | Hornbeck Offshore Services, Inc. (a) | 514 | |||||||||
3 | Lone Star Technologies, Inc. (a) | 145 | |||||||||
57 | Oceaneering International, Inc. (a) | 2,245 | |||||||||
28 | Oil States International, Inc. (a) | 912 | |||||||||
5 | RPC, Inc. | 77 | |||||||||
13 | Trico Marine Services, Inc. (a) | 502 | |||||||||
5 | Union Drilling, Inc. (a) | 75 |
AS OF DECEMBER 31, 2006 (Unaudited) (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Energy Equipment & Services — Continued | |||||||||||
28 | Universal Compression Holdings, Inc. (a) | 1,732 | |||||||||
5 | Veritas DGC, Inc. (a) | 385 | |||||||||
6,756 | |||||||||||
Food & Staples Retailing — 1.1% | |||||||||||
3 | Casey’s General Stores, Inc. | 78 | |||||||||
9 | Great Atlantic & Pacific Tea Co., Inc. | 229 | |||||||||
1 | Nash Finch Co. | 38 | |||||||||
44 | Pantry, Inc. (The) (a) | 2,056 | |||||||||
21 | Pathmark Stores, Inc. (a) | 239 | |||||||||
29 | Ruddick Corp. | 799 | |||||||||
7 | Smart & Final, Inc. (a) | 125 | |||||||||
14 | Spartan Stores, Inc. | 295 | |||||||||
3,859 | |||||||||||
Food Products — 0.9% | |||||||||||
14 | Chiquita Brands International, Inc. | 222 | |||||||||
12 | Corn Products International, Inc. | 431 | |||||||||
3 | Delta & Pine Land Co. | 125 | |||||||||
4 | Flowers Foods, Inc. | 111 | |||||||||
3 | J & J Snack Foods Corp. | 120 | |||||||||
2 | Premium Standard Farms, Inc. | 30 | |||||||||
3 | Ralcorp Holdings, Inc. (a) | 148 | |||||||||
4 | Reddy Ice Holdings, Inc. | 101 | |||||||||
53 | Sanderson Farms, Inc. | 1,593 | |||||||||
2,881 | |||||||||||
Gas Utilities — 1.4% | |||||||||||
10 | Laclede Group, Inc. (The) | 333 | |||||||||
10 | New Jersey Resources Corp. | 491 | |||||||||
7 | Nicor, Inc. | 337 | |||||||||
19 | Northwest Natural Gas Co. | 807 | |||||||||
35 | ONEOK, Inc. | 1,518 | |||||||||
15 | South Jersey Industries, Inc. | 491 | |||||||||
16 | Southwest Gas Corp. | 598 | |||||||||
4,575 | |||||||||||
Health Care Equipment & Supplies — 0.9% | |||||||||||
2 | Biosite, Inc. (a) | 93 | |||||||||
2 | CONMED Corp. (a) | 53 | |||||||||
33 | Cooper Cos., Inc. (The) | 1,486 | |||||||||
2 | Greatbatch, Inc. (a) | 48 | |||||||||
5 | HealthTronics, Inc. (a) | 33 | |||||||||
1 | ICU Medical, Inc. (a) | 53 | |||||||||
13 | Invacare Corp. | 307 | |||||||||
4 | LifeCell Corp. (a) | 99 | |||||||||
24 | Medical Action Industries, Inc. (a) | 784 | |||||||||
3 | STERIS Corp. | 83 | |||||||||
— | (h) | SurModics, Inc. (a) | 6 | ||||||||
2 | Viasys Healthcare, Inc. (a) | 64 | |||||||||
3,109 | |||||||||||
Health Care Providers & Services — 3.8% | |||||||||||
14 | Alliance Imaging, Inc. (a) | 94 | |||||||||
13 | Amedisys, Inc. (a) | 422 | |||||||||
63 | AMERIGROUP Corp. (a) | 2,261 | |||||||||
8 | AMN Healthcare Services, Inc. (a) (m) | 226 | |||||||||
2 | Apria Healthcare Group, Inc. (a) | 61 | |||||||||
46 | Centene Corp. (a) | 1,123 | |||||||||
— | (h) | Genesis HealthCare Corp. (a) | 14 | ||||||||
20 | Gentiva Health Services, Inc. (a) | 385 | |||||||||
2 | HealthSpring, Inc. (a) | 47 | |||||||||
36 | Healthways, Inc. (a) | 1,722 | |||||||||
6 | Kindred Healthcare, Inc. (a) | 144 | |||||||||
25 | LHC Group, Inc. (a) | 723 | |||||||||
53 | Magellan Health Services, Inc. (a) | 2,291 | |||||||||
2 | Molina Healthcare, Inc. (a) | 65 | |||||||||
28 | Pediatrix Medical Group, Inc. (a) | 1,391 | |||||||||
8 | PSS World Medical, Inc. (a) | 156 | |||||||||
9 | Psychiatric Solutions, Inc. (a) | 334 | |||||||||
2 | Res-Care, Inc. (a) | 38 | |||||||||
44 | Sunrise Senior Living, Inc. (a) | 1,352 | |||||||||
12,849 | |||||||||||
Health Care Technology — 0.1% | |||||||||||
1 | Computer Programs & Systems, Inc. | 31 | |||||||||
10 | Per-Se Technologies, Inc. (a) | 283 | |||||||||
314 | |||||||||||
Hotels, Restaurants & Leisure — 2.7% | |||||||||||
1 | Ameristar Casinos, Inc. | 40 | |||||||||
3 | Aztar Corp. (a) | 163 | |||||||||
— | (h) | Bob Evans Farms, Inc. | 3 | ||||||||
47 | Brinker International, Inc. | 1,419 | |||||||||
14 | Domino’s Pizza, Inc. | 386 | |||||||||
9 | Jack in the Box, Inc. (a) | 531 | |||||||||
4 | Papa John’s International, Inc. (a) | 125 | |||||||||
43 | Pinnacle Entertainment, Inc. (a) | 1,408 | |||||||||
31 | Six Flags, Inc. (a) | 162 | |||||||||
99 | Sonic Corp. (a) | 2,383 | |||||||||
75 | Triarc Cos., Inc., Class B | 1,505 | |||||||||
20 | Vail Resorts, Inc. (a) | 910 | |||||||||
9,035 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Household Durables — 3.0% | |||||||||||
6 | Ethan Allen Interiors, Inc. | 202 | |||||||||
5 | Furniture Brands International, Inc. | 75 | |||||||||
23 | Harman International Industries, Inc. | 2,258 | |||||||||
41 | Hovnanian Enterprises, Inc., Class A (a) | 1,397 | |||||||||
7 | Kimball International, Inc., Class B | 165 | |||||||||
12 | M/I Homes, Inc. | 447 | |||||||||
32 | Meritage Homes Corp. (a) | 1,508 | |||||||||
7 | Sealy Corp. | 97 | |||||||||
32 | Snap-On, Inc. | 1,520 | |||||||||
61 | Standard-Pacific Corp. | 1,631 | |||||||||
33 | Tupperware Brands Corp. | 744 | |||||||||
3 | WCI Communities, Inc. (a) | 65 | |||||||||
2 | Yankee Candle Co., Inc. | 72 | |||||||||
10,181 | |||||||||||
Household Products — 0.0% (g) | |||||||||||
3 | Spectrum Brands, Inc. (a) | 35 | |||||||||
Independent Power Producers & Energy Traders — 0.1% | |||||||||||
5 | Black Hills Corp. | 177 | |||||||||
Industrial Conglomerates — 0.3% | |||||||||||
17 | Teleflex, Inc. | 1,072 | |||||||||
Insurance — 6.8% | |||||||||||
220 | American Equity Investment Life Holding Co. | 2,870 | |||||||||
3 | American Physicians Capital, Inc. (a) | 138 | |||||||||
8 | Argonaut Group, Inc. (a) | 279 | |||||||||
3 | Clark, Inc. | 45 | |||||||||
54 | Delphi Financial Group, Inc. | 2,168 | |||||||||
3 | Direct General Corp. | 66 | |||||||||
3 | Harleysville Group, Inc. | 115 | |||||||||
34 | HCC Insurance Holdings, Inc. | 1,103 | |||||||||
7 | Hilb, Rogal & Hobbs Co. | 305 | |||||||||
4 | Infinity Property & Casualty Corp. | 194 | |||||||||
31 | LandAmerica Financial Group, Inc. | 1,975 | |||||||||
4 | Navigators Group, Inc. (a) | 169 | |||||||||
3 | Odyssey Re Holdings Corp. | 127 | |||||||||
100 | Ohio Casualty Corp. | 2,993 | |||||||||
60 | Philadelphia Consolidated Holding Co. (a) | 2,656 | |||||||||
3 | Phoenix Cos., Inc. (The) | 54 | |||||||||
33 | PMA Capital Corp., Class A (a) | 301 | |||||||||
— | (h) | ProAssurance Corp. (a) | 20 | ||||||||
23 | Protective Life Corp. | 1,111 | |||||||||
1 | RLI Corp. | 79 | |||||||||
8 | Safety Insurance Group, Inc. | 406 | |||||||||
6 | Selective Insurance Group | 326 | |||||||||
45 | State Auto Financial Corp. | 1,559 | |||||||||
32 | Stewart Information Services Corp. | 1,387 | |||||||||
56 | United Fire & Casualty Co. | 1,975 | |||||||||
13 | Zenith National Insurance Corp. | 624 | |||||||||
23,045 | |||||||||||
Internet & Catalog Retail — 0.1% | |||||||||||
10 | FTD Group, Inc. (a) | 184 | |||||||||
7 | Systemax, Inc. (a) | 126 | |||||||||
310 | |||||||||||
Internet Software & Services — 0.6% | |||||||||||
62 | Ariba, Inc. (a) | 482 | |||||||||
10 | Interwoven, Inc. (a) | 144 | |||||||||
4 | iPass, Inc. (a) | 25 | |||||||||
16 | SAVVIS, Inc. (a) | 557 | |||||||||
8 | SonicWALL, Inc. (a) | 69 | |||||||||
23 | United Online, Inc. | 299 | |||||||||
27 | Vignette Corp. (a) | 453 | |||||||||
10 | webMethods, Inc. (a) | 73 | |||||||||
2,102 | |||||||||||
IT Services — 2.3% | |||||||||||
38 | BearingPoint, Inc. (a) | 300 | |||||||||
8 | CACI International, Inc., Class A (a) | 435 | |||||||||
12 | CIBER, Inc. (a) | 80 | |||||||||
7 | Covansys Corp. (a) | 158 | |||||||||
69 | CSG Systems International, Inc. (a) | 1,836 | |||||||||
10 | Gartner, Inc. (a) | 188 | |||||||||
44 | Global Payments, Inc. | 2,046 | |||||||||
1 | infoUSA, Inc. | 11 | |||||||||
4 | Lightbridge, Inc. (a) | 56 | |||||||||
3 | Mantech International Corp., Class A (a) | 111 | |||||||||
1 | MAXIMUS, Inc. | 43 | |||||||||
46 | MoneyGram International, Inc. | 1,439 | |||||||||
12 | Perot Systems Corp., Class A (a) | 200 | |||||||||
2 | SI International, Inc. (a) | 71 | |||||||||
2 | StarTek, Inc. | 28 | |||||||||
6 | SYKES Enterprises, Inc. (a) | 101 | |||||||||
3 | TALX Corp. | 77 | |||||||||
31 | Tyler Technologies, Inc. (a) | 439 | |||||||||
7,619 | |||||||||||
Leisure Equipment & Products — 0.3% | |||||||||||
11 | Brunswick Corp. | 355 | |||||||||
10 | JAKKS Pacific, Inc. (a) | 223 | |||||||||
14 | K2, Inc. (a) | 178 |
AS OF DECEMBER 31, 2006 (Unaudited) (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Leisure Equipment & Products — Continued | |||||||||||
4 | RC2 Corp. (a) | 189 | |||||||||
3 | Steinway Musical Instruments, Inc. (a) | 106 | |||||||||
1,051 | |||||||||||
Life Sciences Tools & Services — 1.7% | |||||||||||
3 | Bio-Rad Laboratories, Inc., Class A (a) | 281 | |||||||||
41 | Covance, Inc. (a) | 2,409 | |||||||||
2 | Medivation, Inc. (a) | 35 | |||||||||
1 | Molecular Devices Corp. (a) | 23 | |||||||||
4 | Nektar Therapeutics (a) | 61 | |||||||||
88 | Pharmaceutical Product Development, Inc. | 2,822 | |||||||||
5,631 | |||||||||||
Machinery — 3.2% | |||||||||||
17 | Actuant Corp., Class A | 793 | |||||||||
2 | Astec Industries, Inc. (a) | 77 | |||||||||
18 | Barnes Group, Inc. | 387 | |||||||||
15 | Briggs & Stratton Corp. | 394 | |||||||||
38 | Bucyrus International, Inc. | 1,970 | |||||||||
3 | Cascade Corp. | 175 | |||||||||
3 | CIRCOR International, Inc. | 125 | |||||||||
4 | EnPro Industries, Inc. (a) | 136 | |||||||||
2 | Gehl Co. (a) | 50 | |||||||||
2 | Greenbrier Cos., Inc. | 60 | |||||||||
22 | Harsco Corp. | 1,690 | |||||||||
17 | IDEX Corp. | 813 | |||||||||
— | (h) | Kadant, Inc. (a) | 7 | ||||||||
4 | Mueller Industries, Inc. | 127 | |||||||||
2 | NACCO Industries, Inc., Class A | 232 | |||||||||
22 | Nordson Corp. | 1,111 | |||||||||
3 | Tecumseh Products Co., Class A (a) | 46 | |||||||||
3 | Tennant Co. | 96 | |||||||||
51 | Timken Co. | 1,479 | |||||||||
8 | Valmont Industries, Inc. | 438 | |||||||||
11 | Wabtec Corp. | 334 | |||||||||
4 | Watts Water Technologies, Inc., Class A | 177 | |||||||||
10,717 | |||||||||||
Media — 0.8% | |||||||||||
2 | Arbitron, Inc. | 65 | |||||||||
— | (h) | Carmike Cinemas, Inc. | 4 | ||||||||
89 | Charter Communications, Inc., Class A (a) | 271 | |||||||||
14 | Cox Radio, Inc., Class A (a) | 227 | |||||||||
10 | Entercom Communications Corp., Class A | 268 | |||||||||
7 | Journal Register Co. | 52 | |||||||||
22 | Lee Enterprises, Inc. | 683 | |||||||||
1 | Lin TV Corp., Class A (a) | 7 | |||||||||
12 | LodgeNet Entertainment Corp. (a) | 293 | |||||||||
2 | Media General, Inc., Class A | 85 | |||||||||
4 | ProQuest Co. (a) | 37 | |||||||||
31 | Radio One, Inc., Class D (a) | 209 | |||||||||
7 | Scholastic Corp. (a) | 254 | |||||||||
2 | Sinclair Broadcast Group, Inc., Class A | 20 | |||||||||
3 | Valassis Communications, Inc. (a) | 44 | |||||||||
11 | Westwood One, Inc. | 78 | |||||||||
2,597 | |||||||||||
Metals & Mining — 1.7% | |||||||||||
17 | Century Aluminum Co. (a) | 772 | |||||||||
8 | Chaparral Steel Co. | 350 | |||||||||
55 | Cleveland-Cliffs, Inc. | 2,644 | |||||||||
12 | Commercial Metals Co. | 304 | |||||||||
6 | Compass Minerals International, Inc. | 196 | |||||||||
13 | Gibraltar Industries, Inc. | 313 | |||||||||
7 | NN, Inc. | 92 | |||||||||
3 | Oregon Steel Mills, Inc. (a) | 168 | |||||||||
20 | Quanex Corp. | 687 | |||||||||
2 | Ryerson, Inc. | 58 | |||||||||
3 | Schnitzer Steel Industries, Inc. | 115 | |||||||||
5 | Steel Dynamics, Inc. | 165 | |||||||||
5,864 | |||||||||||
Multi-Utilities — 0.7% | |||||||||||
23 | Avista Corp. | 592 | |||||||||
3 | CH Energy Group, Inc. | 174 | |||||||||
39 | PNM Resources, Inc. | 1,199 | |||||||||
20 | Vectren Corp. | 562 | |||||||||
2,527 | |||||||||||
Multiline Retail — 0.2% | |||||||||||
16 | Big Lots, Inc. (a) | 360 | |||||||||
4 | Bon-Ton Stores, Inc. (The) | 125 | |||||||||
7 | Retail Ventures, Inc. (a) | 131 | |||||||||
616 | |||||||||||
Oil, Gas & Consumable Fuels — 3.7% | |||||||||||
3 | Alon USA Energy, Inc. | 66 | |||||||||
31 | Arena Resources, Inc. (a) | 1,344 | |||||||||
39 | Arlington Tankers Ltd. (Bermuda) | 916 | |||||||||
4 | Bois d’Arc Energy, Inc. (a) | 60 | |||||||||
61 | Cabot Oil & Gas Corp. | 3,697 | |||||||||
3 | Callon Petroleum Co. (a) | 39 | |||||||||
5 | Comstock Resources, Inc. (a) | 155 | |||||||||
6 | Energy Partners Ltd. (a) | 144 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Oil, Gas & Consumable Fuels — Continued | |||||||||||
2 | Giant Industries, Inc. (a) | 165 | |||||||||
53 | �� | Gulfport Energy Corp. (a) | 716 | ||||||||
47 | Harvest Natural Resources, Inc. (a) | 502 | |||||||||
1 | Helix Energy Solutions Group, Inc. (a) | 24 | |||||||||
31 | Houston Exploration Co. (a) | 1,590 | |||||||||
7 | PetroHawk Energy Corp. (a) | 77 | |||||||||
47 | Rosetta Resources, Inc. (a) | 870 | |||||||||
7 | Stone Energy Corp. (a) | 237 | |||||||||
38 | Swift Energy Co. (a) | 1,680 | |||||||||
16 | USEC, Inc. (a) | 204 | |||||||||
4 | Western Refining, Inc. | 104 | |||||||||
12,590 | |||||||||||
Paper & Forest Products — 0.1% | |||||||||||
10 | Buckeye Technologies, Inc. (a) | 115 | |||||||||
5 | Glatfelter | 76 | |||||||||
8 | Schweitzer-Mauduit International, Inc. | 201 | |||||||||
392 | |||||||||||
Personal Products — 0.2% | |||||||||||
5 | Elizabeth Arden, Inc. (a) | 95 | |||||||||
12 | NBTY, Inc. (a) | 495 | |||||||||
11 | Prestige Brands Holdings, Inc. (a) | 143 | |||||||||
733 | |||||||||||
Pharmaceuticals — 1.1% | |||||||||||
3 | Adams Respiratory Therapeutics, Inc. (a) | 106 | |||||||||
4 | Adolor Corp. (a) | 28 | |||||||||
19 | Alpharma, Inc., Class A | 451 | |||||||||
3 | AtheroGenics, Inc. (a) | 27 | |||||||||
12 | AVANIR Pharmaceuticals, Class A (a) | 27 | |||||||||
20 | Barr Pharmaceuticals, Inc. (a) | 1,010 | |||||||||
12 | Cypress Bioscience, Inc. (a) | 91 | |||||||||
91 | Perrigo Co. | 1,578 | |||||||||
20 | Sciele Pharma, Inc. (a) | 475 | |||||||||
3 | Valeant Pharmaceuticals International | 48 | |||||||||
3,841 | |||||||||||
Real Estate Investment Trusts (REITs) — 7.0% | |||||||||||
41 | Alesco Financial, Inc. | 438 | |||||||||
96 | American Home Mortgage Investment Corp. | 3,358 | |||||||||
33 | Anthracite Capital, Inc. | 421 | |||||||||
157 | Anworth Mortgage Asset Corp. | 1,493 | |||||||||
43 | Ashford Hospitality Trust, Inc. | 541 | |||||||||
10 | BioMed Realty Trust, Inc. | 272 | |||||||||
3 | Capital Trust, Inc., Class A (m) | 150 | |||||||||
2 | Columbia Equity Trust, Inc. | 46 | |||||||||
13 | Equity Inns, Inc. | 204 | |||||||||
5 | Equity Lifestyle Properties, Inc. | 272 | |||||||||
3 | Extra Space Storage, Inc. | 53 | |||||||||
46 | FelCor Lodging Trust, Inc. | 1,011 | |||||||||
9 | First Potomac Realty Trust (m) | 274 | |||||||||
89 | Friedman Billings Ramsey Group, Inc., Class A | 714 | |||||||||
10 | Government Properties Trust, Inc. | 102 | |||||||||
10 | Hersha Hospitality Trust | 111 | |||||||||
23 | Highland Hospitality Corp. | 323 | |||||||||
84 | Impac Mortgage Holdings, Inc. | 738 | |||||||||
27 | Innkeepers USA Trust | 419 | |||||||||
18 | JER Investors Trust, Inc. | 371 | |||||||||
7 | Kilroy Realty Corp. | 507 | |||||||||
7 | LaSalle Hotel Properties | 307 | |||||||||
34 | Lexington Realty Trust | 758 | |||||||||
7 | LTC Properties, Inc. | 191 | |||||||||
4 | Maguire Properties, Inc. | 164 | |||||||||
159 | MFA Mortgage Investments, Inc. | 1,221 | |||||||||
6 | National Health Investors, Inc. | 191 | |||||||||
2 | Omega Healthcare Investors, Inc. | 39 | |||||||||
4 | Parkway Properties, Inc. | 189 | |||||||||
16 | Pennsylvania Real Estate Investment Trust | 626 | |||||||||
20 | Post Properties, Inc. | 905 | |||||||||
15 | RAIT Financial Trust | 521 | |||||||||
44 | Redwood Trust, Inc. | 2,581 | |||||||||
8 | Saul Centers, Inc. | 430 | |||||||||
16 | Senior Housing Properties Trust | 399 | |||||||||
17 | SL Green Realty Corp. | 2,271 | |||||||||
37 | Spirit Finance Corp. | 461 | |||||||||
16 | Sunstone Hotel Investors, Inc. | 420 | |||||||||
8 | Winston Hotels, Inc. | 105 | |||||||||
23,597 | |||||||||||
Real Estate Management & Development — 0.0% (g) | |||||||||||
5 | Housevalues, Inc. (a) | 30 | |||||||||
Road & Rail — 1.1% | |||||||||||
10 | AMERCO, Inc. (a) | 839 | |||||||||
1 | Arkansas Best Corp. | 50 | |||||||||
17 | Dollar Thrifty Automotive Group, Inc. (a) | 775 | |||||||||
32 | Genesee & Wyoming, Inc., Class A (a) | 841 | |||||||||
24 | Landstar System, Inc. | 930 | |||||||||
— | (h) | Marten Transport Ltd. (a) | 2 | ||||||||
12 | RailAmerica, Inc. (a) | 196 | |||||||||
2 | Saia, Inc. (a) | 51 |
AS OF DECEMBER 31, 2006 (Unaudited) (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Road & Rail — Continued | |||||||||||
2 | U.S. Xpress Enterprises, Inc., Class A (a) | 28 | |||||||||
2 | Werner Enterprises, Inc. | 38 | |||||||||
3,750 | |||||||||||
Semiconductors & Semiconductor Equipment — 1.3% | |||||||||||
4 | Actel Corp. (a) | 64 | |||||||||
4 | Advanced Energy Industries, Inc. (a) | 76 | |||||||||
4 | AMIS Holdings, Inc. (a) | 39 | |||||||||
14 | Amkor Technology, Inc. (a) | 129 | |||||||||
28 | Applied Micro Circuits Corp. (a) | 99 | |||||||||
15 | Asyst Technologies, Inc. (a) | 110 | |||||||||
30 | ATMI, Inc. (a) | 907 | |||||||||
13 | Axcelis Technologies, Inc. (a) | 75 | |||||||||
13 | Brooks Automation, Inc. (a) | 186 | |||||||||
10 | Cirrus Logic, Inc. (a) | 67 | |||||||||
4 | Cohu, Inc. | 81 | |||||||||
84 | Conexant Systems, Inc. (a) | 170 | |||||||||
64 | Credence Systems Corp. (a) | 332 | |||||||||
4 | DSP Group, Inc. (a) | 80 | |||||||||
15 | Entegris, Inc. (a) | 167 | |||||||||
35 | Exar Corp. (a) | 451 | |||||||||
3 | Genesis Microchip, Inc. (a) | 25 | |||||||||
2 | Kopin Corp. (a) | 6 | |||||||||
7 | Kulicke & Soffa Industries, Inc. (a) | 61 | |||||||||
11 | Lattice Semiconductor Corp. (a) | 68 | |||||||||
18 | LTX Corp. (a) | 103 | |||||||||
3 | Mattson Technology, Inc. (a) | 31 | |||||||||
17 | Microsemi Corp. (a) | 337 | |||||||||
7 | MKS Instruments, Inc. (a) | 160 | |||||||||
11 | ON Semiconductor Corp. (a) | 80 | |||||||||
3 | Pericom Semiconductor Corp. (a) | 29 | |||||||||
5 | Photronics, Inc. (a) | 80 | |||||||||
27 | RF Micro Devices, Inc. (a) | 181 | |||||||||
5 | Silicon Storage Technology, Inc. (a) | 23 | |||||||||
9 | Skyworks Solutions, Inc. (a) | 62 | |||||||||
4 | Standard Microsystems Corp. (a) | 106 | |||||||||
4 | Zoran Corp. (a) | 60 | |||||||||
4,445 | |||||||||||
Software — 0.9% | |||||||||||
4 | Altiris, Inc. (a) | 94 | |||||||||
8 | Aspen Technology, Inc. (a) | 87 | |||||||||
14 | Blackbaud, Inc. | 376 | |||||||||
4 | JDA Software Group, Inc. (a) | 54 | |||||||||
12 | Lawson Software, Inc. (a) | 86 | |||||||||
3 | Macrovision Corp. (a) | 82 | |||||||||
6 | Magma Design Automation, Inc. (a) | 55 | |||||||||
15 | Mentor Graphics Corp. (a) | 265 | |||||||||
20 | MICROS Systems, Inc. (a) | 1,028 | |||||||||
10 | Parametric Technology Corp. (a) | 184 | |||||||||
4 | Progress Software Corp. (a) | 114 | |||||||||
2 | QAD, Inc. | 18 | |||||||||
4 | Quest Software, Inc. (a) | 62 | |||||||||
1 | SPSS, Inc. (a) | 39 | |||||||||
21 | Sybase, Inc. (a) | 509 | |||||||||
7 | TIBCO Software, Inc. (a) | 61 | |||||||||
3,114 | |||||||||||
Specialty Retail — 3.1% | |||||||||||
86 | Aaron Rents, Inc. (m) | 2,488 | |||||||||
17 | Asbury Automotive Group, Inc. | 403 | |||||||||
11 | Blockbuster, Inc., Class A (a) | 58 | |||||||||
3 | Build-A-Bear Workshop, Inc. (a) | 70 | |||||||||
41 | Charming Shoppes, Inc. (a) | 552 | |||||||||
7 | Christopher & Banks Corp. | 123 | |||||||||
9 | CSK Auto Corp. (a) | 146 | |||||||||
4 | Dress Barn, Inc. (a) | 84 | |||||||||
3 | Genesco, Inc. (a) | 127 | |||||||||
6 | Group 1 Automotive, Inc. | 305 | |||||||||
24 | Guitar Center, Inc. (a) | 1,081 | |||||||||
6 | Lithia Motors, Inc., Class A | 184 | |||||||||
18 | Men’s Wearhouse, Inc. | 698 | |||||||||
22 | Monro Muffler, Inc. | 761 | |||||||||
7 | Payless ShoeSource, Inc. (a) | 226 | |||||||||
9 | Rent-A-Center, Inc. (a) | 271 | |||||||||
2 | Shoe Carnival, Inc. (a) | 73 | |||||||||
3 | Sonic Automotive, Inc., Class A | 99 | |||||||||
21 | Stage Stores, Inc. | 625 | |||||||||
52 | Stein Mart, Inc. | 692 | |||||||||
4 | Talbots, Inc. | 96 | |||||||||
7 | Tween Brands, Inc. (a) | 260 | |||||||||
43 | United Auto Group, Inc. | 1,019 | |||||||||
10,441 | |||||||||||
Textiles, Apparel & Luxury Goods — 2.0% | |||||||||||
12 | Brown Shoe Co., Inc. | 552 | |||||||||
2 | Deckers Outdoor Corp. (a) | 114 | |||||||||
29 | Kellwood Co. | 943 | |||||||||
3 | Kenneth Cole Productions, Inc., Class A | 79 | |||||||||
10 | Maidenform Brands, Inc. (a) | 174 | |||||||||
3 | Movado Group, Inc. | 96 | |||||||||
1 | Oxford Industries, Inc. | 50 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Textiles, Apparel & Luxury Goods — Continued | |||||||||||
29 | Perry Ellis International, Inc. (a) | 1,201 | |||||||||
61 | Phillips-Van Heusen Corp. | 3,040 | |||||||||
10 | Quiksilver, Inc. (a) | 151 | |||||||||
8 | Skechers U.S.A., Inc., Class A (a) | 273 | |||||||||
2 | Warnaco Group, Inc. (The) (a) | 46 | |||||||||
6,719 | |||||||||||
Thrifts & Mortgage Finance — 5.1% | |||||||||||
26 | Accredited Home Lenders Holding Co. (a) (m) | 701 | |||||||||
66 | Astoria Financial Corp. | 1,986 | |||||||||
43 | Bankunited Financial Corp., Class A | 1,191 | |||||||||
— | (h) | Berkshire Hills Bancorp, Inc. | 13 | ||||||||
6 | CharterMac | 120 | |||||||||
3 | City Bank | 124 | |||||||||
111 | Corus Bankshares, Inc. | 2,558 | |||||||||
6 | Dime Community Bancshares | 81 | |||||||||
7 | Doral Financial Corp. | 20 | |||||||||
4 | Downey Financial Corp. | 254 | |||||||||
2 | Federal Agricultural Mortgage Corp., Class C | 54 | |||||||||
2 | First Financial Holdings, Inc. | 86 | |||||||||
87 | First Niagara Financial Group, Inc. | 1,291 | |||||||||
4 | First Place Financial Corp. | 89 | |||||||||
3 | FirstFed Financial Corp. (a) | 221 | |||||||||
159 | Flagstar Bancorp, Inc. | 2,366 | |||||||||
114 | Fremont General Corp. | 1,853 | |||||||||
2 | ITLA Capital Corp. | 87 | |||||||||
49 | MAF Bancorp, Inc. | 2,177 | |||||||||
2 | NASB Financial, Inc. | 74 | |||||||||
7 | Ocwen Financial Corp. (a) | 105 | |||||||||
11 | Partners Trust Financial Group, Inc. | 130 | |||||||||
24 | Provident Financial Services, Inc. | 435 | |||||||||
7 | TierOne Corp. | 212 | |||||||||
43 | United Community Financial Corp. | 524 | |||||||||
22 | W Holding Co., Inc. | 133 | |||||||||
6 | WSFS Financial Corp. | 375 | |||||||||
17,260 | |||||||||||
Tobacco — 0.1% | |||||||||||
20 | Alliance One International, Inc. (a) | 143 | |||||||||
3 | Universal Corp. | 162 | |||||||||
305 | |||||||||||
Trading Companies & Distributors — 1.4% | |||||||||||
28 | Applied Industrial Technologies, Inc. | 725 | |||||||||
3 | Electro Rent Corp. (a) | 47 | |||||||||
9 | Kaman Corp. | 201 | |||||||||
7 | UAP Holding Corp. | 164 | |||||||||
44 | Watsco, Inc. | 2,079 | |||||||||
17 | WESCO International, Inc. (a) | 984 | |||||||||
18 | Williams Scotsman International, Inc. (a) | 353 | |||||||||
4,553 | |||||||||||
Water Utilities — 0.0% (g) | |||||||||||
— | (h) | American States Water Co. | 16 | ||||||||
— | (h) | California Water Service Group | 16 | ||||||||
32 | |||||||||||
Wireless Telecommunication Services — 0.1% | |||||||||||
5 | Centennial Communications Corp. | 37 | |||||||||
16 | Dobson Communications Corp. (a) | 137 | |||||||||
174 | |||||||||||
Total Common Stocks (Cost $251,638) | 328,116 | ||||||||||
Investment Company — 0.6% | |||||||||||
Equity Fund — 0.6% | |||||||||||
24 | iShares Russell 2000 Value Index Fund (Cost $1,744) | 1,934 | |||||||||
Total Long-Term Investments (Cost $253,382) | 330,050 | ||||||||||
Short-Term Investments — 1.6% | |||||||||||
Investment Company — 1.4% | |||||||||||
4,672 | JPMorgan Prime Money Market Fund (b) (Cost $4,672) | 4,672 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE ($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligation — 0.2% | ||||||||||
650 | U.S. Treasury Notes 4.25%, 11/30/07 (k) (m) (Cost $646) | 646 | ||||||||
Total Short-Term Investments (Cost $5,318) | 5,318 | |||||||||
Total Investments — 99.6% (Cost $258,700) | 335,368 | |||||||||
Other Assets in Excess of Liabilities — 0.4% | 1,292 | |||||||||
NET ASSETS — 100.0% | $ | 336,660 |
AS OF DECEMBER 31, 2006 (Unaudited) (continued)
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 12/31/06 (USD) | | UNREALIZED APPRECIATION (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
6 | Russell 2000 Index | March, 2007 | $ | 2,385 | $ | 5 |
(a) | — | Non-income producing security. |
(b) | — | Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
(g) | — | Amount rounds to less than 0.1%. |
(h) | — | Amount rounds to less than one thousand. |
(k) | — | Security is fully or partially segregated with the broker as collateral for futures or with brokers as initial margin for futures contracts. |
(m) | — | All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements. |
(n) | — | The rate shown is the effective yield at the date of purchase. |
ADR | — | American Depositary Receipt |
ADS | — | American Depositary Shares |
USD | — | United States Dollar |
AS OF DECEMBER 31, 2006 (Unaudited)
| Multi-Manager Small Cap Growth Fund | | Multi-Manager Small Cap Value Fund | |||||||
---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||
Investments in non-affiliates, at value | $ | 180,681 | $ | 330,696 | ||||||
Investments in affiliates, at value | 2,760 | 4,672 | ||||||||
Total investment securities, at value | 183,441 | 335,368 | ||||||||
Cash | 246 | — | ||||||||
Receivables: | ||||||||||
Investment securities sold | 2,161 | 2,791 | ||||||||
Fund shares sold | — | (a) | 297 | |||||||
Interest and dividends | 54 | 454 | ||||||||
Total Assets | 185,902 | 338,910 | ||||||||
LIABILITIES: | ||||||||||
Payables: | ||||||||||
Due to custodian | — | 503 | ||||||||
Investment securities purchased | 658 | 815 | ||||||||
Fund shares redeemed | 1,516 | 525 | ||||||||
Variation margin on futures contracts | — | 18 | ||||||||
Accrued liabilities: | ||||||||||
Investment advisory fees | 137 | 263 | ||||||||
Administration fees | 19 | 47 | ||||||||
Shareholder servicing fees | 42 | 52 | ||||||||
Custodian and accounting fees | 1 | — | ||||||||
Trustees’ and Officers’ fees | 1 | — | ||||||||
Other | 47 | 27 | ||||||||
Total Liabilities | 2,421 | 2,250 | ||||||||
Net Assets | $ | 183,481 | $ | 336,660 | ||||||
NET ASSETS: | ||||||||||
Paid in capital | $ | 135,145 | $ | 244,283 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (2,133 | ) | 263 | |||||||
Accumulated net realized gains (losses) | 14,430 | 15,441 | ||||||||
Net unrealized appreciation (depreciation) | 36,039 | 76,673 | ||||||||
Total Net Assets | $ | 183,481 | $ | 336,660 | ||||||
Outstanding units of beneficial interest (shares) | ||||||||||
(unlimited amount authorized, no par value): | 12,528 | 19,528 | ||||||||
Net asset value, offering and redemption price per share | $ | 14.65 | $ | 17.24 | ||||||
Cost of investments | $ | 147,402 | $ | 258,700 |
(a) | Amount rounds to less than $1,000. |
FOR THE SIX MONTHS ENDED DECEMBER 31, 2006 (Unaudited)
| Multi-Manager Small Cap Growth Fund | | Multi-Manager Small Cap Value Fund | |||||||
---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||
Dividend income | $ | 312 | $ | 2,587 | ||||||
Dividend income from affiliates (a) | 114 | 259 | ||||||||
Interest income | 39 | 14 | ||||||||
Foreign taxes withheld | — | (b) | (1 | ) | ||||||
Total investment income | 465 | 2,859 | ||||||||
EXPENSES: | ||||||||||
Investment advisory fees | 1,089 | 1,655 | ||||||||
Administration fees | 129 | 213 | ||||||||
Shareholder servicing fees | 320 | 465 | ||||||||
Custodian and accounting fees | 60 | 89 | ||||||||
Professional fees | 59 | 74 | ||||||||
Trustees’ and Officers’ fees | 6 | 6 | ||||||||
Printing and mailing costs | 12 | 16 | ||||||||
Registration and filing fees | 12 | 31 | ||||||||
Transfer agent fees | 36 | 41 | ||||||||
Other | 8 | 20 | ||||||||
Total expenses | 1,731 | 2,610 | ||||||||
Less amounts waived | (4 | ) | — | |||||||
Less earnings credits | — | (b) | — | (b) | ||||||
Net expenses | 1,727 | 2,610 | ||||||||
Net investment income (loss) | (1,262 | ) | 249 | |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||
Net realized gain (loss) on transactions from: | ||||||||||
Investments | 23,362 | 35,284 | ||||||||
Futures | — | 372 | ||||||||
Net realized gain (loss) | 23,362 | 35,656 | ||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||
Investments | (10,800 | ) | (9,913 | ) | ||||||
Futures | — | (134 | ) | |||||||
Change in net unrealized appreciation (depreciation) | (10,800 | ) | (10,047 | ) | ||||||
Net realized/unrealized gains (losses) | 12,562 | 25,609 | ||||||||
Change in net assets resulting from operations | $ | 11,300 | $ | 25,858 |
(a) | Includes reimbursement of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
(b) | Amount rounds to less than $1,000. |
FOR THE PERIODS INDICATED
Multi-Manager Small Cap Growth Fund | Multi-Manager Small Cap Value Fund | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 12/31/2006 (Unaudited) | | Period Ended 6/30/2006 (a) | | Year Ended 12/31/2005 | | Six Months Ended 12/31/2006 (Unaudited) | | Period Ended 6/30/2006 (a) | | Year Ended 12/31/2005 | ||||||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (1,262 | ) | $ | (1,592 | ) | $ | (2,500 | ) | $ | 249 | $ | (121 | ) | $ | (281 | ) | ||||||||||
Net realized gain (loss) | 23,362 | 13,102 | 16,471 | 35,656 | 21,216 | 43,234 | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (10,800 | ) | (2,746 | ) | (2,890 | ) | (10,047 | ) | 6,524 | (16,141 | ) | ||||||||||||||||
Change in net assets resulting from operations | 11,300 | 8,764 | 11,081 | 25,858 | 27,619 | 26,812 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||||||||||
From net realized gains | (23,141 | ) | — | (17,009 | ) | (43,110 | ) | — | (45,186 | ) | |||||||||||||||||
CHANGE IN NET ASSETS FROM CAPITAL TRANSACTIONS: | |||||||||||||||||||||||||||
Proceeds from shares issued | 5,297 | 70,959 | 76,176 | 23,098 | 66,638 | 89,972 | |||||||||||||||||||||
Dividends reinvested | 5,522 | — | 6,072 | 12,693 | — | 16,881 | |||||||||||||||||||||
Cost of shares redeemed | (149,903 | ) | (34,538 | ) | (78,243 | ) | (102,375 | ) | (39,636 | ) | (110,906 | ) | |||||||||||||||
Change in net assets from capital transactions | (139,084 | ) | 36,421 | 4,005 | (66,584 | ) | 27,002 | (4,053 | ) | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Change in net assets | (150,925 | ) | 45,185 | (1,923 | ) | (83,836 | ) | 54,621 | (22,427 | ) | |||||||||||||||||
Beginning of period | 334,406 | 289,221 | 291,144 | 420,496 | 365,875 | 388,302 | |||||||||||||||||||||
End of period | $ | 183,481 | $ | 334,406 | $ | 289,221 | $ | 336,660 | 420,496 | $ | 365,875 | ||||||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (2,133 | ) | $ | (871 | ) | $ | 10 | $ | 263 | $ | 14 | $ | 18 | |||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Issued | 360 | 4,462 | 5,141 | 1,303 | 3,675 | 5,028 | |||||||||||||||||||||
Reinvested | 375 | — | 405 | 733 | — | 977 | |||||||||||||||||||||
Redeemed | (9,948 | ) | (2,189 | ) | (5,334 | ) | (5,635 | ) | (2,192 | ) | (6,129 | ) | |||||||||||||||
Change in shares | (9,213 | ) | 2,273 | 212 | (3,599 | ) | 1,483 | (124 | ) |
FOR THE PERIODS INDICATED
Per share operating performance | | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | ||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net realized gains | ||||||||||||||
Multi-Manager Small Cap Growth Fund | |||||||||||||||||||||||
Six Months Ended December 31, 2006 (Unaudited) | $ | 15.38 | $ | (0.13 | ) | $ | 1.17 | $ | 1.04 | $ | (1.77 | ) | |||||||||||
January 1, 2006 to June 30, 2006 (d) | 14.86 | (0.07 | ) | 0.59 | 0.52 | — | |||||||||||||||||
Year ended December 31, 2005 | 15.12 | (0.13 | ) | 0.79 | 0.66 | (0.92 | ) | ||||||||||||||||
Year ended December 31, 2004 | 14.15 | (0.16 | )(f) | 1.33 | 1.17 | (0.20 | ) | ||||||||||||||||
February 28, 2003 (e) to December 31, 2003 | 10.00 | (0.11 | )(f) | 4.86 | 4.75 | (0.60 | ) | ||||||||||||||||
Multi-Manager Small Cap Value Fund | |||||||||||||||||||||||
Six Months Ended December 31, 2006 (Unaudited) | 18.18 | 0.01 | 1.28 | 1.29 | (2.23 | ) | |||||||||||||||||
January 1, 2006 to June 30, 2006 (d) | 16.90 | (0.01 | ) | 1.29 | 1.28 | — | |||||||||||||||||
Year ended December 31, 2005 | 17.84 | (0.01 | ) | 1.26 | 1.25 | (2.19 | ) | ||||||||||||||||
Year ended December 31, 2004 | 15.47 | (0.05 | )(f) | 3.20 | 3.15 | (0.78 | ) | ||||||||||||||||
February 28, 2003 (e) to December 31, 2003 | 10.00 | (0.02 | )(f) | 5.81 | 5.79 | (0.32 | ) |
(a) | Annualized for periods less than one year |
(b) | Not annualized for periods less than one year |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | The Fund changed its fiscal year end from December 31 to June 30. |
(e) | Commencement of operations. |
(f) | Calculated based upon average shares outstanding. |
| | Ratios/Supplemental data | | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | | Total return (b)(c) | | Net assets end of period (000’s) | | Net expenses | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | |||||||||||||||
$14.65 | 6.80 | % | $ | 183,481 | 1.35 | % | (0.99 | )% | 1.35 | % | 51 | % | |||||||||||||||
15.38 | 3.50 | 334,406 | 1.31 | (0.95 | ) | 1.31 | 40 | ||||||||||||||||||||
14.86 | 4.38 | 289,221 | 1.39 | (0.92 | ) | 1.40 | 132 | ||||||||||||||||||||
15.12 | 8.48 | 291,144 | 1.40 | (1.10 | ) | 1.41 | 170 | ||||||||||||||||||||
14.15 | 47.78 | 200,650 | 1.40 | (1.02 | ) | 1.56 | 138 | ||||||||||||||||||||
17.24 | 7.13 | 336,660 | 1.33 | 0.13 | 1.33 | 25 | |||||||||||||||||||||
18.18 | 7.57 | 420,496 | 1.32 | (0.06 | ) | 1.35 | 26 | ||||||||||||||||||||
16.90 | 6.87 | 365,875 | 1.34 | (0.07 | ) | 1.34 | 113 | ||||||||||||||||||||
17.84 | 20.61 | 388,302 | 1.40 | (0.32 | ) | 1.41 | 46 | ||||||||||||||||||||
15.47 | 58.01 | 215,419 | 1.40 | (0.21 | ) | 1.58 | 34 |
AS OF DECEMBER 31, 2006 (Unaudited)
capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently its/their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
AS OF DECEMBER 31, 2006 (Unaudited) (continued)
| Six Months Ended 12/31/06 | |||||
---|---|---|---|---|---|---|
Multi-Manager Small Cap Growth Fund | $ | 4 | ||||
Multi-Manager Small Cap Value Fund | 9 |
Voluntary Waivers | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Investment Advisory | | Total | | ||||||||||
Multi-Manager Small Cap Growth Fund | $ | 4 | $ | 4 |
| Purchases (excluding U.S. Government) | | Sales (excluding U.S. Government) | | Purchases of U.S. Government | | Sales of U.S. Government | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Multi-Manager Small Cap Growth Fund | $ | 126,246 | $ | 285,262 | $ | — | $ | — | ||||||||||
Multi-Manager Small Cap Value Fund | 95,831 | 196,027 | 199 | 200 |
| Aggregate Cost | | Gross Unrealized Appreciation | | Gross Unrealized Depreciation | | Net Unrealized Appreciation (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Multi-Manager Small Cap Growth Fund | $ | 147,402 | $ | 39,950 | $ | 3,911 | $ | 36,039 | ||||||||||
Multi-Manager Small Cap Value Fund | 258,700 | 83,021 | 6,353 | 76,668 |
AS OF DECEMBER 31, 2006 (Unaudited) (continued)
(Unaudited)
Name (Year of Birth); Positions With the Funds | | Principal Occupation(s) During Past 5 Years | | Number of Funds in JPMorgan Funds Complex (1) Overseen by Trustee | | Other Directorships Held Outside JP Morgan Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Non-Interested Trustees | |||||||||||||||
Cheryl Ballenger (1956); Chairperson since 2004 and Trustee since 2002 | Mathematics Teacher, Vernon Hills High School (August 2004–Present); Mathematics Teacher, Round Lake High School (2003–2004) and formerly Executive Vice President and Chief Financial Officer, Galileo International Inc. (travel technology) | 12 | None. | ||||||||||||
Jerry B. Lewis (1939); Trustee since 2004 | Retired; formerly President, Lewis Investments Inc. (registered investment adviser); previously, various managerial and executive positions at Ford Motor Company (Treasurer’s Office, Controller’s Office, Auditing and Corporate Strategy) | 12 | None. | ||||||||||||
John R. Rettberg (1937); Trustee since 2002 | Retired; formerly Corporate Vice President and Treasurer, Northrop Grumman Corporation (defense contractor) | 12 | None. | ||||||||||||
Ken Whipple (1934); Trustee since 2002 | Chairman (1999–Present) and CEO (1999–2004), CMS Energy | 12 | Korn Ferry International (executive recruitment) | ||||||||||||
Interested Trustee | |||||||||||||||
John F. Ruffle (2) (1937); Trustee since 2002 | Retired; formerly Vice Chairman, J.P. Morgan Chase & Co. Inc. and Morgan Guaranty Trust Co. of NY | 12 | Trustee of Johns Hopkins University, Director of Reckson Associates Realty Corp. and American Shared Hospital Services |
(1) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services, or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other investment companies. The JPMorgan Funds Complex for which the Trustees serve currently includes three investment companies. |
(2) | The Board has designated Mr. Ruffle an “interested person” at his request because, until his retirement in 1993, he was an executive officer of the parent company of the Trust’s investment adviser. |
(Unaudited)
Name (Year of Birth), Positions Held with the Funds | | Principal Occupations During Past 5 Years | ||||
---|---|---|---|---|---|---|
George C.W. Gatch (1962), President since 2005 | Managing Director, J.P. Morgan Investment Management Inc.; Director and President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc. since 2005. Mr. Gatch is CEO and President of the JPMorgan Funds. Mr. Gatch has been an employee of JPMorgan since 1986 and Mr. Gatch has held positions such as President and CEO of DKB Morgan, a Japanese mutual fund company, which was a joint venture between J.P. Morgan and Dai-Ichi Kangyo Bank, as well as positions in business management, marketing and sales. | |||||
Robert L. Young (1963), Senior Vice President since 2005* | Director and Vice President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc.; Chief Operating Officer, JPMorgan Funds since 2005 to present and One Group Mutual Funds from 2001 until 2005. Mr. Young is Vice President and Treasurer, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and Vice President and Treasurer, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to 2005. | |||||
Patricia A. Maleski (1960), Vice President and Chief Administrative Officer since 2005 | Managing Director, JPMorgan Funds Management, Inc.; previously, Treasurer, JPMorgan Funds and Head of Funds Administration and Board Liaison. Ms. Maleski was the Vice President of Finance for the Pierpont Group, Inc. from 1996–2001, an independent company owned by Board of Directors/Trustees of the JPMorgan Funds, prior to joining JPMorgan Chase & Co. in 2001. | |||||
Stephanie J. Dorsey (1969), Treasurer since 2005* | Vice President, JPMorgan Funds Management, Inc.; Director of Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), from 2004 to 2005; Ms. Dorsey worked for JP Morgan Chase & Co., (formerly Bank One Corporation) from 2003 to 2004; prior to joining Bank One Corporation, she was a Senior Manager specializing in Financial Services audits at PricewaterhouseCoopers LLP from 1992 through 2002. | |||||
Stephen M. Ungerman (1953), Chief Compliance Officer since 2005 | Senior Vice President, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration-Pooled Vehicles from 2000 to 2004. Mr. Ungerman held a number of positions in Prudential Financial’s asset management business prior to 2000. | |||||
Paul L. Gulinello (1950), AML Compliance Officer since 2005 | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for personal trading and compliance testing since 2004; Treasury Services Operating Risk Management and Compliance Executive supporting all JPMorgan Treasury Services business units from July 2000 to 2004. | |||||
Stephen M. Benham (1959), Secretary since 2005 | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2004; Vice President (Legal Advisory) of Merrill Lynch Investment Managers, L.P. from 2000 to 2004. | |||||
Elizabeth A. Davin (1964), Assistant Secretary since 2005* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Senior Counsel, JPMorgan Chase & Co. (formerly Bank One Corporation) from 2004–2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |||||
Jessica K. Ditullio (1962), Assistant Secretary since 2005* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Ms. Ditullio has served as an attorney with various titles for JP Morgan Chase & Co. (formerly Bank One Corporation) since 1990. | |||||
Nancy E. Fields (1949), Assistant Secretary since 2005* | Vice President, JPMorgan Funds Management, Inc. and JPMorgan Distribution Services, Inc. from 1999 to 2005; Director, Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and Senior Project Manager, Mutual Funds, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) |
Name (Year of Birth), Positions Held with the Funds | | Principal Occupations During Past 5 Years | ||||
---|---|---|---|---|---|---|
Michael C. Raczynski (1975), Assistant Secretary since 2006 | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2006; Associate, Stroock & Stroock & Lavan LLP from 2001 to 2006. | |||||
Laura S. Melman (1966) Assistant Treasurer since 2006 | Vice President, JPMorgan Funds Management, Inc. since August, 2006, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 to 2006. | |||||
Arthur A. Jensen (1966), Assistant Treasurer since 2005* | Vice President, JPMorgan Funds Management, Inc. since April 2005; formerly, Vice President of Financial Services of BISYS Fund Services, Inc. from 2001 until 2005; Mr. Jensen was Section Manager at Northern Trust Company and Accounting Supervisor at Allstate Insurance Company prior to 2001. | |||||
Jeffrey D. House (1972) Assistant Treasurer since 2006* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services at BISYS Fund Services, Inc. from 1995 to 2006. |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43271. |
** | The contact address for the officer is 73 Tremont Street, Floor 1, Boston MA 02108. |
(Unaudited)
December 31, 2006
| Beginning Account Value, July 1, 2006 | | Ending Account Value, December 31, 2006 | | Expenses Paid During July 1 to December 31, 2006* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Multi-Manager Small Cap Growth Fund | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,068.00 | $ | 7.04 | 1.35 | % | ||||||||||
Hypothetical | 1,000.00 | 1,018.40 | 6.87 | 1.35 | ||||||||||||||
Multi-Manager Small Cap Value Fund | ||||||||||||||||||
Actual | 1,000.00 | 1,071.30 | 6.94 | 1.33 | ||||||||||||||
Hypothetical | 1,000.00 | 1,018.50 | 6.77 | 1.33 |
* | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period) |
(Unaudited)
1. | Comparative performance information; |
2. | The nature, extent and quality of investment and administrative services rendered by the Advisor and its affiliates and, where applicable, the Sub-Advisors; |
3. | Payments received by the Advisor and its affiliates in respect of each Fund and all Funds as a group; |
4. | The costs borne by, and profitability of, the Advisor and its affiliates in providing services to each Fund and to all Funds as a group, and financial information provided by the Sub-Advisors; |
5. | Comparative fee and expense data for each Fund and other investment companies with similar investment objectives; |
6. | Extent to which the advisor may realize economies of scale or other efficiencies in managing or supporting the Fund; |
7. | Fall-out benefits to the Advisor and its affiliates and to the Sub-Advisors from their relationships with the Funds; |
8. | Fees charged by the Advisor to other clients with similar investment objectives; |
9. | The professional experience and qualifications of each Fund’s portfolio management teams and other senior personnel of the Advisors; and |
10. | The terms of the Advisory Agreements. |
by each Advisor
(Unaudited) (continued)
into account information furnished throughout the year at Trustee Meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees took into account shareholder expectations that the Advisor would be managing the Fund. The Trustees also considered the management and oversight services provided by the Advisor, which they viewed as being of very high quality; the significant investments management had made in the asset management business during 2006; the benefits to the Fund of being part of the larger JPMorgan family of funds; the integrity and reputation of JPMorgan and the asset management organization; the financial stability of the JPMorgan organization and the adequacy of the resources of the asset management organization; and the long-term strategic issues for the Fund. The Trustees also considered that the Advisor continues to recommend the retention of each Sub-Advisor.
(Unaudited)
(Unaudited)
• | The Board was presented with information demonstrating that the terms of the Subadvisory Agreement with BlackRock Advisors, Inc. are fair to, and in the best interests of, the Multi-Manager Small Cap Growth Fund and its shareholders. |
• | In considering the Subadvisory Agreement with BlackRock Advisors, Inc., the Trustees had before them information to evaluate the experience of BlackRock’s key personnel in portfolio management, the quality of services BlackRock is expected to provide to the Multi-Manager Small Cap Growth Fund, and the compensation proposed to be paid to BlackRock. The Trustees gave due consideration to all factors deemed to be relevant to the Multi-Manager Small Cap Growth Fund, including, but not limited to the following: |
• | The Trustees reviewed the Subadvisory Agreement, pursuant to which BlackRock will manage the Multi-Manager Small Cap Growth Fund’s assets allocated to it (the “Subadvisor Assets”) subject to the general supervision of the Trustees, in accordance with the Multi-Manager Small Cap Growth Fund’s investment objective, policies, and restrictions, in compliance with requirements applicable to registered investment companies, and such other limitations as JPMIM may institute. BlackRock will make investment decisions for its Subadvisor Assets, place purchase and sale orders for portfolio transactions for its Subadvisor Assets, and employ professional portfolio managers and securities analysts to provide research services to its Subadvisor Assets. BlackRock will conduct a continual program of investment, evaluation and, if appropriate, sale and reinvestment of its Subadvisor Assets. In addition, BlackRock will (i) regularly report to the Trustees and JPMIM with respect to its implementation of the investment program, compliance matters and other topics requested by the Trustees or JPMIM, (ii) consult with the Multi-Manager Small Cap Growth Fund’s pricing agent regarding the valuation of securities for which market quotations are not readily available, and (iii) provide information about other accounts managed by BlackRock that have investment objectives, policies, and strategies substantially similar to those employed by BlackRock for the Multi-Manager Small Cap Growth Fund. The Trustees also considered the quality of the investment research capabilities of BlackRock and the other resources BlackRock has dedicated to performing services for the Multi-Manager Small Cap Growth Fund. |
• | The Trustees examined BlackRock’s historical performance and risk characteristics in the small-cap growth category against its benchmark index over the one-quarter, one-year and since-inception periods ended December 31, 2004. |
• | The Trustees considered the investment subadvisory fee rate to be paid by JPMIM to BlackRock against the subadvisory fees charged by other subadvisors with investment objectives similar to those of BlackRock. |
• | The Board determined that (i) the subadvisory services offered by BlackRock could reasonably be expected to |
(Unaudited) (continued)
complement the services provided by the Multi-Manager Small Cap Growth Fund’s other subadvisors in a manner that would be consistent with and further its “manager of managers” strategy, (ii) the investment performance history of BlackRock’s portfolio management team was favorable on an absolute and relative basis, (iii) BlackRock has experience in managing investment company assets and that BlackRock’s portfolio management team has demonstrated its ability to adhere to compliance procedures, and (iv) the fees for the advisory services to be rendered by BlackRock are fair and reasonable in light of the usual and customary charges made by others offering the same or similar services. |
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© JPMorgan Chase & Co., 2007 All rights reserved. December 2006. | SAN-MULTI-1206 |
ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
Not applicable to a semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or |
(ii) Does not have an audit committee financial expert serving on its audit committee.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable to a semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional
services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Not applicable to a semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable to a semi-annual report.
ITEM 6. SCHEDULE OF INVESTMENTS
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any "affiliated purchaser," as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant's equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
There were no changes in the Registrant's internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Not applicable.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
J.P. Morgan Fleming Series Trust
By: | /s/_____________________________ |
George C.W. Gatch
President and Principal Executive Officer
March 9, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/___________________________ |
George C.W. Gatch
President and Principal Executive Officer
March 9, 2007
By: | /s/____________________________ |
Stephanie J. Dorsey
Treasurer and Principal Financial Officer
March 9, 2007