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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 811-3790
The Quantitative Group of Funds
(Exact name of registrant as specified in charter)
55 Old Bedford Road, Lincoln, MA 01773
(Address of principal executive offices)
Sandra I. Madden
Quantitative Investment Advisors, Inc.
55 Old Bedford Road, Lincoln, MA 01773
(Name and address of agent for service)
Registrant’s telephone number, including area code: (781) 676-5900
Date of fiscal year end: | March 31 |
Date of reporting period: | April 1, 2009 through March 31, 2010 |
ITEM 1. REPORTS TO SHAREOWNERS.
QUANT FUNDS
Quant Small Cap Fund
Quant Long/Short Fund
Quant Emerging Markets Fund
Quant Foreign Value Fund
Quant Foreign Value Small Cap Fund
ANNUAL REPORT
March 31, 2010
TABLE OF CONTENTS
President’s Letter .. 1
Fund Expenses .. 2
Portfolio Manager Commentaries .. 4
Quant Small Cap Fund .. 4
Quant Long/Short Fund .. 6
Quant Emerging Markets Fund .. 8
Quant Foreign Value Fund .. 10
Quant Foreign Value Small Cap Fund .. 12
Schedules of Investments .. 14
Quant Small Cap Fund .. 14
Quant Long/Short Fund .. 19
Quant Emerging Markets Fund .. 26
Quant Foreign Value Fund .. 34
Quant Foreign Value Small Cap Fund .. 38
Statements of Assets and Liabilities .. 42
Statements of Operations .. 46
Statements of Changes in Net Assets .. 48
Statement of Cash Flows for Quant Long/Short Fund .. 53
Financial Highlights .. 54
Notes to Financial Statements .. 64
Information for Shareholders .. 79
Repot of Independent Registered Public Accounting Firm .. 80
Privacy Policy .. 81
Trustees and Officers .. 84
Service Providers .. back cover
This report must be preceded or accompanied by a current Quant Funds prospectus for individuals who are not current shareholders of the Funds. You should read the prospectus carefully before investing because it contains more complete information on the Quant Funds’ investment objectives, risks, charges and expenses. Please consider this information carefully. For a prospectus and other information, visit www.quantfunds.com or call (800) 326-2151.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the Quant Funds nor U.S. Boston Capital Corporation is a bank.
Dear Fellow Shareholder,
We are pleased to provide you with the Quantitative Group of Funds’ Annual Report for the twelve months ended March 31, 2010 to update you on recent market conditions and the performance of the Quant Funds.
For current performance information, please visit our website at www.quantfunds.com. We thank you for your continued confidence in the Quant Funds. Please feel free to e-mail us at feedback@quantfunds.com or call us at 800-326-2151 with any questions or for assistance on your account.
Sincerely,
Willard Umphrey
President and Chairman
Any statements in this report regarding market or economic trends or the factors influencing the historical or future performance of the Quant Funds are the views of Fund management as of the date of this report. These views are subject to change at any time based upon market and other conditions, and Fund management disclaims any responsibility to update such views. These views may not be relied upon as investment advice or as an indication of trading intent on behalf of any Quant Fund. Any references to specific securities are not recommendations of such securities and may not be representative of any Quant Fund’s current or future investments.
Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.
1
FUND EXPENSES
We believe it’s important for Fund shareholders to have a clear understanding of fund expenses and the impact expenses have on investment returns. The following is important information about each Fund’s Expense Example, which appears below.
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution (12b-1) fees (on Ordinary Shares) and other Fund expenses. The example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on $1,000 invested at the beginning of the period and held for the entire period from October 1, 2009 to March 31, 2010.
Actual Expenses and Returns
The example provides information about actual account returns and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000, then multiply the result by the number under the heading “Expenses Paid During the Period.”
Hypothetical Example for Comparison Purposes
The example shows you hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return.
The hypothetical account values and hypothetical expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing expenses of investing in the Fund with the ongoing expenses of other funds. To do so, compare the Fund’s 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs. They do not reflect any transactional costs. Thus, the “hypothetical” lines in the table are useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. See the Funds’ prospectus for a complete description of these transactional costs.
2
Expense Example for the 6 months ended March 31, 2010
Quant Fund | Share Class | Total Return | Beginning | Ending | Annualized | Expenses Paid* |
Small Cap | Ordinary | Actual | $ 1,000.00 | $ 1,166.40 | 1.59% | $ 8.56 |
|
| Hypothetical | $ 1,000.00 | $ 1,017.03 | 1.59% | $ 7.97 |
| Institutional | Actual | $ 1,000.00 | $ 1,169.30 | 1.21% | $ 6.56 |
|
| Hypothetical | $ 1,000.00 | $ 1,018.88 | 1.21% | $ 6.10 |
Long/Short | Ordinary | Actual | $ 1,000.00 | $ 1,100.00 | 1.71% | $ 8.97 |
|
| Hypothetical | $ 1,000.00 | $ 1,016.39 | 1.71% | $ 8.62 |
| Institutional | Actual | $ 1,000.00 | $ 1,106.10 | 0.75% | $ 3.94 |
|
| Hypothetical | $ 1,000.00 | $ 1,021.19 | 0.75% | $ 3.78 |
Emerging Markets | Ordinary | Actual | $ 1,000.00 | $ 1,123.10 | 1.71% | $ 9.05 |
|
| Hypothetical | $ 1,000.00 | $ 1,016.41 | 1.71% | $ 8.60 |
| Institutional | Actual | $ 1,000.00 | $ 1,125.10 | 1.43% | $ 7.56 |
|
| Hypothetical | $ 1,000.00 | $ 1,017.82 | 1.43% | $ 7.18 |
Foreign Value | Ordinary | Actual | $ 1,000.00 | $ 1,061.00 | 1.57% | $ 8.09 |
|
| Hypothetical | $ 1,000.00 | $ 1,017.08 | 1.57% | $ 7.92 |
| Institutional | Actual | $ 1,000.00 | $ 1,062.10 | 1.31% | $ 6.74 |
|
| Hypothetical | $ 1,000.00 | $ 1,018.39 | 1.31% | $ 6.60 |
Foreign Value | Ordinary | Actual | $ 1,000.00 | $ 1,110.30 | 1.62% | $ 7.16 |
Small Cap |
| Hypothetical | $ 1,000.00 | $ 1,014.18 | 1.62% | $ 6.83 |
| Institutional | Actual | $ 1,000.00 | $ 1,112.00 | 1.33% | $ 5.89 |
|
| Hypothetical | $ 1,000.00 | $ 1,015.38 | 1.33% | $ 5.62 |
* | Expenses paid are equal to the Fund’s annualized expense ratios, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
3
QUANT SMALL CAP FUND
INVESTMENT PROFILE
All Data as of March 31, 2010
Investment Commentary
For the 12-month period ended March 31, 2010, the Quant Small Cap Fund’s Ordinary Shares (the “Fund”) underperformed its benchmark, the Russell 2000 Index (the “Index”). The Fund achieved a return of 61.27% at net asset value compared to 62.76% for the Index.
Fund Information |
|
| |
Net Assets Under Management | $106.6 Million | ||
Number of Companies | 80 | ||
Price to Book Ratio | 3.0 | ||
Price to Earnings Ratio | 19.1 | ||
| Ordinary | Institutional | |
Total Expense Ratio (Net) | 1.65% | 1.41% | |
Ticker Symbol | USBNX | QBNAX | |
Market Conditions and Investment Strategies
After a harrowing 2008 and early 2009, equity markets over the past year have rebounded strongly from the bear market bottom reached in March of last year. The markets have produced solid gains despite the threat of a stronger dollar, rising interest rates and the as yet unanswered question as to whether the U.S. economy has indeed emerged from the worst recession in a generation.
In assessing our relative return for the year ended March 31, 2010, we find that our best performance was in the Financial sector where we gained approximately 7.8% versus the Index as the return of our holdings was double that of the Index. Our stock selection was primarily responsible for our strong rebound in performance in Real Estate Investment Trust (REIT) holdings, which had been hurt when the market collapsed. Hersha Hospitality Trust and Entertainment Properties Trust gained over 170% and 160% respectively over the past twelve months, followed by Ventas Inc. which rose 110% for the year. In Health Care, stock selection also helped our performance, beating the Index return of the sector by over 1.7%. This performance was lead by a portfolio holding in inVentiv Health Inc. which gained over 175% for the year. We also outperformed the benchmark in Utilities by over 1.3% as a result of our being underweight the worst performing sector.
Conversely, we underperformed the Index by nearly 3% in both the Industrials and Materials sectors due to our stock selections relative to the Index. In Industrials, FTI Consulting Inc. turned in a disappointing return, falling over 25% for the year and ESCO Technologies Inc. lost over 15%. In Materials, the performance of our holdings, while positive, just could not match those of the Index. We also underperformed in Consumer Staples as our stock selection and overweight cost over 2% of relative return. Portfolio holding Dean Foods Co. was the main detractor falling by over 17% as investors sold defensive stocks. We also gave up about 1.3% in the Consumer Discretionary sector as our retailers failed to keep pace with the sector’s resurgence.
Portfolio Changes
The Consumer Discretionary, Financials, Information Technology, Materials, and Energy sectors all increased over the past twelve months. Our exposure to the Industrials, Health Care, Telecommunications Services and Consumer Staples and Utilities sectors all declined.
4
A Look Ahead
Looking ahead, earnings growth and conservative spending plans by corporations should produce healthy levels of free cash flow that will allow for increased stock buybacks and higher dividends. We continue to find many attractive investing opportunities but remain committed to our philosophy of investing in high quality companies with unique positions of market leadership and competitive positions that can be sustained. We look for companies with strong and predictable earnings growth, positive earnings revisions and valuations that are not excessive.
The Fund is co-managed by Robert von Pentz, CFA, and Rhys Williams, CFA of Columbia Partners, L.L.C. Investment Management.
5
QUANT SMALL CAP FUND
Top 10 Holdings
Percentage of total net assets | 38.6% |
Compass Minerals International, Inc. | 4.8% |
Core Laboratories N.V. | 4.8% |
Regal Entertainment Group | 4.8% |
Entertainment Properties Trust | 4.7% |
SBA Communications Corporation | 4.5% |
GUESS?, Inc. | 4.0% |
Ventas, Inc. | 3.2% |
Alliance Data Systems Corporation | 2.8% |
NICE-Systems, Ltd. | 2.6% |
Hersha Hospitality Trust | 2.4% |
There is no guarantee that such securities will continue to be viewed favorably or held in the Fund’s portfolio.
Sector Allocation
Percentage of total net assets | 100.0% |
Information Technology | 17.1% |
Financials | 17.0% |
Consumer Discretionary | 16.5% |
Industrials | 11.5% |
Materials | 8.5% |
Health Care | 7.9% |
Energy | 6.7% |
Telecommunication Services | 4.9% |
Consumer Staples | 4.6% |
Cash and Other Assets (Net) | 5.3% |
Value of a $10,000 Investment
Quant Small Cap (QSC) Ordinary Shares vs.
Russell 2000 Index
6
Average Annual Total Returns
| 1Q 2010 | Six | One Year | Five Year | Ten Year | Since | Inception |
Ordinary Shares | 10.40% | 16.64% | 61.27% | 0.18% | 0.93% | 9.88% | 08/03/92 |
Institutional Shares1 | 10.54% | 16.93% | 61.83% | 0.54% | 1.37% | 9.04% | 01/06/93 |
Russell 20002 | 8.85% | 13.07% | 62.76% | 3.36% | 3.68% | 9.02% |
|
1 Institutional Shares may only be purchased by certain categories of investors and are not subject to sales charges or distribution fees.
2 The Russell 2000 Index is a market capitalization-weighted index of 2,000 small company stocks. It is widely recognized as representative of the general market for small company stocks. Index returns assume the reinvestment of dividends and, unlike Fund returns, do no reflect any fees or expenses. You cannot invest directly in an Index. The beginning date of the Index is 09/30/92.
Small company stocks may trade less frequently and in a limited volume, and their prices may fluctuate more than stocks of other companies. Small company stocks may therefore be more vulnerable to adverse developments than those of larger companies. The Fund may invest in issuers in the real estate industry. Changes in real estate values or economic downturns can have a significant negative effect on these issuers.
Performance data quoted represents past performance and is no guarantee of future results and the information above does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Current Fund performance may be lower or higher than performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. For the most recent month-end performance, visit the Fund’s website at www.quantfunds.com. Before investing, carefully consider the Fund’s investment objectives, risks, charges and expenses. For this and other information obtain the Fund’s prospectus by calling (800) 326-2151 or visiting www.quantfunds.com. Please read the prospectus carefully before you invest.
7
QUANT LONG/SHORT FUND
INVESTMENT PROFILE
All Data as of March 31, 2010
Investment Commentary
For the 12-month period ended March 31, 2010, the Quant Long/Short Fund’s Ordinary Shares (the “Fund”) underperformed its benchmark, the S&P 500 Index (the “Index”). The Fund achieved a return of 38.30% at net asset value compared to 49.77% for the Index.
Fund Information |
| ||
Net Assets Under Management | $54.8 Million |
| |
Number of Companies | 126 |
| |
Price to Book Ratio | 2.1 |
| |
Price to Earnings Ratio | 14.8 |
| |
| Ordinary | Institutional |
|
Total Expense Ratio (Net) | 2.10% | 1.81% |
|
Ticker Symbol | USBOX | QGIAX |
|
Market Conditions and Investment Strategies
The Quant Long/Short Fund seeks to add value through both long and short positions, maintaining approximately 100% net equity exposure and keeping size, style, sector and beta characteristics similar to the benchmark. The Fund employs a disciplined, yet adaptive quantitative process that analyzes over 70 characteristics that impact equity prices. The Sub-advisor’s approach is systematic in the way the importance of these characteristics are measured, but is also able to recognize and adapt to changes based on both the business cycle and economic conditions. The strategy primarily adds value by buying stocks with the most attractive factor profiles and shorting stocks with the least attractive factor profiles, within a set of risk constraints. Performance is therefore driven purely by the performance of the valuation model and is only minimally affected by market-wide factors.
Valuation factors posted mixed returns, with the exception of sales-oriented factors, which consistently posted positive returns. Positive exposures in the Fund to factors such as Sales to Price ratio, Relative Earnings Yield and Dividend Yield contributed positively to the Fund while positive exposures to the Historical Earnings to Price ratios detracted from performance as investors penalized this measure.
Price Momentum continued to perform uncharacteristically and posted a negative payoff during the overall period, allowing for our slight negative exposure to add value. Results from, as well as the Fund’s exposure to, the factor did change as the year progressed, however, starting the first half of the annual period posting negative results, and then reversing in the first three months of 2010 to having both positive results and a positive exposure.
The flight to risk that began in early March of 2009, persisted through March of the following year with a few months being the exception. Factors such as Leverage and Cash Flow per Share Volatility experienced negative payoffs during the first half of the year but both reversed in the second half of the year, posting positive payoffs.
8
Portfolio Changes
During the year ended March 31, 2010, the Fund systematically decreased exposure to securities with above average Quality and Valuation characteristics while increasing exposure to securities with above average sales and sales consistency. The Fund also increased exposure to companies with higher than average Price Momentum and Dividend Yield.
A Look Ahead
Looking ahead, we expect the model to increase exposure to companies exhibiting above average Sales to Price and Cash Flow to Price ratios, as well as Asset Utilization. Exposures to companies with high operating Risk, as measured by Sales per Share Volatility and Analyst Dispersion, should decrease, as news that the recession end is near has started to lead investors to favor companies with consistent, strong sales results and deviate away from companies with riskier and volatile characteristics.
The Fund’s portfolio is managed by a team of portfolio managers at Analytic Investors, LLC. The lead portfolio managers are Harindra de Silva, Ph.D.,CFA, Dennis Bein, CFA, and Steve Sapra, CFA.
9
QUANT LONG/SHORT FUND
Top 10 Long Holdings
Percentage of total net assets | 49.1% |
Microsoft Corporation | 6.2% |
International Business Machines | 5.9% |
Chevron Corporation | 5.7% |
Amgen Inc. | 5.0% |
ConocoPhillips | 5.0% |
Cardinal Health, Inc. | 4.5% |
McKesson Corporation | 4.4% |
SYSCO Corporation | 4.4% |
American Express Company | 4.1% |
Ford Motor Company | 3.9% |
There is no guarantee that such securities will continue to be viewed favorably or held in the Fund’s portfolio.
Sector Allocation
Percentage of total net assets | 100.0% |
Information Technology | 25.5% |
Health Care | 23.1% |
Financials | 20.3% |
Energy | 14.6% |
Consumer Discretionary | 14.0% |
Consumer Staples | 11.5% |
Industrials | 8.2% |
Materials | 4.5% |
Telecommunication Services | 3.2% |
Utilities | 3.2% |
Cash and Other Assets (Net) | 0.5% |
Short Positions | (28.6)% |
Top 10 Short Holdings
Percentage of total net assets | (19.7)% |
Liberty Media Capital | (2.8)% |
Vertex Pharmaceuticals Incorporated | (2.7)% |
King Pharmaceuticals, Inc. | (2.3)% |
Ciena Corporation | (2.3)% |
Nuance Communications, Inc. | (2.2)% |
Hologic, Inc. | (2.0)% |
Rambus Inc. | (1.7)% |
ProLogis | (1.7)% |
Dendreon Corporation | (1.2)% |
First Horizon National Corporation | (0.8)% |
10
There is no guarantee that such securities will continue to be viewed favorably or held in the Fund’s portfolio.
Value of a $10,000 Investment
Quant Long/Short (QLS) Ordinary Shares vs. S&P 500 Index
Average Annual Total Returns
| 1Q 2010 | Six | One Year | Five Year | Ten Year | Since | Inception |
Ordinary Shares | 2.80% | 10.00% | 38.30% | (1.65)% | (5.46)% | 8.47% | 05/06/85 |
Institutional Shares1 | 3.15% | 10.61% | 38.71% | (1.52)% | (5.17)% | 6.57% | 03/25/91 |
S&P 5002 | 5.39% | 11.74% | 49.77% | 1.92% | (0.65)% | 10.20% |
|
1 Institutional Shares may only be purchased by certain categories of investors and are not subject to sales charges or distribution fees.
2 The S&P 500 Index is an unmanaged index of stocks chosen to their size industry characteristics. It is widely recognized as representative of stocks in the United States. Index returns assume the reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. You cannot invest directly in the Index. The beginning date for the Index is 06/30/85.
Short selling involves certain risks including the possibility that short positions do not limit the Fund’s stock market exposure as expected, that the future value of a short position increases above its recorded value potentially resulting in an unlimited loss and that the lender of a security sold short could terminate the loan at a price or time that is disadvantageous to the Fund.
Performance data quoted represents past performance and is no guarantee of future results and the information above does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Current Fund performance may be lower or higher than performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. For the most recent month-end performance, visit the Fund’s website at www.quantfunds.com. Before investing, carefully consider the Fund’s investment objectives, risks, charges and expenses. For this and other information obtain the Fund’s prospectus by calling (800) 326-2151 or visiting www.quantfunds.com. Please read the prospectus carefully before you invest.
11
QUANT EMERGING MARKETS FUND
INVESTMENT PROFILE
All Data as of March 31, 2010
Investment Commentary
For the 12-month period ended March 31, 2010, the Quant Emerging Markets Fund’s Ordinary Shares (the “Fund”) underperformed its benchmark, MSCI Emerging Markets (the “Index”). The Fund achieved a return of 76.56% at net asset value compared to 81.55% for the Index.
Fund Information |
| |
Net Assets Under Management | $232.0 Million | |
Number of Companies | 223 | |
Price to Book Ratio | 2.0 | |
Price to Earnings Ratio | 13.4 | |
| Ordinary | Institutional |
Total Expense Ratio (Net) | 1.74% | 1.50% |
Ticker Symbol | QFFOX | QEMAX |
Market Conditions and Investment Strategies
On a sector basis, portfolio underperformance was primarily due to security selection in Industrials and Telecommunication Services. Sectors that contributed to relative portfolio value were Materials and Consumer Discretionary. On a country basis, positions held in South Korea and Brazil were top detractors. The underweight position of India during the rally in 2009 also largely detracted from relative portfolio performance. Positions held in China and South Africa contributed.
For the 12-month period ending in the first quarter 2010, Dynamic Equity model performance was somewhat mixed across the MSCI Emerging Markets Index with the first alpha decile outperforming and deciles two and three underperforming. Valuation factors, including Book-to-Price and Discounted Cash Flow performed very well during the year. The performance of Quality and Momentum factors was mainly negative as a risk appetite for investors increased in the market throughout the middle of 2009. Poorly ranked Quality and Momentum stocks that we do not typically hold in the portfolio rallied. During the first quarter 2010, however, the performance of Quality factors was somewhat mixed with Net Operating Asset Growth working considerably well and Operating Efficiency working poorly. Momentum factors were generally not favored by the marketplace and continued to show negative performance.
Portfolio Changes
There have been no significant changes in the Dynamic Emerging Markets Equity strategy in the past year.
The Dynamic Equity investment process does not have a bias toward or against any of the sectors or countries in the indices. We utilize a bottom-up process to select stocks based on a combination of their contribution to the portfolio’s predicted return and to risk exposures. Sector and country allocations are residuals of stock selection.
Therefore, there were no under/overweight sector or country shifts in the portfolio that constitute material changes.
12
A Look Ahead
Emerging Markets rallied modestly in the first quarter of 2010, recovering in the final month from concerns about a slowing Chinese economy and the potential impact of a Greek sovereign credit default. The emerging markets, as represented by the MSCI Emerging Markets Index, have through the end of the first quarter 2010 completed five successive quarters of positive returns. Investors continue to return to the emerging markets asset class with large flows totaling over ten billion dollars through the first week in April, according to EPFR Global. This significant flow continued a trend that began in early 2009 as investors began seeking the risk and returns that the asset class offered. Much of the flow for the first quarter occurred in the final four weeks as the situation with regard to Greece became clearer.
Most investors continue a positive outlook for the emerging markets, with a number of investors expecting above trend growth and below trend inflation. We believe this scenario is likely if continued easy monetary policy is supported from policymakers around the globe. We expect that their focus will continue to be on stimulating growth. Even in economies that are showing some signs of rising inflation, the policymakers seem to be willing to accept higher inflation in order to secure continued growth. This clearly will not last, but in the short term we are looking at a good environment for the emerging markets.
The Fund’s portfolio is managed by a team of portfolio managers at PanAgora Asset Management, Inc.
13
QUANT EMERGING MARKETS FUND
Top 10 Holdings
Percentage of total net assets | 19.6% |
Petroleo Brasileiro SA | 4.4% |
Gazprom | 2.3% |
Taiwan Semiconductor Manufacturing | 2.3% |
China Construction Bank Corporation | 1.9% |
CNOOC Limited | 1.7% |
LUKoil | 1.6% |
Bank of China Ltd. | 1.6% |
Samsung Electronics Co., Ltd. | 1.5% |
LG Chem Ltd. | 1.2% |
Banco Bradesco SA | 1.1% |
There is no guarantee that such securities will continue to be viewed favorably or held in the Fund’s portfolio.
Top 10 Country Allocations
Percentage of total net assets | 89.6% |
China | 17.2% |
Brazil | 16.0% |
South Korea | 12.1% |
Taiwan | 11.8% |
Russia | 7.7% |
India | 7.5% |
South Africa | 6.0% |
Mexico | 4.5% |
Indonesia | 3.6% |
Thailand | 3.2% |
Sector Allocation
Percentage of total net assets | 100.0% |
Financials | 23.7% |
Materials | 15.7% |
Information Technology | 15.1% |
Energy | 14.3% |
Consumer Discretionary | 7.0% |
Industrials | 6.9% |
Telecommunication Services | 5.6% |
Consumer Staples | 4.6% |
Utilities | 3.1% |
Health Care | 2.5% |
Exchange-Traded Funds | 1.4% |
Cash and Other Assets (Net) | 0.1% |
14
Value of a $10,000 Investment
Quant Emerging Markets (QEM) Ordinary Shares vs. MSCI EM Index
Average Annual Total Returns
| 1Q 2010 | Six | One Year | Five Year | Ten Year | Since | Inception |
Ordinary Shares | 2.56% | 12.31% | 76.56% | 11.89% | 10.83% | 6.74% | 09/30/94 |
Institutional Shares1 | 2.63% | 12.51% | 77.02% | 12.21% | 11.26% | 8.98% | 04/02/96 |
MSCI EM2 | 2.45% | 11.23% | 81.55% | 16.00% | 10.11% | 6.19% |
|
1 Institutional Shares may only be purchased by certain categories of investors and are not subject to sales charges or distribution fees.
2 The Morgan Stanley Capital International Emerging Markets (“MSCI EM”) Index is an unmanaged index comprised of stocks located in countries other than the United States. It is widely recognized as representative of the general market for emerging markets. Index returns assume the reinvestment of dividends and, unlike Fund returns, do not reflect fees or expenses. You cannot invest directly in an Index. The beginning date for the Index is 06/30/85.
Investing in foreign markets, particularly emerging markets, can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market or economic developments and can perform differently than the U.S. market.
Performance data quoted represents past performance and is no guarantee of future results and the information above does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Current Fund performance may be lower or higher than performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. For the most recent month-end performance, visit the Fund’s website at www.quantfunds.com. Before investing, carefully consider the Fund’s investment objectives, risks, charges and expenses. For this and other information obtain the Fund’s prospectus by calling (800) 326-2151 or visiting www.quantfunds.com. Please read the prospectus carefully before you invest.
15
QUANT FOREIGN VALUE FUND
INVESTMENT PROFILE
All Data as of March 31, 2010
Investment Commentary
For the 12-month period ended March 31, 2010, the Quant Foreign Value Fund’s Ordinary Shares (the “Fund”) outperformed its benchmark, the MSCI EAFE Index (the “Index”). The Fund achieved a return of 84.05% at net asset value compared to 55.20% for the Index.
Fund Information |
| |
Net Assets Under Management | $437.7 Million | |
Number of Companies | 48 | |
Price to Book Ratio | 1.9 | |
Price to Earnings Ratio | 83.4 | |
| Ordinary | Institutional |
Total Expense Ratio (Net) | 1.62% | 1.37% |
Ticker Symbol | QFVOX | QFVIX |
Market Conditions and Investment Strategies
At nearly 29 percentage points above the benchmark, the Fund’s annual success was largely attributed to industrial, material, consumer discretionary and energy stocks; all sectors posted positive absolute returns. A majority of holdings rebounded dramatically during the year, with approximately 40% of portfolio companies’ stock prices doubling in value.
Stimulus packages proved a boon for industrials involved in infrastructure, such as YIT OYJ, Kone OYJ and Trevi Finanziaria. In addition, service-based industrial businesses proved resilient, retaining stable margins and sustainable free cash flows.
In the materials sector, Irish cardboard box producer Smurfit Kappa Group remained one of the Fund’s most undervalued companies. Slow economic improvement highlighted Smurfit’s business model as having less downside risk and more upside potential. Chemical companies, such as BASF SE and Methanex Corp., proved to be strong performers as demand renewed due to large scale production cutbacks in the industry. Within consumer discretionary, U.K. homebuilders proved nimble in production schedules and reduced supply, which resulted in firmer U.K. housing prices. Autoliv, the Swedish developer of automotive safety systems, and Duni AB, the provider of tabletop goods to restaurants, contributed measurably.
While posting positive absolute returns, the Fund’s holdings in financials, telecom and utilities were below the benchmark. Defensive holdings proved to be low risk stocks that buffered market volatility in 2008. In 2009, however, investors began selling these off to take more risk in other sectors. Consequently, the Fund’s holdings in these sectors were negatively impacted.
Portfolio Changes
For the twelve month period ending March 31, 2010, we trimmed holdings in financials, materials, utilities and industrials that had reached their valuation limits or where analysis revealed deterioration in individual company fundamentals. Shares of Spanish and Irish banks were liquidated due to concerns about worsening economic conditions in both regions. Cash was allocated to new investment ideas and increased weightings in portfolio holdings with strong growth potential.
16
New investments were made in Indian and Swedish banks. In the materials sector, we added a German flavor and fragrance producer. We also made an initial investment in an Indian information technology company.
A Look Ahead
Over the past 15 years, world economies aligned, with most growing strongly for more than a decade. This trend was interrupted by the recent financial crisis. Analysis on individual companies (rather than geographies or sectors) takes on added importance in this environment. In conversations with companies worldwide, no prevalent trend persists; the global economy remains mixed. Some companies are showing stability and steady cash flows, while others are relying on diminishing order books. Buoyed by government stimulus, many of these companies are concerned about sustainable demand when stimulus spending dissipates.
Rather than predict volatile macro-economic conditions, we continue to seek out companies we believe are able to weather economic downturns. We carefully assess the fundamental strengths of individual holdings, noting that the outlook for many of the portfolio companies’ cash flows is promising. Dramatic downsizing during the recession resulted in leaner organizations; resulting in many Fund holdings being able to continue generating cash flows on modest incremental growth.
The Fund’s lead portfolio manager is Bernard R. Horn, Jr., of Polaris Capital Management, LLC
17
QUANT FOREIGN VALUE FUND
Top 10 Holdings
Percentage of total net assets | 28.1% |
Trevi Finanziaria SpA | 3.1% |
Technip S.A. | 2.9% |
Kone Corporation OYJ-B | 2.9% |
BHP Billiton Ltd. | 2.9% |
DnB NOR ASA | 2.8% |
Autoliv Inc. | 2.8% |
YIT OYJ | 2.7% |
Symrise AG | 2.7% |
Samsung Electronics Company Ltd. | 2.7% |
Methanex Corporation | 2.6% |
There is no guarantee that such securities will continue to be viewed favorably or held in the Fund’s portfolio.
Sector Allocation
Percentage of total net assets | 100.0% |
Materials | 19.0% |
Industrials | 19.0% |
Financials | 17.0% |
Consumer Discretionary | 16.5% |
Energy | 7.1% |
Consumer Staples | 5.6% |
Information Technology | 3.4% |
Telecommunication Services | 3.2% |
Utilities | 2.0% |
Health Care | 1.9% |
Cash and Other Assets (Net) | 5.3% |
Top 10 Country Allocations
Percentage of total net assets | 74.2% |
Japan | 12.7% |
Germany | 11.6% |
United Kingdom | 10.1% |
Sweden | 9.6% |
Finland | 6.6% |
France | 6.4% |
Ireland | 6.1% |
South Korea | 4.5% |
Belgium | 3.5% |
Norway | 3.1% |
18
Value of a $10,000 Investment
Quant Foreign Value (QFV) Ordinary Shares vs. MSCI EAFE Index
Average Annual Total Returns
| 1Q 2010 | Six | One Year | Five Year | Ten Year | Since | Inception |
Ordinary Shares | 5.60% | 6.10% | 84.05% | 2.72% | 7.72% | 5.91% | 05/15/98 |
Institutional Shares1 | 5.69% | 6.21% | 84.12% | 2.94% | 7.96% | 8.07% | 12/18/98 |
MSCI EAFE2 | 0.94% | 3.19% | 55.20% | 4.24% | 1.68% | 3.83% |
|
1 Institutional Shares may only be purchased by certain categories of investors and are not subject to sales charges or distribution fees.
2 The Morgan Stanley Capital International Europe, Australasia, and Far East (“MSCI EAFE”) Index is an unmanaged index comprised of stocks located in countries other than the United States. It is widely recognized as representative of the general market for emerging markets. Index returns assume the reinvestment of dividends and, unlike Fund returns, do not reflect fees or expenses. You cannot invest directly in an Index. The beginning date for the Index is 05/29/98.
Investing in foreign markets, particularly emerging markets, can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market or economic developments and can perform differently than the U.S. market.
Performance data quoted represents past performance and is no guarantee of future results and the information above does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Current Fund performance may be lower or higher than performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. For the most recent month-end performance, visit the Fund’s website at www.quantfunds.com. Before investing, carefully consider the Fund’s investment objectives, risks, charges and expenses. For this and other information obtain the Fund’s prospectus by calling (800) 326-2151 or visiting www.quantfunds.com. Please read the prospectus carefully before you invest.
19
QUANT FOREIGN VALUE SMALL CAP FUND
INVESTMENT PROFILE
All Data as of March 31, 2010
Investment Commentary
For the year ended March 31, 2010, the Quant Foreign Value Small Cap Fund’s Ordinary Shares (the “Fund”) outperformed its benchmark, the S&P EPAC Small Cap Index (the “Index”). The Fund achieved a return of 114.00% at net asset value compared to 65.91% for the Index.
Fund Information |
| |
Net Assets Under Management | $133.1 Million | |
Number of Companies | 61 | |
Price to Book Ratio | 2.4 | |
Price to Earnings Ratio | 19.8 | |
| Ordinary | Institutional |
Total Expense Ratio (Net) | 1.64% | 1.43% |
Ticker Symbol | QUSOX | QUSIX |
Market Conditions and Investment Strategies
While a cursory Fund review may indicate portfolio concentration in consumer discretionary and industrial holdings, a more in-depth analysis reveals the diversification evident within sector holdings. As the top performing and heaviest weighted sector, consumer discretionary stocks ranged from restaurants and toy manufacturers catering to the UK market to worldwide suppliers of textiles and automotive safety devices. No prevalent theme existed within this sector; rather each holding performed well based on its individual fundamentals. As the second heaviest weighted sector, the Fund’s industrial holdings are equally diverse, ranging from Japanese shippers to Italian ground engineering/drilling companies, serving disparate countries and customers.
Similarly, at approximately 10% of the portfolio holdings, the consumer staples sector posted strong returns, benefitting from its exposure to KRBL Limited, an Indian rice company with customers in the Middle East and U.S., as well as a Chinese fishery. Again, each stock performed admirably based on its unique market position and target customer base rather than any sector specific trend.
Strong returns from Indian and Russian banks also added to performance. Stringent regulations and financial system oversight ensured that Indian banks were generally unaffected by the global economic crisis. Bought at a deep discount, Russia-based Bank Vozrozhdenie was a top contributor, as its conservative management style and niche lending focused on small/medium enterprises allowed it to weather difficult conditions. To help capitalize on burgeoning developing markets, we continue to invest in banks that play into that economic growth.
Information technology was also a strong contributor with NIIT Technologies, a small outsourcer in a niche market, usurping market share from bigger competitors.
Detracting from better performance was a utility holding and several healthcare stocks including Sigma Pharmaceuticals and Pronova Biopharma, an Omega-3 medicine producer marketing to emerging countries. A number of industrials also dragged on performance, namely Hampson Industries, which saw its stock suffer as airplane projects were postponed, and Grafton Group, a supplier of materials to U.K. homebuilders.
20
Portfolio Changes
During the year, we sold holdings in the industrial, energy and information technology sectors that had reached their valuation limits or where analysis revealed deterioration in individual company fundamentals. Thirteen companies were added to the portfolio, providing added diversification in the form of new sector holdings in energy, telecom and utilities.
A Look Ahead
We were pleased with the annual results, noting that nine out of ten sectors posted absolute positive returns. While careful stock picking led to the ultimate 48% outperformance over the benchmark, we would be remiss in ignoring a few contributing economic trends. During the past year, global markets began to normalize as irrational investor behavior began to subside and government stimulus-boosted economies turned modestly upward. We expect this trend to continue. Simultaneously, many companies are again achieving positive cash flows after significant cost cutting and downsizing during the recession. However, we are still finding mixed results as late stage companies haven’t yet seen an uptick in bid activity and are relying on dated order flows.
While mixed results define the developed world, faster domestic growth rates are being seen in the four BRIC countries, specifically in India and China. Focused on the small cap arena, the Fund may find it easier to identify new prospects in Latin America and Asia, where many companies are in their infancy.
The Fund’s lead portfolio manager is Bernard R. Horn, Jr., of Polaris Capital Management, LLC
21
QUANT FOREIGN VALUE SMALL CAP FUND
Top 10 Holdings
Percentage of total net assets | 21.2% |
KRBL Limited Derivative | 2.4% |
China Fishery Group Limited | 2.3% |
Dr|$$|Adagerwerk AG | 2.3% |
IFG Group Plc | 2.2% |
Healthcare Locums plc | 2.1% |
Usha Martin Group Derivative | 2.0% |
Dockwise Ltd. | 2.0% |
Sichuan Expressway Company Limited | 2.0% |
Iino Kaiun Kaisha, Ltd. | 2.0% |
South Indian Bank Derivative | 1.9% |
There is no guarantee that such securities will continue to be viewed favorably or held in the Fund’s portfolio.
Top 10 Country Allocations
Percentage of total net assets | 71.8% |
United Kingdom | 17.8% |
China | 10.7% |
India | 9.7% |
Ireland | 6.5% |
Norway | 6.1% |
Japan | 5.7% |
Sweden | 4.5% |
Germany | 3.7% |
Belgium | 3.6% |
Singapore | 3.5% |
Sector Allocation
Percentage of total net assets | 100.0% |
Consumer Discretionary | 21.2% |
Industrials | 17.1% |
Financials | 11.9% |
Consumer Staples | 10.5% |
Health Care | 10.2% |
Materials | 7.7% |
Information Technology | 5.8% |
Telecommunication Services | 3.6% |
Exchange Traded Funds | 3.0% |
Energy | 2.0% |
Utilities | 1.8% |
Cash and Other Assets (Net) | 5.2% |
22
Value of a $10,000 Investment
Quant Foreign Value Small Cap (QFVSC) Ordinary Shares vs. EPAC EMI Index
Average Annual Total Returns
| 1Q 2010 | Six | One Year | Five Year | Ten Year | Since | Inception |
Ordinary Shares | 7.08% | 11.03% | 114.00% | — | — | 2.24% | 5/1/2008 |
Institutional Shares1 | 7.18% | 11.20% | 114.55% | — | — | 2.42% | 5/1/2008 |
S&P/EPAC Small Cap Index | 3.91% | 3.02% | 65.91% | — | — | (9.46)% |
|
1 Institutional Shares may only be purchased by certain categories of investors and are not subject to sales charges or distribution fees.
2 The S&P/ Extended Market Europe Pacific Asia Composite (“S&P/ EMI EPAC”) Index measures the bottom 20% of institutionary investable capital of developed and emerging (after 09/30/1994) countries, selected by the index sponsor outside of the United States. It is widely recognized as representative of the general market for foreign markets. Index returns assume the reinvestment of dividends and, unlike Fund returns, do no reflect any fees or expenses. You cannot invest directly in an Index. The Index was established in 1989.
Investing in foreign markets, particularly emerging markets, can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market or economic developments and can perform differently than the U.S. market.
Performance data quoted represents past performance and is no guarantee of future results and the information above does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Current Fund performance may be lower or higher than performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. For the most recent month-end performance, visit the Fund’s website at www.quantfunds.com. Before investing, carefully consider the Fund’s investment objectives, risks, charges and expenses. For this and other information obtain the Fund’s prospectus by calling (800) 326-2151 or visiting www.quantfunds.com. Please read the prospectus carefully before you invest.
23
QUANT SMALL CAP FUND
SCHEDULE OF INVESTMENTS
March 31, 2010
Common Stock—94.7%
| Shares | Value |
AUTOMOBILES—1.7% |
|
|
Winnebago Industries, Inc. (b) | 124,598 | $ 1,820,377 |
BANKS—2.4% |
|
|
CoBiz Financial, Inc. (b) | 121,364 | 756,098 |
F.N.B. Corporation (b) | 65,438 | 530,702 |
Pinnacle Financial Partners, Inc. (a)(b) | 17,813 | 269,154 |
WestAmerica Bancorporation (b) | 17,370 | 1,001,381 |
|
| 2,557,335 |
BIOTECHNOLOGY—0.9% |
|
|
United Therapeutics Corporation (a)(b) | 17,549 | 970,986 |
CHEMICALS—0.9% |
|
|
LSB Industries, Inc. (a)(b) | 62,397 | 950,930 |
COMMERCIAL SERVICES & SUPPLIES—6.3% |
|
|
Acacia Research Corporation (a)(b) | 127,203 | 1,377,608 |
Clean Harbors, Inc. (a)(b) | 6,388 | 354,917 |
Coinstar, Inc. (a)(b) | 36,462 | 1,185,015 |
inVentiv Health, Inc. (a) | 37,549 | 843,351 |
Kforce, Inc. (a)(b) | 70,084 | 1,065,978 |
Waste Connections, Inc. (a) | 55,690 | 1,891,232 |
|
| 6,718,101 |
COMMUNICATIONS EQUIPMENT—4.5% |
|
|
Atheros Communications, Inc. (a)(b) | 32,121 | 1,243,404 |
Comtech Telecommunications Corp. (a)(b) | 24,830 | 794,312 |
NICE-Systems, Ltd. (a)(c) | 87,731 | 2,785,459 |
|
| 4,823,175 |
CONSTRUCTION & ENGINEERING—0.4% |
|
|
Mastec, Inc. (a)(b) | 32,126 | 405,109 |
CONTAINERS & PACKAGING—2.8% |
|
|
Graham Packaging Company, Inc. (a) | 20,178 | 253,234 |
Silgan Holdings, Inc. | 30,721 | 1,850,326 |
Sonoco Products Company | 29,832 | 918,527 |
|
| 3,022,087 |
DIVERSIFIED FINANCIALS—2.8% |
|
|
Fifth Street Finance Corp. (b) | 75,006 | 870,820 |
optionsXpress Holdings, Inc. | 44,925 | 731,828 |
Primerica, Inc. | 1,398 | 20,970 |
Tower Bancorp, Inc. | 32,876 | 880,091 |
24
TradeStation Group, Inc. | 66,502 | 466,179 |
|
| 2,969,888 |
DIVERSIFIED TELECOMMUNICATION SERVICES—0.4% |
|
|
Hughes Communications, Inc. (a) | 15,491 | 431,424 |
ELECTRICAL EQUIPMENT—2.2% |
|
|
American Superconductor Corporation (a)(b) | 17,881 | 516,761 |
Finisar Corporation (a)(b) | 116,838 | 1,835,524 |
|
| 2,352,285 |
ELECTRONIC EQUIPMENT & INSTRUMENTS—0.7% |
|
|
OSI Systems, Inc. (a) | 27,816 | 780,239 |
ENERGY EQUIPMENT & SERVICES—4.8% |
|
|
Core Laboratories N.V. (b) | 39,208 | 5,128,406 |
FOOD DRUG & RETAILING—1.9% |
|
|
United Natural Foods, Inc. (a) | 70,032 | 1,970,000 |
FOOD PRODUCTS—1.7% |
|
|
Central Garden & Pet Company (a) | 34,761 | 343,091 |
Diamond Foods, Inc. (b) | 31,700 | 1,332,668 |
Smart Balance, Inc. (a) | 19,011 | 123,191 |
|
| 1,798,950 |
HEALTH CARE EQUIPMENT & SUPPLIES—3.1% |
|
|
Haemonetics Corporation (a) | 12,372 | 707,060 |
NuVasive, Inc. (a)(b) | 19,643 | 887,864 |
Sirona Dental Systems, Inc. (a) | 41,384 | 1,573,834 |
SXC Health Solutions Corp. (a) | 1,875 | 126,150 |
|
| 3,294,908 |
HEALTH CARE PROVIDERS & SERVICES—3.5% |
|
|
BioScrip, Inc. (a) | 5,838 | 46,587 |
Henry Schein, Inc. (a) | 29,545 | 1,740,201 |
Select Medical Holdings Corporation (a) | 62,630 | 528,597 |
Universal Health Services, Inc. | 41,308 | 1,449,498 |
|
| 3,764,883 |
HOTELS, RESTAURANTS & LEISURE—0.7% |
|
|
California Pizza Kitchen, Inc. (a) | 41,384 | 694,837 |
INSURANCE—0.8% |
|
|
Aspen Insurance Holdings Limited | 28,308 | 816,403 |
INTERNET & CATALOG RETAIL—0.2% |
|
|
NutriSystem, Inc. (b) | 11,696 | 208,306 |
INTERNET SOFTWARE & SERVICES—1.7% |
|
|
Blue Coat Systems, Inc. (a) | 17,060 | 529,542 |
Internet Capital Group, Inc. (a) | 150,489 | 1,271,632 |
|
| 1,801,174 |
25
IT CONSULTING & SERVICES—3.6% |
|
|
Alliance Data Systems Corporation (a)(b) | 47,451 | 3,036,389 |
Phase Forward Incorporated (a) | 26,837 | 353,607 |
TNS, Inc. (a) | 20,956 | 467,319 |
|
| 3,857,315 |
MACHINERY—2.5% |
|
|
Gardner Denver, Inc. (a) | 29,857 | 1,314,902 |
Harsco Corporation | 38,790 | 1,238,953 |
The Middleby Corporation | 1,465 | 84,369 |
|
| 2,638,224 |
MEDIA—4.8% |
|
|
Regal Entertainment Group | 290,992 | 5,112,729 |
METALS & MINING—4.8% |
|
|
Compass Minerals International, Inc. (b) | 63,931 | 5,129,184 |
OIL & GAS—1.9% |
|
|
Aegean Marine Petroleum Network, Inc. (a) | 37,819 | 1,073,303 |
Natural Gas Services Group, Inc. (a)(b) | 40,699 | 645,893 |
Sandridge Energy, Inc. (a)(b) | 44,125 | 339,763 |
|
| 2,058,959 |
PERSONAL PRODUCTS—1.0% |
|
|
NBTY, Inc. (a) | 22,262 | 1,068,131 |
PHARMACEUTICALS—0.4% |
|
|
Targacept, Inc. (a) | 22,367 | 439,735 |
REAL ESTATE—11.0% |
|
|
AMB Property Corporation | 27,307 | 743,843 |
Entertainment Properties Trust (b) | 121,859 | 5,012,061 |
Hersha Hospitality Trust | 494,650 | 2,562,287 |
Ventas, Inc. (b) | 72,596 | 3,446,858 |
|
| 11,765,049 |
ROAD & RAIL—0.1% |
|
|
RailAmerica, Inc. (a) | 10,353 | 122,165 |
SEMICONDUCTOR EQUIPMENT & PRODUCTS—2.3% |
|
|
Entegris, Inc. (a)(b) | 205,928 | 1,037,877 |
Kulicke & Soffa Industries, Inc. (a)(b) | 186,076 | 1,349,051 |
|
| 2,386,928 |
SOFTWARE—4.3% |
|
|
Blackboard, Inc. (a)(b) | 58,711 | 2,445,900 |
Eclipsys Corporation (a) | 16,024 | 318,557 |
SS&C Technologies Holdings, Inc. | 3,998 | 61,676 |
26
SuccessFactors, Inc. (a)(b) | 12,703 | 241,865 |
Ulticom, Inc. (a)(b) | 38,207 | 369,653 |
Verint Systems Inc. (a)(b) | 47,771 | 1,170,390 |
|
| 4,608,041 |
SPECIAL RETAIL—2.7% |
|
|
Charming Shoppes, Inc. (a) | 168,079 | 917,711 |
Chico’s FAS, Inc. | 113,547 | 1,637,348 |
Pacific Sunwear of California, Inc. (a)(b) | 63,785 | 338,698 |
|
| 2,893,757 |
TEXTILES & APPAREL—6.4% |
|
|
GUESS?, Inc. | 91,664 | 4,306,375 |
Phillips-Van Heusen Corporation | 19,294 | 1,106,704 |
True Religion Apparel, Inc.(a)(b) | 47,387 | 1,438,670 |
|
| 6,851,749 |
WIRELESS TELECOMMUNICATION SERVICES—4.5% |
|
|
SBA Communications Corporation (a) | 131,985 | 4,760,699 |
TOTAL COMMON STOCK |
|
|
(Cost $81,648,730) | 4,693,896 | 100,972,468 |
SHORT TERM INVESTMENTS—7.4% |
|
|
| Par Value | Value |
State Street Bank & Trust Co., Repurchase Agreement zero%, 04/01/10, (Dated 03/31/10), Collateralized by $8,020,000 par U.S. Treasury Bill—zero coupon due 09/16/10, Market Value $8,011,980, Repurchase Proceeds $7,853,000 (Cost $7,853,000) | $7,853,000 | $ 7,853,000 |
TOTAL INVESTMENTS (EXCLUDING INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED)—102.1% |
| 108,825,468 |
| Par Value | Value |
INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED—27.0% |
|
|
Money Market—27.0% |
|
|
JP Morgan Prime Money Market Fund—Inst. | $28,788,248 | $ 28,788,248 |
TOTAL INVESTMENTS—129.1% |
| 137,613,716 |
OTHER ASSETS & LIABILITIES (NET)—(29.1%) |
| (31,024,242) |
NET ASSETS—100% |
| $106,589,474 |
(a) | Non-income producing security |
(b) | All or a portion of this security was out on loan. |
(c) | ADR—American Depositary Receipts |
27
(d) | At March 31, 2010, the unrealized appreciation based on aggregate cost for federal tax purposes of $119,442,791 was as follows: | |
| Aggregate gross unrealized appreciation for all investments in which | $ 21,524,489 |
| Aggregate gross unrealized depreciation for all investments in which | (3,353,564) |
| Net unrealized appreciation/(depreciation) | $ 18,170,925 |
The Portfolio is actively managed and holdings are subject to change.
There is no guarantee the Fund will continue to invest in the securities referenced.
Reference to specific securities or holdings should not be considered recommendations for action by investors.
The accompanying notes are an integral part of these financial statements.
28
QUANT LONG/SHORT FUND
SCHEDULE OF INVESTMENTS
March 31, 2010
Common Stock—99.5%
Long Positions—128.1%
| Shares | Value |
AEROSPACE & DEFENSE—2.8% |
|
|
General Dynamics Corporation (b) | 12,778 | $ 986,462 |
Lockheed Martin Corporation (b) | 4,490 | 373,658 |
Northrop Grumman Corporation (b) | 2,386 | 156,450 |
United Technologies Corporation (b) | 635 | 46,742 |
|
| 1,563,312 |
AIRLINES—0.8% |
|
|
Delta Air Lines, Inc. (a)(b) | 31,659 | 461,905 |
AUTOMOBILES & COMPONENTS—3.9% |
|
|
Federal-Mogul Corporation (a)(b) | 1,168 | 21,444 |
Ford Motor Company (a)(b) | 169,121 | 2,125,851 |
|
| 2,147,295 |
BANKS—6.6% |
|
|
M&T Bank Corporation (b) | 7,979 | 633,373 |
New York Community Bancorp, Inc. (b) | 10,134 | 167,616 |
The PNC Financial Services Group, Inc. (b) | 4,503 | 268,829 |
U.S. Bancorp (b) | 43,934 | 1,137,012 |
Wells Fargo & Company | 44,548 | 1,386,334 |
|
| 3,593,164 |
BUILDING PRODUCTS—0.5% |
|
|
Crane Co. (b) | 7,363 | 261,386 |
CHEMICALS—4.5% |
|
|
Airgas, Inc. | 434 | 27,611 |
CF Industries Holdings, Inc. | 289 | 26,351 |
E. I. du Pont de Nemours and Company (b) | 8,828 | 328,755 |
Eastman Chemical Company (b) | 8,153 | 519,183 |
Huntsman Corporation (b) | 129,206 | 1,556,932 |
|
| 2,458,832 |
COMMERCIAL SERVICES & SUPPLIES—0.3% |
|
|
Waste Management, Inc. (b) | 3,930 | 135,310 |
COMMUNICATIONS EQUIPMENT—1.8% |
|
|
Corning Incorporated (b) | 49,654 | 1,003,507 |
COMPUTERS & PERIPHERALS—6.6% |
|
|
Dell, Inc. (a)(b) | 26,648 | 399,986 |
International Business Machines | 25,127 | 3,222,538 |
|
| 3,622,524 |
29
CONSTRUCTION ENGINEERING—2.8% |
|
|
Fluor Corporation (b) | 32,748 | 1,523,109 |
DISTRIBUTORS—0.0% |
|
|
WESCO International, Inc. (a)(b) | 607 | 21,069 |
DIVERSIFIED FINANCIAL SERVICES—11.4% |
|
|
American Express Company (b) | 53,831 | 2,221,067 |
BlackRock, Inc. (b) | 2,704 | 588,823 |
Citigroup Inc. (b) | 125,153 | 506,870 |
Discover Financial Services (b) | 25,822 | 384,748 |
Moody’s Corporation (b) | 40,663 | 1,209,724 |
NYSE Euronext (b) | 26,828 | 794,377 |
T. Rowe Price Group, Inc. (b) | 10,190 | 559,737 |
|
| 6,265,346 |
DIVERSIFIED TELECOMMUNICATION SERVICES—2.0% |
|
|
Sprint Nextel Corporation (b) | 295,385 | 1,122,463 |
ELECTRIC UTILITIES—0.1% |
|
|
FirstEnergy Corp. (b) | 1,592 | 62,231 |
ELECTRONIC EQUIPMENT & INSTRUMENTS—5.1% |
|
|
Hubbell Incorporated (b) | 8,299 | 418,519 |
Ingram Micro, Inc. (a)(b) | 15,045 | 264,040 |
Jabil Circuit, Inc. (b) | 81,957 | 1,326,884 |
Tech Data Corporation (a)(b) | 19,049 | 798,153 |
|
| 2,807,596 |
ENERGY EQUIPMENT & SERVICES—0.2% |
|
|
BJ Services Company (b) | 1,691 | 36,187 |
Smith International, Inc. | 1,292 | 55,323 |
|
| 91,510 |
FOOD PRODUCTS—1.9% |
|
|
Sara Lee Corporation (b) | 76,007 | 1,058,778 |
FOOD STAPLES & DRUG RETAILING—6.3% |
|
|
Supervalu Inc. (b) | 33,888 | 565,252 |
SYSCO Corporation (b) | 80,949 | 2,387,996 |
Walgreen Co. (b) | 13,827 | 512,843 |
|
| 3,466,091 |
GAS UTILITIES—0.3% |
|
|
Integrys Energy Group, Inc. (b) | 2,693 | 127,594 |
UGI Corporation (b) | 698 | 18,525 |
|
| 146,119 |
HEALTH CARE EQUIPMENT & SERVICES—6.2% |
|
|
CareFusion Corporation (a)(b) | 634 | 16,757 |
30
Kinetic Concepts, Inc. (a)(b) | 457 | 21,849 |
McKesson Corporation (b) | 36,661 | 2,409,361 |
Millipore Corporation (a)(b) | 291 | 30,730 |
Patterson Companies, Inc. (b) | 1,442 | 44,774 |
Stryker Corporation (b) | 6,440 | 368,497 |
The Cooper Companies, Inc. (b) | 1,368 | 53,188 |
WellPoint, Inc. (a) | 2,443 | 157,280 |
Zimmer Holdings, Inc. (a)(b) | 4,750 | 281,200 |
|
| 3,383,636 |
HEALTH CARE PROVIDERS & SERVICES—5.1% |
|
|
Cardinal Health, Inc. | 68,931 | 2,483,584 |
Tenet Healthcare Corporation (a)(b) | 55,203 | 315,761 |
|
| 2,799,345 |
HOTELS, RESTAURANTS & LEISURE—1.3% |
|
|
Marriott International, Inc. (b) | 23,396 | 737,442 |
INSURANCE—0.0% |
|
|
Unitrin, Inc. | 392 | 10,995 |
LEASURE EQUIPMENT & PRODUCTS—0.4% |
|
|
Eastman Kodak Company (b) | 37,386 | 216,466 |
MACHINERY—1.0% |
|
|
Graco, Inc. (b) | 14,304 | 457,728 |
Joy Global, Inc. (b) | 1,712 | 96,899 |
|
| 554,627 |
MEDIA—8.1% |
|
|
Comcast Corporation (b) | 90,158 | 1,696,774 |
DISH Network Corporation (a)(b) | 43,213 | 899,695 |
The New York Times Company (b) | 27,383 | 304,773 |
Time Warner Cable, Inc. (a)(b) | 13,708 | 730,773 |
Time Warner, Inc. (b) | 25,421 | 794,915 |
|
| 4,426,930 |
OIL & GAS—14.4% |
|
|
Chevron Corporation | 41,263 | 3,128,973 |
ConocoPhillips (b) | 53,003 | 2,712,163 |
Murphy Oil Corporation (b) | 34,335 | 1,929,284 |
XTO Energy, Inc. (b) | 3,043 | 143,569 |
|
| 7,913,989 |
PHARMACEUTICALS & BIOTECHNOLOGY—11.8% |
|
|
AmerisourceBergen Corporation (b) | 37,907 | 1,096,270 |
Amgen Inc. (a)(b) | 45,874 | 2,741,430 |
Biogen Idec, Inc. (a)(b) | 27,778 | 1,593,346 |
Cephalon, Inc. (a)(b) | 1,091 | 73,948 |
31
Johnson & Johnson (b) | 14,446 | 941,879 |
|
| 6,446,873 |
REAL ESTATE—2.3% |
|
|
Chimera Investment Corporation (b) | 246,582 | 959,204 |
Plum Creek Timber Company, Inc. (b) | 7,897 | 307,272 |
|
| 1,266,476 |
RETAILING—0.3% |
|
|
Aaron’s, Inc. (b) | 3,657 | 121,924 |
Stanley Black & Decker, Inc. (b) | 424 | 24,342 |
|
| 146,266 |
SEMICONDUCTOR EQUIPMENT—5.8% |
|
|
Micron Technology, Inc. (b) | 113,135 | 1,175,473 |
Texas Instruments Inc. (b) | 80,964 | 1,981,189 |
|
| 3,156,662 |
SOFTWARE & SERVICES—6.2% |
|
|
Microsoft Corporation (b) | 115,696 | 3,386,422 |
TOBACCO—3.3% |
|
|
Philip Morris International Inc. (a)(b) | 34,272 | 1,787,628 |
UTILITIES—2.8% |
|
|
Allegheny Energy, Inc. (b) | 890 | 20,470 |
Energen Corporation (b) | 9,766 | 454,412 |
NSTAR (b) | 1,791 | 63,437 |
The AES Corporation (b) | 86,896 | 955,856 |
|
| 1,494,175 |
WIRELESS TELECOMMUNICATIONS—1.2% |
|
|
NII Holdings, Inc. (a)(b) | 15,151 | 631,191 |
TOTAL LONG POSITIONS—128.1% |
|
|
(Cost $62,833,980) |
| 70,170,670 |
Short Positions—(28.6%) |
|
|
AEROPSPACE & DEFENSE—(0.0%) |
|
|
BE Aerospace, Inc. (a) | (890) | (27,100) |
AUTOMOBILES & COMPONENTS—(0.2%) |
|
|
LKQ Corporation (a) | (4,259) | (86,458) |
BANKS—(0.0%) |
|
|
SunTrust Banks, Inc. | (916) | (24,540) |
BIOTECHNOLOGY—(3.9%) |
|
|
Dendreon Corporation (a) | (18,061) | (658,685) |
Vertex Pharmaceuticals Incorporated (a) | (35,888) | (1,466,742) |
|
| (2,125,427) |
32
CHEMICALS—(0.2%) |
|
|
Intrepid Potash, Inc. (a) | (3,014) | (91,414) |
COMMERCIAL SERVICES AND SUPPLIES—(0.0%) |
|
|
Monster Worldwide, Inc. (a) | (986) | (16,377) |
COMMUNICATIONS EQUIPMENT—(2.3%) |
|
|
Ciena Corporation (a) | (82,145) | (1,251,890) |
DIVERSIFIED FINANCIAL SERVICES—(2.2%) |
|
|
First Horizon National Corporation | (31,273) | (439,383) |
GLG Partners Inc. (a) | (38,369) | (117,793) |
Interactive Brokers Group, Inc. (a) | (7,369) | (119,009) |
Lazard, Ltd | (7,521) | (268,500) |
Morningstar, Inc. (a) | (5,285) | (254,156) |
|
| (1,198,841) |
GAS UTILITES—(0.3%) |
|
|
Petrohawk Energy Corporation (a) | (7,898) | (160,171) |
HEALTH CARE EQUIPMENT & SERVICES—(2.0%) |
|
|
Hologic, Inc. (a) | (59,565) | (1,104,335) |
INSURANCE—(0.4%) |
|
|
Genworth Financial, Inc. | (10,661) | (195,523) |
MACHINERY—(0.2%) |
|
|
Seahawk Drilling, Inc. (a) | (5,433) | (102,412) |
MEDIA—(4.4%) |
|
|
Central European Media Enterprises Ltd. (a) | (4,955) | (145,231) |
Clear Channel Outdoor Holdings, Inc. (a) | (37,161) | (394,278) |
Interactive Data Corporation | (8,924) | (285,568) |
Liberty Media Capital (a) | (41,379) | (1,504,955) |
Liberty Media Interactive (a) | (1,161) | (17,775) |
Madison Square Garden, Inc. (a) | (2,703) | (58,736) |
|
| (2,406,543) |
OIL & GAS—(2.8%) |
|
|
Chesapeake Energy Corporation | (9,258) | (218,859) |
EXCO Resources, Inc. (a) | (9,300) | (170,934) |
Frontier Oil Corporation | (5,009) | (67,622) |
Holly Corporation | (10,263) | (286,440) |
Newfield Exploration Company (a) | (7,684) | (399,952) |
Range Resources Corporation | (8,509) | (398,817) |
|
| (1,542,624) |
PHARMACEUTICALS & BIOTECHNOLOGY—(2.7%) |
|
|
Abraxis BioScience, Inc. (a) | (4,755) | (246,071) |
33
King Pharmaceuticals, Inc. (a) | (106,718) | (1,255,004) |
|
| (1,501,075) |
REAL ESTATE—(1.8%) |
|
|
Corrections Corporation of America | (1,647) | (32,710) |
ProLogis | (71,977) | (950,096) |
|
| (982,806) |
SEMICONDUCTOR EQUIPMENT—(2.2%) |
|
|
Cypress Semiconductor Corporation (a) | (22,892) | (263,258) |
Rambus Inc. (a) | (43,751) | (955,959) |
|
| (1,219,217) |
SOFTWARE & SERVICES—(2.4%) |
|
|
Novell, Inc. (a) | (16,059) | (96,194) |
Nuance Communications, Inc. (a) | (72,483) | (1,206,117) |
|
| (1,302,311) |
UTILITIES—(0.6%) |
|
|
Southwestern Energy Company (a) | (7,693) | (313,259) |
TOTAL SHORT POSITIONS (28.6%) |
|
|
(Proceeds $13,561,062) |
| (15,652,323) |
TOTAL INVESTMENTS (EXCLUDING INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED)—99.5% |
|
|
(Cost $49,272,918) |
| $54,518,347 |
| Par Value | Value |
INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED—17.6% |
|
|
Registered Money Market—17.6% |
|
|
State Street Navigator Securities Lending Prime Portfolio | $9,653,032 | $9,653,032 |
TOTAL INVESTMENTS 117.1% |
|
|
(Cost $58,925,950) |
| $64,171,379 |
OTHER ASSETS & LIABILITIES (NET)—(17.1%) |
| (9,367,003) |
NET ASSETS—100% |
| $54,804,376 |
(a) | Non-Income producing security | |
(b) | All or a portion of this security was out on loan. | |
(c) | At March 31, 2010, the unrealized appreciation of investments based on aggregate cost for federal tax purposes of $75,092,406 was as follows: | |
| Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ 5,156,533 |
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (425,237) |
34
| Net unrealized appreciation / (depreciation) | $ 4,731,296 |
| Short security positions may be held with cash collateral for securities loaned. | |
| The percentage of each investment category is calculated as a percentage of net assets. |
35
QUANT EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS
March 31, 2010
Common Stock—94.0%
| Shares | Value |
BRAZIL—11.5% |
|
|
Banco Bradesco SA (a)(c) | 143,880 | $ 2,651,708 |
Banco do Brasil SA | 131,011 | 2,194,483 |
Brasil Telecom Participacoes SA | 48,152 | 426,114 |
Cielo SA | 96,043 | 902,736 |
Companhia de Bebidas das Americas (a)(c) | 24,826 | 2,275,551 |
Empresa Brasileira de Aeronautica SA (a) | 49,971 | 294,994 |
Energias do Brasil SA (a) | 43,527 | 835,343 |
Equatorial Energia SA (a) | 37,087 | 325,491 |
Light SA | 81,587 | 1,101,989 |
M. Dias Branco SA (a) | 4,099 | 101,437 |
Obrascon Huarte Lain Brasil SA | 14,640 | 336,826 |
Petroleo Brasileiro SA | 211,129 | 4,703,471 |
Petroleo Brasileiro SA (c) | 138,281 | 5,474,545 |
Redecard SA (a) | 12,412 | 229,149 |
Sabesp Cia Saneame | 65,757 | 1,177,836 |
Souza Cruz SA (a) | 38,861 | 1,352,028 |
Sul America SA (a) | 24,095 | 652,386 |
Tele Norte Leste Participacoes SA (c) | 76,268 | 1,346,893 |
Vivo Participacoes SA (a)(c) | 9,819 | 266,193 |
|
| 26,649,173 |
CHILE—1.0% |
|
|
Banco Santander Chile (c) | 19,701 | 1,344,002 |
Enersis SA (c) | 44,064 | 880,839 |
|
| 2,224,841 |
CHINA—17.2% |
|
|
ASM Pacific Technology Ltd. | 22,000 | 207,396 |
Bank of China Ltd. | 6,761,509 | 3,596,339 |
Bosideng International Holdings Ltd. | 524,000 | 117,421 |
Central China Real Estate Ltd. (a) | 1,797,883 | 474,660 |
China Coal Energy Co., Ltd. | 466,000 | 728,570 |
China Construction Bank Corporation | 5,294,390 | 4,329,689 |
China Foods Ltd. (a) | 272,886 | 222,460 |
China Mobile Limited | 182,734 | 1,757,952 |
China Molybdenum Co., Ltd. (a) | 1,367,408 | 1,149,948 |
China Pharmaceutical Group Limited | 1,958,752 | 1,210,842 |
China Shenhua Energy Co., Ltd. | 210,000 | 903,301 |
China Unicom (Hong Kong) Ltd. (a) | 550,000 | 619,780 |
36
CNOOC Limited | 2,409,029 | 3,952,559 |
COSCO International Holdings Ltd. | 290,000 | 179,269 |
Dah Chong Hong Ltd. | 133,000 | 88,725 |
Dongfeng Motor Group Company Limited | 1,334,124 | 2,164,879 |
CHINA (continued) |
|
|
Fufeng Group Limited (a) | 288,000 | 191,386 |
Geely Automobile Holdings Limited (a)(b) | 1,444,795 | 761,021 |
Golden Eagle Retail Group Ltd. (a) | 202,769 | 404,762 |
Great Eagle Holdings Limited (a) | 133,000 | 371,688 |
GZI Real Estate Investment Trust | 661,000 | 280,920 |
Harbin Electric, Inc. | 8,060 | 174,015 |
Hopewell Holdings Limited (a) | 100,109 | 296,529 |
Industrial & Commercial Bank of China Ltd. | 157,215 | 120,065 |
Kingboard Chemical Holdings, Ltd. | 29,500 | 134,301 |
Kowloon Development Co., Ltd. | 130,000 | 164,408 |
Kunlun Energy Co., Ltd. | 1,435,626 | 2,011,579 |
Lianhua Supermarket Holdings Co., Ltd. | 33,000 | 119,423 |
Renhe Commercial Holdings (a) | 6,230,230 | 1,444,254 |
Sino Biopharmaceutical Limited | 918,036 | 364,148 |
Sinolink Worldwide Holdings Limited | 5,071,526 | 862,143 |
Sinotrans Shipping Limited | 2,014,277 | 959,816 |
Skyworth Digital Holdings Limited (a) | 1,114,615 | 1,301,964 |
Tencent Holdings Limited | 118,169 | 2,369,513 |
Texwinca Holdings Ltd. | 196,000 | 216,324 |
TPV Technology Limited (a) | 496,000 | 332,802 |
Weichai Power Company Ltd. (a) | 160,000 | 1,337,309 |
Yanzhou Coal Mining Company Limited | 1,029,536 | 2,468,813 |
Yue Yuen Industrial Holdings Ltd. | 188,000 | 653,715 |
Zhejiang Expressway Co., Ltd., (a) | 102,588 | 92,615 |
Zijin Mining Group Co., Ltd. (a) | 1,080,285 | 848,663 |
|
| 39,985,966 |
CZECH REPUBLIC—0.7% |
|
|
Komercni Banka AS | 7,920 | 1,607,611 |
HUNGARY—0.7% |
|
|
Egis Gyogyszergyar Nyrt. | 3,433 | 370,158 |
Magyar Telekom Telecommunications PLC | 262,000 | 1,069,198 |
Richter Gedeon Nyrt. | 1,436 | 310,546 |
|
| 1,749,902 |
INDIA—6.1% |
|
|
Allahabad Bank | 103,337 | 330,071 |
Andhra Bank | 151,210 | 362,742 |
37
Bajaj Holdings and Investment Ltd. | 7,235 | 96,370 |
Balrampur Chini Mills | 488,632 | 998,596 |
Bank of Baroda | 105,012 | 1,501,090 |
Canara Bank | 70,085 | 640,046 |
Central Bank of India | 24,315 | 79,344 |
Chambal Fertilisers & Chemicals Limited | 631,799 | 864,774 |
Hindalco Industries Ltd. | 258,420 | 1,043,580 |
Hindustan Petroleum Corp. Limited | 15,993 | 113,282 |
Indian Bank | 73,829 | 288,195 |
Indian Overseas Bank | 66,991 | 137,205 |
Infosys Technologies Limited | 6,132 | 357,171 |
Lupin Limited | 13,063 | 471,368 |
Oil and Natural Gas Corp. Limited | 66,286 | 1,613,114 |
Oriental Bank of Commerce | 93,035 | 663,855 |
Patni Computer Systems | 48,890 | 583,696 |
Rolta India Limited | 155,759 | 621,024 |
Steel Authority of India Limited | 394,636 | 2,224,360 |
Tata Chemicals Ltd. | 77,804 | 570,164 |
Tech Mahindra | 5,661 | 107,407 |
Union Bank of India | 54,022 | 352,566 |
|
| 14,020,020 |
INDONESIA—3.6% |
|
|
PT Aneka Tambang Tbk (a) | 4,109,524 | 1,083,890 |
PT Astra International Tbk (a) | 427,504 | 1,968,506 |
PT Bank Mandiri (a) | 3,097,739 | 1,821,298 |
PT Bank Rakyat Indonesia (a) | 1,736,648 | 1,574,520 |
PT Kalbe Farma Tbk | 880,000 | 180,845 |
PT Semen Gresik | 1,073,143 | 860,920 |
PT United Tractors Tbk | 409,000 | 824,787 |
|
| 8,314,766 |
ISRAEL—1.9% |
|
|
Bezeq Israel Telecom Ltd. (a) | 379,637 | 1,078,333 |
Check Point Software Technologies Ltd. (a) | 9,978 | 349,829 |
Israel Discount Bank Ltd. (a) | 127,370 | 291,429 |
Partner Communications Company Ltd. | 39,084 | 878,387 |
Teva Pharmaceutical Industries Ltd. | 27,945 | 1,789,551 |
|
| 4,387,529 |
MALAYSIA—2.1% |
|
|
AMMB Holdings Berhad (a) | 147,200 | 225,628 |
Hong Leong Bank Berhad (a) | 271,516 | 719,159 |
Hong Leong Financial Group Berhad (a) | 131,300 | 340,124 |
38
KLCC Property Holdings Berhad (a) | 137,400 | 141,107 |
Lafarge Malayan Cement Berhad | 195,971 | 381,489 |
Public Bank Berhad | 65,093 | 232,275 |
RHB Capital Berhad | 295,770 | 511,387 |
Telekom Malaysia Berhad | 719,800 | 759,078 |
Tenaga Nasional Berhad | 437,000 | 1,074,414 |
Top Glove Berhad (a) | 104,200 | 444,016 |
|
| 4,828,677 |
MEXICO—4.5% |
|
|
Alfa SA | 139,808 | 1,106,738 |
America Movil SAB de C.V., Series L | 430,061 | 1,088,085 |
Fomento Economico Mexicano SAB (c) | 39,039 | 1,855,524 |
Grupo Bimbo, SA de C.V. | 156,901 | 1,407,824 |
Grupo Carso SAB de C.V., Series A | 211,564 | 813,311 |
Grupo Continental SAB de C.V. (a) | 47,366 | 143,592 |
Grupo Mexico SAB de C.V., Series B (a) | 667,926 | 1,797,385 |
Grupo Simec SA de C.V., Series B (a) | 134,932 | 391,176 |
Grupo Televisa SA (c) | 10,376 | 218,104 |
Industrias CH SAB de C.V., Series B (a) | 129,037 | 518,602 |
Telefonos de Mexico SA (c) | 73,015 | 1,139,034 |
|
| 10,479,375 |
PHILIPPINES—0.4% |
|
|
Robinsons Land Corporation (a) | 711,700 | 228,361 |
SM Investments Corporation (a) | 100,099 | 819,576 |
|
| 1,047,937 |
POLAND—0.8% |
|
|
KGHM Polska Miedz SA | 47,071 | 1,769,729 |
RUSSIA—7.7% |
|
|
Evraz Group SA (a) (d) | 49,555 | 1,968,820 |
Gazprom (a)(c) | 233,148 | 5,439,343 |
JSC MMC Norilsk Nickel (a)(c) | 41,455 | 763,187 |
LUKoil (c) | 64,015 | 3,629,651 |
Mechel OAO (c) | 15,803 | 449,121 |
Mobile TeleSystems (a)(c) | 23,453 | 1,301,642 |
Novolipetsk Steel (a) (d) | 26,700 | 925,155 |
Severstal (a) (d) | 162,670 | 2,368,475 |
Surgutneftegaz (a)(c) | 96,292 | 954,254 |
|
| 17,799,648 |
SINGAPORE—0.6% |
|
|
Yangzijiang Shipbuilding Holdings Limited (a) | 1,791,996 | 1,485,911 |
SOUTH AFRICA—6.0% |
|
|
39
Absa Group Limited (a) | 129,171 | 2,506,789 |
Adcock Ingram Holdings Ltd. | 28,479 | 222,938 |
Barloworld Limited (a) | 183,423 | 1,232,993 |
Bidvest Group Limited | 2,614 | 48,572 |
Emira Property Fund (a) | 31,776 | 51,136 |
Fountainhead Property Trust Management Limited | 201,541 | 186,905 |
Group Five Limited | 49,946 | 252,710 |
Imperial Holdings Limited | 97,229 | 1,329,846 |
Investec Limited (a) | 173,717 | 1,480,474 |
Kumba Iron Ore Limited (a) | 4,560 | 219,465 |
Metropolitan Holdings Limited | 529,847 | 1,219,750 |
Netcare Limited | 233,815 | 420,915 |
Remgro Limited | 45,732 | 611,215 |
RMB Holdings Ltd. | 147,646 | 651,797 |
Sanlam Limited (a) | 498,596 | 1,691,113 |
Santam Limited | 7,287 | 101,814 |
Sasol Ltd. | 8,601 | 355,101 |
Woolworths Holdings Limited (a) | 459,402 | 1,411,569 |
|
| 13,995,102 |
SOUTH KOREA—12.1% |
|
|
Busan Bank | 124,406 | 1,335,925 |
Cheil Worldwide Inc. (a) | 3,084 | 913,111 |
Daegu Bank (a) | 96,464 | 1,291,643 |
Daishin Securities Company (a) | 75,970 | 1,057,517 |
Dongbu Insurance Co., Ltd. | 16,960 | 484,165 |
GS Engineering & Construction Corp | 15,987 | 1,377,642 |
Halla Climate Control Corp. | 23,300 | 280,065 |
Hanwha Chemical Corporation (a) | 117,161 | 1,428,982 |
Hyundai Department Store Co., Ltd. (a) | 18,314 | 1,675,283 |
Kangwon Land Inc. (a) | 87,858 | 1,320,064 |
Korea Exchange Bank | 111,500 | 1,330,373 |
Korea Zinc Co., Ltd. (a) | 12,302 | 2,196,300 |
KP Chemical Corp. (a) | 91,431 | 661,823 |
LG Chem Ltd. (a) | 13,403 | 2,848,930 |
LG Corp. | 35,272 | 2,213,365 |
LG Display Co., Ltd. (a) | 59,314 | 2,094,299 |
LG Electronics Inc. | 15,024 | 1,527,032 |
Neowiz Games Corp. | 5,037 | 156,704 |
Samsung Electronics Co., Ltd. | 4,922 | 3,558,439 |
Woori Investment & Securities Co., Ltd. (a) | 30,069 | 417,237 |
|
| 28,168,899 |
40
TAIWAN—11.8% |
|
|
Advanced Semiconductor Engineering Inc. | 1,069,000 | 976,163 |
AU Optronics Corp | 1,487,043 | 1,690,354 |
China Bills Finance Corporation (a)(f) | 407,576 | 121,408 |
Compal Electronics, Inc. | 1,556,993 | 2,037,063 |
Coretronic Corp. | 282,000 | 400,028 |
CTCI Corporation | 105,934 | 110,577 |
Eternal Chemical Co., Ltd. (a) | 779,688 | 796,677 |
Lite-On IT Corp. | 160,000 | 173,059 |
Lite-On Technology Corp. (a) | 1,122,073 | 1,489,243 |
Macronix International Co., Ltd. (a) | 2,134,136 | 1,411,199 |
MediaTek, Inc. (a) | 88,244 | 1,531,030 |
Quanta Computer, Inc. (a) | 1,090,595 | 2,115,393 |
Siliconware Precision Industries Company (a) | 607,215 | 732,298 |
SoftWorld International Corp. | 159,000 | 771,018 |
Taiwan Cooperative Bank | 387,096 | 234,027 |
Taiwan Semiconductor Manufacturing Company Ltd. | 2,738,968 | 5,304,066 |
TSRC Corp. | 435,164 | 579,616 |
Tung Ho Steel Enterprise Corporation (a) | 1,033,000 | 1,172,607 |
U-Ming Marine Transport Corporation (a) | 678,231 | 1,375,341 |
United Microelectronics Corporation (a) | 4,282,708 | 2,272,298 |
Wistron Corporation | 502,603 | 913,162 |
WPG Holdings Co., Ltd. (a) | 702,529 | 1,148,097 |
|
| 27,354,724 |
THAILAND—3.2% |
|
|
Bangkok Bank PCL (e) | 138,706 | 564,090 |
Banpu Company (e) | 8,000 | 150,920 |
CP ALL PCL | 1,166,572 | 992,136 |
Kasikornbank PCL (e) | 96,400 | 287,694 |
Krung Thai Bank PCL (e) | 5,532,618 | 2,053,237 |
Siam Cement Public Company (e) | 177,564 | 1,411,286 |
Siam Commercial Bank PCL | 136,638 | 388,764 |
Thai Airways International PCL (a) | 1,092,370 | 954,367 |
Thai Oil PCL (a) | 346,413 | 535,663 |
|
| 7,338,157 |
TURKEY—2.1% |
|
|
Akbank TAS (a) | 50,173 | 323,899 |
Akcansa Cimento AS (a) | 30,177 | 138,158 |
Albaraka Turk Katilim Bankasi AS (a) | 80,540 | 137,943 |
Haci Omer Sabanci Holding AS (a) | 36,619 | 156,796 |
Tupras—Turkiye Petrol Rafinerileri AS | 6,765 | 153,745 |
41
Turkiye Halk Bankasi AS (a) | 224,268 | 1,625,077 |
Turkiye Is Bankasi | 479,956 | 1,561,861 |
Turkiye Is Bankasi (Private Placement) | 228,988 | 718,015 |
|
| 4,815,494 |
TOTAL COMMON STOCK |
|
|
(Cost $176,904,370) |
| 218,023,461 |
Preferred Stock—4.5% |
|
|
BRAZIL—4.5% |
|
|
Banco Industrial e Comercial SA | 36,799 | 277,740 |
Banrisul SA | 55,882 | 467,238 |
Bradespar SA | 56,596 | 1,395,805 |
Brasil Telecom Participacoes SA | 79,817 | 510,599 |
Braskem SA (a) | 3,644 | 26,767 |
CIA Brasileira De Dis | 39,893 | 1,326,819 |
Companhia Paranaense de Energia-COPEL | 14,404 | 294,296 |
Eletropaulo Metropolitana SA | 65,487 | 1,432,809 |
Itau Unibanco Holding SA | 31,958 | 699,398 |
Metalurgica Gerdau SA (a) | 82,433 | 1,687,470 |
Telecomunicacoes de Sao Paulo SA | 30,122 | 650,935 |
Vale SA (a) | 59,898 | 1,665,467 |
TOTAL PREFERRED STOCK |
|
|
(Cost $8,005,273) |
| 10,435,343 |
Exchange Traded Funds—1.4% |
|
|
INDIA—1.4% |
|
|
PowerShares India Portfolio | 41,595 | 946,702 |
WisdomTree India Earnings Fund | 101,532 | 2,368,742 |
TOTAL EXCHANGE TRADED FUNDS |
|
|
(Cost $2,581,082) |
| 3,315,444 |
TOTAL INVESTMENTS (EXCLUDING INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED) |
|
|
(Cost $187,490,725) |
| 231,774,248 |
42
| Par Value | Value |
INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED—0.3% |
|
|
Money Market—0.3% |
|
|
JP Morgan Prime Money Market Fund—Inst. | $ 800,800 | $ 800,800 |
TOTAL INVESTMENTS—100.2% |
|
|
(Cost $188,291,525) (f) |
| 232,575,048 |
OTHER ASSETS & LIABILITIES (Net)—(0.2%) |
| (601,458) |
NET ASSETS—100% |
| $231,973,590 |
(a) | Non-income producing security. |
| |
(b) | All or a portion of this security was out on loan. |
| |
(c) | ADR—American Depositary Receipts |
| |
(d) | GDR—Global Depositary Receipts |
| |
(e) | NVDR—Non Voting Depository Receipts |
| |
(f) | Fair Valued under direction of the board. Fair Value represents 0.3% of Total Net Assets | ||
(g) | At March 31, 2010, the unrealized appreciation based on aggregate cost for federal tax purposes of $189,989,267 was as follows: | ||
| Aggregate gross unrealized appreciation for all | $ 48,071,825 | |
| Aggregate gross unrealized depreciation for all | (5,486,044) | |
| Net unrealized appreciation/(depreciation) | $ 42,585,781 | |
The percentage of each investment category is calculated as a percentage of net assets.
SECTOR ALLOCATIONS | |
Financials | 23.7% |
Materials | 15.7% |
Information Technology | 15.1% |
Energy | 14.3% |
Consumer Discretionary | 7.0% |
Industrials | 6.9% |
Telecommunication Services | 5.6% |
Consumer Staples | 4.6% |
Utilities | 3.1% |
Healthcare | 2.5% |
Exchange-traded Funds | 1.4% |
Cash and Other Assets (Net) | 0.1% |
43
QUANT FOREIGN VALUE FUND
SCHEDULE OF INVESTMENTS
March 31, 2010
Common Stock—94.7%
| Shares | Value |
AUSTRALIA—2.9% |
|
|
BHP Billiton Ltd. | 315,050 | $ 12,589,073 |
AUSTRIA—2.3% |
|
|
Andritz AG | 170,160 | 10,091,694 |
BELGIUM—3.5% |
|
|
KBC Groep N.V. (a) | 219,385 | 10,638,825 |
Solvay S.A. | 45,180 | 4,650,771 |
|
| 15,289,596 |
CANADA—2.6% |
|
|
Methanex Corporation | 472,307 | 11,454,933 |
FINLAND—6.6% |
|
|
Kone OYJ-B | 306,200 | 12,672,538 |
Konecranes OYJ | 148,280 | 4,385,997 |
YIT OYJ | 516,067 | 11,935,461 |
|
| 28,993,996 |
FRANCE—6.4% |
|
|
Christian Dior S.A. | 94,773 | 10,123,688 |
Imerys S.A. | 84,552 | 5,219,231 |
Technip S.A. | 157,200 | 12,799,295 |
|
| 28,142,214 |
GERMANY—11.6% |
|
|
BASF SE | 149,600 | 9,291,171 |
Demag Cranes AG | 128,000 | 4,493,327 |
Hannover Rueckvers | 181,700 | 8,984,587 |
Muenchener Rueckvers AG | 41,100 | 6,678,864 |
Symrise AG | 494,700 | 11,795,904 |
Tognum AG | 507,500 | 9,554,595 |
|
| 50,798,448 |
INDIA—2.9% |
|
|
Infosys Technologies Ltd. (b) | 48,800 | 2,871,880 |
State Bank of India (b) | 105,000 | 9,870,000 |
|
| 12,741,880 |
IRELAND—6.1% |
|
|
CRH PLC | 326,751 | 8,169,251 |
Greencore Group PLC | 4,543,458 | 8,541,708 |
Smurfit Kappa Group PLC (a) | 1,194,260 | 9,966,004 |
|
| 26,676,963 |
44
ITALY—3.1% |
|
|
Trevi Finanziaria SpA | 776,466 | 13,337,154 |
|
|
|
JAPAN—12.7% |
|
|
Asahi Breweries Ltd. | 460,500 | 8,643,003 |
Culture Convenience Club Co., Ltd. | 342,600 | 1,668,983 |
Iino Kaiun Kaisha, Ltd. | 1,076,000 | 7,177,173 |
Kansai Electric Power Company Inc. | 389,700 | 8,937,231 |
KDDI Corporation | 1,204 | 6,239,143 |
Meiji Holdings Co., Ltd. | 186,300 | 7,240,568 |
Nippon Yusen Kabushiki Kaisha | 2,061,000 | 8,142,495 |
Showa Denko K.K. | 3,379,000 | 7,633,501 |
|
| 55,682,097 |
NORWAY—3.1% |
|
|
Camillo Eitzen & Co. ASA (a) | 588,679 | 1,174,147 |
DnB NOR ASA | 1,088,542 | 12,440,585 |
|
| 13,614,732 |
SOUTH AFRICA—2.4% |
|
|
Metorex Ltd. | 4,759,918 | 2,499,241 |
Sasol Ltd. | 190,535 | 7,866,439 |
|
| 10,365,680 |
SOUTH KOREA—4.5% |
|
|
Samsung Electronics Company Ltd. | 16,285 | 11,773,503 |
SK Telecom Company Ltd. | 51,793 | 7,942,097 |
|
| 19,715,600 |
SWEDEN—9.6% |
|
|
Autoliv Inc. | 237,234 | 12,224,668 |
Duni AB | 1,179,500 | 10,641,982 |
Investor AB | 502,056 | 9,651,908 |
Svenska Handelsbanken AB | 328,500 | 9,648,555 |
|
| 42,167,113 |
SWITZERLAND—1.9% |
|
|
Novartis AG | 155,500 | 8,410,794 |
THAILAND—2.4% |
|
|
Thai Oil PLC | 6,724,400 | 10,398,021 |
UNITED KINGDOM—10.1% |
|
|
Barratt Developments PLC (a) | 5,648,556 | 10,634,142 |
Bellway PLC | 786,758 | 9,197,615 |
Lloyds TSB Group PLC (a) | 6,581,317 | 6,272,032 |
Persimmon PLC (a) | 1,109,088 | 7,838,428 |
Taylor Wimpey PLC (a) | 17,610,191 | 10,066,358 |
45
|
| 44,008,575 |
TOTAL COMMON STOCK |
|
|
(Cost $460,122,075) |
| 414,478,563 |
Rights—0.0% |
|
|
| Shares | Value |
SOUTH AFRICA—0.0% |
|
|
Metorex Ltd. | 1,581,863 | 53,933 |
Short Term Investments—4.2% |
|
|
| Par Value | Value |
COMMERCIAL PAPER—4.2% |
|
|
General Electric Capital Corporation, 0.08%, | $8,275,000 | 8,275,000 |
State Street Global Advisors FDS, 0.01%, | $9,976,308 | 9,976,308 |
TOTAL SHORT TERM INVESTMENTS—4.2% |
| 18,251,308 |
TOTAL INVESTMENTS—98.9% |
|
|
(Cost $478,373,383) |
| 432,783,804 |
OTHER ASSETS & LIABILITIES (NET)—1.1% |
| 4,909,106 |
NET ASSETS—100% |
| $437,692,910 |
(a) | Non-income producing security |
| |
(b) | ADR—American Depository Receipts |
| |
(c) | At March 31, 2010, the unrealized appreciation of investments based on aggregate cost for federal tax purposes of $478,375,711 was as follows: | ||
| Aggregate gross unrealized appreciation for all | $ 54,234,680 | |
| Aggregate gross unrealized depreciation for all | (99,826,587) | |
| Net unrealized appreciation/(depreciation) | $ (45,591,907) | |
The percentage of each investment category is calculated as a percentage of net assets.
46
SECTOR ALLOCATIONS | |
Industrials | 19.0% |
Materials | 19.0% |
Financials | 17.0% |
Consumer Discretionary | 16.5% |
Energy | 7.1% |
Consumer Staples | 5.6% |
Utilities | 2.0% |
Information Technology | 3.4% |
Telecommunication Services | 3.2% |
Health Care | 1.9% |
Other Assets & Liabilities | 5.3% |
47
QUANT FOREIGN VALUE SMALL CAP
SCHEDULE OF INVESTMENTS
March 31, 2010
Common Stock—89.5%
| Shares | Value |
AUSTRALIA—2.4% |
|
|
Austal Limited | 812,600 | $ 1,899,522 |
Sigma Pharmaceutical Ltd. | 2,928,000 | 1,248,106 |
|
| 3,147,628 |
BELGIUM—3.6% |
|
|
Kinepolis Group | 43,800 | 2,401,568 |
Omega Pharma NV S.A. | 49,100 | 2,449,448 |
|
| 4,851,016 |
BRAZIL—1.8% |
|
|
Equatorial Energia S.A. | 277,085 | 2,431,811 |
CAMBODIA—1.6% |
|
|
NagaCorp Ltd. | 15,887,637 | 2,087,019 |
CHINA—10.7% |
|
|
China Fishery Group Limited | 2,152,823 | 3,062,381 |
China Gerui Advanced Materials Group Limited | 235,000 | 1,781,300 |
Samson Holding Ltd. | 4,413,000 | 744,513 |
Sichuan Expressway Company Limited | 4,413,200 | 2,620,122 |
Sichuan Xinhua Winshare Chainstore Co., Ltd. | 4,687,300 | 2,257,674 |
Texwinca Holdings Limited | 1,788,000 | 1,973,401 |
VTech Holdings Limited | 165,200 | 1,794,577 |
|
| 14,233,968 |
FRANCE—1.4% |
|
|
Bonduelle SA | 16,500 | 1,848,900 |
GERMANY—1.4% |
|
|
Demag Cranes AG | 55,300 | 1,941,258 |
INDIA—9.7% |
|
|
KRBL Limited Derivative (a) | 6,123,000 | 3,245,190 |
LIC Housing Finance Ltd. Derivative (a) | 102,900 | 1,997,289 |
NIIT Technologies Derivative (a) | 637,400 | 2,409,372 |
South Indian Bank Derivative (a) | 631,600 | 2,507,452 |
Usha Martin Group Derivative (a) | 1,196,900 | 2,704,994 |
|
| 12,864,297 |
IRELAND—6.5% |
|
|
Glanbia PLC | 459,100 | 1,855,967 |
Greencore Group PLC | 911,797 | 1,714,154 |
IFG Group PLC | 1,556,935 | 2,884,882 |
United Drug PLC | 619,935 | 2,154,846 |
48
|
| 8,609,849 |
ITALY—2.4% |
|
|
De’Longhi SpA | 433,100 | 1,900,815 |
Trevi Finanziaria SpA | 73,700 | 1,265,926 |
|
| 3,166,741 |
JAPAN—5.7% |
|
|
Accordia Golf Co., Ltd. | 1,953 | 1,963,455 |
Culture Convenience Club Co., Ltd. | 225,200 | 1,097,067 |
Daiichi Kosho Co., Ltd. | 149,300 | 1,927,792 |
Iino Kaiun Kaisha, Ltd. | 391,400 | 2,610,730 |
|
| 7,599,044 |
LUXEMBOURG—1.2% |
|
|
Transcom WorldWide S.A. (a) | 353,500 | 1,579,998 |
NETHERLANDS—2.0% |
|
|
Dockwise Ltd. | 108,000 | 2,626,742 |
|
|
|
NORWAY—6.1% |
|
|
ABG Sundal Collier Holding ASA | 1,450,700 | 2,075,498 |
Pronova BioPharma ASA | 542,800 | 1,745,014 |
SpareBank 1 Midt-Norge | 300,804 | 2,430,249 |
SpareBank 1 Nord-Norge | 98,900 | 1,914,344 |
|
| 8,165,105 |
RUSSIA—1.5% |
|
|
Bank Vozrozhdenie | 48,500 | 2,043,305 |
SINGAPORE—3.5% |
|
|
Breadtalk Group Ltd. | 4,605,600 | 2,271,607 |
M1 Ltd. | 1,639,900 | 2,438,252 |
|
| 4,709,859 |
SOUTH AFRICA—2.5% |
|
|
Clicks Group Limited | 496,600 | 2,007,395 |
Metorex Limited (a) | 3,097,534 | 1,247,054 |
|
| 3,254,449 |
SWEDEN—4.5% |
|
|
Duni AB | 203,300 | 1,834,264 |
Loomis AB | 144,200 | 1,861,485 |
Nolato AB | 222,800 | 2,257,612 |
|
| 5,953,361 |
SWITZERLAND—3.2% |
|
|
Bobst Group SA (a) | 53,100 | 2,017,285 |
Vetropack Holding AG | 1,226 | 2,292,710 |
|
| 4,309,995 |
49
UNITED KINGDOM—17.8% |
|
|
Alternative Networks plc | 1,024,500 | 2,317,616 |
Character Group plc (a) | 1,252,900 | 2,025,860 |
Clarkson plc | 156,600 | 2,068,494 |
CSR plc (a) | 185,300 | 1,288,500 |
Filtrona plc | 680,900 | 2,255,700 |
Galliford Try plc | 332,778 | 1,614,243 |
Halfords Group plc | 257,386 | 1,846,418 |
Hampson Industries plc | 1,728,707 | 1,587,889 |
Healthcare Locums plc | 1,043,200 | 2,850,909 |
Keller Group plc | 168,900 | 1,733,483 |
The Restaurant Group plc | 613,400 | 2,169,917 |
Vitec Group plc | 308,101 | 1,894,486 |
|
| 23,653,515 |
TOTAL COMMON STOCK |
|
|
(Cost $100,685,320) |
| 119,077,860 |
Preferred Stock—2.3% |
|
|
GERMANY—2.3% |
|
|
Drädagerwerk AG | 43,700 | 3,049,777 |
TOTAL PREFERRED STOCK |
|
|
(Cost $1,550,503) |
| 3,049,777 |
Exchange Traded Funds—3.0% |
|
|
OTHER—3.0% |
|
|
iShares MSCI EAFE Small Cap Index Fund | 52,600 | 1,967,240 |
SPDR S&P International Small Cap Fund | 75,000 | 2,005,500 |
TOTAL EXCHANGE TRADED FUNDS |
|
|
(Cost $3,692,275) |
| 3,972,740 |
50
| Par Value | Value |
Short Term Investments—5.4% |
|
|
COMMERCIAL PAPER—5.4% |
|
|
State Street Global Advisors FDS, 0.01%, | $7,154,910 | $ 7,154,910 |
TOTAL INVESTMENTS—100.2% |
|
|
(Cost $113,083,008) |
| 133,255,287 |
OTHER ASSETS & LIABILITIES (NET)—(0.2%) |
| (181,885) |
NET ASSETS—100% |
| $133,073,402 |
(a) | Non-income producing security |
|
(b) | At March 31, 2010, the unrealized appreciation of investments based on aggregate cost for federal tax purposes of $113,083,014 was as follows: | |
| Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ 24,776,684 |
| Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (4,604,411) |
| Net unrealized appreciation / (depreciation) | $20,172,273 |
The percentage of each investment category is calculated as a percentage of net assets.
SECTOR ALLOCATIONS | |
Consumer Discretionary | 21.2% |
Industrials | 17.1% |
Financials | 11.9% |
Consumer Staples | 10.5% |
Health Care | 10.2% |
Materials | 7.7% |
Information Technology | 5.8% |
Telecommunication Services | 3.6% |
Exchange Traded Funds | 3.0% |
Energy | 2.0% |
Utilities | 1.8% |
Cash and Other Assets | 5.2% |
51
QUANT FUND
STATEMENT OF ASSETS AND LIABILITIES
March 31, 2010
| Small Cap | Long/Short |
Assets: |
|
|
Investments at value (Includes collateral from securities on loan of $28,788,248; $9,653,032; $800,800; $0: $0, respectively)* (Note 2) | $ 129,760,716 | $ 79,823,702 |
Repurchase agreements / commercial paper | 7,853,000 | — |
Foreign currency at value (Cost $95,312 for Emerging Markets, $152,742 for Foreign Value, and $2,436,991 for Foreign Value Small Cap) | — | — |
Cash | — | 233,815 |
Dividend, interest and foreign tax reclaims receivable | 133,143 | 130,543 |
Receivable for investments sold | 124,263 | — |
Receivable for shares of beneficial interest sold | 50,443 | 1,160 |
Unrealized gain/(loss) on forward foreign currency contracts (Note 2) | — | — |
Other assets | 13,864 | 7,527 |
Total Assets | $137,935,429 | $80,196,747 |
Liabilities: |
|
|
Securities sold short , at value (proceeds of $13,561,062) | $ — | $ 15,652,323 |
Payable for investments purchased | 2,226,711 | — |
Payable for shares of beneficial interest repurchased | 35,388 | — |
Payable to broker on securities sold short | — | — |
Payable for compensation of manager (Note 3) | 88,760 | 46,121 |
Payable for distribution fees (Note 3) | 20,724 | 11,530 |
Payable to custodian | 127,403 | 8,409 |
Payable to transfer agent (Note 3) | 9,423 | 11,450 |
Payable for collateral received for securities loaned | 28,788,248 | 9,653,032 |
Payable for foreign capital gain tax | — | — |
Payable For dividend expense on securities sold short | — | 2,234 |
Unrealized gain/(loss) on forward foreign currency contracts (Note 2) | — | — |
Other accrued expenses and liabilities | 49,298 | 7,272 |
Total Liabilities | $ 31,345,955 | $25,392,371 |
Net Assets | $106,589,474 | $54,804,376 |
* Includes securities on loan to brokers with market value of $28,169,403; $24,758,287; $756,950; $0; $0, respectively.
52
Emerging | Foreign | Foreign Value |
|
|
|
|
|
|
|
|
|
$ 232,575,048 | $ 414,532,496 | $ 126,100,377 |
— | 18,251,308 | 7,154,910 |
|
|
|
|
|
|
95,595 | 151,376 | 2,466,289 |
— | — | 19,824 |
892,039 | 2,403,526 | 351,715 |
926,857 | — | — |
155,468 | 31,505 | 5,751 |
|
|
|
— | — | 5,407 |
7,238 | 3,400,713 | 770,343 |
$234,652,245 | $438,770,924 | $136,874,616 |
|
|
|
|
|
|
$ — | $ — | $ — |
— | — | 3,594,454 |
222,103 | 215,939 | 8,239 |
— | — | — |
195,387 | 364,026 | 118,676 |
43,481 | 77,049 | 25,772 |
885,888 | 20,532 | 6,569 |
32,257 | 76,420 | 19,691 |
800,800 | — | — |
449,080 | 297,541 | — |
— | — | — |
|
|
|
13 | — | — |
49,646 | 26,507 | 27,813 |
$ 2,678,655 | $ 1,078,014 | $ 3,801,214 |
$ 231,973,590 | $ 437,692,910 | $ 133,073,402 |
53
| Small Cap | Long/Short |
Net Assets Consist Of: |
|
|
Shares of beneficial interest | $ 124,659,113 | $ 70,996,709 |
Underdistributed/(overdistributed) net investment income | 575,958 | 137,790 |
Accumulated net realized gain/(loss) on investments and foreign denominated assets, liabilities and currency | (37,969,335) | (21,575,551) |
Unrealized appreciation/(depreciation) of investments and foreign denominated assets, liabilities and currency | 19,323,738 | 5,245,428 |
Net Assets | $ 106,589,474 | $ 54,804,376 |
Investments at cost | $ 118,289,978 | $ 72,487,012 |
Net assets |
|
|
Ordinary Shares | $ 99,443,888 | $ 54,213,499 |
Institutional Shares | $ 7,145,586 | $ 590,877 |
Shares of beneficial interest outstanding (unlimited number of shares authorized) |
|
|
Ordinary Shares | 6,043,805 | 4,769,872 |
Institutional Shares | 385,023 | 50,057 |
Net asset value and offering price per share |
|
|
Ordinary Shares | $ 16.45 | $ 11.37 |
Institutional Shares | $ 18.56 | $ 11.80 |
54
Emerging | Foreign | Foreign Value |
|
|
|
$ 263,528,174 | $ 713,219,306 | $ 112,605,607 |
|
|
|
2,231,034 | 4,681,726 | 254,628 |
|
|
|
(77,641,889) | (234,292,456) | 76,399 |
|
|
|
43,856,271 | (45,915,666) | 20,136,768 |
$231,973,590 | $ 437,692,910 | $ 133,073,402 |
$188,291,525 | $ 478,373,383 | $ 113,083,008 |
|
|
|
$205,726,645 | $ 369,625,632 | $ 124,970,616 |
$ 26,246,945 | $ 68,067,278 | $ 8,102,786 |
|
|
|
|
|
|
9,689,264 | 29,695,440 | 12,160,123 |
1,221,790 | 5,469,304 | 787,028 |
|
|
|
$ 21.23 | $ 12.45 | $ 10.28 |
$ 21.48 | $ 12.45 | $ 10.30 |
55
QUANT FUNDS
STATEMENT OF OPERATIONS
12 Months Ended March 31, 2010
| Small Cap | Long/Short |
Investment Income: |
|
|
Dividends* | $ 2,066,297 | $ 1,291,320 |
Interest | 192 | — |
Sec Lending Income | 117,144 | 46,486 |
Miscellaneous (Note 2) | 466 | 467 |
Total Investment Income | 2,184,099 | 1,338,273 |
Expenses: |
|
|
Dividend expense on securities sold short | — | 93,306 |
Stock loan fees | — | 70,378 |
Compensation of manager (Note 3) | 881,422 | 515,394 |
Distribution fees, Ordinary Shares (Note 3) | 203,712 | 127,226 |
Administrative Fees (Note 3) | 28,207 | 16,815 |
Custodian and fund accounting fees | 48,105 | 81,928 |
Regulatory and Compliance (Note 3) | 19,150 | 11,488 |
Transfer agent fees (Note 3): |
|
|
Ordinary Shares | 139,561 | 87,568 |
Institutional Shares | 11,001 | 1,241 |
Audit and legal | 23,843 | 14,355 |
Registration fees | 30,419 | 23,930 |
Insurance | 9,243 | 5,569 |
Compensation of trustees (Note 3) | 11,501 | 6,900 |
Printing | 16,493 | 10,150 |
Miscellaneous | 13,841 | 13,688 |
Total expenses before waivers/ | 1,436,498 | 1,079,936 |
Waivers and/or reimbursements of | — | — |
Fees reduced by credits allowed | — | (7) |
Expenses, Net | 1,436,498 | 1,079,929 |
Net investment income/(loss) | 747,601 | 258,344 |
Realized and unrealized gain/(loss) on investments, foreign currency, and foreign translation: |
|
|
Net realized gain/(loss) (Note 2) on: |
|
|
Investments | (2,131,430) | 12,577,165 |
Securities sold short transactions | — | (10,328,115) |
Foreign denominated assets, liabilities, and currency | — | — |
Change in unrealized appreciation/(depreciation) of: |
|
|
Investments | 42,535,784 | 15,112,782 |
56
Securities sold short transactions | — | (1,508,930) |
Foreign denominated assets, liabilities, and currency | — | — |
Net realized and unrealized gain/(loss) on investment and foreign currency | 40,404,354 | 15,852,902 |
Net increase/(decrease) in net assets resulting from operations | $ 41,151,955 | $ 16,111,246 |
* | Dividends are net of withholding taxes of $7,085 for Small Cap., net of foreign withholding taxes of $814,396 for Emerging Markets, $1,015,288 for Foreign Value, and $92,676 for Foreign Value Small Cap. |
57
Emerging | Foreign | Foreign Value |
|
|
|
$ 6,895,591 | $ 7,698,651 | $ 1,868,116 |
(391) | 9,422 | 7,440 |
69,233 | 401,271 | — |
540 | 2,749,084 | 11,632 |
6,964,973 | 10,858,428 | 1,887,188 |
|
|
|
— | — | — |
— | — | — |
2,530,891 | 3,926,670 | 759,908 |
574,161 | 819,860 | 173,866 |
82,429 | 123,593 | 21,170 |
437,800 | 232,940 | 65,468 |
55,808 | 83,439 | 14,004 |
|
|
|
374,432 | 549,502 | 114,853 |
37,680 | 107,302 | 10,520 |
69,378 | 103,690 | 16,834 |
48,292 | 47,361 | 21,568 |
26,795 | 39,626 | 6,421 |
33,497 | 50,080 | 8,391 |
46,339 | 68,261 | 7,994 |
31,662 | 36,638 | 13,002 |
|
|
|
4,349,164 | 6,188,962 | 1,233,999 |
|
|
|
— | — | — |
|
|
|
— | (3) | (3) |
4,349,164 | 6,188,959 | 1,233,996 |
2,615,809 | 4,669,469 | 653,192 |
|
|
|
|
|
|
|
|
|
22,277,287 | (106,506,337) | 1,078,287 |
— | — | — |
(403,321) | 18,157 | (27,255) |
|
|
|
107,796,051 | 311,545,845 | 34,294,091 |
— | — | — |
58
(295,090) | (302,316) | (36,019) |
|
|
|
129,374,927 | 204,755,349 | 35,309,104 |
|
|
|
$ 131,990,736 | $ 209,424,818 | $ 35,962,296 |
59
QUANT FUND
STATEMENT OF CHANGES IN NET ASSETS
| Small Cap | |
| Year Ended | Year Ended |
Increase (Decrease) in Net Assets: |
|
|
Operations: |
|
|
Net investment income/(loss) | $ 747,601 | $ 373,179 |
Net realized gain/(loss) on investments | (2,131,430) | (36,195,225) |
Unrealized appreciation/(depreciation) of investments, foreign denominated assets, liabilities, and currency | 42,535,784 | (31,601,323) |
Net increase/(decrease) from operations | $ 41,151,955 | $ (67,423,369) |
Distributions to shareholders from: |
|
|
Net investment income |
|
|
Ordinary shares | $ (166,855) | $— |
Institutional shares | (21,762) | — |
Net realized gains |
|
|
Ordinary shares | — | (381,648) |
Institutional shares | — | (40,740) |
Total distributions | $ (188,617) | $ (422,388) |
|
|
|
Fund share transactions (Note 8) | (3,597,853) | (7,161,857) |
Contributions to capital from investment | 25 | 82 |
|
|
|
Increase/(decrease) in net assets | $ 37,365,510 | $ (75,007,532) |
Net assets beginning of period | 69,223,964 | 144,231,496 |
Net assets end of period* | $ 106,589,474 | $ 69,223,964 |
* Includes undistributed net investment | $ 575,958 | $ 188,025 |
60
| Long/Short | |
| Year Ended | Year Ended |
Increase (Decrease) in Net Assets: |
|
|
Operations: |
|
|
Net investment income/(loss) | $ 258,344 | $ (229,042) |
Net realized gain/(loss) on investments | 2,249,050 | (23,010,657) |
Unrealized appreciation/(depreciation) of investments, foreign denominated assets, liabilities, and currency | 13,603,852 | (6,796,334) |
Net increase/(decrease) from operations | $ 16,111,246 | $ (30,036,033) |
Distributions to shareholders from: |
|
|
Net investment income |
|
|
Ordinary shares | $ (120,372) | $ (59,856) |
Institutional shares | (2,488) | (3,214) |
Net realized gains |
|
|
Ordinary shares | — | — |
Institutional shares | — | — |
Total distributions | $ (122,860) | $ (63,070) |
|
|
|
Fund share transactions (Note 8) | (4,782,560) | 2,920,805 |
Contributions to capital from investment | 677 | — |
|
|
|
Increase/(decrease) in net assets | $ 11,206,503 | $ (27,178,298) |
Net assets beginning of period | 43,597,873 | 70,776,171 |
Net assets end of period* | $ 54,804,376 | $ 43,597,873 |
* Includes undistributed net investment income/(loss) of: | $ 137,790 | $— |
61
| Emerging Markets | |
| Year Ended | Year Ended |
Increase (Decrease) in Net Assets: |
|
|
Operations: |
|
|
Net investment income/(loss) | $ 2,615,809 | $ 5,928,753 |
Net realized gain/(loss) on investments | 21,873,966 | (99,226,631) |
Unrealized appreciation/(depreciation) of investments, foreign denominated assets, liabilities, and currency | 107,500,961 | (169,104,542) |
Net increase/(decrease) from operations | $ 131,990,736 | $(262,402,420) |
Distributions to shareholders from: |
|
|
Net investment income |
|
|
Ordinary shares | $ (824,167) | $ (5,862,199) |
Institutional shares | (111,587) | (959,785) |
Net realized gains |
|
|
Ordinary shares | — | (1,700,443) |
Institutional shares | — | (252,143) |
Total distributions | $ (935,754) | $ (8,774,570) |
|
|
|
Fund share transactions (Note 8) | (88,878,390) | (70,992,161) |
Contributions to capital from investment | — | 3,640 |
|
|
|
Increase/(decrease) in net assets | $ 42,176,592 | $(342,165,511) |
Net assets beginning of period | 189,796,998 | 531,962,509 |
Net assets end of period* | $ 231,973,590 | $ 189,796,998 |
* Includes undistributed net investment income/(loss) of: | $ 2,231,034 | $ (165,333) |
62
| Foreign Value | |
| Year Ended | Year Ended |
Increase (Decrease) in Net Assets: |
|
|
Operations: |
|
|
Net investment income/(loss) | $ 4,669,469 | $ 13,529,799 |
Net realized gain/(loss) on investments | (106,488,180) | (127,091,858) |
Unrealized appreciation/(depreciation) of investments, foreign denominated assets, liabilities, and currency | 311,243,529 | (327,704,407) |
Net increase/(decrease) from operations | $ 209,424,818 | $(441,266,466) |
Distributions to shareholders from: |
|
|
Net investment income |
|
|
Ordinary shares | $ (10,593,651) | $ (2,839,312) |
Institutional shares | (2,023,876) | (913,157) |
Net realized gains |
|
|
Ordinary shares | — | (36,958,948) |
Institutional shares | — | (8,845,161) |
Total distributions | $ (12,617,527) | $ (49,556,578) |
|
|
|
Fund share transactions (Note 8) | (2,423) | (190,425,771) |
Contributions to capital from investment | 375 | 1,812 |
|
|
|
Increase/(decrease) in net assets | $ 196,805,243 | $(681,247,003) |
Net assets beginning of period | 240,887,667 | 922,134,670 |
Net assets end of period* | $ 437,692,910 | $ 240,887,667 |
* Includes undistributed net investment income/ (loss) of: | $ 4,681,726 | $ 12,611,627 |
63
| Foreign Value | |
| Year Ended | Year Ended |
Increase (Decrease) in Net Assets: |
|
|
Operations: |
|
|
Net investment income/(loss) | $ 653,192 | $ 129,233 |
Net realized gain/(loss) on investments | 1,051,032 | (979,743) |
Unrealized appreciation/(depreciation) of investments, foreign denominated assets, liabilities, and currency | 34,258,072 | (14,121,304) |
Net increase/(decrease) from operations | $ 35,962,296 | $ (14,971,814) |
Distributions to shareholders from: |
|
|
Net investment income |
|
|
Ordinary shares | (345,343) | (113,257) |
Institutional shares | (29,098) | (27,588) |
Net realized gains |
|
|
Ordinary shares | — | (56,483) |
Institutional shares | — | (12,325) |
Total distributions | $ (374,441) | $ (209,653) |
|
|
|
Fund share transactions (Note 8) | 74,915,340 | 37,751,610 |
Contributions to capital from investment | — | 64 |
|
|
|
Increase/(decrease) in net assets | $ 110,503,195 | $ 22,570,207 |
Net assets beginning of period | 22,570,207 | — |
Net assets end of period* | $ 133,073,402 | $ 22,570,207 |
* Includes undistributed net investment income/ (loss) of: | $ 254,628 | $ 410 |
64
QUANT LONG/SHORT FUND
STATEMENT OF CASH FLOWS
Year Ended March 31, 2010
Increase(Decrease) in cash— |
|
Cash flows from operating activities: |
|
Net increase/(decrease) in net assets from operations | $ 16,111,246 |
Purchase of investment securities | (125,590,357) |
Sale of investment securities | 138,808,533 |
Decrease in deposits with brokers for short sales | — |
Decrease Receivable for Investments Sold | 47,215 |
Increase in dividends and interest receivable | (56,248) |
Decrease in accrued expenses | 10,121 |
Increase in securities sold short | 1,411,551 |
Increase in dividends payable for securities sold short | (23,406) |
Unrealized appreciation on securities | (13,603,852) |
Net realized gains from investments | (12,577,165) |
Net cash used in operating activities | (11,573,608) |
Cash flows from financing activities: |
|
Proceeds from shares sold | 3,923,637 |
Payment on shares redeemed | (8,807,797) |
Paid in Surplus | 677 |
Cash distributions paid | (8,632) |
Net cash provided by financing activities | (4,892,115) |
Net increase/(decrease) in cash | $ (354,477) |
Cash: |
|
Beginning balance—04/01/09 | 588,292 |
Ending balance—03/31/10 | $ 233,815 |
Supplemental disclosure of cash flow information:
Noncash financing activities that are excluded consist of reinvestment of dividend and capital gain distributions of $114,228. For purposes of reporting the statement of cash flows, the Fund considers all cash accounts that are not subject to withdrawal restrictions or penalties to be cash equivalents. Securities and Exchange Commission regulations do not require cash flow statements for Small Cap, Emerging Markets, Foreign Value, and Foreign Value Small Cap Funds.
65
QUANT SMALL CAP FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
| Ordinary Shares | ||||
| Years Ending March 31, | ||||
| 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $10.22 | $19.45 | $23.88 | $22.99 | $21.13 |
Income from Investment Operations: |
|
|
|
| |
Net investment income (loss) (a)(b)(c) | 0.11 | 0.06 | 0.07 | (0.19) | (0.22) |
Net realized and unrealized gain/(loss) on securities | 6.15 | (9.23) | (3.56) | 2.91 | 5.16 |
Total from Investment Operations | 6.26 | (9.17) | (3.49) | 2.72 | 4.94 |
Less Distributions: |
|
|
|
|
|
Dividends from net investment income | (0.03) | — | (0.11) | — | — |
Distributions from realized capital gains | — | (0.06) | (0.83) | (1.83) | (3.08) |
Total Distributions | (0.03) | (0.06) | (0.94) | (1.83) | (3.08) |
Net Asset Value, End of Period | $16.45 | $10.22 | $19.45 | $23.88 | $22.99 |
Total Return (d) | 61.27% | (47.11)% | (15.17)% | 12.01% | 24.51% |
Net Assets, End of Period (000’s) | $99,444 | $61,943 | $119,949 | $124,998 | $98,879 |
Ratios and Supplemental Data: |
|
|
|
|
|
Ratios of expenses to average net assets: (e) |
|
|
|
|
|
Gross | 1.65% | 1.64% | 1.59%* | 1.82% | 1.88% |
Net | 1.65% | 1.64% | 1.59%* | 1.82% | 1.88% |
Ratio of net investment income (loss) to average net assets (c) | 0.81% | 0.31% | 0.31% | (0.80)% | (1.00)% |
Portfolio Turnover | 50% | 72% | 39% | 41% | 57% |
* The expense ratio declined from the year ended March 31, 2007 to year ended March 31, 2008 as a result of the reduction of the 12b-1 fee from 50 basis points to 25 basis points on June 1, 2007.
66
| Institutional Shares | ||||
| Years Ending March 31, | ||||
| 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $11.51 | $21.86 | $26.71 | $25.39 | $22.96 |
Income from Investment Operations: |
|
|
|
| |
Net investment income (loss) (a)(b)(c) | 0.20 | 0.10 | 0.12 | (0.08) | (0.12) |
Net realized and unrealized gain/(loss) on securities | 6.91 | (10.39) | (3.94) | 3.23 | 5.63 |
Total from Investment Operations | 7.11 | (10.29) | (3.82) | 3.15 | 5.51 |
Less Distributions: |
|
|
|
|
|
Dividends from net investment income | (0.06) | — | (0.20) | — | — |
Distributions from realized capital gains | — | (0.06) | (0.83) | (1.83) | (3.08) |
Total Distributions | (0.06) | (0.06) | (1.03) | (1.83) | (3.08) |
Net Asset Value, End of Period | $18.56 | $11.51 | $21.86 | $26.71 | $25.39 |
Total Return (d) | 61.83% | (47.04)% | (14.87)% | 12.58% | 25.06% |
Net Assets, End of Period (000’s) | $7,146 | $7,281 | $24,282 | $12,400 | $12,298 |
Ratios and Supplemental Data: |
|
|
|
| |
Ratios of expenses to average net assets: (e) |
|
|
|
|
|
Gross | 1.41% | 1.42% | 1.30% | 1.31% | 1.38% |
Net | 1.41% | 1.42% | 1.30% | 1.31% | 1.38% |
Ratio of net investment income (loss) to average net assets (c) | 1.35% | 0.48% | 0.45% | (0.30)% | (0.50)% |
Portfolio Turnover | 50% | 72% | 39% | 41% | 57% |
(a) Per share numbers have been calculated using the average shares method.
(b) Reflects expense waivers/reimbursements and reductions in effect during the period. See Note 3 to the Financial Statements.
(c) Net investment income (loss) per share and the ratio of net investment income (loss) to average net assets reflect net investment income prior to certain reclassifications for federal income or excise taxes.
(d) Total Return does not include the deferred sales charge of 1% for the Ordinary Shares. The total return would have been lower if certain fees had not been waived or if custodial fees had not been reduced by credits allowed by the custodian. See Note 3 to the financial statements.
(e) Ratios of expenses to average net assets:
— Gross (total expenses before fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any).
— Net (total expenses net of fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any).
67
QUANT LONG/SHORT FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
| Ordinary Shares | ||||
| Years Ended March 31, | ||||
| 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $8.24 | $14.07 | $17.04 | $14.76 | $12.88 |
Income from Investment Operations: |
|
|
|
| |
Net investment income (loss) (a)(b)(c) | 0.05 | (0.04) | (0.09) | (0.02) | 0.03 |
Net realized and unrealized gain/(loss) on securities | 3.10 | (5.78) | (2.30) | 2.33 | 1.86 |
Total from Investment Operations | 3.15 | (5.82) | (2.39) | 2.31 | 1.89 |
Less Distributions: |
|
|
|
|
|
Dividends from net investment income | (0.02) | (0.01) | — | (0.03) | (0.01) |
Distributions from realized capital gains | — | — | (0.58) | — | — |
Total Distributions | (0.02) | (0.01) | (0.58) | (0.03) | (0.01) |
Net Asset Value, End of Period | $11.37 | $8.24 | $14.07 | $17.04 | $14.76 |
Total Return (d) | 38.30% | (41.36)% | (14.43)% | 15.63% | 14.67% |
Net Assets, End of Period (000’s) | $54,213 | $43,014 | $69,767 | $75,376 | $59,975 |
Ratios and Supplemental Data: |
|
|
|
|
|
Ratios of expenses to average net assets: (e) |
|
|
|
|
|
Gross | 2.10% | 2.71% | 2.18% | 1.74% | 1.65% |
Net including dividend and interest expense for securities sold short | 2.10% | 2.71% | 2.12% | 1.71% | 1.61% |
Net excluding dividend and interest expense for securities sold short | 1.92% | 1.98% | 1.90% | 1.69% | — |
Ratio of net investment income (loss) to average net assets (c) | 0.50% | (0.38)% | (0.52)% | (0.14)% | 0.21% |
Portfolio Turnover Excluding Short Positions (f) | 191% | 207% | 171% | 83% | 105% |
Note: This fund changed its investment strategy on November 1, 2006.
68
| Institutional Shares | ||||
| Years Ending March 31, | ||||
| 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $8.54 | $14.71 | $17.80 | $15.40 | $13.43 |
Income from Investment Operations: |
|
|
|
| |
Net investment income (loss) (a)(b)(c) | 0.08 | (0.10) | (0.10) | 0.06 | 0.10 |
Net realized and unrealized gain/(loss) on securities | 3.22 | (6.02) | (2.41) | 2.44 | 1.94 |
Total from Investment Operations | 3.30 | (6.12) | (2.51) | 2.50 | 2.04 |
Less Distributions: |
|
|
|
|
|
Dividends from net investment income | (0.04) | (0.05) | — | (0.10) | (0.07) |
Distributions from realized capital gains | — | — | (0.58) | — | — |
Total Distributions | (0.04) | (0.05) | (0.58) | (0.10) | (0.07) |
Net Asset Value, End of Period | $11.80 | $8.54 | $14.71 | $17.80 | $15.40 |
Total Return (d) | 38.71% | (41.66)% | (14.49)% | 16.22% | 15.19% |
Net Assets, End of Period (000’s) | $591 | $584 | $1,009 | $1,279 | $984 |
Ratios and Supplemental Data: |
|
|
|
|
|
Ratios of expenses to average net assets: (e) |
|
|
|
|
|
Gross | 1.81% | 3.19% | 2.23% | 1.25% | 1.16% |
Net including dividend and interest expense for securities sold short | 1.81% | 3.19% | 2.17% | 1.22% | 1.11% |
Net excluding dividend and interest expense for securities sold short | 1.63% | 2.46% | 1.95% | 1.20% | — |
Ratio of net investment income (loss) to average net assets (c) | 0.75% | (0.86)% | (0.56)% | 0.35% | 0.71% |
Portfolio Turnover Excluding Short Positions (f) | 191% | 207% | 171% | 83% | 105% |
Note: This Fund changed its investment strategy on November 1, 2006 from Growth & Income to Long / Short.
(a) Per share numbers have been calculated using the average shares method.
(b) Reflects expense waivers/reimbursements and reductions in effect during the period. See Note 3 to the Financial Statements.
(c) Net investment income (loss) per share and the ratio of net investment income (loss) to average net assets reflect net investment income prior to certain reclassifications for federal income or excise taxes.
(d) Total Return does not include the deferred sales charge of 1% for the Ordinary Shares. The total return would have been lower if certain fees had not been waived or if custodial fees had not been reduced by credits allowed by the custodian. See Note 3 to the financial statements.
(e) Ratios of expenses to average net assets:
— Gross (total expenses before fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any).
— Net (total expenses net fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any).
(f) Portfolio turnover is calculated on long security positions only. Short positions are generally held for less than one year.
69
QUANT EMERGING MARKETS FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
| Ordinary Shares | ||||
| Years Ended March 31, | ||||
| 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $12.06 | $27.04 | $23.34 | $19.85 | $14.23 |
Income from Investment Operations: |
|
|
|
|
|
Net investment income (loss) (a)(b)(c) | 0.18 | 0.33 | 0.26 | 0.16 | 0.21 |
Net realized and unrealized gain/(loss) on securities | 9.05 | (14.76) | 4.42 | 4.02 | 6.28 |
Total from Investment Operations | 9.23 | (14.43) | 4.68 | 4.18 | 6.49 |
Less Distributions: |
|
|
|
|
|
Dividends from net investment income | (0.06) | (0.43) | (0.16) | (0.22) | (0.22) |
Distributions from realized capital gains | — | (0.12) | (0.82) | (0.47) | (0.65) |
Total Distributions | (0.06) | (0.55) | (0.98) | (0.69) | (0.87) |
Net Asset Value, End of Period | $21.23 | $12.06 | $27.04 | $23.34 | $19.85 |
Total Return (d) | 76.56% | (53.27)% | 19.35% | 21.36% | 46.77% |
Net Assets, End of Period (000’s) | $205,727 | $164,133 | $491,462 | $276,698 | $144,088 |
Ratios and Supplemental Data: |
|
|
|
| |
Ratios of expenses to average net assets: (e) |
|
|
|
|
|
Gross | 1.74% | 1.67% | 1.60% | 1.67% | 1.83% |
Net | 1.74% | 1.67% | 1.60% | 1.67% | 1.83% |
Ratio of net investment income (loss) to average net assets (c) | 0.99% | 1.66% | 0.91% | 0.77% | 1.23% |
Portfolio Turnover | 120% | 67% | 18% | 24% | 34% |
70
| Institutional Shares | ||||
| Years Ending March 31, | ||||
| 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $12.19 | $27.46 | $23.67 | $20.11 | $14.39 |
Income from Investment Operations: |
|
|
|
| |
Net investment income (loss) (a)(b)(c) | 0.27 | 0.34 | 0.33 | 0.21 | 0.29 |
Net realized and unrealized gain/(loss) on securities | 9.11 | (14.98) | 4.50 | 4.08 | 6.35 |
Total from Investment Operations | 9.38 | (14.64) | 4.83 | 4.29 | 6.64 |
Less Distributions: |
|
|
|
|
|
Dividends from net investment income | (0.09) | (0.51) | (0.22) | (0.26) | (0.27) |
Distributions from realized capital gains | — | (0.12) | (0.82) | (0.47) | (0.65) |
Total Distributions | (0.09) | (0.63) | (1.04) | (0.73) | (0.92) |
Net Asset Value, End of Period | $21.48 | $12.19 | $27.46 | $23.67 | $20.11 |
Total Return (d) | 77.02% | (53.17)% | 19.67% | 21.68% | 47.39% |
Net Assets, End of Period (000’s) | $26,247 | $25,664 | $40,501 | $12,759 | $1,707 |
Ratios and Supplemental Data: |
|
|
|
|
|
Ratios of expenses to average net assets: (e) |
|
|
|
|
|
Gross | 1.50% | 1.48% | 1.39% | 1.41% | 1.45% |
Net | 1.50% | 1.48% | 1.39% | 1.41% | 1.45% |
Ratio of net investment income (loss) to average net assets (c) | 1.48% | 1.82% | 1.12% | 1.02% | 1.75% |
Portfolio Turnover | 120% | 67% | 18% | 24% | 34% |
(a) Per share numbers have been calculated using the average shares method.
(b) Reflects expense waivers/reimbursements and reductions in effect during the period. See Note 3 to the Financial Statements.
(c) Net investment income (loss) per share and the ratio of net investment income (loss) to average net assets reflect net investment income prior to certain reclassifications for federal income or excise taxes.
(d) Total Return does not include the deferred sales charge of 1% for the Ordinary Shares. The total return would have been lower if certain fees had not been waived or if custodial fees had not been reduced by credits allowed by the custodian. See Note 3 to the financial statements.
(e) Ratios of expenses to average net assets:
— Gross (total expenses before fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any).
— Net (total expenses net of fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any)
71
QUANT FOREIGN VALUE FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
| Ordinary Shares | |||||
| Years Ended March 31, | |||||
| 2010 | 2009 | 2008 | 2007 | 2006 | |
Net Asset Value, Beginning of Period | $6.97 | $19.87 | $23.07 | $19.91 | $15.92 | |
Income from Investment Operations: |
|
|
|
|
| |
Net investment income (loss) (a)(b)(c) | 0.13 | 0.35 | 0.19 | 0.18 | 0.24(f) | |
Net realized and unrealized gain/(loss) on securities | 5.71 | (11.53) | (2.11) | 4.12 | 3.96 | |
Total from Investment Operations | 5.84 | (11.18) | (1.92) | 4.30 | 4.20 | |
Less Distributions: |
|
|
|
|
| |
Dividends from net investment income | (0.36) | (0.11) | (0.19) | (0.07) | (0.13) | |
Distributions from realized capital gains | — | (1.61) | (1.09) | (1.07) | (0.08) | |
Total Distributions | (0.36) | (1.72) | (1.28) | (1.14) | (0.21) | |
Net Asset Value, End of Period | $12.45 | $6.97 | $19.87 | $23.07 | $19.91 | |
Total Return (d) | 84.05% | (55.95)% | (8.71)% | 22.08% | 26.59% | |
Net Assets, End of Period (000’s) | $369,626 | $193,798 | $781,136 | $778,104 | $441,614 | |
Ratios and Supplemental Data: |
|
|
|
|
| |
Ratios of expenses to average net assets: (e) |
|
|
|
|
|
|
Gross | 1.62% | 1.62% | 1.56% | 1.60% | 1.69% |
|
Net | 1.62% | 1.62% | 1.56% | 1.60% | 1.69% |
|
Ratio of net investment income (loss) to average net assets (c) | 1.17% | 2.49% | 0.83% | 0.88% | 1.41%(f) |
|
Portfolio Turnover | 24% | 20% | 44% | 19% | 29% |
|
72
| Institutional Shares | ||||
| Years Ending March 31, | ||||
| 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $6.98 | $19.98 | $23.19 | $20.01 | $15.98 |
Income from Investment Operations: |
|
|
|
|
|
Net investment income (loss) (a)(b)(c) | 0.14 | 0.38 | 0.26 | 0.25 | 0.29(g) |
Net realized and unrealized gain/(loss) on securities | 5.71 | (11.60) | (2.13) | 4.12 | 3.98 |
Total from Investment Operations | 5.85 | (11.22) | (1.87) | 4.37 | 4.27 |
Less Distributions: |
|
|
|
|
|
Dividends from net investment income | (0.38) | (0.17) | (0.25) | (0.12) | (0.16) |
Distributions from realized capital gains | — | (1.61) | (1.09) | (1.07) | (0.08) |
Total Distributions | (0.38) | (1.78) | (1.34) | (1.19) | (0.24) |
Net Asset Value, End of Period | $12.45 | $6.98 | $19.98 | $23.19 | $20.01 |
Total Return (d) | 84.12% | (55.85)% | (8.49)% | 22.37% | 26.96% |
Net Assets, End of Period (000’s) | $68,067 | $47,090 | $140,999 | $115,200 | $30,972 |
Ratios and Supplemental Data: |
|
|
|
|
|
Ratios of expenses to average net assets : (e) |
|
|
|
|
|
Gross | 1.37% | 1.38% | 1.32% | 1.35% | 1.45% |
Net | 1.37% | 1.38% | 1.32% | 1.35% | 1.45% |
Ratio of net investment income (loss) to average net assets (c) | 1.29% | 2.77% | 1.18% | 1.13% | 1.70%(g) |
Portfolio Turnover | 24% | 20% | 44% | 19% | 29% |
(a) Per share numbers have been calculated using the average shares method.
(b) Reflects expense waivers/reimbursements and reductions in effect during the period. See Note 3 to the Financial Statements.
(c) Net investment income (loss) per share and the ratio of net investment income (loss) to average net assets reflect net investment income prior to certain reclassifications for federal income or excise taxes.
(d) Total Return does not include the deferred sales charge of 1% for the Ordinary Shares. The total return would have been lower if certain fees had not been waived or if custodial fees had not been reduced by credits allowed by the custodian. See Note 3 to the financial statements.
(e) Ratios of expenses to average net assets:
— Gross (total expenses before fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any).
— Net (total expenses net of fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any).
(f) Includes non-recurring income of $277,072.
(g) Includes non-recurring income of $22,928.
73
QUANT FOREIGN VALUE SMALL CAP FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
| Ordinary Shares | |
| Period Ended March 31, | |
| 2010 | 2009 |
Net Asset Value, Beginning of Period | $4.82 | $10.00 |
Income from Investment Operations: |
|
|
Net investment income (loss) (a)(b)(c) | 0.07 | 0.03 |
Net realized and unrealized gain/(loss) on securities | 5.42 | (5.15) |
Total from Investment Operations | 5.49 | (5.12) |
Less Distributions: |
|
|
Dividends from net investment income | (0.03) | (0.04) |
Distributions from realized capital gains | — | (0.02) |
Total Distributions | (0.03) | (0.06) |
Net Asset Value, End of Period* | $10.28 | $4.82 |
Total Return (d) | 114.00% | (51.25)% |
Net Assets, End of Period (000’s) | $124,971 | $18,978 |
Ratios and Supplemental Data: |
|
|
Ratios of expenses to average net assets: (e) |
|
|
Gross | 1.64% | 2.00%** |
Net | 1.64% | 1.97%** |
Ratio of net investment income (loss) to average net assets (c) | 0.82% | 0.66%** |
Portfolio Turnover | 14% | 10% |
74
| Institutional Shares | |
| Period Ending March 31, | |
| 2010 | 2009 |
Net Asset Value, Beginning of Period | $4.82 | $10.00 |
Income from Investment Operations: |
| |
Net investment income (loss) (a)(b)(c) | 0.11 | 0.07 |
Net realized and unrealized gain/(loss) on securities | 5.41 | (5.19) |
Total from Investment Operations | 5.52 | (5.12) |
Less Distributions: |
|
|
Dividends from net investment income | (0.04) | (0.04) |
Distributions from realized capital gains | — | (0.02) |
Total Distributions | (0.04) | (0.06) |
Net Asset Value, End of Period* | $10.30 | $4.82 |
Total Return (d) | 114.55% | (51.20)% |
Net Assets, End of Period (000’s) | $8,103 | $3,592 |
Ratios and Supplemental Data: |
|
|
Ratios of expenses to average net assets: (e) |
|
|
Gross | 1.43% | 1.88%** |
Net | 1.43% | 1.85%** |
Ratio of net investment income (loss) to average net assets (c) | 1.27% | 1.10%** |
Portfolio Turnover | 14% | 10% |
* Fund commenced operations May 1, 2008.
** Annualized.
(a) Per share numbers have been calculated using the average shares method.
(b) Reflects expense waivers/reimbursements and reductions in effect during the period. See Note 3 to the Financial Statements.
(c) Net investment income (loss) per share and the ratio of net investment income (loss) to average net assets reflect net investment income prior to certain reclassifications for federal income or excise taxes.
(d) Total Return does not include the deferred sales charge of 1% for the Ordinary Shares. The total return would have been lower if certain fees had not been waived or if custodial fees had not been reduced by credits allowed by the custodian. See Note 3 to the financial statements.
(e) | Ratios of expenses to average net assets: |
— Gross (total expenses before fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any).
— Net (total expenses net of fee waivers, reimbursements by the investment advisor, and custody earnings credits, if any).
75
QUANT FUNDS
NOTES TO FINANCIAL STATEMENTS
1. Organization of the Trust
The Quantitative Group of Funds d/b/a “Quant Funds” (the “Trust”) is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as a non-diversified, open-end management investment company. The Trust currently has five series (each a “Fund” and collectively the “Funds”) each with a distinct investment objective.
Quant Small Cap Fund (“Small Cap”) seeks maximum long-term capital appreciation.
Quant Long/Short Fund (“Long/Short”) seeks long-term growth of capital. Prior to November 1, 2006, Quant Long/Short Fund used a long only investment strategy and its investment objective was long-term growth of capital and income.
Quant Emerging Markets Fund (“Emerging Markets”) seeks long-term growth of capital.
Quant Foreign Value Fund (“Foreign Value”) seeks long-term capital growth and income.
Quant Foreign Value Small Cap Fund (“Foreign Value Small Cap”) seeks long-term capital growth and income.
Each Fund offers two classes of shares designated as Ordinary Shares and Institutional Shares. The classes differ principally in their respective expense structure and minimum investment requirements. Each class of shares represents an interest in the same portfolio of investments of the respective Fund and has equal rights to voting, redemptions, dividends and liquidation. Ordinary Shares bear distribution (Rule 12b-1) fees and have exclusive voting rights with respect to the distribution plan that has been adopted by Ordinary Share shareholders. There is no distribution plan for Institutional Shares.
At times, a Fund’s investments may represent industries or industry sectors that are interrelated or have common risks, making it more susceptible to any economic, political, or regulatory developments or other risks affecting those industries and sectors. To the extent that a Fund is permitted to invest in foreign markets, emerging markets or countries with limited or developing markets such investments may subject the Fund to a greater degree of risk than in the U.S. market or a developed market. Risks associated with these foreign and developing markets include political, social or economic factors and may affect the price of a Fund’s investments and income generated by these investments, as well as a Fund’s ability to repatriate such amounts. Information regarding each Fund’s principal risks is contained in the Fund’s prospectus. Please refer to those documents when considering a Fund’s risks.
2. Significant Accounting Policies
Each Fund’s financial statements have been prepared in conformity with U.S. generally accepted accounting principles, that require the management of the Funds to, among other things, make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income, expenses and gains and losses on investments during the reporting year. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements, which are consistent with those policies generally accepted in the investment company industry.
Security Valuation
Portfolio securities are valued each business day at the last reported sale price on the principal exchange or market on which they are traded. If there is no such reported sale, the securities generally are valued at the mean between the last reported bid and asked prices. For certain securities, where no such sales have been reported, a Fund may value such securities at the last reported bid price. In the event that there is information suggesting that valuation of such securities based upon bid and/or asked prices may not be accurate, a Fund may value such securities in good faith at fair value in accordance with procedures (the “Valuation Procedures”) established by the Funds’ Board of Trustees (the “Trustees”), which may include a determination to value such securities at the last reported sales price. Short-term investments that mature in 60 days or less
76
are valued at amortized cost. Securities quoted in foreign currencies are translated into U.S. dollars based upon the prevailing exchange rate on each business day. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith using the Valuation Procedures. As a result, changes in the value of those currencies in relation to the U.S. dollar may affect a Fund’s NAV. Because foreign markets may be open at different times than the New York Stock Exchange, the value of a Fund’s shares may change on days when shareholders are not able to buy or sell them. If events materially affecting the values of a Fund’s foreign investments occur between the close of foreign markets and the close of regular trading on the New York Stock Exchange, these investments may be valued at their fair value as determined in good faith using the Valuation Procedures.
The Fund has adopted fair valuation accounting standards that establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs used to develop the measurements of fair value. These inputs are summarized in the three broad levels listed below:
| • | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. |
| • | Level 2 – Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. |
| • | Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset liability, and would be based on the best information available. |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of the markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Changes in valuation techniques may result in transfers in changing an investment’s assigned level within the hierarchy.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in these securities. The following is a summary of the inputs used to value the Fund’s net assets as of March 31, 2010:
77
| Quoted Prices | Significant | Significant | Carrying |
| Level 1 | Level 2 | Level 3 | Total |
Small Cap |
|
|
|
|
Common Stocks | $86,421,961 | $— | $— | $86,421,961 |
Depository Receipts | 2,785,459 | — | — | 2,785,459 |
Real Estate Inv. Trusts | 11,765,048 | — | — | 11,765,048 |
Short Term Investments |
| 36,641,248 | — | 36,641,248 |
Total | $100,972,468 | $36,641,248 | — | $137,613,716 |
Long/Short |
|
|
|
|
Common Stock | 68,904,194 | — | — | 68,904,194 |
Real Estate Inv. Trusts | 1,266,476 | — | — | 1,266,476 |
Short Term Investments | — | 9,653,032 | — | 9,653,032 |
Total Assets | $70,170,670 | $9,653,032 | — | $79,823,702 |
Liabilities in Securities Sold Short |
|
|
|
|
Common Stock | (14,433,727) | — | — | (14,433,727) |
Limited Partnerships | (268,500) | — | — | (268,500) |
Real Estate Inv. Trusts | (950,096) | — | — | (950,096) |
Total Liabilities | $(15,652,323) | — | — | $(15,652,323) |
Emerging Markets |
|
|
|
|
Common Stocks | $179,745,488 | $535,663 | $121,408* | $180,402,559 |
Depository Receipts | 37,101,941 | — | — | 37,101,941 |
Mutual Funds | 3,315,444 | — | — | 3,315,444 |
Preferred Stock | 10,435,343 | — | — | 10,435,343 |
Real Estate Inv. Trusts | 518,961 | — | — | 518,961 |
Short Term Investments | — | 800,800 | — | 800,800 |
Total | $231,117,177 | $1,336,463 | $121,408* | $232,575,048 |
Foreign Value |
|
|
|
|
Common Stock | 391,338,662 | 10,398,021 | — | 401,736,683 |
Depository Receipts | 12,741,880 | — | — | 12,741,880 |
Short Term Investments | — | 18,251,308 | — | 18,251,308 |
Rights | 53,933 | — | — | 53,933 |
Total | $404,134,475 | $28,649,329 | — | $432,783,804 |
78
| Quoted Prices | Significant | Significant | Carrying |
| Level 1 | Level 2 | Level 3 | Total |
Common Stock | 102,563,916 | 2,043,306 | — | 104,607,222 |
Depository Receipts | 1,579,998 | — | — | 1,579,998 |
Mutual Funds | 3,972,740 | — | — | 3,972,740 |
Preferred Stock | 3,049,777 | — | — | 3,049,777 |
Short Term Investments | — | 7,154,910 | — | 7,154,910 |
Rights | 26,343 | — | — | 26,343 |
Warrants | — | 12,864,297 | — | 12,864,297 |
Total | $111,192,774 | $22,062,513 | — | $133,255,287 |
* | Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. |
| Common Stock |
Balance as of 3/31/2009 | $— |
Realized gain (loss) | $— |
Changed in unrealized appreciation (depreciation) | $— |
Net purchases (sales) | $— |
Transfer in and/or out of Level 3 | $121,408 |
Balances as of 03/31/2010 | $121,408 |
Security Transactions and Related Investment Income
Security transactions are accounted for on the trade date (the date the order to buy or sell is executed). Dividend income, less foreign taxes withheld, is recorded on the ex-dividend date, except that certain dividends from foreign securities where the ex-dividend date may have passed are recorded as soon as a Fund becomes aware of the ex-dividend data in the exercise of reasonable diligence. Distributions received on securities that represent a return of capital or a capital gain is recorded as a reduction of cost of investments and/or as a realized gain. Each Fund estimates the components of distributions that may be considered nontaxable distributions or capital gain distributions for tax purposes. Interest income is recorded on the accrual basis and includes accretion of discounts and amortization of premiums. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis. Each Fund’s investment income and realized and unrealized gains and losses are allocated among classes based upon the daily relative net assets. Substantially all of Foreign Value's miscellaneous income was derived from Prudential Securities, Inc. and Bear Stearns Fair Fund litigation settlements.
Repurchase Agreements
The Funds’ custodian takes possession through the federal book-entry system of securities collateralizing repurchase agreements. Collateral is marked-to-market daily to ensure that the market value of the underlying assets remains sufficient to protect the Funds. The Funds may experience costs and delays in liquidating the collateral if the issuer defaults or enters into bankruptcy.
Foreign Currency Transactions
All monetary items denominated in foreign currencies are translated into U.S. dollars based on the prevailing exchange rate at the close of each business day. Income and expenses denominated in foreign currencies are translated at the prevailing rates of exchange when accrued or incurred.
79
Reported net realized gains and losses on foreign currency transactions represent net gains and losses from currency gains and losses realized between the trade and settlement dates on investment transactions, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. The effects of changes in foreign currency exchange rates on investments in securities are not segregated in the Statement of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investments.
Forward Foreign Currency Contracts
The Funds may enter into forward foreign currency contracts to manage their exposure to fluctuations in certain foreign currencies. A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a set price. The forward currency contracts are valued at the forward rate and are marked-to-market daily. The change in market value is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. In addition to the risks of financial investments mentioned above, risks arise from unanticipated movements in currency values.
Spot Foreign Currency Contracts at 03/31/10:
Emerging Markets Fund | ||||
Currency to deliver | Local Value | In exchange for | Settlement Date | Unrealized |
Hong Kong Dollar | 3,257,693 | USD 419,530 | 04/07/10 | $(13) |
Foreign Value Small Cap | ||||
Currency to deliver | Local Value | In exchange for | Settlement Date | Unrealized |
United States Dollar | 24,256 | Real 43,418 | 04/01/10 | $108 |
United States Dollar | 1,188,549 | Real 2,127,503 | 04/01/10 | 5,302 |
United States Dollar | 19,909 | HKD 154,581 | 04/01/10 | (1) |
United States Dollar | 27,797 | HKD 215,829 | 04/07/10 | (2) |
|
|
|
| $5,407 |
Short Sales
Quant Long/Short Fund may engage in short sales (selling securities it does not own) as part of its normal investment activities. Upon selling a security short, Long/Short Fund’s Custodian will segregate cash, cash equivalents or other appropriate liquid securities in an amount equal to the current market value of the securities sold short and will maintain such collateral until Long/Short Fund replaces the borrowed security. Long/Short Fund is required to pay any dividends or interest due on securities sold short. Such dividends and interest are recorded as an expense. Liabilities for securities sold short are valued daily and recorded as unrealized appreciation (depreciation) on investments and securities sold short. Long/Short Fund records realized gain (loss) on a security sold short when a short position is terminated by Long/Short Fund. Long/Short Fund will incur a loss if the price of a security increases between the date of the short sale and the date on which Long/Short Fund replaces the borrowed security. Long/Short will realize a gain if the price of borrowed security declines between the date of a short sale and the date Long/Short Fund replaces the borrowed security.
Securities Lending
To generate additional income, each the Small Cap Fund, Emerging Markets Fund and Foreign Value Fund use Securities Finance Trust Company (“eSecLending”) as lending agent. The Small Cap Fund, Emerging Markets Fund and Foreign Value Fund may each lend up to 30% of its assets pursuant to certain agreements (“Securities Lending Agreements”) requiring that the loan be continuously secured by cash or securities. Securities are loaned by eSecLending to certain pre-approved brokers (“the borrowers”). The borrowers are required to provide cash or securities as collateral against loaned securities in the amount of 105% of the market value of borrowings for the Emerging Markets and Foreign Value Funds, and 102% of the
80
borrowings for the Small Cap Fund. Collateral is marked-to-market daily. Cash collateral is invested in a registered money market fund.
The Quant Long/Short Fund uses State Street Bank and Trust Company (“State Street”) as lending agent for the Quant Long/Short Fund pursuant to a Securities Lending Authorization Agreement. The Long/Short Fund may lend up to 331/3% of its assets. Securities are loaned by State Street to certain pre-approved borrowers. The initial collateral received shall have (depending on the nature of the loaned securities and the collateral received) a value of 102% or 105% of the market value of the loaned securities, or such other value, but not less than 102% of the market value of the loaned securities, as may be applicable in the jurisdiction in which such loaned securities are customarily traded. Collateral of cash and/or securities is marked-to-market daily. Cash collateral is invested in a registered money market fund that may be managed by State Street or one of its affiliates.
Risks such as delay in recovery of securities may occur should the borrower of the securities fail financially or should the value of the securities loaned increase above the value of the collateral received. eSecLending provides indemnification insurance via highly rated third party insurers to cover these potential risks. State Street provides indemnification against borrower default.
At March 31, 2010, the following Funds had collateral and loans outstanding of:
| Value of Collateral | Value of Loaned Securities |
Quant Small Cap Fund | $28,788,248 | $28,169,403 |
Long/ Short Fund | 25,714,638* | 24,758,287 |
Quant Emerging Markets Fund | 800,800 | 756,950 |
* | Collateral of 102% is received on behalf of the securities loaned by the Long/Short Fund. A portion of the collateral received, ($9,653,032 for the fiscal year ended March 31, 2010), is held in a registered money market fund and a portion, $16,061,606 was used to release cash collateral held by the short sales agent, State Street, to allow the Fund to purchase securities with such short sale proceeds. |
Expenses and Class Allocations
The majority of the expenses of the Funds are attributed to the individual Fund and Class for which they are incurred. Expenses that are not attributed to a specific Fund are allocated in proportion to the respective net assets of the Funds. Expenses allocable to a Fund are borne pro rata by the holders of both classes of shares of such Fund, except that 12b-1 Plan expenses will not be borne by the holders of Institutional Shares.
Distribution fees on Ordinary Shares are calculated based on the average daily net asset value attributable to the Ordinary Shares of the respective Fund. Institutional Shares are not subject to a distribution plan. Shareholders of each class share all expenses and fees paid to the transfer agent, Quantitative Institutional Services, for its services, which are allocated based on the net assets in each class and the ratable allocation of related out-of-pocket expenses. Income, common expenses and realized and unrealized gains and losses are calculated at the Fund level and allocated daily to each class of shares based on their respective percentage of adjusted net assets at the beginning of the day. (See Note 3)
Distributions to Shareholders
Distributions to shareholders are recorded as of the ex-dividend date. Distributions paid by each Fund with respect to each class of shares are calculated in the same manner, at the same time, and in the same amount, except that Ordinary Shares incur 12b-1 distribution fees while Institutional Shares do not. Distributions from net investment income for each Fund, if any, are declared and paid annually. Distributions from net realized gains for each Fund, if any, are generally declared and paid annually.
3. Management Fee, Advisory Contracts and Other Affiliate Transactions
The Funds have entered into a management agreement (the “Management Agreement”) with Quantitative Investment Advisors, Inc. d/b/a Quantitative Advisors (the “Manager”). Compensation of the Manager, for management and administration of the Funds, including selection and monitoring of the portfolio advisors, is paid monthly based on the average daily net asset value of each Fund for the month. The annual rate of such fees is 1.00% of the average daily total net assets of each of the Funds.
81
Under the Management Agreement, the Manager has agreed to reduce its compensation, and if necessary, assume expenses, with respect to Small Cap to the extent that the total expenses of this Fund individually exceed 2% of average net assets for any fiscal year. Fund expenses subject to this limitation are exclusive of brokerage, interest, taxes and extraordinary expenses, which include incremental custody costs associated with international securities. Expenses are calculated gross of custody credits, if applicable.
For the twelve months ended March 31, 2010 aggregate management fees paid for the Funds were $8,614,285.
The Manager has entered into advisory contracts with the following subadvisors (collectively the “Advisors”) to provide investment advisory services to the following Funds: Columbia Partners, L.L.C., Investment Management (Small Cap), Analytic Investors, LLC (Long/Short), PanAgora Asset Management, Inc. (Emerging Markets), and Polaris Capital Management, LLC (Foreign Value and Foreign Value Small Cap.)
For services rendered, the Manager pays to the Advisor of a Fund a fee based on a percentage of the average daily total net assets of the Fund. The fee for each Fund is determined separately. Currently, the fees paid by the Manager to the Advisors of the Funds are as follows:
Small Cap | 0.47% of average daily total net assets |
Long/Short* | 0.45% of the first $100 million and |
| 0.40% of amounts in excess of $100 million; |
Emerging Markets | 0.40% of average daily total net assets; |
Foreign Value | 0.35% of the first $35 million, |
| 0.40% of amounts in excess of $35 million but less than $200 million and |
| 0.50% of assets in excess of $200 million of average daily total net assets |
Foreign Value Small Cap | 0.35% of the first $35 million and |
| 0.40% of amounts in excess of $35 million but less than $200 million and |
| 0.50% of amounts in excess of $200 million. |
* | Effective January 1, 2009 through December 31, 2009 the fee paid was 0.425% of the first $100 million and 0.40% of amounts in excess of $100 million. |
The Funds have entered into a distribution agreement (the “Distribution Agreement”) with U.S. Boston Capital Corporation (the “Distributor”). For its services under the Distribution Agreement, the Distributor received a monthly fee at the annual rate of 0.25% of the average daily net asset value of the Ordinary Shares of the Funds.
Holders of Institutional Shares pay no portion of the 12b-1 Plan expenses of the Funds and are not entitled to vote on matters involving the 12b-1 Plan. During the year ended March 31, 2010 the aggregate distribution fees of the Funds were $1,898,825.
Transfer agent functions are provided to the Funds by Quantitative Institutional Services, a division of the Manager (the “Transfer Agent”) pursuant to a transfer agent agreement (the “Transfer Agent Agreement”). The Transfer Agent Agreement provides for base fees that are payable to the Transfer Agent at an annual rate of 0.16% of the average daily total net asset value of each class of shares of the Funds and for reimbursement of out of pocket expenses. During the year ended March 31, 2010, the aggregate fees of the Funds were $1,433,660.
Pursuant to an Administration Agreement, the Manager provides certain administrative services to the Funds. During the year ended March 31, 2010, fees paid pursuant to this agreement were $272,214.
The Board of Trustees of the Funds has approved reimbursement to the Manager for certain costs associated with providing regulatory and compliance services to the Funds. For the year ended March 31, 2010, the Trustees have approved reimbursements that amounted to $183,889.
Custody and fund accounting services are provided by State Street. Custody credits generated by interest earned on un-invested cash balances maintained by the Funds are used to offset custodial expenses of the Funds.
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For the year ended March 31, 2010, each Trustee received an annual Trustee’s fee of $21,000, with the exception of the Chairman of the Audit Committee, who received an annual fee of $24,000. The fees are allocated to each Fund in proportion to its respective net assets. Effective April 1, 2010, the Lead Independent Trustee of the Board will receive an annual fee of $24,000.
4. Purchases and Sales
During the twelve months ended March 31, 2010, purchases of investment securities other than U.S. Government obligations and short-term investments, for Small Cap, Long/Short, Emerging Markets, Foreign Value, and Foreign Value Small Cap were $42,569,348, $125,590,357, $298,055,523, $90,603,884, and $79,659,288, respectively. Sales of such securities for the Funds were $48,316,048, $138,808,533, $382,650,756, $116,302,948, and $9,730,043, respectively. Securities sold short are excluded from the Long/Short Fund numbers as they are generally held for less than one year.
5. Contingent Liability
The Trust maintains a joint fidelity bond with the Funds’ Transfer Agent through ICI Mutual Insurance Company (“ICI Mutual”). The annual premium is allocated among the Funds and the Transfer Agent. Additionally, the Funds have committed to ICI Mutual up to 300% of the annual premium, one third of which was provided in cash, with each Fund’s pro rata portion recorded as an asset. The remainder is secured with an irrevocable letter of credit.
6. Concentration of Risk
The relatively large investments of Emerging Markets in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund’s investments and the income they generate, as well as the Fund’s ability to repatriate such amounts.
7. Federal Income Taxes
It is the policy of the Funds to distribute all of their taxable income within the prescribed time and otherwise comply with the provisions of the Internal Revenue Code (“IRC”) applicable to regulated investment companies. Therefore no Federal income tax provision is required.
The tax components of capital shown in the following tables represent: (1) losses or deductions the portfolios may be able to offset against income and gains realized in future years, (2) distribution requirements the portfolios must satisfy under the income tax regulations, and (3) unrealized appreciation or depreciation of investments for federal income tax purposes.
Certain Funds had capital loss carryovers at March 31, 2010. The accumulated capital losses noted in the table may be available to offset future realized capital gains and thereby reduce future taxable gain distributions. Foreign Value acquired capital loss carryovers for federal income tax purposes of $8,053,584 when the net assets of State Street Research International Equity Fund (SSR), a series of State Street Research Financial Trust (“SSR”), were acquired in a merger which occurred on May 2, 2003 pursuant to a Plan of Reorganization approved by the shareholders of SSR on April 25, 2003. Foreign Value is the surviving fund in the merger for purposes of maintaining the financial statements and performance history in the post-reorganization periods and the acquired capital loss carryovers may be subject to limitations on their use under the Internal Revenue Code, as amended, and may therefore expire unutilized. As of March 31, 2010 the capital loss carryovers were as follows:
Portfolio | Capital Loss | Capital Loss | Capital Loss | Capital Loss | Total |
Small Cap Fund | $— | $— | $12,418,995 | $23,795,469 | $36,214,464 |
Long/Short Fund | — | — | 2,671,166 | 14,909,223 | 17,580,389 |
Emerging Markets Fund | — | — | 44,819,035 | 31,309,051 | 76,128,086 |
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Foreign Value Fund | 932,449 | — | 80,608,820 | 131,156,114 | 212,697,383 |
Foreign Value Small Cap Fund | — | — | — | — | — |
Capital loss carryovers in the amount of $0, $0, $0, $263,553, and $0 were utilized by Small Cap, Long/Short, Emerging Markets, Foreign Value, Foreign Value Small Cap, respectively, during the fiscal year ending March 31, 2010.
The primary differences between book and tax appreciation or depreciation of investments consist of wash sale loss deferrals, return of capital distributions by real estate investment trusts (“REITs”), mark to market on passive foreign investment companies (“PFICs”) held and foreign capital gains taxes accrued. The net tax appreciation/(depreciation) in the table below includes unrealized tax gain/(loss) on foreign currency and investments.
| March 31, 2010 | ||||
Portfolio | Undistributed | Undistributed | Accumulated | Post- | Net Tax |
Small Cap Fund | $575,958 | $— | $(36,214,464) | $(602,058) | $18,170,925 |
Long/Short Fund | 137,790 | — | (17,580,389) | (1,389,768) | 2,640,034 |
Emerging Markets Fund | 2,414,972 | — | (76,128,086) | — | 42,158,530 |
Foreign Value Fund | 4,681,726 | — | (212,697,383) | (21,592,745) | (45,917,994) |
Foreign Value Small Cap Fund | 254,628 | 76,405 | — | — | 20,136,762 |
At March 31, 2010, the tax composition of dividends was as follows:
Portfolio | Ordinary | Long Term | Tax Return |
Small Cap Fund | $188,617 | $— | $— |
Long/Short Fund | 122,860 | — | — |
Emerging Markets Fund | 935,754 | — | — |
Foreign Value Fund | 12,617,527 | — | — |
Quant Foreign Value Small Cap Fund | 374,441 | — | — |
Accounting principles generally accepted in the United States require that certain components of net assets be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year ended March 31, 2010, permanent differences in book and tax accounting have been reclassified to shares of beneficial interest, undistributed/(over-distributed) net investment income and accumulated net realized gain/(loss) on investments and foreign denominated assets, liabilities and currency.
| Increase/(Decrease) | ||
| Shares of | Undistributed/ | Accumulated Net Gain/ |
Quant Small Cap Fund | $— | $(171,051) | $171,051 |
Quant Long/Short Fund | (2,569) | 2,306 | 263 |
Quant Emerging Mkts. Fund | (5,069) | 716,312 | (711,243) |
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Quant Foreign Value Fund | (263,553) | 18,157 | 245,396 |
Quant Foreign Value Small Cap Fund | (2,722) | (24,533) | 27,255 |
The permanent differences primarily relate to net operating losses, wash sales, character of distributions by real estate investment trusts (REITs), foreign currency reclasses, expiration of capital loss carry forwards and adjustments for sale of shares in passive foreign investment corporations (PFICs).
8. Transactions in Shares of Beneficial Interest
Transactions in shares of beneficial interest were as follows:
| Year Ended | Year Ended | ||
| Shares | Dollars | Shares | Dollars |
Small Cap |
|
|
|
|
Ordinary Shares |
|
|
|
|
Shares sold | 616,767 | $8,505,968 | 1,197,486 | $15,152,296 |
Shares issued in reinvestment of distributions | 10,752 | 156,762 | 37,692 | 358,457 |
Shares redeemed | (646,575) | (8,834,143) | (1,338,280) | (18,046,224) |
Net Change | (19,056) | (171,413) | (103,102) | (2,535,471) |
|
|
|
|
|
Institutional Shares |
|
|
|
|
Shares sold | 61,117 | $992,998 | 421,457 | $7,599,757 |
Shares issued in reinvestment of distributions | 1,312 | 21,550 | 3,767 | 40,377 |
Shares redeemed | (309,802) | (4,440,988) | (903,658) | (12,266,520) |
Redemption fees |
|
|
|
|
Net Change | (247,373) | (3,426,440) | (478,434) | (4,626,386) |
|
|
|
|
|
Total Net Change For Fund |
| $(3,597,853) |
| $(7,161,857) |
|
|
|
|
|
Long/Short |
|
|
|
|
Ordinary Shares |
|
|
|
|
Shares sold | 388,733 | $3,869,231 | 924,988 | $9,582,942 |
Shares issued in reinvestment of distributions | 10,130 | 111,739 | 5,990 | 54,807 |
Shares redeemed | (848,257) | (8,564,514) | (669,798) | (6,697,973) |
Net Change | (449,394) | (4,583,544) | 261,180 | 2,939,776 |
|
|
|
|
|
Institutional Shares |
|
|
|
|
Shares sold | 4,319 | $41,778 | 4,938 | $48,902 |
Shares issued in reinvestment of distributions | 218 | 2,489 | 338 | 3,215 |
Shares redeemed | (22,871) | (243,283) | (5,468) | (71,088) |
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Redemption fees |
|
|
|
|
Net Change | (18,334) | (199,016) | (192) | (18,971) |
|
|
|
|
|
Total Net Change For Fund |
| $(4,782,560) |
| $2,920,805 |
| Year Ended | Year Ended | ||
| Shares | Dollars | Shares | Dollars |
Emerging Markets |
|
|
|
|
Ordinary Shares |
|
|
|
|
Shares sold | 5,756,404 | $104,705,318 | 6,642,687 | $128,661,844 |
Shares issued in reinvestment of distributions | 38,441 | 786,122 | 613,797 | 7,122,537 |
Shares redeemed | (9,715,787) | (180,344,576) | (11,822,136) | (218,677,577) |
Net Change | (3,920,942) | (74,853,136) | (4,565,652) | (82,893,196) |
|
|
|
|
|
Institutional Shares |
|
|
|
|
Shares sold | 683,681 | $11,800,520 | 1,428,165 | $25,597,502 |
Shares issued in reinvestment of distributions | 5,392 | 111,454 | 103,193 | 1,210,553 |
Shares redeemed | (1,572,205) | (25,937,228) | (901,592) | (14,907,020) |
Redemption fees |
|
|
|
|
Net Change | (883,132) | (14,025,254) | 629,766 | 11,901,035 |
|
|
|
|
|
Total Net Change For Fund |
| $(88,878,390) |
| $(70,992,161) |
Foreign Value |
|
|
|
|
Ordinary Shares |
|
|
|
|
Shares sold | 13,262,594 | $145,162,678 | 8,562,360 | $102,085,370 |
Shares issued in reinvestment of distributions | 880,784 | 10,331,432 | 5,653,414 | 38,564,826 |
Shares redeemed | (12,236,058) | (141,205,485) | (25,737,478) | (313,926,849) |
Net Change | 1,907,320 | 14,288,625 | (11,521,704) | (173,276,653) |
|
|
|
|
|
Institutional Shares |
|
|
|
|
Shares sold | 599,263 | 6,268,518 | 2,211,766 | 27,949,404 |
Shares issued in reinvestment of distributions | 164,913 | 1,932,784 | 1,355,181 | 9,305,002 |
Shares redeemed | (2,036,513) | (22,492,350) | (3,882,303) | (54,403,524) |
Redemption fees |
|
|
|
|
Net Change | (1,272,337) | (14,291,048) | (315,356) | (17,149,118) |
86
|
|
|
|
|
Total Net Change For Fund |
| $(2,423) |
| $(190,425,771) |
| Year Ended | Year Ended | ||
| Shares | Dollars | Shares | Dollars |
Foreign Value Small Cap |
|
|
|
|
Ordinary Shares |
|
|
|
|
Shares sold | 8,949,723 | $80,886,500 | 4,338,927 | $32,806,653 |
Shares issued in reinvestment of distributions | 36,249 | 342,912 | 33,329 | 168,643 |
Shares redeemed | (765,876) | (6,799,738) | (432,229) | (2,265,355) |
Net Change | 8,220,096 | 74,429,674 | 3,940,027 | 30,709,941 |
|
|
|
|
|
Institutional Shares |
|
|
|
|
Shares sold | 121,383 | $920,199 | 1,218,834 | $11,453,722 |
Shares issued in reinvestment of distributions | 3,073 | 29,098 | 7,888 | 39,913 |
Shares redeemed | (82,780) | (463,631) | (481,369) | (4,451,966) |
Net Change | 41,676 | 485,666 | 745,353 | 7,041,669 |
|
|
|
|
|
Total Net Change for Fund |
| $74,915,340 |
| $37,751,610 |
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Federal Tax Information
Designation Requirements at March 31, 2010.
Qualified Dividend Income Percentage |
|
Small Cap Fund | 100% |
Long/ Short Fund | 100% |
Emerging Markets Fund | 100% |
Foreign Value Fund | 100% |
Foreign Value Small Cap Fun | 100% |
Subsequent Events
In January 2010, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2010-06 “Improving Disclosures about Fair Value Measurements”. ASU 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures.
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INFORMATION FOR SHAREHOLDERS
Quarterly Portfolio Disclosure
Each Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (Call 1-800-SEC-0330 for more information). For a complete list of a fund’s portfolio holdings, you may also view the most recent monthly holdings report, semi-annual report or annual report on the Quant Funds’ web site at www.quantfunds.com.
Portfolio Proxy Voting Policies and Information
Information on the Funds’ proxy voting policies and on how the Quant Funds voted proxies related to portfolio securities for the 12-month period ended June 30 is available without charge online at www.quantfunds.com and at www.sec.gov. You may also call 1-800-326-2151 to request a free copy of the proxy voting information or the proxy voting policies.
Household Delivery of Fund Documents
With your consent, the Trust may send a single proxy statement, prospectus and shareholder report to your residence for you and any other member of your household who has an account with the Funds. If you wish to revoke your consent to this practice, you may do so by notifying the Fund’s transfer agent, by phone or in writing (see “For Account Information”). The mailing of separate proxy statements, prospectuses and shareholder reports will begin within 30 days after receiving your notice.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Trustees of the Quantitative Group of Funds d/b/a Quant Funds
We have audited the accompanying statements of assets and liabilities of the Quant Small Cap Fund, Quant Long/Short Fund, Quant Emerging Markets Fund, Quant Foreign Value Fund, and Quant Foreign Value Small Cap Fund, each series of the Quantitative Group of Funds d/b/a “Quant Funds” (the “Trust”), including the schedules of investments, as of March 31, 2010, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended (with respect to Quant Foreign Value Small Cap Fund, for the year in the period then ended and the period May 2, 2008 to March 31, 2009), the statement of cash flows of the Quant Long/Short Fund for the year then ended, and the financial highlights for each of the three years in the period then ended (with respect to Quant Foreign Value Small Cap Fund, for the year in the period then ended and the period May 2, 2008 to March 31, 2009). These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for each of the two years in the period ended March 31, 2007 were audited by other auditors whose report dated May 24, 2007 expressed an unqualified opinion on such financial highlights.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit includes examining on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 31, 2010 by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above mentioned series of the Quant Funds, as of March 31, 2010, the results of their operations, the changes in their net assets, the statement of cash flows of the Quant Long/Short Fund and the financial highlights for the periods indicated above, in conformity with accounting principles generally accepted in the United States of America.
TAIT, WELLER & BAKER LLP
Philadelphia, Pennsylvania
May 26, 2010
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PRIVACY POLICY
Please read this important notice about the privacy of our customers’ personal information from Quantitative Investment Advisors, Inc., Quantitative Group of Funds, and U.S. Boston Capital Corporation (collectively, “Quantitative”).
Quantitative Respects Your Privacy
Quantitative considers the privacy of our customers and former customers a matter of great importance. We respect your privacy and believe that any nonpublic personal information we have should be treated with the highest regard for its confidentiality. Nonpublic personal information includes much of the information you provide to us and the related information about you and your transactions involving your Quantitative investment products or services. Examples of nonpublic personal information include the information you provide on new account applications for Quantitative investment products or services, your share balance or transactional history and the fact that you are a shareholder or client of Quantitative.
Quantitative Privacy Policy
As noted above, Quantitative places a high priority on protecting the privacy of its customers’ financial information and other personal details. This Privacy Policy outlines our guidelines and practices for how we collect, use and protect information about individual customers.
Employees. Quantitative employees understand that they must keep your personal and financial information confidential when they have access to it and when they see it as they communicate with you and process transactions on your or your financial intermediary’s instructions.
Employees are required to refrain from disclosing information to unauthorized persons.
Vendors. When Quantitative hires vendors, such as mail houses or data processors, to assist in delivering services to clients, we require these vendors to commit contractually to keep the information they handle in strict confidence.
Your Personal Information
We collect and record personal information that customers provide:
| • | on forms and applications |
| • | through electronic media |
| • | through information (commonly referred to as “cookies”) collected from the Web browser of your PC that allows our website to recognize your browser |
| • | by telephone |
| • | in correspondence |
We also collect and record information from:
| • | your financial advisor |
| • | other firms, such as those from whom you transfer assets |
| • | your transactions with us and our affiliates |
| • | third parties who may notify us of your change of address |
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Personal information may include:
| • | names |
| • | phone numbers |
| • | other account information |
| • | addresses |
| • | Social Security and/or Tax ID numbers |
| • | your investments in the Quantitative Group of Funds, such as your account balance and transaction activity |
How Quantitative Uses Information
Quantitative gathers information to help us find better ways to serve clients and enhance other products and programs. For instance,
| • | we may share information with our affiliates when providing services to you or the Quantitative Group of Funds; |
| • | we may use information to send notices to you about products and services that we feel might interest you; or |
| • | we may employ an unaffiliated company to survey all our customers about our products or the quality of our communications or services. |
Information gathered on clients is not sold to other firms, such as direct marketers. The details Quantitative collects will not generate any correspondence, e-mails or phone calls from unaffiliated marketers.
Quantitative may have to provide information to legally authorized agencies or individuals, such as the Securities and Exchange Commission, Internal Revenue Service or other regulatory agencies, or as otherwise required by law. We also share client information with firms that we contracted with to deliver services to our customers or to other financial institutions with which we have joint marketing arrangements. We do not disclose any nonpublic personal information about customers or former customers to other parties, except as permitted by law. As noted above, however, these firms have contractually committed to protect the confidentiality of all Quantitative information to which they have access.
We will send customers an updated Privacy Policy each year.
Security
Quantitative maintains physical, electronic and procedural safeguards that meet federal standards for guarding customer information.
We employ various forms of Internet security, such as
| • | data encryption |
| • | Secure Sockets Layer (SSL) protocol |
| • | user names and passwords |
Passwords. If you access information through the Quantitative Group of Funds’ web site, www.quantfunds.com, you should not give your user name or passwords to anyone for any reason. Choosing to provide this information to a third party invites problems and puts the confidentiality of your personal information at risk.
External Links
To provide you with more information that may be helpful, the Quantitative Group of Funds web site may contain links to other web sites that are not affiliated with or maintained by Quantitative. Quantitative does not monitor the privacy practices of these third-party sites, and we do not exercise any authority over the sites. As a result, Quantitative does not assume any
92
responsibility for the content or data collection policies of the sites. When you access any of these third-party sites, Quantitative cannot guarantee that your privacy will be protected in the same way as it is on the Quantitative Group of Funds’ web site.
Changes to the privacy policy
Quantitative reserves the right to change, modify, add or remove portions of this privacy policy as permitted by law at any time. Customers may want to review the policy periodically for changes. Customers can review the privacy policy by clicking on the link that appears on the www.quantfunds.com home page.
Questions. If you have any questions or concerns about maintaining the privacy of your customer information at Quantitative, please contact us at 800-326-2151 Monday through Friday, between the hours of 8:30 am and 4:30 pm Eastern Time.
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TRUSTEES AND OFFICERS
The business address of each non-interested Trustee is c/o Quant Funds, 55 Old Bedford Road, Lincoln, MA 01773. Each Trustee and officer holds office until his or her successor is chosen and qualified or until his or her earlier death, resignation, retirement or removal. Messrs. Armstrong, Bulbrook, Dunlap and Marshall are members of the Funds’ Audit Committee. Mr. Marshall is the Chair of the Audit Committee. The Fund’s Statement of Additional Information (“SAI”) includes additional information about the Fund Trustees and is available without charge, upon request. To obtain a free copy of the current SAI, please access the Funds’ web site at www.quantfunds.com or call shareholder services at 1-800-326-2141.
Name | Position(s) Held | Principal Occupation(s) | Number of | Other Directorships |
Non-Interested Trustees |
|
|
| |
Robert M. Armstrong | Trustee | Independent financial and career consulting services | 5 | NewPage |
John M. Bulbrook | Trustee | CEO and Treasurer, | 5 | John M. Bulbrook |
William H. Dunlap | Trustee | President, EQ Rider, | 5 | Merrimack County |
Clinton S. Marshall | Trustee | Owner, Coastal CFO | 5 | The Pool |
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Name | Position(s) Held | Principal Occupation(s) | Number of | Other Directorships |
Interested Trustees and Officers |
|
|
| |
Willard L. Umphrey* | Trustee, | Director, U.S. Boston | 5
| U.S. Boston Corporation; |
Leon Okurowski | Vice President and Treasurer | Director and Vice | N/A | Everest USB Canadian |
95
Name | Position(s) Held | Principal Occupation(s) | Number of | Other Directorships |
Interested Trustees and Officers (continued) |
|
| ||
Deborah A. Kessinger | Assistant | Senior Counsel (since 9/2004) and Chief Compliance Officer (since 12/2005), | N/A | None |
Sandra I. Madden | Clerk and | Senior Counsel | N/A | None |
96
Name | Position(s) Held | Principal Occupation(s) | Number of | Other Directorships |
Interested Trustees and Officers (continued) |
|
| ||
Jennifer Dougherty | Assistant | Chief Financial Officer (since 2/2009) and Director of Operations (since 10/2007) Quantitative Investment Advisors, Inc.; Managing Director of Executive Education (2004–2007) Harvard Business School | N/A | None |
* Trustee has been determined to be an “Interested Trustee” by virtue of, among other things, affiliation with one or more of the trust, the Fund’s investment advisor, Quantitative Advisors and the Fund’s distributor, U.S. Boston Capital Corporation.
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NOTES
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NOTES
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SERVICE PROVIDERS
Manager | Quantitative Advisors, 55 Old Bedford Road, |
Advisers | Columbia Partners, L.L.C., Investment Management, |
Distributor | U.S. Boston Capital Corporation, 55 Old Bedford Road, |
Custodian | State Street, 801 Pennsylvania Avenue, |
Fund Accountant | State Street, 801 Pennsylvania Avenue, |
Transfer Agent | Quantitative Institutional Services, 55 Old Bedford Road, |
Independent Registered | Tait, Weller & Baker LLP, 1818 Market Street, Suite 2400 |
Legal Counsel | Goodwin Procter LLP, 901 New York Avenue, NW, |
For Account Information | For Quant Funds information, contact your financial adviser or, if you receive account statements directly from Quant Funds, you can also call 1-800-326-2151. Telephone representatives are available from 8:30 a.m. to 4:30 p.m. Eastern Time. |
100
ITEM 2. | Code of Ethics |
As of the end of the period covered by this Form N-CSR, the registrant has adopted a code of ethics (as defined in Item 2(b) of Form N-CSR) that applies to the registrant’s principal executive officer, principal financial officer and principal accounting officer and controller (the “Code”). During the period covered by the report, there was no amendment to the Code or any waivers granted from its provisions. A copy of the Code is filed with this report as an exhibit.
ITEM 3. | Audit Committee Financial Expert |
The registrant’s Board of Trustees has determined that Mr. Clinton S. Marshall is an “audit committee financial expert” as defined in Item 3 of Form N-CSR. Mr. Marshall is “independent” under the standards set forth in Item 3 of Form N-CSR.
ITEM 4. | Principal Accountant Fees and Services |
The following chart shows the aggregate fees billed in each of the last two fiscal years for services rendered by the registrant’s principal accountant, Tait, Weller and Baker, LLP (“Tait Weller”). The registrant’s Audit Committee approved the selection of Tait Weller as independent registered public accounting firm on September 14, 2007.
|
| 2009 | 2010 |
Audit Fees* | Tait Weller | $103,000 | $108,000 |
Audit-Related Fees** | Tait Weller | $33,600 | $35,300 |
Tax Fees*** | Tait Weller | $16,800 | $17,600 |
All Other Fees | Tait Weller | 0 | 0 |
* Audit fees include all services related to the audit of the financial statements, including review of the registration statement and the issuance of related consents.
** These amounts represent fees paid for the annual audit of the registrant’s transfer agent, Quantitative Institutional Services, Inc., a division of Quantitative Advisors, Inc., the registrant’s investment advisor.
*** | Tax fees include review of the registrant’s tax filings. |
(e)(1) | To the extent required by applicable law, pre-approval by the Audit Committee of the Board is needed for: |
| (i) | all audit and permissible non-audit services rendered to the Fund and |
(ii) all permissible non-audit services rendered to Quantitative Investment Advisors, Inc. if the services relate directly to the operations and financial reporting of the Registrant. Pre-approval is currently on an engagement-by-engagement basis. In the event pre-approval of such services is necessary between
regular meetings of the Audit Committee and it is not practical to wait to seek pre-approval at the next regular meeting of the Audit Committee, such pre-approval of services may be referred to the President of the Fund for approval; provided that the President may not pre-approve any individual engagement for such services exceeding $5,000 or multiple engagements for such services in the aggregate exceeding $5,000 between such regular meetings of the Audit Committee. Any engagement pre-approved by the President between regular meetings of the Audit Committee shall be presented for ratification by the entire Audit Committee at its next regularly scheduled meeting.
(e)(2) No services in the past two fiscal years were approved by the Audit Committee pursuant to Rule 2-01(c)(7)(i)(C) of Regulation S-X.
(f) | Not applicable. |
(g) | The following chart shows the aggregate non-audit fees billed by Tait Weller for services rendered to the registrant and the registrant’s investment advisor (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 adviser that provides ongoing services to the registrant. |
|
| 2009 | 2010 |
Non-Audit Fees | Tait Weller | $0 | $0 |
(h) | The Audit Committee of the registrant’s Board of Trustees considered 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 and concluded that such services are compatible with maintaining the principal accountant’s independence. |
ITEM 5. | Audit Committee of Listed Registrants |
| Not applicable. |
ITEM 6. | Schedule of Investments |
| Not applicable. |
ITEM 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
| Not applicable. |
ITEM 8. | Portfolio Managers of Closed-End Management Investment Companies. |
| Not applicable. |
ITEM 9 | Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
| Not applicable. |
ITEM 10 | Submission of Matters to a Vote of Security Holders |
| Not applicable. |
ITEM 11. | Controls and Procedures |
(a) The President and Treasurer of the registrant have concluded, based on their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) as of a date within 90 days of the filing date of this report on Form N-CSR, that the design and operation of such procedures provide reasonable assurance that information required to be disclosed by the registrant in this report on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
(b) There has been no change in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. | Exhibits |
(a)(1) | Code of ethics |
(a)(2) | Certifications pursuant to Rule 30a-2(a) by the chief executive and financial officers. |
(b) Certification pursuant to Rule 30a-2(b) and Section 906 by the chief executive and financial officers.
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.
Quantitative Group of Funds
By: /s/ Willard L. Umphrey
Willard L. Umphrey, President
Date: June 3, 2010
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/ Willard L. Umphrey |
Willard L. Umphrey, President
Date: June 3, 2010
By: /s/ Leon Okurowski
Leon Okurowski, Treasurer
Date: June 3, 2010
EXHIBIT LIST
(a)(1) | Code of ethics |
(a)(2) | Certifications pursuant to Rule 30a-2(a) by the chief executive and financial officers. |
(b) Certification pursuant to Rule 30a-2(b) and Section 906 by the chief executive and financial officers.