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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)
Willard L. Umphrey
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, 2010 through March 31, 2011
ITEM 1. REPORTS TO SHAREOWNERS.
QUANT FUNDS
Quant Small Cap Fund
Quant Quality Fund
Quant Emerging Markets Fund
Quant Foreign Value Fund
Quant Foreign Value Small Cap Fund
ANNUAL REPORT
March 31, 2011
TABLE OF CONTENTS
President’s Letter 1
Fund Expenses 2
Portfolio Manager Commentaries 4
Quant Small Cap Fund 4
Quant Quality Fund 7
Quant Emerging Markets Fund 10
Quant Foreign Value Fund 12
Quant Foreign Value Small Cap Fund 15
Schedules of Investments 18
Quant Small Cap Fund 18
Quant Quality Fund 26
Quant Emerging Markets Fund 30
Quant Foreign Value Fund 39
Quant Foreign Value Small Cap Fund 43
Statements of Assets and Liabilities 48
Statements of Operations 52
Statements of Changes in Net Assets 54
Financial Highlights 59
Notes to Financial Statements 69
Information for Shareholders 85
Management Contract and Advisory Contract Approval 86
Report of Independent Registered Public Accounting Firm 88
Privacy Policy 89
Trustees and Officers 91
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. If you are not a shareholder of a Quant Fund, 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.
QUANT FUNDS
Dear Fellow Shareholder,
We are pleased to provide you with the Quantitative Group of Funds’ Annual Report for the twelve months ended March 31, 2011 and 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 and the sudadvisors to the Funds disclaim 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.
QUANT FUNDS
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, 2010 to March 31, 2011.
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.
QUANT FUNDS
Expense Example for the 6 months ended March 31, 2011
| Quant Fund | Share Class | Total Return Description | Beginning Account Value 10/1/10 | Ending Account Value 3/31/2011 | Annualized Expense Ratio | Expenses Paid* 10/1/10 3/31/2011 |
| Small Cap | Ordinary | Actual | $1,000.00 | $1,197.30 | 1.65% | $9.04 |
| Hypothetical | $1,000.00 | $1,016.70 | 1.65% | $8.30 | ||
| Institutional | Actual | $1,000.00 | $1,199.10 | 1.39% | $7.61 | |
| Hypothetical | $1,000.00 | $1,018.01 | 1.39% | $6.98 | ||
| Quality | Ordinary | Actual | $1,000.00 | $1,169.80 | 1.81% | $9.78 |
| Hypothetical | $1,000.00 | $1,016.32 | 1.81% | $9.09 | ||
| Institutional | Actual | $1,000.00 | $1,171.20 | 1.75% | $9.50 | |
| Hypothetical | $1,000.00 | $1,017.47 | 1.75% | $8.82 | ||
| Emerging Markets | Ordinary | Actual | $1,000.00 | $1,110.20 | 1.80% | $9.49 |
| Hypothetical | $1,000.00 | $1,015.94 | 1.80% | $9.06 | ||
| Institutional | Actual | $1,000.00 | $1,111.30 | 1.60% | $8.40 | |
| Hypothetical | $1,000.00 | $1,016.97 | 1.60% | $8.03 | ||
| Foreign Value | Ordinary | Actual | $1,000.00 | $1,151.90 | 1.63% | $8.74 |
| Hypothetical | $1,000.00 | $1,016.81 | 1.63% | $8.19 | ||
| Institutional | Actual | $1,000.00 | $1,154.00 | 1.37% | $7.38 | |
| Hypothetical | $1,000.00 | $1,018.08 | 1.37% | $6.92 | ||
| Foreign Value | Ordinary | Actual | $1,000.00 | $1,067.80 | 1.68% | $8.64 |
| Small Cap | Hypothetical | $1,000.00 | $1,016.52 | 1.68% | $8.43 | |
| Institutional | Actual | $1,000.00 | $1,069.70 | 1.42% | $7.32 | |
| Hypothetical | $1,000.00 | $1,017.83 | 1.42% | $7.14 |
| * | 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). |
QUANT SMALL CAP FUND
INVESTMENT PROFILE
| Fund Information | ||
| Net Assets Under Management | $121.5 Million | |
| Number of Companies | 175 | |
| Price to Book Ratio | 4.0 | |
| Price to Earnings Ratio | 28.5 | |
| Ordinary | Institutional | |
| Total Expense Ratio (Net) | 1.64% | 1.39% |
| Ticker Symbol | USBNX | QBNAX |
All Data as of March 31, 2011
Investment Commentary
For the fiscal period ended March 31, 2011,
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 21.69% at net
asset value compared to 25.79% for the Index.
Market Conditions and Investment Strategies
The equity markets staged the second act of an historic comeback from the bear market bottom of 2009 with another year of strong gains. Beginning in the spring of 2010 the markets were confronted with a series of events which included Europe’s sovereign debt crisis, the U.S. government’s plan for new financial regulation, a massive oil spill in the Gulf of Mexico, and a “Flash Crash” that sent stocks tumbling. Small cap stocks were hit particularly hard falling nearly 10% in the second quarter. But when Congress and the Federal Reserve jointly put forth programs to stimulate economic growth and keep interest rates low, equities rallied strongly through year end. Despite the emergence of widespread civil unrest in the Middle East early in 2011, which sent oil prices soaring, and a devastating earthquake in Japan, stocks pushed still higher reaching levels not seen since before the financial crisis began in 2008.
The rally over the past year was broad based with every sector of the Russell 2000 Index in positive territory. Energy led the way with a gain of over 60% as oil prices surged. Information Technology and Materials were next, each posting returns of over 40% for the period. Industrials returned over 27% and Telecommunications Services earned over 21%. The remaining sectors all had double digit gains of between 10% and 20%.
The Fund underperformed the Index during the past fiscal year due primarily to its relative performance in the Consumer Discretionary sector which detracted over 4.1% in large part due to our stock selection. Portfolio holdings True Religion Apparel Inc. and Talbots Inc. both fell nearly 40% during the period. Our selections in Materials also detracted slightly over 1% from our relative return as our stocks in the sector did not perform as well as those in the Index for the period. While we are disappointed to have underperformed the Index for this period, we tend to lag the benchmark when the market surges higher, primarily due to our higher quality bias.
Our biggest contributor to performance over the past year was Industrials, which added 3.7% to our return versus the Index, due primarily to stock selection. Portfolio holding Acacia Research, a patent licensing firm, was primarily responsible as it gained over 200% for the year. Financials added another 2% to our relative return as one of our largest holdings, Entertainment Properties Trust, returned a double digit gain.
Portfolio Changes
The Information Technology, Industrials, Health Care, and Energy sector weightings increased during the past year while the Consumer Discretionary and Telecommunications Services sectors declined. Changes in all other sectors were not material.
QUANT SMALL CAP FUND
A Look Ahead
After two strong years of performance, it may be difficult for the equity markets to continue this trend uninterrupted. We have recently witnessed how unforeseen events can suddenly increase volatility. Higher oil prices or the end to the Fed’s “quantitative easing” program, as planned in June, could present problems for financial markets. Despite these headwinds, small cap stocks in general do not appear to be overvalued based on earnings and we continue to find exciting new investment opportunities which we believe will contribute to our goal of outperforming the benchmark.
The Fund is co-managed by Robert von Pentz, CFA, and Rhys Williams, CFA of Columbia Partners, L.L.C. Investment Management.
QUANT SMALL CAP FUND
Top 10 Holdings
| Percentage of total net assets | 35.9% |
| Acacia Research Corporation—Acacia Technologies | 4.8% |
| Core Laboratories N.V. | 4.4% |
| Compass Minerals International, Inc. | 4.1% |
| Entertainment Properties Trust | 3.9% |
| SBA Communications Corporation, Class A | 3.8% |
| Gardner Denver, Inc. | 3.4% |
| Hersha Hospitality Trust | 3.3% |
| Alliance Data Systems Corporation | 3.0% |
| GUESS?, Inc. | 2.7% |
| SXC Health Solutions, Corp. | 2.5% |
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 | 19.8% |
| Financials | 17.4% |
| Industrials | 16.3% |
| Health Care | 11.8% |
| Consumer Discretionary | 9.6% |
| Energy | 9.1% |
| Materials | 7.0% |
| Consumer Staples | 4.1% |
| Telecommunication Services | 3.8% |
| CASH + other assets (net) | 1.1% |
Value of a $10,000 Investment
Quant Small Cap (QSC) Ordinary Shares vs.
Russell 2000 Index
| Small Cap | Small Cap | Russell 2000 | Russell 2000 | |||
| Period | % Return | Cumulative | % Return | Cumulative | ||
| 2000 | ||||||
| Q1 2000 | - | 10,000.00 | - | 10,000.00 | ||
| Q2 2000 | (4.35) | 9,565.00 | (3.78) | 9,622.00 | ||
| Q3 2000 | 6.78 | 10,213.51 | 1.11 | 9,728.80 | ||
| Q4 2000 | (10.41) | 9,150.28 | (6.91) | 9,056.54 | ||
| 2001 | ||||||
| Q1 2001 | (10.92) | 8,151.07 | (6.51) | 8,466.96 | ||
| Q2 2001 | 14.03 | 9,294.67 | 14.38 | 9,684.51 | ||
| Q3 2001 | (16.27) | 7,782.42 | (20.79) | 7,671.10 | ||
| Q4 2001 | 14.91 | 8,942.78 | 21.09 | 9,288.94 | ||
| 2002 | ||||||
| Q1 2002 | (2.30) | 8,737.10 | 3.98 | 9,658.64 | ||
| Q2 2002 | (13.58) | 7,550.60 | (8.35) | 8,852.14 | ||
| Q3 2002 | (15.40) | 6,387.81 | (21.40) | 6,957.78 | ||
| Q4 2002 | (1.05) | 6,320.74 | 6.16 | 7,386.38 | ||
| 2003 | ||||||
| Q1 2003 | (2.20) | 6,181.68 | (4.49) | 7,054.73 | ||
| Q2 2003 | 17.36 | 7,254.82 | 23.42 | 8,706.95 | ||
| Q3 2003 | 9.86 | 7,970.14 | 9.08 | 9,497.54 | ||
| Q4 2003 | 13.47 | 9,043.72 | 14.52 | 10,876.59 | ||
| 2004 | ||||||
| Q1 2004 | 9.51 | 9,903.78 | 6.26 | 11,557.46 | ||
| Q2 2004 | (0.70) | 9,834.45 | 0.47 | 11,611.78 | ||
| Q3 2004 | (0.30) | 9,804.95 | (2.86) | 11,279.68 | ||
| Q4 2004 | 13.34 | 11,112.93 | 14.09 | 12,868.99 | ||
| 2005 | ||||||
| Q1 2005 | (2.18) | 10,870.67 | (5.34) | 12,181.79 | ||
| Q2 2005 | 4.45 | 11,354.42 | 4.32 | 12,708.04 | ||
| Q3 2005 | 6.43 | 12,084.50 | 4.69 | 13,304.05 | ||
| Q4 2005 | 0.31 | 12,121.97 | 1.13 | 13,454.38 | ||
| 2006 | ||||||
| Q1 2006 | 11.66 | 13,535.39 | 13.94 | 15,329.92 | ||
| Q2 2006 | (0.96) | 13,405.45 | (5.02) | 14,560.36 | ||
| Q3 2006 | 0.35 | 13,452.37 | 0.44 | 14,624.43 | ||
| Q4 2006 | 9.06 | 14,671.15 | 8.90 | 15,926.00 | ||
| 2007 | ||||||
| Q1 2007 | 3.33 | 15,159.70 | 1.95 | 16,236.56 | ||
| Q2 2007 | 4.23 | 15,800.96 | 4.42 | 16,954.22 | ||
| Q3 2007 | (0.28) | 15,756.71 | (3.09) | 16,430.33 | ||
| Q4 2007 | (6.72) | 14,697.86 | (4.58) | 15,677.82 | ||
| 2008 | ||||||
| Q1 2008 | (12.51) | 12,859.16 | 9.90 | 17,229.93 | ||
| Q2 2008 | 2.42 | 13,170.35 | 0.58 | 17,329.86 | ||
| Q3 2008 | (14.96) | 11,200.07 | (1.11) | 17,137.50 | ||
| Q4 2008 | (33.47) | 7,451.40 | (26.12) | 12,661.18 | ||
| 2009 | ||||||
| Q1 2009 | (8.71) | 6,802.39 | (14.95) | 10,768.34 | ||
| Q2 2009 | 17.42 | 7,987.36 | 20.68 | 12,995.23 | ||
| Q3 2009 | 17.75 | 9,405.12 | 19.28 | 15,500.71 | ||
| Q4 2009 | 5.65 | 9,936.51 | 3.88 | 16,102.14 | ||
| 2010 | ||||||
| Q1 2010 | 10.40 | 10,969.91 | 8.85 | 17,527.17 | ||
| Q2 2010 | (9.73) | 9,902.53 | (9.92) | 15,788.48 | ||
| Q3 2010 | 12.59 | 11,149.26 | 11.29 | 17,571.00 | ||
| Q4 2010 | 13.12 | 12,612.05 | 16.25 | 20,426.29 | ||
| 2011 | ||||||
| Q1 2011 | 5.84 | 13,348.59 | 7.94 | 22,048.13 | ||
Average Annual Total Returns
| 1Q 2011 | Six Months | One Year | Five Year | Ten Year | Since Inception | Inception Date | |
| Ordinary Shares | 5.84% | 19.73% | 21.69% | –0.28% | 5.06% | 10.48% | 08/03/92 |
Institutional Shares1 | 5.93% | 19.91% | 21.98% | 0.04% | 5.49% | 9.72% | 01/06/93 |
Russell 20002 | 7.94% | 25.48% | 25.79% | 3.35% | 7.87% | 9.64% |
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 08/3/92.
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.
QUANT QUALITY FUND
| Fund Information | ||
| Net Assets Under Management | $63.7 Million | |
| Number of Companies | 71 | |
| Price to Book Ratio | 3.8 | |
| Price to Earnings Ratio | 12.9 | |
| Ordinary | Institutional | |
| Total Expense Ratio (Net)* | 1.85% | 1.63% |
| Ticker Symbol | USBOX | QGIAX |
INVESTMENT PROFILE
All Data as of March 31, 2011
Investment Commentary
For the fiscal year ended March 31, 2011, Quant Quality Fund (formerly Quant Long/Short Fund) (the “Fund”) underperformed its benchmark, the S&P 500 (the “Index”). The Fund’s Ordinary Shares achieved a return of 9.78 percent at net asset value compared to 15.65 percent for the Index.
Market Conditions and Investment Strategies
From April 1, 2010 to January 27, 2011, the Fund’s investment adviser pursued a long/short investment strategy. As a long/short fund, the Fund sought capital appreciation through long and short positions, maintaining approximately 100 percent net equity exposure and keeping size, style, sector and beta characteristics similar to the Index. Analyzing more than 70 characteristics that impacted equity prices, the strategy was pursued by buying stocks with the most attractive factor profiles and shorting stocks with the least attractive factor profiles, within a set of risk constraints.
On January 27, 2011, the Fund changed its name, its investment adviser and its investment strategy. The Fund’s investment objective of long-term growth of capital remained the same. The Fund’s investment strategy changed to a long only strategy that emphasized long investments in equity securities, primarily stocks of large companies, that is, a company with a market capitalization at the time of purchase greater than $1 billion. The Fund’s investment manager currently chooses securities for the Fund by periodically selecting a mutual fund (the “Target Portfolio”) and monitoring the Target Portfolio’s holdings, and the Fund’s investment adviser, at the direction of the investment manager, rebalances the Fund’s portfolio to correspond to the Target Portfolio’s most recent holdings as publicly reported. The current Target Portfolio is GMO Quality Funds III (GQETX)1.
For approximately the first ten months of the Fund’s fiscal year, that is, when the Fund maintained a long/short strategy, the Fund underperformed the Index, with its Ordinary Shares achieving a return of 8.89 percent compared to a return of 12.93 percent for the Index. For the remainder of the Fund’s fiscal year, the Fund also underperformed the Index, with its Ordinary Shares achieving a return of 0.57 percent compared to a return of 1.77 percent for the Index. The Target Portfolio also underperformed the Index over the same approximate two-month period, with a return of 0.87 percent. From February 1, 2011 to March 31, 2011, the Fund’s Ordinary Shares, when compared to the Target Portfolio, had a tracking error2 of 0.062 percent.
Over approximately the last two months of the Fund’s fiscal year, securities of issuers in the Financial sector were the largest positive contributor to the Fund’s performance. Although the Financial sector underperformed by nearly 3 percent, the Fund’s underweighting in this sector as well as strong stock selection had a positive effect on the Fund’s return relative to the Index. The Fund’s relative overweighting in Consumer Goods and Healthcare Services also contributed positively to performance. The greatest detractor to performance came from the Telecommunications sector with both the allocation and the stock selection negatively affecting performance. Other detractors were allocations and stock selections in Energy and Software, as well as stock selections in Consumer Services.
Portfolio Changes
As discussed above, in January 2011, the Fund changed its name, investment adviser and investment strategy. Among other things, the Fund’s long/short strategy caused the Fund to have a high turnover rate. The Fund’s investment manager anticipates that the Fund’s current investment strategy will cause the Fund to have a lower turnover rate given the historical stability and relatively low turnover of the current Target Portfolio.
* Excludes dividends and interest on short sales
QUANT QUALITY FUND
A Look Ahead
For the foreseeable future, the Fund’s investment manager expects the Target Portfolio to remain the same. For more information on the selection of the Target Portfolio(s), please see the Fund’s Prospectus.
1 The Fund does not invest in the Target Portfolio. The Fund’s holdings are unlikely to be identical to the holdings of the Target Portfolio, and at any given time, may be substantially different. The Fund is not managed or sub-advised by the investment manager of the Target Portfolio, the investment manager of the Target Portfolio is not affiliated with the manager or sub-adviser of the Fund, and the investment manager of the Target Portfolio is not involved in the management of the Fund. The Fund’s manager may change the Target Portfolio at any time, or add one or more Target Portfolios.
2 Tracking error is a measure of the volatility of excess returns relative to a benchmark. The tracking error was calculated using returns for the Fund and Target Portfolio as provided by Morningstar Direct.
The Fund's target portfolio is GMO Quality Funds III (GQETX) and the Fund is managed by Robert von Pentz, CFA of Columbia Partners, L.L.C. Investment Management.
QUANT QUALITY FUND
Top 10 Holdings
| Percentage of total net assets | 43.9% |
| Oracle Corporation | 5.9% |
| Microsoft Corporation | 5.3% |
| Johnson & Johnson | 5.2% |
| Pfizer Inc. | 4.9% |
| The Coca-Cola Company | 4.7% |
| Exxon Mobil Corporation | 4.2% |
| Wal-Mart Stores, Inc. | 4.2% |
| Apple, Inc. | 3.5% |
| Procter & Gamble Company | 3.0% |
| Nestle S.A. | 3.0% |
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% |
| Consumer Staples | 28.6% |
| Information Technology | 26.9% |
| Health Care | 26.7% |
| Energy | 9.8% |
| Consumer Discretionary | 2.5% |
| Industrials | 1.7% |
| Telecommunication Services | 0.6% |
| Utilities | 0.0% |
| Financials | 0.0% |
| CASH + other assets (net) | 3.2% |
Value of a $10,000 Investment
Quant Quality (QQ) Ordinary Shares vs.
S&P 500 Index
| Quant Quality | ||||||
| QLQ | S&P 500 | S&P 500 | ||||
| Period | % Return | Cumulative | % Return | Cumulative | ||
| 2000 | ||||||
| Q1 2000 | - | 10,000.00 | - | 10,000.00 | ||
| Q2 2000 | (3.71) | 9,629.00 | (2.66) | 9,734.00 | ||
| Q3 2000 | (4.45) | 9,200.51 | (0.97) | 9,639.58 | ||
| Q4 2000 | (15.03) | 7,817.67 | (7.82) | 8,885.77 | ||
| 2001 | ||||||
| Q1 2001 | (17.11) | 6,480.07 | (11.86) | 7,831.91 | ||
| Q2 2001 | 6.59 | 6,907.11 | 5.85 | 8,290.08 | ||
| Q3 2001 | (19.50) | 5,560.22 | (14.68) | 7,073.10 | ||
| Q4 2001 | 15.18 | 6,404.26 | 10.69 | 7,829.21 | ||
| 2002 | ||||||
| Q1 2002 | (3.31) | 6,192.28 | 0.28 | 7,851.13 | ||
| Q2 2002 | (14.22) | 5,311.74 | (13.40) | 6,799.08 | ||
| Q3 2002 | (13.50) | 4,594.65 | (17.28) | 5,624.20 | ||
| Q4 2002 | 5.65 | 4,854.25 | 8.44 | 6,098.88 | ||
| 2003 | ||||||
| Q1 2003 | (5.05) | 4,609.11 | (3.15) | 5,906.77 | ||
| Q2 2003 | 10.75 | 5,104.59 | 15.39 | 6,815.82 | ||
| Q3 2003 | 1.60 | 5,186.26 | 2.65 | 6,996.44 | ||
| Q4 2003 | 10.67 | 5,739.64 | 12.18 | 7,848.60 | ||
| 2004 | ||||||
| Q1 2004 | 2.18 | 5,864.76 | 1.69 | 7,981.25 | ||
| Q2 2004 | (1.80) | 5,759.20 | 1.72 | 8,118.52 | ||
| Q3 2004 | (0.92) | 5,706.21 | (1.87) | 7,966.71 | ||
| Q4 2004 | 9.27 | 6,235.18 | 9.23 | 8,702.03 | ||
| 2005 | ||||||
| Q1 2005 | (0.62) | 6,196.52 | (2.15) | 8,514.94 | ||
| Q2 2005 | 1.94 | 6,316.73 | 1.37 | 8,631.59 | ||
| Q3 2005 | 6.09 | 6,701.42 | 3.61 | 8,943.19 | ||
| Q4 2005 | 2.86 | 6,893.08 | 2.09 | 9,130.11 | ||
| 2006 | ||||||
| Q1 2006 | 3.07 | 7,104.70 | 4.21 | 9,514.49 | ||
| Q2 2006 | (1.15) | 7,023.00 | (1.44) | 9,377.48 | ||
| Q3 2006 | 6.37 | 7,470.36 | 5.67 | 9,909.18 | ||
| Q4 2006 | 7.38 | 8,021.67 | 6.70 | 10,573.09 | ||
| 2007 | ||||||
| Q1 2007 | 2.40 | 8,214.19 | 0.64 | 10,640.76 | ||
| Q2 2007 | 3.70 | 8,518.12 | 6.28 | 11,309.00 | ||
| Q3 2007 | (0.96) | 8,436.35 | 2.03 | 11,538.57 | ||
| Q4 2007 | (6.90) | 7,854.24 | (3.33) | 11,154.11 | ||
| 2008 | ||||||
| Q1 2008 | (10.50) | 7,029.54 | (9.45) | 10,100.05 | ||
| Q2 2008 | (0.21) | 7,014.78 | (2.73) | 9,824.31 | ||
| Q3 2008 | (14.03) | 6,030.61 | (8.37) | 9,002.02 | ||
| Q4 2008 | (23.84) | 4,592.91 | (21.94) | 7,026.71 | ||
| 2009 | ||||||
| Q1 2009 | (10.24) | 4,122.60 | (11.01) | 6,253.07 | ||
| Q2 2009 | 15.53 | 4,762.84 | 15.93 | 7,249.18 | ||
| Q3 2009 | 8.82 | 5,182.92 | 15.61 | 8,380.78 | ||
| Q4 2009 | 7.00 | 5,545.72 | 6.04 | 8,886.98 | ||
| 2010 | ||||||
| Q1 2010 | 2.80 | 5,701.00 | 5.39 | 9,365.98 | ||
| Q2 2010 | (12.14) | 5,008.90 | (11.43) | 8,295.45 | ||
| Q3 2010 | 6.81 | 5,350.01 | 11.29 | 9,232.01 | ||
| Q4 2010 | 11.01 | 5,939.04 | 10.76 | 10,225.37 | ||
| 2011 | ||||||
| Q1 2011 | 5.37 | 6,257.97 | 5.92 | 10,830.71 | ||
Average Annual Total Returns
| 1Q 2011 | Six Months | One Year | Five Year | Ten Year | Since Inception | Inception Date | |
| Ordinary Shares | 5.37% | 16.98% | 9.78% | –2.50% | –0.34% | 8.52% | 05/06/85 |
Institutional Shares1 | 5.41% | 17.12% | 10.07% | –2.41% | –0.05% | 6.74% | 03/25/91 |
S & P 5002 | 5.92% | 17.31% | 15.65% | 2.62% | 3.29% | 10.41% |
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 05/29/85.
Investing in foreign 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.
QUANT EMERGING MARKETS FUND
| Fund Information | ||
| Net Assets Under Management | $187.7 Million | |
| Number of Companies | 230 | |
| Price to Book Ratio | 1.8 | |
| Price to Earnings Ratio | 11.2 | |
| Ordinary | Institutional | |
| Total Expense Ratio (Net) | 1.77% | 1.51% |
| Ticker Symbol | QFFOX | QEMAX |
INVESTMENT PROFILE
All Data as of March 31, 2011
Investment Commentary
For the annual period ended March 31, 2011, the Quant Emerging Markets Fund’s Ordinary Shares (the “Fund”) outperformed its benchmark, MSCI Emerging Markets (the
Index“). The Fund achieved a return of 19.86% at net asset value compared to 18.78% for the Index.
Market Conditions and Investment Strategies
On a sector basis, portfolio outperformance was primarily due to security selection in Materials and Financials. Sectors that detracted from relative portfolio value included Information Technology and Energy. On a country basis, positions held in China and South Korea were the top contributors. Positions held in South Africa and Taiwan detracted.
The top contributor to overall portfolio performance for the one-year period was an overweight position of the South Korea-based chemical product manufacturer, Hanwha Chemical Corporation. The largest detractor from relative portfolio value stemmed from the Energy sector with an overweight position held of Petroleo Brasileiro S.A. (Petrobras). Shares of Petrobras, which is an integrated oil and gas company based in Rio de Janeiro, were down slightly (–7%) for the period.
For the one-year period ending March 31, 2011, the Dynamic Alpha model performed very well across the MSCI Emerging Markets Index with the top three alpha deciles outperforming. The performance of Valuation metrics was uniformly positive in the top decile with the Discounted Cash Flow factor working quite well. Momentum factors also worked very well. For Quality metrics, performance was mixed during the one-year period with Capital Expenditure working well and Financial Strength working poorly.
Portfolio Changes
There were no significant portfolio changes during the one-year period ending March 31, 2011.
A Look Ahead
As a quantitative investment firm, we tend not to provide strategy-specific forward looking commentary. We believe that our systematic investment approach ensures that we deliver a portfolio of our highest conviction of ideas to all of our clients.
The Fund’s portfolio is managed by a team of portfolio managers at PanAgora Asset Management, Inc.
QUANT EMERGING MARKETS FUND
Top 10 Holdings
| Percentage of total net assets | 19.5% |
| Samsung Electronics Co., Ltd. | 2.9% |
| Petroleo Brasileiro SA | 2.7% |
| Vale SA, Class A | 2.3% |
Taiwan Semiconductor Manufacturing Co., Ltd. | 2.1% |
| CNOOC Limited | 2.0% |
| Gazprom | 1.7% |
| LUKoil | 1.6% |
| Hanwha Chemical Corporation | 1.5% |
| Bank of China Ltd., Class H | 1.5% |
| China Mobile Limited | 1.2% |
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 | 90.8% |
| China | 18.3% |
| South Korea | 15.3% |
| Brazil | 14.2% |
| Taiwan | 12.9% |
| India | 7.5% |
| Russia | 6.8% |
| South Africa | 5.5% |
| Mexico | 3.9% |
| Malaysia | 3.8% |
| Indonesia | 2.6% |
Sector Allocation
| Percentage of total net assets | 100.0% |
| Financials | 23.7% |
| Materials | 15.6% |
| Energy | 15.0% |
| Information Technology | 13.2% |
| Industrials | 8.5% |
| Consumer Discretionary | 8.3% |
| Consumer Staples | 7.5% |
| Telecommunication Services | 5.2% |
| Health Care | 1.5% |
| Utilities | 1.5% |
| Cash and Other Assets (Net) | 0.0% |
Value of a $10,000 Investment
Quant Emerging Markets (QEM) Ordinary Shares vs.
MSCI EM Index
| Quant Emerging Markets | ||||||
| MSCI | MSCI | |||||
| QEM | QEM | EMG. MKT | EMG. MKT | |||
| Period | % Return | Cumulative | % Return | Cumulative | ||
| 2000 | ||||||
| Q1 2000 | - | 10,000.00 | - | 10,000.00 | ||
| Q2 2000 | (8.31) | 9,169.00 | (10.79) | 8,921.00 | ||
| Q3 2000 | (12.54) | 8,019.21 | (13.00) | 7,761.27 | ||
| Q4 2000 | (9.96) | 7,220.49 | (13.34) | 6,725.92 | ||
| 2001 | ||||||
| Q1 2001 | (3.10) | 6,996.66 | (5.46) | 6,358.68 | ||
| Q2 2001 | 4.41 | 7,305.21 | 3.90 | 6,606.67 | ||
| Q3 2001 | (18.08) | 5,984.43 | (21.60) | 5,179.63 | ||
| Q4 2001 | 19.48 | 7,150.20 | 26.58 | 6,556.37 | ||
| 2002 | ||||||
| Q1 2002 | 8.71 | 7,772.98 | 11.33 | 7,299.21 | ||
| Q2 2002 | (8.98) | 7,074.96 | (8.44) | 6,683.16 | ||
| Q3 2002 | (11.08) | 6,291.06 | (16.35) | 5,590.46 | ||
| Q4 2002 | 9.87 | 6,911.99 | 10.04 | 6,151.74 | ||
| 2003 | ||||||
| Q1 2003 | (4.38) | 6,609.24 | (6.00) | 5,782.64 | ||
| Q2 2003 | 22.55 | 8,099.63 | 23.29 | 7,129.42 | ||
| Q3 2003 | 16.80 | 9,460.36 | 14.23 | 8,143.93 | ||
| Q4 2003 | 32.05 | 12,492.41 | 17.81 | 9,594.37 | ||
| 2004 | ||||||
| Q1 2004 | 10.14 | 13,759.14 | 9.72 | 10,526.94 | ||
| Q2 2004 | (11.88) | 12,124.55 | (9.57) | 9,519.51 | ||
| Q3 2004 | 11.52 | 13,521.30 | 8.26 | 10,305.82 | ||
| Q4 2004 | 17.10 | 15,833.44 | 17.27 | 12,085.64 | ||
| 2005 | ||||||
| Q1 2005 | 0.71 | 15,945.86 | 1.94 | 12,320.10 | ||
| Q2 2005 | 1.83 | 16,237.67 | 4.24 | 12,842.47 | ||
| Q3 2005 | 19.53 | 19,408.89 | 18.11 | 15,168.24 | ||
| Q4 2005 | 5.70 | 20,515.19 | 7.20 | 16,260.36 | ||
| 2006 | ||||||
| Q1 2006 | 14.08 | 23,403.73 | 12.12 | 18,231.11 | ||
| Q2 2006 | (6.15) | 21,964.40 | (4.27) | 17,452.64 | ||
| Q3 2006 | 4.51 | 22,955.00 | 5.01 | 18,327.02 | ||
| Q4 2006 | 17.52 | 26,976.71 | 17.64 | 21,559.91 | ||
| 2007 | ||||||
| Q1 2007 | 5.28 | 28,401.08 | 2.35 | 22,066.57 | ||
| Q2 2007 | 17.65 | 33,413.88 | 15.05 | 25,387.59 | ||
| Q3 2007 | 15.44 | 38,572.98 | 14.52 | 29,073.86 | ||
| Q4 2007 | 1.72 | 39,236.43 | 3.66 | 30,137.97 | ||
| 2008 | ||||||
| Q1 2008 | (13.61) | 33,896.36 | (10.92) | 26,846.90 | ||
| Q2 2008 | (1.55) | 33,370.96 | (0.80) | 26,632.12 | ||
| Q3 2008 | (28.81) | 23,756.79 | (26.86) | 19,478.74 | ||
| Q4 2008 | (32.62) | 16,007.32 | (27.56) | 14,110.40 | ||
| 2009 | ||||||
| Q1 2009 | (1.04) | 15,840.85 | 1.02 | 14,254.32 | ||
| Q2 2009 | 30.76 | 20,713.49 | 34.84% | 19,220.53 | ||
| Q3 2009 | 20.23 | 24,903.83 | 21.04% | 23,264.53 | ||
| Q4 2009 | 9.50 | 27,269.70 | 8.57% | 25,258.30 | ||
| 2010 | ||||||
| Q1 2010 | 2.56 | 27,967.80 | 2.45% | 25,877.13 | ||
| Q2 2010 | (8.71) | 25,531.80 | (8.29) | 23,731.91 | ||
| Q3 2010 | 18.27 | 30,196.47 | 18.16 | 28,041.63 | ||
| Q4 2010 | 8.16 | 32,660.50 | 7.36 | 30,105.49 | ||
| 2011 | ||||||
| Q1 2011 | 2.65 | 33,526.00 | 7.94 | 32,495.87 | ||
Average Annual Total Returns
| 1Q 2011 | Six Months | One Year | Five Year | Ten Year | Since Inception | Inception Date | |
| Ordinary Shares | 2.65% | 11.02% | 19.86% | 7.45% | 16.96% | 7.50% | 09/30/94 |
Institutional Shares1 | 2.65% | 11.13% | 20.14% | 7.72% | 17.38% | 9.69% | 04/02/96 |
MSCI EM2 | 2.10% | 9.61% | 18.78% | 11.01% | 17.12% | 6.91% |
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 09/30/94.
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.
QUANT FOREIGN VALUE FUND
| Fund Information | ||
| Net Assets Under Management | $448.3 Million | |
| Number of Companies | 48 | |
| Price to Book Ratio | 1.4 | |
| Price to Earnings Ratio | 12.5 | |
| Ordinary | Institutional | |
| Total Expense Ratio (Net) | 1.62% | 1.37% |
| Ticker Symbol | QFVOX | QFVIX |
INVESTMENT PROFILE
All Data as of March 31, 2011
Investment Commentary
For the fiscal year ended March 31, 2011, 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 19.17% at net asset value compared to 10.90% for the Index.
Market Conditions and Investment Strategies
At more than 8.25 percentage points above the benchmark, the Fund’s success was largely attributed to industrial, material, consumer discretionary and energy stocks. Seven of ten sectors posted positive absolute returns.
Within industrials, German engine maker Tognum AG was a top contributor to performance due to a proposed joint takeover bid from Rolls-Royce Group Plc and Daimler AG. Other notable performers included Kone OYJ, Konecranes OYJ, YIT OYJ and Demag Cranes. Backed by European and Latin American demand, corrugated box manufacturer Smurfit Kappa led the materials sector returns. Fragrance and flavorings maker Symrise AG advanced on expectations that the company would be able to raise product prices at a faster pace than raw material cost increases. Metorex Ltd., a South African mining company, benefitted from higher copper prices, increased volumes and talk of a takeover. Thai Oil helped lift the energy sector on expectations for continued strong gross refining margins and paraxylene spreads.
In financials, State Bank of India posted strong returns, as the banking industry has gained country-wide acceptance over the past year. Investor AB, DnB NOR ASA and Svenska Handelsbanken also posted strong annual returns. Among consumer discretionary holdings, Autoliv Inc. rebounded strongly as the automotive industry expanded in emerging markets. Based on strong sales and growth, the stock price rose to our sell limit. In information technology, Wincor Nixdorf posted results in excess of 40% for the year. Detractors to better performance were utilities and consumer staples. Although power plants at Japan’s Kansai Electric Power were not directly affected by the earthquake, the stock suffered along with the overall Japanese market. Consumer staples were negatively impacted due to the holdings in Japan’s Asahi Breweries and Ireland’s Greencore Group. Rolling power blackouts are affecting production for Asahi Breweries. Greencore did not complete the merger with Northern Foods, causing a negative impact on the stock.
Portfolio Changes
For the fiscal year ended March 31, 2011, the Fund trimmed holdings in energy, industrial and consumer discretionary sectors. Most of the sales were completed toward the end of the fiscal year, as company valuations reached their respective target sell prices. The majority of the companies sold had strong fundamentals and were sold at a profit. During the year, the Fund purchased five new stocks, with one each coming from energy, industrials, healthcare, information technology and consumer staples.
QUANT FOREIGN VALUE FUND
A Look Ahead
While we continue to believe that the economic recovery will be slow, steady and mixed, the latest discussions with companies suggest further economic expansion. There remains a large discrepancy between growth in emerging and developed markets and we expect this growth gap to persist in the near term. Some of the Fund’s best performing stocks last year were companies with good corporate governance, strong accounting and control systems and high quality management that benefitted from strong growth in emerging countries.
The Fund’s lead portfolio manager is Bernard R. Horn, Jr., of Polaris Capital Management, LLC
QUANT FOREIGN VALUE FUND
Top 10 Holdings
| Percentage of total net assets | 29.6% |
| Thai Oil PCL | 4.1% |
| Tognum AG | 3.1% |
| Samsung Electronics Company Ltd. | 3.1% |
| Duni AB | 3.0% |
| DnB NOR ASA | 2.9% |
| Smurfit Kappa plc | 2.8% |
| Investor AB, Class B | 2.7% |
| Kone OYJ-B | 2.7% |
| Taylor Wimpey plc | 2.6% |
| YIT OYJ | 2.6% |
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 | 75.7% |
| Germany | 15.1% |
| Japan | 13.0% |
| United Kingdom | 10.2% |
| Sweden | 8.1% |
| Finland | 6.8% |
| Ireland | 6.3% |
| South Korea | 4.8% |
| Thailand | 4.1% |
| France | 3.8% |
| South Africa | 3.5% |
Sector Allocation
| Percentage of total net assets | 100.0% |
| Materials | 19.4% |
| Industrials | 17.3% |
| Financials | 16.4% |
| Consumer Discretionary | 13.5% |
| Energy | 6.6% |
| Information Technology | 6.3% |
| Consumer Staples | 5.9% |
| Telecommunication Services | 3.6% |
| Health Care | 2.2% |
| Utilities | 1.7% |
| Cash and Other Assets (Net) | 7.1% |
Value of a $10,000 Investment
Quant Foreign Value (QFV) Ordinary Shares vs.
MSCI EAFE Index
| Quant Foreign Value | ||||||
| MSCI | MSCI | |||||
| QFV | QFV | EAFE | EAFE | |||
| Period | % Return | Cumulative | % Return | Cumulative | ||
| 2000 | ||||||
| Q1 2000 | - | 10,000.00 | - | 10,000.00 | ||
| Q2 2000 | 3.31 | 10,331.00 | (4.25) | 9,575.00 | ||
| Q3 2000 | (7.38) | 9,568.57 | (8.07) | 8,802.30 | ||
| Q4 2000 | 1.40 | 9,702.53 | (2.62) | 8,571.68 | ||
| 2001 | ||||||
| Q1 2001 | (1.37) | 9,569.61 | (13.67) | 7,399.93 | ||
| Q2 2001 | 2.54 | 9,812.68 | (1.25) | 7,307.43 | ||
| Q3 2001 | (18.13) | 8,033.64 | (14.00) | 6,284.39 | ||
| Q4 2001 | 16.65 | 9,371.24 | 6.97 | 6,722.41 | ||
| 2002 | ||||||
| Q1 2002 | 14.30 | 10,711.33 | 0.57 | 6,760.73 | ||
| Q2 2002 | (2.38) | 10,456.40 | (1.94) | 6,629.57 | ||
| Q3 2002 | (17.37) | 8,640.12 | (19.69) | 5,324.21 | ||
| Q4 2002 | 8.54 | 9,377.99 | 6.48 | 5,669.22 | ||
| 2003 | ||||||
| Q1 2003 | (7.25) | 8,698.08 | (8.13) | 5,208.31 | ||
| Q2 2003 | 22.56 | 10,660.37 | 19.57 | 6,227.58 | ||
| Q3 2003 | 12.87 | 12,032.36 | 8.18 | 6,736.99 | ||
| Q4 2003 | 15.67 | 13,917.83 | 17.11 | 7,889.69 | ||
| 2004 | ||||||
| Q1 2004 | 9.22 | 15,201.05 | 4.40 | 8,236.84 | ||
| Q2 2004 | 0.15 | 15,223.85 | 0.44 | 8,273.08 | ||
| Q3 2004 | 3.48 | 15,753.64 | (0.23) | 8,254.05 | ||
| Q4 2004 | 13.30 | 17,848.88 | 15.36 | 9,521.87 | ||
| 2005 | ||||||
| Q1 2005 | 3.04 | 18,391.49 | (0.10) | 9,512.35 | ||
| Q2 2005 | (2.39) | 17,951.93 | (0.75) | 9,441.01 | ||
| Q3 2005 | 9.97 | 19,741.74 | 10.44 | 10,426.65 | ||
| Q4 2005 | 4.30 | 20,590.63 | 4.12 | 10,856.23 | ||
| 2006 | ||||||
| Q1 2006 | 13.06 | 23,279.77 | 9.47 | 11,884.31 | ||
| Q2 2006 | (1.71) | 22,881.68 | 0.94 | 11,996.03 | ||
| Q3 2006 | 3.63 | 23,712.29 | 3.99 | 12,474.67 | ||
| Q4 2006 | 13.78 | 26,979.84 | 10.40 | 13,772.03 | ||
| 2007 | ||||||
| Q1 2007 | 5.34 | 28,420.57 | 4.15 | 14,343.57 | ||
| Q2 2007 | 2.64 | 29,170.87 | 6.67 | 15,300.29 | ||
| Q3 2007 | (1.94) | 28,604.95 | 2.23 | 15,641.49 | ||
| Q4 2007 | (7.43) | 26,479.61 | 1.71 | 15,908.96 | ||
| 2008 | ||||||
| Q1 2008 | (2.02) | 25,944.72 | (8.82) | 14,505.79 | ||
| Q2 2008 | (12.63) | 22,667.90 | (1.93) | 14,225.82 | ||
| Q3 2008 | (24.31) | 17,157.33 | (20.50) | 11,309.53 | ||
| Q4 2008 | (26.53) | 12,605.49 | (19.90) | 9,058.93 | ||
| 2009 | ||||||
| Q1 2009 | (9.32) | 11,430.66 | (13.85) | 7,804.27 | ||
| Q2 2009 | 36.87 | 15,645.15 | 25.84% | 9,820.89 | ||
| Q3 2009 | 26.73 | 19,827.09 | 19.52% | 11,737.93 | ||
| Q4 2009 | 0.48 | 19,922.26 | 2.23% | 11,999.69 | ||
| 2010 | ||||||
| Q1 2010 | 5.60 | 21,037.91 | 0.94% | 12,112.49 | ||
| Q2 2010 | (12.69) | 18,368.20 | -13.75% | 10,447.02 | ||
| Q3 2010 | 18.49 | 21,764.48 | 16.53% | 12,173.91 | ||
| Q4 2010 | 9.86 | 23,910.46 | 6.65% | 12,983.48 | ||
| 2011 | ||||||
| Q1 2011 | 4.86 | 25,072.50 | 3.45% | 13,431.41 | ||
Average Annual Total Returns
| 1Q 2011 | Six Months | One Year | Five Year | Ten Year | Since Inception | Inception Date | |
| Ordinary Shares | 4.86% | 15.19% | 19.17% | 1.49% | 10.11% | 6.89% | 05/15/98 |
Institutional Shares1 | 4.93% | 15.40% | 19.48% | 1.69% | 10.37% | 8.96% | 12/18/98 |
MSCI EAFE2 | 3.45% | 10.33% | 10.90% | 1.78% | 5.83% | 4.41% |
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, Australia, 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.
QUANT FOREIGN VALUE SMALL CAP FUND
| Fund Information | ||
| Net Assets Under Management | $102.3 Million | |
| Number of Companies | 69 | |
| Price to Book Ratio | 1.7 | |
| Price to Earnings Ratio | 11.4 | |
| Ordinary | Institutional | |
| Total Expense Ratio (Net) | 1.69% | 1.44% |
| Ticker Symbol | QFVOX | QFVIX |
INVESTMENT PROFILE
All Data as of March 31, 2011
Investment Commentary
For the fiscal year ended March 31, 2011, the Quant Foreign Value Small Cap Fund’s Ordinary Shares (the “Fund”) underperformed its benchmark, the S&P
EPAC Small Cap Index (the “Index”). The Fund achieved a return of 13.12% at net asset value compared to 19.85% for the Index.
Market Conditions and Investment Strategies
In early 2010, emerging markets experienced a major liquidity-driven rally, which subsequently reversed at year end. Investors transferred money back to developed markets, based on concerns about inflation in emerging markets, a possible slowdown in Chinese growth and a marked rebound in developed markets. The Fund’s strong gains from early in the year were reversed in a mere three months, coinciding with the retraction in emerging markets. Importantly, fundamentals and cash flows from the Fund’s emerging market holdings were unimpeded; yet stock prices dropped in line with the overarching macroeconomic trend.
Consumer discretionary stocks offered the best performance, with Italian luxury kitchen goods manufacturer De Longhi SPA doubling in value on the back of rising sales of their coffee machines. Another top contributor with similar returns was Character Group PLC, the U.K. toy company that profited from strong sales of proprietary and franchised toys during the holiday season.
In industrials, Clarkson PLC posted returns in excess of 60%, as the shipping broker benefited from increasing volumes and rates as global shipping resumed. The company is well diversified within the industry, serving as a broker in bulk, container and liquidity natural gas shipping. Demag Cranes AG also boosted the sector returns, as its stock price reflected growing market demand and potential takeover news. Galliford Try PLC posted a 39% return for the year, as the British home and public sector builder produced strong operating margins and discussed new public construction wins.
In telecommunications, Alternative Networks posted double-digit returns, as it gained market share and catered to cost-sensitive customers. The company expects to report strong earnings this year, comparable or better than 2010. M1 LTD offered strong numbers, relying on its status as a mature Singapore telecom company with increasing market share.
A main detractor from better annual results was from the healthcare sector. AGFA-Gevaert NV saw prices of silver, a key raw material, more than double while the company has yet to pass this increase to its customers. Additionally, the company’s two main business lines, healthcare imaging and pre-press (printing), are undergoing an industry-wide evolution from analog to digital technology. AGFA management has strategies and products for this transition and needs to successfully execute on those. The Fund’s materials holdings also underperformed, due to declines in USHA Martin LTD and China Gerui Advanced Materials.
Portfolio Changes
For the fiscal year ended March 31, 2011, the Fund sold holdings in energy, materials, consumer discretionary, healthcare and financials. A majority of the sales were based on stocks reaching valuation targets. Cash was redeployed to 18 new buys that were balanced between developed and emerging markets. Many of the new stock purchases helped further “derisk” the portfolio.
QUANT FOREIGN VALUE SMALL CAP FUND
A Look Ahead
Consumer spending has returned and unemployment levels have stabilized. Companies in both developed and emerging markets have recovered strongly, as we have seen better growth rates and cash flows over the past few quarters. On the negative side, governments worldwide are facing high public debt, emerging countries are fighting inflation and higher commodity prices may impact consumer spending. Cognizant of these competing trends, Fund management will continue to focus on identifying fundamentally strong companies, seeking to purchase undervalued positions in down markets and sell stocks at a profit in market advances.
The Fund’s lead portfolio manager is Bernard R. Horn, Jr., of Polaris Capital Management, LLC
QUANT FOREIGN VALUE SMALL CAP FUND
Top 10 Holdings
| Percentage of total net assets | 17.8% |
| Alternative Networks plc | 2.3% |
| Manila Water Company, Inc. | 2.0% |
| M1 Ltd. | 1.9% |
| Dockwise Ltd. | 1.9% |
| Kinepolis Group | 1.7% |
| Metorex Limited | 1.6% |
| Clicks Group Limited | 1.6% |
| Galliford Try plc | 1.6% |
| Sigma Pharmaceutical Ltd. | 1.6% |
| Dr|$$|Adagerwerk AG | 1.6% |
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 | 68.6% |
| United Kingdom | 17.8% |
| China | 13.3% |
| India | 7.8% |
| Ireland | 5.7% |
| Japan | 5.3% |
| Australia | 4.2% |
| Sweden | 4.2% |
| Norway | 3.9% |
| Singapore | 3.2% |
| South Africa | 3.2% |
Sector Allocation
| Percentage of total net assets | 100.0% |
| Consumer Discretionary | 21.1% |
| Industrials | 19.6% |
| Financials | 9.8% |
| Consumer Staples | 9.3% |
| Information Technology | 7.3% |
| Health Care | 7.2% |
| Materials | 6.7% |
| Utilities | 5.2% |
| Telecommunication Services | 4.2% |
| Energy | 1.9% |
| Cash and Other Assets (Net) | 7.7% |
Value of a $10,000 Investment
Quant Foreign Value Small Cap (QFVSC) Ordinary Shares vs. EPAC EMI Index
| Quant Foreign Value Small Cap | ||||||
| S&P | S&P | |||||
| QFV | QFV | EPAC SC | EPAC SC | |||
| Period | % Return | Cumulative | % Return | Cumulative | ||
| 2008 | ||||||
| April 2008 | $ 10,000.00 | $ 10,000.00 | ||||
| May 2008 | 2.80 | 10,280.00 | 1.55 | 10,155.00 | ||
| June 2008 | (7.49) | 9,510.03 | (8.50) | 9,291.83 | ||
| July 2008 | (3.58) | 9,169.57 | (4.82) | 8,843.96 | ||
| August 2008 | (2.29) | 8,959.59 | (3.86) | 8,502.58 | ||
| September 2008 | (16.96) | 7,440.04 | (16.08) | 7,135.37 | ||
| October 2008 | (27.96) | 5,359.80 | (24.79) | 5,366.51 | ||
| November 2008 | (5.41) | 5,069.84 | (4.51) | 5,124.48 | ||
| December 2008 | 4.94 | 5,320.29 | 7.73 | 5,520.60 | ||
| January 2009 | (5.51) | 5,027.14 | (7.67) | 5,097.17 | ||
| February 2009 | (6.24) | 4,713.45 | (9.88) | 4,593.57 | ||
| March 2009 | 3.43 | 4,875.12 | 6.53 | 4,893.53 | ||
| April 2009 | 23.03 | 5,997.86 | 16.14 | 5,683.35 | ||
| May 2009 | 25.13 | 7,505.12 | 12.90 | 6,416.50 | ||
| June 2009 | - | 7,505.12 | 0.95 | 6,477.46 | ||
| July 2009 | 8.49 | 8,142.31 | 7.49 | 6,962.62 | ||
| August 2009 | 7.83 | 8,779.85 | 7.70 | 7,498.74 | ||
| September 2009 | 7.14 | 9,406.73 | 5.11 | 7,881.92 | ||
| October 2009 | 0.11 | 9,417.08 | (2.56) | 7,680.15 | ||
| November 2009 | 1.61 | 9,568.69 | 0.67 | 7,731.60 | ||
| December 2009 | 1.99 | 9,759.11 | 1.07 | 7,814.33 | ||
| January 2010 | 0.31 | 9,789.36 | (1.81) | 7,672.89 | ||
| February 2010 | 1.66 | 9,951.87 | (1.38) | 7,567.01 | ||
| March 2010 | 5.01 | 10,450.45 | 7.31 | 8,120.16 | ||
| April 2010 | 2.63 | 10,725.30 | 1.15 | 8,213.54 | ||
| May 2010 | (10.52) | 9,597.00 | (12.00) | 7,227.91 | ||
| June 2010 | (0.64) | 9,535.58 | (0.01) | 7,227.19 | ||
| July 2010 | 7.46 | 10,246.93 | 8.48 | 7,840.06 | ||
| August 2010 | (2.48) | 9,992.81 | (3.10) | 7,597.01 | ||
| September 2010 | 10.78 | 11,070.03 | 11.43 | 8,465.35 | ||
| October 2010 | 3.12 | 11,415.42 | 3.91 | 8,796.35 | ||
| November 2010 | (2.67) | 11,110.63 | (4.23) | 8,424.26 | ||
| December 2010 | 6.01 | 11,778.38 | 10.71 | 9,326.50 | ||
| January 2011 | (1.08) | 11,651.17 | 1.34 | 9,451.48 | ||
| February 2011 | (0.36) | 11,609.22 | 2.38 | 9,676.42 | ||
| March 2011 | 1.82 | 11,820.51 | 0.57 | 9,731.58 | ||
Average Annual Total Returns
| 1Q 2011 | Six Months | One Year | Five Year | Ten Year | Since Inception | Inception Date | |
| Ordinary Shares | 0.36% | 6.78% | 13.12% | 5.84% | 5/1/2008 | ||
Institutional Shares1 | 0.45% | 6.97% | 13.40% | 6.06% | 5/1/2008 | ||
| S&P/EPAC Small Cap Index | 4.34% | 14.97% | 19.85% | –0.32% |
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.
QUANT SMALL CAP FUND
SCHEDULE OF INVESTMENTS
March 31, 2011
Common Stock—98.9%
| Shares | Value | ||
| AEROSPACE & DEFENSE—0.0% | |||
| Sparton Corporation (a) | 5,898 | $ 45,827 | |
| AUTO COMPONENTS—0.0% | |||
| Motorcar Parts of America, Inc. (a) | 3,322 | 46,442 | |
| BANKS—3.3% | |||
| Bank of the Ozarks, Inc. | 7,236 | 316,286 | |
| Citizens & Northern Corporation | 3,047 | 51,220 | |
| CoBiz Financial, Inc. | 119,158 | 828,148 | |
| F.N.B. Corporation | 58,062 | 611,974 | |
| Pinnacle Financial Partners, Inc. (a) | 64,585 | 1,068,236 | |
| Provident Financial Holdings, Inc. | 5,553 | 46,034 | |
| WestAmerica Bancorporation | 19,828 | 1,018,564 | |
| 3,940,462 | |||
| BEVERAGES—0.0% | |||
| Craft Brewers Alliance, Inc. (a) | 5,594 | 50,961 | |
| BIOTECHNOLOGY—0.2% | |||
| BioDelivery Sciences International, Inc. | 13,461 | 47,517 | |
| Nabi Biopharmaceuticals (a) | 8,287 | 48,148 | |
| Neurocrine Biosciences, Inc. (a) | 6,937 | 52,652 | |
| SciClone Pharmaceuticals, Inc. (a) | 11,127 | 44,953 | |
| 193,270 | |||
| CHEMICALS—0.6% | |||
| Ferro Corporation (a) | 42,691 | 708,244 | |
| Material Sciences Corporation (a) | 6,538 | 47,139 | |
| 755,383 | |||
| COMMERCIAL SERVICES & SUPPLIES—8.8% | |||
| Acacia Research Corporation—Acacia Technologies (a) | 169,125 | 5,787,458 | |
| CAI International, Inc. (a) | 2,201 | 56,918 | |
| Global Traffic Network, Inc. (a) | 3,925 | 48,945 | |
| GP Strategies Corporation (a) | 4,064 | 55,271 | |
| Heartland Payment Systems, Inc. | 39,981 | 700,867 | |
| Kforce Inc. (a) | 130,927 | 2,395,964 | |
| Lincoln Educational Services Corporation | 2,961 | 47,050 | |
| LML Payment Systems, Inc. (a) | 9,121 | 26,268 | |
| On Assignment, Inc. (a) | 4,664 | 44,121 | |
| SeaCube Container Leasing Ltd. | 3,158 | 50,560 | |
| SuperMedia, Inc. (a) | 6,533 | 40,766 | |
| Waste Connections, Inc. | 50,665 | 1,458,645 | |
| 10,712,833 |
| The accompanying notes are an integral part of these financial statements. |
QUANT SMALL CAP FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | ||
| COMMUNICATIONS EQUIPMENT—3.2% | |||
| Hughes Communications, Inc. (a) | 14,921 | $ 890,336 | |
| NICE-Systems, Ltd. (a)(c) | 77,534 | 2,864,106 | |
| TeleNav, Inc. (a) | 4,350 | 51,634 | |
| Telular Corporation | 6,924 | 50,268 | |
| Westell Technologies, Inc., Class A (a) | 14,135 | 49,473 | |
| 3,905,817 | |||
| CONSTRUCTION & ENGINEERING—0.3% | |||
| MasTec, Inc. (a) | 14,238 | 296,150 | |
| CONTAINERS & PACKAGING—0.9% | |||
| Sonoco Products Company | 26,726 | 968,283 | |
| UFP Technologies, Inc. (a) | 2,750 | 47,355 | |
| 1,015,638 | |||
| DIVERSIFIED FINANCIALS—4.7% | |||
| Asta Funding, Inc. | 5,607 | 47,996 | |
| Diamond Hill Investment Group, Inc. | 611 | 48,880 | |
| Fifth Street Finance Corp. | 16,273 | 217,244 | |
| First Cash Financial Services, Inc. (a) | 54,606 | 2,107,792 | |
| Gladstone Investment Corporation | 5,710 | 44,310 | |
| Hercules Technology Growth Capital, Inc. | 75,844 | 834,284 | |
| Medley Capital Corp. (a) | 78,966 | 961,806 | |
| optionsXpress Holdings, Inc. | 39,367 | 720,810 | |
| Sanders Morris Harris Group, Inc. | 6,747 | 54,043 | |
| Tower Bancorp, Inc. | 32,321 | 720,435 | |
| 5,757,600 | |||
| ELECTRICAL EQUIPMENT—1.6% | |||
| Active Power, Inc. (a) | 20,615 | 60,814 | |
| American Superconductor Corporation (a)(b) | 72,729 | 1,808,770 | |
| Preformed Line Products Company | 677 | 46,829 | |
| 1,916,413 | |||
| ELECTRONIC EQUIPMENT & INSTRUMENTS—5.5% | |||
| DDi Corp. | 4,291 | 45,356 | |
| DigitalGlobe, Inc. (a) | 36,880 | 1,033,747 | |
| eMagin Corporation (a) | 5,950 | 42,543 | |
| ePlus, Inc. (a) | 1,743 | 46,381 | |
| Finisar Corporation (a) | 92,504 | 2,275,598 | |
| Nanometrics, Inc. (a) | 2,779 | 50,272 | |
| OSI Systems, Inc. (a) | 35,798 | 1,343,499 | |
| Riverbed Technology (a) | 48,939 | 1,842,553 | |
| 6,679,949 |
| The accompanying notes are an integral part of these financial statements. |
QUANT SMALL CAP FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | ||
| ENERGY EQUIPMENT & SERVICES—6.9% | |||
| Bolt Technology Corp. (a) | 3,190 | $ 43,192 | |
| Core Laboratories N.V. | 52,750 | 5,389,467 | |
| Dawson Geophysical Company (a) | 39,198 | 1,720,008 | |
| Hornbeck Offshore Services, Inc. (a) | 37,670 | 1,162,120 | |
| RigNet, Inc. (a) | 2,933 | 53,322 | |
| TGC Industries, Inc. (a) | 6,815 | 52,953 | |
| 8,421,062 | |||
| FOOD & DRUG RETAILING—2.1% | |||
| United Natural Foods, Inc. (a) | 56,528 | 2,533,585 | |
| FOOD PRODUCTS—2.0% | |||
| Diamond Foods, Inc. (b) | 23,824 | 1,329,379 | |
| Hain Celestial Group, Inc. (a) | 33,330 | 1,075,892 | |
| Overhill Farms, Inc. (a) | 7,608 | 46,333 | |
| 2,451,604 | |||
| GAS UTILITIES—0.0% | |||
| Star Gas Partners, L.P. | 8,636 | 49,139 | |
| HEALTH CARE EQUIPMENT & SUPPLIES—5.0% | |||
| Align Technology, Inc. (a) | 26,932 | 551,567 | |
| Antares Pharma, Inc. (a) | 30,164 | 54,295 | |
| Fabrinet (a) | 20,397 | 411,204 | |
| LeMaitre Vascular, Inc. | 6,656 | 45,327 | |
| Natus Medical, Inc. (a) | 36,709 | 616,711 | |
| SXC Health Solutions, Corp. (a) | 56,748 | 3,109,791 | |
| Syneron Medical Ltd. (a) | 84,708 | 1,104,592 | |
| Tornier N.V. (a) | 11,658 | 216,606 | |
| 6,110,093 | |||
| HEALTH CARE PROVIDERS & SERVICES—4.0% | |||
| Almost Family, Inc. (a) | 1,214 | 45,695 | |
| Continucare Corporation (a) | 8,331 | 44,571 | |
| eResearch Technology, Inc. (a) | 131,982 | 893,518 | |
| Henry Schein, Inc. (a) | 25,031 | 1,756,425 | |
| LHC Group, Inc. (a) | 1,582 | 47,460 | |
| Metropolitan Health Networks, Inc. (a) | 9,396 | 44,443 | |
| Skilled Healthcare Group, Inc., Class A (a) | 3,366 | 48,437 | |
| Transcend Services, Inc. (a) | 2,287 | 54,888 | |
| U.S. Physical Therapy, Inc. | 2,317 | 51,762 | |
| Universal Health Services, Inc., Class B | 36,187 | 1,788,000 | |
| VirtualScopics, Inc. (a) | 23,960 | 48,878 | |
| 4,824,077 |
| The accompanying notes are an integral part of these financial statements. |
QUANT SMALL CAP FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | ||
| HOTELS, RESTAURANTS & LEISURE—0.6% | |||
| AFC Enterprises, Inc. (a) | 3,181 | $ 48,129 | |
| California Pizza Kitchen, Inc. (a) | 25,297 | 427,013 | |
| Famous Dave’s of America, Inc. (a) | 4,541 | 44,411 | |
| Full House Resorts, Inc. (a) | 11,856 | 45,290 | |
| Krispy Kreme Doughnuts, Inc. (a) | 7,856 | 55,306 | |
| Multimedia Games Holding Co., Inc. (a) | 8,580 | 49,163 | |
| 669,312 | |||
| INSURANCE—0.1% | |||
| Crawford & Company, Class B | 11,234 | 53,474 | |
| Primus Guaranty, Ltd. (a) | 9,302 | 47,254 | |
| The Phoenix Companies, Inc. (a) | 18,388 | 50,015 | |
| 150,743 | |||
| INTERNET & CATALOG RETAIL—0.1% | |||
| 1 800 Flowers.com, Inc., Class A (a) | 17,405 | 57,437 | |
| Stamps.com, Inc. | 3,641 | 48,608 | |
| 106,045 | |||
| INTERNET SOFTWARE & SERVICES—3.0% | |||
| HealthStream, Inc. (a) | 6,194 | 47,941 | |
| Incredimail Ltd. | 6,485 | 47,016 | |
| Internet Capital Group, Inc. (a) | 151,453 | 2,150,633 | |
| LogMeIn, Inc. (a) | 29,116 | 1,227,531 | |
| MediaMind Technologies, Inc. (a) | 12,042 | 166,300 | |
| Zix Corporation (a) | 13,032 | 47,958 | |
| 3,687,379 | |||
| IT CONSULTING & SERVICES—4.4% | |||
| Alliance Data Systems Corporation (a) | 42,028 | 3,609,785 | |
| Computer Task Group, Inc. (a) | 3,769 | 50,090 | |
| GeoEye, Inc. (a) | 11,052 | 459,542 | |
| InterNAP Network Services Corporation (a) | 179,925 | 1,182,107 | |
| WidePoint Corporation (a) | 33,445 | 42,475 | |
| 5,343,999 | |||
| LEISURE EQUIPMENT & PRODUCTS—0.8% | |||
| Polaris Industries, Inc. | 9,844 | 856,625 | |
| Sturm, Ruger & Co., Inc. | 2,516 | 57,792 | |
914,417 |
| The accompanying notes are an integral part of these financial statements. |
QUANT SMALL CAP FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | ||
| MACHINERY—4.5% | |||
| L.B. Foster Company, Class A | 1,160 | $ 50,008 | |
| Gardner Denver, Inc. | 53,706 | 4,190,679 | |
| The Middleby Corporation (a) | 12,941 | 1,206,360 | |
| 5,447,047 | |||
| MEDIA—2.4% | |||
| Cinemark Holdings, Inc. | 29,611 | 572,973 | |
| IMAX Corporation (a) | 18,938 | 605,637 | |
| Regal Entertainment Group, Class A | 125,070 | 1,688,445 | |
| 2,867,055 | |||
| METALS & MINING—5.5% | |||
| Compass Minerals International, Inc. | 52,782 | 4,936,701 | |
| Friedman Industries, Inc. | 4,738 | 48,090 | |
| Great Northern Iron Ore Properties | 352 | 44,035 | |
| Mesabi Trust | 1,279 | 52,618 | |
| Stillwater Mining Company (a) | 71,403 | 1,637,271 | |
| 6,718,715 | |||
| MULTILINE RETAIL—0.0% | |||
| Gordmans, Inc. (a) | 3,269 | 57,959 | |
| OIL & GAS—2.2% | |||
| Callon Petroleum Company (a) | 6,072 | 47,180 | |
| GeoResources, Inc. (a) | 20,996 | 656,545 | |
| Harvest Natural Resources, Inc. (a) | 3,060 | 46,634 | |
| Miller Petroleum, Inc. (a) | 8,541 | 42,705 | |
| Natural Gas Services Group, Inc. (a) | 35,996 | 639,289 | |
| Northern Oil & Gas, Inc. (a) | 44,763 | 1,195,172 | |
| Toreador Resources Corporation (a) | 3,358 | 36,199 | |
| 2,663,724 | |||
| PAPER & FOREST PRODUCTS—0.0% | |||
| Mercer International, Inc. (a) | 3,478 | 47,127 | |
| PERSONAL PRODUCTS—0.0% | |||
| Medifast Inc. (a) | 1,927 | 38,058 | |
| PHARMACEUTICALS—2.6% | |||
| Hi-Tech Pharmacal Co., Inc. (a) | 1,922 | 38,690 | |
| Impax Laboratories, Inc. (a) | 56,231 | 1,431,079 | |
| Par Pharmaceutical Companies, Inc. (a) | 37,676 | 1,170,970 | |
| Pernix Therapeutics Holdings, Inc. (a) | 4,239 | 49,257 | |
| Targacept, Inc. (a) | 19,832 | 527,333 | |
| 3,217,329 |
| The accompanying notes are an integral part of these financial statements. |
QUANT SMALL CAP FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | |||
| REAL ESTATE—9.3% | ||||
| AMB Property Corporation | 23,921 | $ 860,438 | ||
| American Campus Communities, Inc. | 40,062 | 1,322,046 | ||
| Arbor Realty Trust, Inc. (a) | 6,783 | 38,527 | ||
| Dynex Capital, Inc. | 4,484 | 45,109 | ||
| Entertainment Properties Trust | 101,381 | 4,746,659 | ||
| Gramercy Capital Corp. (a) | 9,519 | 40,361 | ||
| Hersha Hospitality Trust | 665,784 | 3,954,757 | ||
| Maui Land and Pineapple Company, Inc. (a) | 6,713 | 38,264 | ||
| NorthStar Realty Finance Corp | 8,395 | 44,913 | ||
| RAIT Financial Trust | 14,589 | 35,889 | ||
| Resource Capital Corp. | 6,422 | 42,321 | ||
| Sabra Health Care REIT, Inc. | 2,636 | 46,420 | ||
| Two Harbors Investment Corp. | 4,229 | 44,278 | ||
| 11,259,982 | ||||
| ROAD & RAIL—1.1% | ||||
| Old Dominion Freight Line, Inc. (a) | 36,300 | 1,273,767 | ||
| TravelCenters of America LLC (a) | 6,219 | 47,078 | ||
| 1,320,845 | ||||
| SEMICONDUCTOR EQUIPMENT & PRODUCTS—1.7% | ||||
| 8x8, Inc. (a) | 16,642 | 46,764 | ||
| Alpha and Omega Semiconductor Limited (a) | 3,621 | 45,951 | ||
| Cypress Semiconductor Corporation (a) | 44,259 | 857,739 | ||
| MIPS Technologies, Inc. (a) | 89,064 | 934,281 | ||
| Nova Measuring Instruments Ltd. (a) | 5,200 | 50,960 | ||
| Photronics, Inc. (a) | 5,284 | 47,398 | ||
| Rudolph Technologies, Inc. (a) | 4,463 | 48,825 | ||
| 2,031,918 | ||||
| SOFTWARE—2.0% | ||||
| Blackboard, Inc. (a)(b) | 5,598 | 202,871 | ||
| BSQUARE Corporation (a) | 4,904 | 35,015 | ||
| Dynamics Research Corporation (a) | 3,088 | 50,489 | ||
| GSI Technology, Inc. (a) | 5,116 | 46,504 | ||
| Magic Software Enterprises Ltd. (a) | 6,714 | 50,691 | ||
| Renaissance Learning, Inc. | 4,292 | 50,431 | ||
| SuccessFactors, Inc. (a) | 11,247 | 439,645 | ||
| Verint Systems Inc. (a) | 41,850 | 1,499,904 | ||
2,375,550 | ||||
| The accompanying notes are an integral part of these financial statements. |
QUANT SMALL CAP FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | ||
| SPECIALTY RETAIL—2.5% | |||
| Chico’s FAS, Inc. | 157,119 | $ 2,341,073 | |
| Destination Maternity Corporation | 2,118 | 48,862 | |
| Monro Muffler Brake, Inc. | 17,328 | 571,478 | |
| Winmark Corporation | 1,291 | 59,554 | |
| 3,020,967 | |||
| TEXTILES & APPAREL—3.2% | |||
| Crocs, Inc. (a) | 36,208 | 645,951 | |
| GUESS?, Inc. | 82,408 | 3,242,755 | |
| 3,888,706 | |||
| WIRELESS TELECOMMUNICATION SERVICES—3.8% | |||
| SBA Communications Corp., Class A (a) | 115,621 | 4,587,841 | |
| USA Mobility, Inc. | 2,872 | 41,615 | |
| 4,629,456 | |||
| TOTAL COMMON STOCK | |||
| (Cost $86,156,353) | 120,162,638 | ||
| Short Term Investments—1.3% | |||
| Par Value | Value | ||
State Street Bank & Trust Co., Repurchase Agreement .01%, 04/01/11, (Dated 03/31/11), Collateralized by $1,615,000 par U.S. Treasury Note—1.0% due 04/30/2012, Market Value $1,633,029, Repurchase Proceeds $1,597,038 (Cost $1,597,037) | $1,597,037 | 1,597,037 | |
TOTAL INVESTMENTS (EXCLUDING INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED)—100.2% | |||
| (Cost $87,753,390) | 121,759,675 | ||
INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED—1.8% | Par Value | Value | |
| Money Market—1.8% | |||
| JP Morgan Prime Money Market Fund—Inst. | |||
| (Cost $2,174,088) | $2,174,088 | 2,174,088 | |
| TOTAL INVESTMENTS—102.0% | |||
| (Cost $89,927,478) (d) | 123,933,763 | ||
| OTHER ASSETS & LIABILITIES (NET)—(2.0%) | (2,452,362) | ||
| NET ASSETS—100% | $121,481,401 |
| The accompanying notes are an integral part of these financial statements. |
QUANT SMALL CAP FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| (a) | Non-income producing security | |
| (b) | All or a portion of this security was out on loan. | |
| (c) | ADR—American Depositary Receipts | |
| (d) | At March 31, 2011, the unrealized appreciation based on aggregate cost for federal tax purposes of $91,479,371 was as follows: | |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ 34,255,994 | |
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (1,801,602) | |
| Net unrealized appreciation / (depreciation) | $ 32,454,392 | |
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. |
QUANT QUALITY FUND
SCHEDULE OF INVESTMENTS
March 31, 2011
Common Stock—96.8%
| Shares | Value | ||
| AEROSPACE & DEFENSE—0.7% | |||
| United Technologies Corporation (b) | 4,906 | $ 415,293 | |
| BEVERAGES—5.7% | |||
| Anheuser-Busch Inbev SA (b)(c) | 7,180 | 410,481 | |
| Brown Forman, Inc. (b) | 1,261 | 86,126 | |
| Hansen Natural Corporation (a) | 1,695 | 102,090 | |
| The Coca-Cola Company | 45,477 | 3,017,399 | |
| 3,616,096 | |||
| COMMUNICATIONS EQUIPMENT—1.7% | |||
| QUALCOMM Incorporated | 20,182 | 1,106,579 | |
| COMPUTERS & PERIPHERALS—6.4% | |||
| Apple, Inc. (a) | 6,330 | 2,205,688 | |
| Hewlett-Packard Company (b) | 11,057 | 453,005 | |
| International Business Machines (b) | 8,879 | 1,447,899 | |
| 4,106,592 | |||
| FOOD PRODUCTS—4.6% | |||
| Campbell Soup Company (b) | 2,118 | 70,127 | |
| H. J. Heinz Company (b) | 1,788 | 87,290 | |
| Kellogg Company (b) | 3,327 | 179,592 | |
| Kraft Foods Inc. (b) | 5,337 | 167,369 | |
| Nestle, S.A. (c) | 32,888 | 1,890,402 | |
| The Hershey Company (b) | 1,373 | 74,623 | |
| Unilever NA (b)(c) | 15,902 | 486,919 | |
| 2,956,322 | |||
| FOOD STAPLES & DRUG RETAILING—8.9% | |||
| General Mills, Inc. (b) | 5,972 | 218,277 | |
| PepsiCo, Inc. | 29,335 | 1,889,467 | |
| SYSCO Corporation (b) | 9,808 | 271,682 | |
| Wal-Mart Stores, Inc. (b) | 50,779 | 2,643,047 | |
| Walgreen Co. (b) | 16,224 | 651,231 | |
| 5,673,704 | |||
| HEALTH CARE EQUIPMENT & SERVICES—4.8% | |||
| Baxter International, Inc. | 7,080 | 380,692 | |
| Express Scripts, Inc. (a)(b) | 10,875 | 604,759 | |
| Medtronic, Inc. (b) | 18,086 | 711,684 | |
| Thermo Fisher Scientific, Inc. (a)(b) | 3,579 | 198,813 | |
| UnitedHealth Group, Inc. | 20,402 | 922,170 | |
| Zimmer Holdings, Inc. (a)(b) | 3,665 | 221,843 | |
| 3,039,961 |
| The accompanying notes are an integral part of these financial statements. |
QUANT QUALITY FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | ||
| HEALTH CARE PROVIDERS & SERVICES—0.9% | |||
| Henry Schein, Inc. (a)(b) | 1,119 | $ 78,520 | |
| Laboratory Corporation of America Holdings (a)(b) | 1,139 | 104,936 | |
| Quest Diagnostics Incorporated (b) | 3,533 | 203,925 | |
| WellPoint, Inc. | 2,686 | 187,456 | |
| 574,837 | |||
| HOTELS, RESTAURANTS & LEISURE—1.1% | |||
| McDonald’s Corporation | 9,168 | 697,593 | |
| HOUSEHOLD PRODUCTS—4.6% | |||
| Church & Dwight Co., Inc. (b) | 1,200 | 95,208 | |
| Colgate-Palmolive Company (b) | 9,917 | 800,897 | |
| Procter & Gamble Company | 31,088 | 1,915,021 | |
| The Clorox Company (b) | 1,634 | 114,494 | |
| 2,925,620 | |||
| INDUSTRIAL CONGLOMERATES—1.0% | |||
| 3M Company (b) | 6,929 | 647,862 | |
| HOUSEHOLD PRODUCTS—0.4% | |||
| Kimberly-Clark Corporation (b) | 3,853 | 251,486 | |
| OIL & GAS—9.8% | |||
| BP p.l.c. (b)(c) | 6,818 | 300,946 | |
| Chevron Corporation (b) | 12,929 | 1,388,962 | |
| Exxon Mobil Corporation (b) | 31,528 | 2,652,451 | |
| Royal Dutch Shell plc (c) | 11,438 | 833,373 | |
| TOTAL S.A. (c) | 17,845 | 1,088,010 | |
| 6,263,742 | |||
| PERSONAL PRODUCTS—0.3% | |||
| Avon Products, Inc. (b) | 3,252 | 87,934 | |
| The Estee Lauder Companies, Inc. (b) | 1,036 | 99,829 | |
| 187,763 | |||
| PHARMACEUTICALS & BIOTECHNOLOGY—21.0% | |||
| Abbott Laboratories | 29,185 | 1,431,524 | |
| Amgen, Inc. (a) | 13,727 | 733,708 | |
| Bristol-Myers Squibb Company (b) | 10,018 | 264,776 | |
| GlaxoSmithKline plc (b)(c) | 20,286 | 779,185 | |
| Gilead Sciences, Inc. (a) | 9,976 | 423,381 | |
| Johnson & Johnson (b) | 55,600 | 3,294,300 | |
| Merck & Co., Inc. | 48,447 | 1,599,236 | |
| Novartis AG (b)(c) | 15,111 | 821,283 | |
| Pfizer, Inc. | 154,251 | 3,132,838 |
| The accompanying notes are an integral part of these financial statements. |
QUANT QUALITY FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | ||
| PHARMACEUTICALS & BIOTECHNOLOGY (continued) | |||
| Roche Holding Ltd. (c) | 18,965 | $ 681,792 | |
| Sanofi-Aventis (c) | 7,272 | 256,120 | |
| 13,418,143 | |||
| RETAILING—0.3% | |||
| AutoZone, Inc. (a)(b) | 78 | 21,337 | |
| The Home Depot, Inc. (b) | 3,545 | 131,378 | |
| 152,715 | |||
| SOFTWARE & SERVICES—18.8% | |||
| Cisco Systems, Inc. (b) | 62,575 | 1,073,161 | |
| eBay, Inc. (a)(b) | 7,397 | 229,603 | |
| Google, Inc. (a)(b) | 3,013 | 1,766,251 | |
| MasterCard Incorporated (b) | 2,687 | 676,372 | |
| Microsoft Corporation | 133,327 | 3,381,173 | |
| Oracle Corporation (b) | 113,158 | 3,776,082 | |
| Visa, Inc. (b) | 14,412 | 1,061,011 | |
| 11,963,653 | |||
| TEXTILES & APPAREL—1.1% | |||
| Nike, Inc. (b) | 9,534 | 721,724 | |
| TOBACCO—4.1% | |||
| Altria Group, Inc. (b) | 29,430 | 766,062 | |
| Lorillard, Inc. (b) | 2,185 | 207,596 | |
| Philip Morris International, Inc. | 23,237 | 1,525,043 | |
| Reynolds American, Inc. (b) | 2,993 | 106,341 | |
| 2,605,042 | |||
| WIRELESS TELECOMMUNICATIONS—0.6% | |||
| NTT DOCOMO, Inc. (b)(c) | 21,137 | 371,800 | |
| TOTAL COMMON STOCK | |||
| (Cost $60,965,161) | 61,696,527 |
| The accompanying notes are an integral part of these financial statements. |
QUANT QUALITY FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Par Value | Value | ||
INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED—32.4% | |||
| Registered Money Market—32.4% | |||
| State Street Navigator Securities Lending Prime Portfolio | |||
| (Cost $20,648,376) | $20,648,376 | $ 20,648,376 | |
| TOTAL INVESTMENTS 129.2% | |||
| (Cost $81,613,537) (d) | 82,344,903 | ||
| OTHER ASSETS & LIABILITIES (NET)—(29.2%) | (18,615,550) | ||
| NET ASSETS—100% | $63,729,354 |
| (a) | Non-Income producing security | |
| (b) | All or a portion of this security was out on loan. | |
| (c) | American Depositary Receipts | |
| (d) | At March 31, 2011, the unrealized appreciation of investments based on aggregate cost for federal tax purposes of $81,679,889 was as follows: | |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ 1,985,430 | |
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (1,320,416) | |
| Net unrealized appreciation / (depreciation) | $ 665,014 | |
| The percentage of each investment category is calculated as a percentage of net assets. | ||
| The accompanying notes are an integral part of these financial statements. |
QUANT EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS
March 31, 2011
Common Stock—94.0%
| Shares | Value | ||
| BRAZIL—8.2% | |||
| Banco do Brasil SA | 102,010 | $ 1,849,947 | |
| BR Malls Participacoes SA (a) | 31,989 | 333,740 | |
| Brasil Telecom Participacoes SA | 27,551 | 298,598 | |
| Companhia de Saneamento Basico (c) | 9,172 | 538,763 | |
| Companhia de Bebidas das Americas (c) | 58,498 | 1,656,078 | |
| Cosan SA Industria e Comercio | 50,302 | 784,112 | |
| Drogasil SA | 21,452 | 167,988 | |
| Energias do Brasil SA | 6,788 | 165,383 | |
| Equatorial Energia SA | 12,861 | 100,318 | |
| Gerdau SA (c) | 11,062 | 138,275 | |
| Light SA | 8,035 | 139,057 | |
| Petroleo Brasileiro SA | 125,287 | 2,508,124 | |
| Petroleo Brasileiro SA (c) | 69,819 | 2,481,367 | |
| Positivo Informatica SA | 34,178 | 166,963 | |
| Souza Cruz SA | 151,565 | 1,581,273 | |
| Sul America SA | 12,201 | 152,751 | |
| Tele Norte Leste Participacoes SA (c) | 60,130 | 1,054,079 | |
| Vale SA | 41,036 | 1,343,564 | |
| 15,460,380 | |||
| CHILE—1.3% | |||
| Banco Santander Chile (c) | 10,252 | 889,361 | |
| Compania Cervecerias Unidas SA (c) | 2,300 | 135,930 | |
| Enersis SA (c) | 42,207 | 878,750 | |
| Lan Airlines SA (b)(c) | 18,240 | 466,762 | |
| 2,370,803 | |||
| CHINA—18.3% | |||
| Agricultural Bank of China, Class H | 2,588,000 | 1,464,516 | |
| AMVIG Holdings Limited | 104,000 | 80,253 | |
| Baidu, Inc. (a)(c) | 1,668 | 229,867 | |
| Bank of China Ltd., Class H | 4,945,902 | 2,754,296 | |
| Bosideng International Holdings Ltd. | 2,566,000 | 765,635 | |
| Central China Real Estate Ltd. | 1,094,770 | 304,126 | |
| China Construction Bank Corporation | 697,277 | 653,747 | |
| China Mobile Limited | 240,590 | 2,217,027 | |
| China Petroleum & Chemical Corporation | 1,722,000 | 1,729,663 | |
| China Pharmaceutical Group Limited | 1,390,752 | 822,782 | |
| China Shenhua Energy Co., Ltd. | 327,500 | 1,545,805 | |
| China Shineway Pharmaceutical Group Limited | 50,000 | 119,994 | |
| China State Construction Engineering Corporation (b) | 946,000 | 863,827 | |
| China Unicom (Hong Kong) Ltd. | 884,000 | 1,471,173 | |
| China Yuchai International Ltd. | 33,652 | 987,013 |
| The accompanying notes are an integral part of these financial statements. |
QUANT EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | ||
| CHINA (continued) | |||
| CNOOC Limited | 1,523,403 | $ 3,847,986 | |
| COSCO International Holdings Ltd. | 511,277 | 328,121 | |
| Dongfeng Motor Group Company Limited | 808,881 | 1,377,368 | |
| Fosun International | 212,122 | 162,596 | |
| Great Wall Motor Co., Ltd. (b) | 799,500 | 1,480,670 | |
| Greentown China Holdings Ltd. | 379,500 | 400,224 | |
| GZI Real Estate Investment Trust | 233,000 | 121,364 | |
| Haitian International Holdings Ltd. | 230,000 | 295,509 | |
| Harbin Power Equipment Company Limited, Class H | 530,000 | 548,718 | |
| Industrial & Commercial Bank of China Ltd. | 157,215 | 130,618 | |
| Kingboard Chemical Holdings, Ltd. | 29,500 | 155,365 | |
| Kowloon Development Co., Ltd. | 199,000 | 267,197 | |
| Lianhua Supermarket Holdings Co., Ltd. | 91,000 | 365,152 | |
| Renhe Commercial Holdings (b) | 4,418,230 | 829,619 | |
| Shenzhen Investment Ltd. | 1,728,000 | 575,600 | |
| Sinolink Worldwide Holdings Limited | 2,444,672 | 292,402 | |
| Sinotruk (Hong Kong) Limited | 234,500 | 200,559 | |
| Soho China Limited (b) | 1,398,500 | 1,203,277 | |
| Tencent Holdings Limited | 80,669 | 1,967,081 | |
| TPV Technology Limited | 856,000 | 515,225 | |
| Yanzhou Coal Mining Company Limited | 591,756 | 2,142,389 | |
| Yue Yuen Industrial Holdings Ltd. | 133,000 | 420,789 | |
| Zhejiang Expressway Co., Ltd. | 838,000 | 766,286 | |
| 34,403,839 | |||
| CZECH REPUBLIC—0.4% | |||
| Komercni Banka AS | 2,715 | 685,818 | |
| HUNGARY—0.5% | |||
| Egis Gyogyszergyar Nyrt. | 2,555 | 271,717 | |
| Richter Gedeon Nyrt. | 2,858 | 594,243 | |
| 865,960 | |||
| INDIA—7.5% | |||
| Allahabad Bank | 191,081 | 994,075 | |
| Andhra Bank | 303,910 | 1,027,004 | |
| Bajaj Holdings & Investment Limited | 10,967 | 194,526 | |
| Balrampur Chini Mills | 542,389 | 852,595 | |
| Bank of Baroda | 70,627 | 1,528,312 | |
| Canara Bank | 98,785 | 1,384,585 | |
| Dena Bank | 142,381 | 332,685 | |
| Hindalco Industries Ltd. | 136,243 | 640,047 | |
| IDBI Bank Ltd. | 93,874 | 299,968 |
| The accompanying notes are an integral part of these financial statements. |
QUANT EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | ||
| INDIA (continued) | |||
| Indian Bank | 146,231 | $ 763,044 | |
| Indian Overseas Bank | 104,087 | 332,952 | |
| Oil and Natural Gas Corp. Limited | 197,980 | 1,286,348 | |
| Oriental Bank of Commerce | 118,818 | 1,041,772 | |
| Patni Computer Systems | 39,681 | 423,994 | |
| Rolta India Limited | 105,862 | 330,915 | |
| Syndicate Bank | 135,173 | 375,860 | |
| Tata Chemicals Ltd. | 102,726 | 787,808 | |
| Triveni Engineering & Industries Ltd. | 57,354 | 124,495 | |
| Union Bank of India | 73,438 | 575,384 | |
| Vijaya Bank | 435,135 | 776,696 | |
| 14,073,065 | |||
| INDONESIA—2.6% | |||
| PT Astra International Tbk | 263,388 | 1,724,159 | |
| PT Bank Mandiri | 222,356 | 173,646 | |
| PT Charoen Pokphand Indonesia Tbk | 1,264,507 | 294,072 | |
| PT Indika Energy Tbk | 863,500 | 391,711 | |
| PT Indo Tambangraya Megah Tbk | 165,500 | 878,105 | |
| PT Kalbe Farma Tbk | 1,356,500 | 529,670 | |
| PT PP London Sumatra Indonesia Tbk | 765,000 | 199,871 | |
| PT United Tractors Tbk | 290,000 | 722,710 | |
| 4,913,944 | |||
| MALAYSIA—3.8% | |||
| Affin Holdings Berhad | 191,000 | 220,718 | |
| DRB-HICOM Berhad | 209,700 | 159,244 | |
| Genting Malaysia Berhad | 777,000 | 944,073 | |
| Hong Leong Bank Berhad | 140,671 | 457,486 | |
| Hong Leong Financial Group Berhad | 134,400 | 399,373 | |
| KLCC Property Holdings Berhad | 137,400 | 151,520 | |
| Kuala Lumpur Kepong Berhad | 60,500 | 423,475 | |
| Lafarge Malayan Cement Berhad | 192,171 | 469,522 | |
| Malayan Banking Berhad | 474,700 | 1,404,313 | |
| PLUS Expressways Berhad | 293,300 | 433,837 | |
| PROTON Holdings Berhad | 56,700 | 66,271 | |
| RHB Capital Berhad | 374,670 | 1,061,385 | |
| SapuraCrest Petroleum Berhad | 212,600 | 263,929 | |
| Telekom Malaysia Berhad | 328,705 | 438,454 | |
| Top Glove Berhad | 91 | 162 | |
| WCT Berhad | 260,400 | 261,367 | |
| 7,155,129 |
| The accompanying notes are an integral part of these financial statements. |
QUANT EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | ||
| MEXICO—3.9% | |||
| Alfa SAB, Series A | 126,294 | $ 1,631,712 | |
| America Movil SAB de C.V., Series L | 657,347 | 1,907,840 | |
| Coca-Cola FEMSA, S.A.B. de C.V. (c) | 10,501 | 808,472 | |
| Embotelladoras Arca, S. A. B. de C.V. | 61,270 | 354,675 | |
| Fomento Economico Mexicano SAB (c) | 30,354 | 1,781,780 | |
| GRUMA, S.A.B. de C.V., Series B (a) | 40,111 | 84,072 | |
| Grupo Bimbo SAB de C.V., Series B | 39,320 | 332,725 | |
| Organizacion Soriana S.A.B. de C.V., Class B (b) | 87,648 | 308,879 | |
| Telefonos de Mexico SA, Series L (c) | 1,715 | 31,316 | |
| 7,241,471 | |||
| PERU—0.4% | |||
| Banco Continental S.A. | 101,302 | 252,984 | |
| Intergroup Financial Services—CMN | 7,778 | 224,784 | |
| Sociedad Minera Cerro Verde SAA | 5,866 | 265,730 | |
| 743,498 | |||
| PHILIPPINES—0.2% | |||
| SM Investments Corporation | 32,699 | 391,032 | |
| POLAND—2.0% | |||
| Asseco Poland SA | 11,994 | 227,468 | |
| KGHM Polska Miedz SA | 32,107 | 2,035,742 | |
| Polski Koncern Naftowy ORLEN S.A. (a) | 69,327 | 1,284,308 | |
| Polskie Gornictwo Naftowe i Gazownictwo SA | 136,488 | 180,572 | |
| 3,728,090 | |||
| RUSSIA—6.8% | |||
| Evraz Group SA (a)(b)(d) | 22,260 | 883,722 | |
| Gazprom (c) | 98,148 | 3,177,051 | |
| LUKoil (c) | 42,747 | 3,062,823 | |
| Norilsk Nickel Mining and Metallurgical Co. (c) | 80,043 | 2,116,337 | |
| Pharmstandard (a)(d) | 2,974 | 83,123 | |
| Severstal (d) | 96,185 | 1,886,188 | |
| Tatneft (c) | 34,306 | 1,515,982 | |
| 12,725,226 | |||
| SINGAPORE—0.7% | |||
| Yangzijiang Shipbuilding Holdings Limited | 842,741 | 1,210,412 | |
| SOUTH AFRICA—5.5% | |||
| Adcock Ingram Holdings Ltd. | 28,479 | 233,714 | |
| AVI Limited | 26,166 | 115,928 | |
| Barloworld Limited | 94,993 | 1,048,305 |
| The accompanying notes are an integral part of these financial statements. |
QUANT EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | ||
| SOUTH AFRICA (continued) | |||
| Capital Property Fund | 106,466 | $ 125,041 | |
| Emira Property Fund | 44,784 | 85,545 | |
| FirstRand Limited | 85,575 | 254,108 | |
| Fountainhead Property Trust Management Ltd. | 201,541 | 184,004 | |
| Gold Fields Ltd. (c) | 75,297 | 1,314,686 | |
| Imperial Holdings Limited | 68,943 | 1,163,139 | |
| Investec Limited | 99,230 | 774,020 | |
| Kumba Iron Ore Limited | 4,788 | 338,110 | |
| Life Healthcare Group Holdings Ltd. | 115,294 | 270,649 | |
| MMI Holdings Ltd. | 219,631 | 540,236 | |
| Mondi Limited | 20,571 | 201,486 | |
| Nampak Limited | 69,015 | 223,695 | |
| Netcare Limited | 166,900 | 357,520 | |
| Reunert Limited | 31,269 | 270,607 | |
| RMB Holdings Ltd. | 202,961 | 839,549 | |
| RMI Holdings Ltd. | 202,961 | 349,312 | |
| Sanlam Limited | 353,539 | 1,441,524 | |
| Santam Limited | 7,287 | 136,934 | |
| Wilson Bayly Holmes-Ovcon Limited | 7,649 | 122,040 | |
| 10,390,152 | |||
| SOUTH KOREA—15.3% | |||
| BS Financial Group, Inc. (a) | 88,216 | 1,278,668 | |
| Daegu Bank | 33,171 | 544,307 | |
| Daelim Industrial Co., Ltd. | 11,588 | 1,130,330 | |
| Daishin Securities Company | 30,997 | 416,797 | |
| Daum Communications Corp. | 4,592 | 410,243 | |
| Dongbu Insurance Co., Ltd. | 1,365 | 62,342 | |
| Dongkuk Steel Mill Company, Ltd. | 36,790 | 1,324,769 | |
| GS Home Shopping, Inc. | 1,976 | 245,705 | |
| Halla Climate Control Corp. | 23,544 | 449,653 | |
| Hana Financial Group, Inc. | 31,360 | 1,356,518 | |
| Hanwha Chemical Corporation | 73,971 | 2,919,863 | |
| Hyundai Motor Company | 9,002 | 1,665,897 | |
| Kangwon Land, Inc. | 62,288 | 1,445,125 | |
| Korea Exchange Bank | 79,070 | 697,030 | |
| KP Chemical Corp. | 74,771 | 1,843,799 | |
| LG Corp. | 25,010 | 1,865,006 | |
| LG Display Co., Ltd. | 38,821 | 1,217,414 | |
| LG Electronics, Inc. | 7,133 | 682,770 | |
| LG International Corp. | 19,835 | 764,867 | |
| NEOWIZ Games Corporation (a) | 21,453 | 983,715 |
| The accompanying notes are an integral part of these financial statements. |
QUANT EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | ||
| SOUTH KOREA (continued) | |||
| Pohang Iron and Steel Company (POSCO) | 757 | $ 348,498 | |
| Samsung Electronics Co., Ltd. | 6,460 | 5,488,600 | |
| SeAH Besteel Corporation | 6,270 | 282,363 | |
| SK Holdings Co., Ltd. | 6,149 | 924,915 | |
| SK Innovation Co., Ltd. | 2,074 | 398,937 | |
| 28,748,131 | |||
| TAIWAN—12.9% | |||
| Acer, Inc. | 397,559 | 811,166 | |
| Advantech Co., Ltd. | 75,000 | 232,092 | |
| ASUSTeK Computer, Inc. | 89,000 | 770,255 | |
| China Bills Finance Corporation | 674,576 | 250,043 | |
| Chunghwa Telecom Co., Ltd. | 501,600 | 1,562,463 | |
| Coretronic Corp. | 243,000 | 392,515 | |
| Delta Electronics, Inc. | 310,000 | 1,228,130 | |
| Eternal Chemical Co., Ltd. | 501,269 | 591,503 | |
| Farglory Land Development Co., Ltd. | 221,000 | 471,212 | |
| Formosa Chemicals & Fiber Corporation | 251,000 | 951,711 | |
| Fubon Financial Holding Co., Ltd. | 992,000 | 1,317,314 | |
| HTC Corporation | 47,000 | 1,838,029 | |
| Huaku Development Co., Ltd. | 179,000 | 501,576 | |
| Lite-On Technology Corp. | 798,682 | 983,194 | |
| Pou Chen Corporation | 1,084,000 | 1,000,820 | |
| Powertech Technology, Inc. | 28,407 | 88,970 | |
| President Chain Store Corp. | 257,000 | 1,140,513 | |
| Radiant Opto-Electronics Corporation | 212,000 | 509,697 | |
| SoftWorld International Corp. | 119,102 | 459,697 | |
| Taiwan Cement Corporation | 810,000 | 977,845 | |
| Taiwan Semiconductor Manufacturing Co., Ltd. | 1,623,470 | 3,897,675 | |
| TECO Electric & Machinery Co., Ltd. | 691,000 | 484,063 | |
| Tripod Technology Corporation | 65,000 | 286,246 | |
| U-Ming Marine Transport Corporation | 481,231 | 1,024,435 | |
| Uni-President Enterprises Corporation | 578,000 | 792,117 | |
| United Microelectronics Corporation | 2,108,022 | 1,096,789 | |
| Wintek Corporation (a) | 268,000 | 474,820 | |
24,134,890 |
| The accompanying notes are an integral part of these financial statements. |
QUANT EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | ||
| THAILAND—1.6% | |||
| Banpu PCL | 2,975 | $ 75,543 | |
| Charoen Pokphand Foods PCL (e) | 1,299,200 | 1,106,113 | |
| CP ALL PCL | 804,535 | 1,064,024 | |
| Thai Airways International PCL | 375,531 | 468,715 | |
| TISCO Financial Group PCL | 281,200 | 362,599 | |
| 3,076,994 | |||
| TURKEY—2.1% | |||
| Arcelik AS | 125,377 | 579,393 | |
| Eis Eczacibasi Ilac Ve Sinai | 131,796 | 201,313 | |
| Ford Otomotiv Sanayi AS | 27,935 | 266,685 | |
| Selcuk Ecza Deposu Ticaret Ve Sanayi AS | 93,444 | 149,384 | |
| Tofas Turk Otomobil Fabrikasi AS | 66,888 | 377,504 | |
| Tupras—Turkiye Petrol Rafinerileri AS | 6,765 | 198,784 | |
| Turkiye Sise ve Cam Fabrikalari AS (a) | 334,398 | 753,183 | |
| Turkiye Halk Bankasi AS | 159,020 | 1,229,920 | |
| Ulker Biskuvi Sanayi AS | 74,605 | 271,370 | |
| 4,027,536 | |||
| TOTAL COMMON STOCK | |||
| (Cost $139,510,718) | 176,346,370 | ||
| Preferred Stock—6.0% | |||
| BRAZIL—6.0% | |||
| Banco do Estado do Rio Grande do Sul SA | 96,944 | 1,195,848 | |
| Brasil Telecom Participacoes SA | 49,825 | 445,213 | |
| Eletropaulo Metropolitana SA | 46,487 | 1,029,906 | |
| Industrias Klabin de Papel e Celulose | 279,686 | 1,132,853 | |
| Itau Unibanco Holding SA | 24,551 | 586,108 | |
| Metalurgica Gerdau SA | 76,820 | 1,148,446 | |
| Suzano Papel e Celulose SA | 109,640 | 1,012,662 | |
| Telecomunicacoes de Sao Paulo SA | 26,780 | 644,909 | |
| Ultrapar Participacoes SA | 73,204 | 1,214,339 | |
| Vale SA, Class A | 99,425 | 2,891,620 | |
| TOTAL PREFERRED STOCK | |||
| (Cost $9,561,486) | 72,950,876 | 11,301,904 | |
| The accompanying notes are an integral part of these financial statements. |
QUANT EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | ||
| Rights—0.0% | |||
| SOUTH AFRICA—0.0% | |||
| Fountainhead Property Trust | 1 | $ 0 | |
| TOTAL INVESTMENTS (EXCLUDING INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED) | |||
| (Cost $149,072,204) | 187,648,274 |
| Par Value | Value | ||
INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED—3.2% | |||
| Money Market—3.2% | |||
| JP Morgan Prime Money Market Fund—Inst. | |||
| (Cost $6,033,852) | $ 6,033,852 | 6,033,852 | |
| TOTAL INVESTMENTS—103.2% | |||
| (Cost $155,106,056) (f) | 193,682,126 | ||
| OTHER ASSETS & LIABILITIES (Net)—(3.2%) | (6,029,363) | ||
| NET ASSETS—100% | $ 187,652,763 |
| (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) | At March 31, 2011, the unrealized appreciation based on aggregate cost for federal tax purposes of $156,354,727 was as follows: | |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $40,649,283 | |
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (3,321,884) | |
| Net unrealized appreciation / (depreciation) | $37,327,399 | |
| The percentage of each investment category is calculated as a percentage of net assets. | ||
| The accompanying notes are an integral part of these financial statements. |
QUANT EMERGING MARKETS FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
SECTOR ALLOCATIONS (as a percentage of Total Net Assets) | |
| Financials | 23.7% |
| Materials | 15.6% |
| Energy | 15.0% |
| Information Technology | 13.2% |
| Industrials | 8.5% |
| Consumer Discretionary | 8.3% |
| Consumer Staples | 7.5% |
| Telecommunication Services | 5.2% |
| Health Care | 1.5% |
| Utilities | 1.5% |
| Cash and Other Assets (Net) | 0.0% |
| 100.0% | |
| The accompanying notes are an integral part of these financial statements. |
QUANT FOREIGN VALUE FUND
SCHEDULE OF INVESTMENTS
March 31, 2011
Common Stock—92.9%
| Shares | Value | ||
| AUSTRALIA—2.2% | |||
| BHP Billiton Ltd. | 208,300 | $ 10,045,657 | |
| BELGIUM—2.6% | |||
| KBC Groep N.V. (a) | 167,985 | 6,322,490 | |
| Solvay S.A. | 45,180 | 5,356,722 | |
| 11,679,212 | |||
| CANADA—2.4% | |||
| Methanex Corporation | 341,607 | 10,631,601 | |
| FINLAND—6.8% | |||
| Kone OYJ-B | 210,900 | 12,145,102 | |
| Konecranes OYJ | 148,280 | 6,871,164 | |
| YIT OYJ | 384,617 | 11,412,708 | |
| 30,428,974 | |||
| FRANCE—3.8% | |||
| Christian Dior S.A. | 67,973 | 9,576,690 | |
| Imerys S.A. | 69,252 | 5,081,283 | |
| Transgene S.A. (a) | 142,827 | 2,508,011 | |
| 17,165,984 | |||
| GERMANY—15.1% | |||
| BASF SE | 130,100 | 11,262,096 | |
| Demag Cranes AG | 128,000 | 6,523,276 | |
| Hannover Rueckvers | 156,800 | 8,568,154 | |
| Muenchener Rueckvers AG | 41,100 | 6,470,880 | |
| Symrise AG | 342,950 | 10,064,446 | |
| Tognum AG | 388,200 | 13,985,816 | |
| Wincor Nixdorf AG | 131,700 | 10,672,068 | |
| 67,546,736 | |||
| INDIA—3.1% | |||
| Infosys Technologies Ltd. (b) | 48,800 | 3,498,960 | |
| State Bank of India (c) | 81,050 | 10,455,450 | |
| 13,954,410 | |||
| IRELAND—6.3% | |||
| CRH plc | 339,653 | 7,799,390 | |
| Greencore Group plc | 4,794,128 | 8,023,987 | |
| Smurfit Kappa Group plc (a) | 998,510 | 12,675,760 | |
| 28,499,137 | |||
| ITALY—2.0% | |||
| Trevi Finanziaria SpA | 659,726 | 8,847,564 |
| The accompanying notes are an integral part of these financial statements. |
QUANT FOREIGN VALUE FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | |||
| JAPAN—13.0% | ||||
| Asahi Breweries Ltd. | 476,600 | $ 7,963,487 | ||
| Iino Kaiun Kaisha, Ltd. | 1,140,300 | 6,240,859 | ||
| Kansai Electric Power Company Inc. | 347,200 | 7,596,704 | ||
| KDDI Corporation | 1,314 | 8,175,788 | ||
| Meiji Holdings Co., Ltd. | 208,000 | 8,405,944 | ||
| Nippon Yusen Kabushiki Kaisha | 2,157,000 | 8,469,554 | ||
| Nichirei Corporation | 419,000 | 1,797,088 | ||
| Showa Denko K.K. | 4,739,000 | 9,561,593 | ||
| 58,211,017 | ||||
| NORWAY—3.2% | ||||
| Camillo Eitzen & Co. ASA (a) | 588,679 | 1,074,474 | ||
| DnB NOR ASA | 856,692 | 13,136,290 | ||
| 14,210,764 | ||||
| SOUTH AFRICA—3.5% | ||||
| Metorex Ltd. (a) | 4,915,693 | 4,698,557 | ||
| Sasol Ltd. | 190,535 | 11,019,729 | ||
| 15,718,286 | ||||
| SOUTH KOREA—4.8% | ||||
| Samsung Electronics Company Ltd. | 16,285 | 13,836,200 | ||
| SK Telecom Company Ltd. | 51,793 | 7,719,728 | ||
| 21,555,928 | ||||
| SWEDEN—8.1% | ||||
| Duni AB | 1,179,500 | 13,218,172 | ||
| Investor AB, Class B | 502,056 | 12,183,104 | ||
| Svenska Handelsbanken AB, Class A | 328,500 | 10,770,918 | ||
| 36,172,194 | ||||
| SWITZERLAND—1.7% | ||||
| Novartis AG | 138,400 | 7,528,210 | ||
| THAILAND—4.1% | ||||
| Thai Oil PCL | 6,724,400 | 18,509,053 | ||
| UNITED KINGDOM—10.2% | ||||
| Barratt Developments plc (a) | 5,339,856 | 9,435,208 | ||
| BBA Aviation plc | 636,013 | 2,074,074 | ||
| Bellway plc | 798,763 | 8,921,991 | ||
| Lloyds TSB Group plc (a) | 6,182,217 | 5,763,419 | ||
| Persimmon plc | 1,116,958 | 7,976,850 | ||
| The accompanying notes are an integral part of these financial statements. |
QUANT FOREIGN VALUE FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | |||
| UNITED KINGDOM (continued) | ||||
| Taylor Wimpey plc (a) | 17,610,191 | $11,479,912 | ||
| 45,651,454 | ||||
| TOTAL COMMON STOCK | ||||
| (Cost $406,574,899) | $416,356,181 | |||
| Short Term Investments—6.8% | ||||
| Par Value | Value | |||
| COMMERCIAL PAPER—5.3% | ||||
Toyota Credit DE PR Corp., 0.09%, due 4/5/2011 (Cost $7,733,000) | $7,733,000 | 7,733,000 | ||
Toyota Motor Credit, 0.08%, due 4/1/2011 (Cost $7,879,000) | $7,879,000 | 7,879,000 | ||
Toyota Motor Credit, 0.08%, due 4/4/2011 (Cost $7,878,000) | $7,878,000 | 7,878,000 | ||
| Total Commercial Paper | 23,490,000 | |||
| Money Market—1.5% | ||||
| State Street Global Advisors FDS | ||||
| (Cost $6,834,022) | $6,834,022 | 6,834,022 | ||
| TOTAL SHORT TERM INVESTMENTS—6.8% | ||||
| (Cost $30,324,022) | 30,324,022 | |||
| TOTAL INVESTMENTS—99.7% | ||||
| (Cost $436,898,921) (d) | 446,680,203 | |||
| OTHER ASSETS & LIABILITIES (NET)—0.3% | 1,660,311 | |||
| NET ASSETS—100% | $448,340,514 | |||
| (a) | Non-income producing security | |
| (b) | ADR—American Depository Receipts | |
| (c) | GDR—Global Depository Receipts | |
| (d) | At March 31, 2011, the unrealized appreciation of investments based on aggregate cost for federal tax purposes of $436,965,680 was as follows: | |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ 89,817,708 | |
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (80,103,185) | |
| Net unrealized appreciation / (depreciation) | $9,714,523 | |
| The percentage of each investment category is calculated as a percentage of net assets. | ||
| The accompanying notes are an integral part of these financial statements. |
QUANT FOREIGN VALUE FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
SECTOR ALLOCATIONS (as a percentage of Total Net Assets) | |
| Materials | 19.4% |
| Industrials | 17.3% |
| Financials | 16.4% |
| Consumer Discretionary | 13.5% |
| Energy | 6.6% |
| Information Technology | 6.3% |
| Consumer Staples | 5.9% |
| Telecommunication Services | 3.6% |
| Health Care | 2.2% |
| Utilities | 1.7% |
| Other Assets & Liabilities | 7.1% |
| The accompanying notes are an integral part of these financial statements. |
QUANT FOREIGN VALUE SMALL CAP FUND
SCHEDULE OF INVESTMENTS
March 31, 2011
Common Stock—85.3%
| Shares | Value | ||
| AUSTRALIA—4.2% | |||
| Austal Limited | 433,330 | $ 1,364,484 | |
| Industrea Limited | 896,292 | 1,299,731 | |
| Sigma Pharmaceuticals Ltd. (a) | 3,204,600 | 1,626,470 | |
| 4,290,685 | |||
| BELGIUM—2.9% | |||
| Agfa-Gevaert Group (a) | 288,540 | 1,248,258 | |
| Kinepolis Group | 21,100 | 1,690,945 | |
| 2,939,203 | |||
| BRAZIL—2.0% | |||
| Equatorial Energia SA | 194,485 | 1,517,018 | |
| Redentor Energia SA (a) | 124,485 | 547,766 | |
| 2,064,784 | |||
| CANADA—1.4% | |||
| Astral Media, Inc. | 35,800 | 1,424,927 | |
| CHINA—13.3% | |||
| China Fishery Group Limited | 781,972 | 1,309,285 | |
| China Gerui Advanced Materials Group Limited (a) | 256,100 | 1,203,670 | |
| China Hongxing Sports Limited (c) | 10,258,400 | 889,327 | |
| China Natural Gas, Inc. (a) | 225,200 | 1,256,616 | |
| Lihua International, Inc. (a) | 136,100 | 1,194,958 | |
| Samson Holding Ltd. | 6,241,300 | 1,252,209 | |
| Sichuan Expressway Company Limited | 2,072,060 | 1,351,100 | |
| Texwinca Holdings Limited | 1,226,300 | 1,301,152 | |
| VST Holdings Ltd. (a) | 3,758,500 | 1,126,284 | |
| VTech Holdings Limited | 115,700 | 1,312,439 | |
| Xinhua Winshare Publishing and Media Co., Ltd. | 2,398,300 | 1,415,772 | |
| 13,612,812 | |||
| FRANCE—1.3% | |||
| Bonduelle SA | 13,900 | 1,309,126 | |
| GERMANY—1.4% | |||
| Demag Cranes AG | 27,500 | 1,401,485 | |
| INDIA—2.4% | |||
| LIC Housing Finance Ltd. | 114,800 | 579,856 | |
| Manappuram General Finance and Leasing Ltd. | 470,600 | 1,423,039 | |
| South Indian Bank Ltd. | 489,520 | 251,374 | |
| Usha Martin Group Ltd. | 193,060 | 247,196 | |
| 2,501,465 |
| The accompanying notes are an integral part of these financial statements. |
QUANT FOREIGN VALUE SMALL CAP FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | ||
| IRELAND—5.7% | |||
| Glanbia plc | 244,100 | $ 1,471,483 | |
| Greencore Group plc | 899,368 | 1,505,282 | |
| IFG Group plc | 755,185 | 1,446,058 | |
| United Drug plc | 445,117 | 1,452,114 | |
| 5,874,937 | |||
| ITALY—2.6% | |||
| De’Longhi SpA | 156,410 | 1,511,920 | |
| Trevi Finanziaria SpA | 89,800 | 1,204,305 | |
| 2,716,225 | |||
| JAPAN—5.3% | |||
| Accordia Golf Co., Ltd. | 1,653 | 1,172,298 | |
| Chugoku Marine Paints, Ltd. | 142,100 | 1,196,614 | |
| DaiichiKosho Co. Ltd. | 71,600 | 1,223,177 | |
| Iino Kaiun Kaisha, Ltd. | 286,000 | 1,565,277 | |
| Nichirei Corporation | 63,000 | 270,207 | |
| 5,427,573 | |||
| LUXEMBOURG—1.1% | |||
| Transcom WorldWide S.A. (b) | 370,890 | 1,104,460 | |
| NETHERLANDS—1.9% | |||
| Dockwise Ltd. (a) | 71,444 | 1,943,115 | |
| NORWAY—3.9% | |||
| ABG Sundal Collier Holding ASA | 953,800 | 1,309,987 | |
| SpareBank 1SMN | 136,104 | 1,229,807 | |
| SpareBank NOrd-Norge | 161,332 | 1,443,185 | |
| 3,982,979 | |||
| PHILIPPINES—2.0% | |||
| Manila Water Company, Inc. | 4,803,770 | 2,010,057 | |
| SINGAPORE—3.2% | |||
| Breadtalk Group Ltd. | 2,453,100 | 1,284,753 | |
| M1 Ltd. | 1,038,900 | 1,986,787 | |
| 3,271,540 | |||
| SOUTH AFRICA—3.2% | |||
| Clicks Group Limited | 260,000 | 1,634,747 | |
| Metorex Limited (a) | 1,753,700 | 1,676,235 | |
3,310,982 |
| The accompanying notes are an integral part of these financial statements. |
QUANT FOREIGN VALUE SMALL CAP FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | ||
| SWEDEN—4.2% | |||
| Duni AB | 131,400 | $ 1,472,546 | |
| Loomis AB | 89,300 | 1,414,486 | |
| Nolato AB | 114,900 | 1,374,086 | |
| 4,261,118 | |||
| SWITZERLAND—3.0% | |||
| Bobst Group SA (a) | 33,500 | 1,538,023 | |
| Vetropack Holding AG | 726 | 1,506,059 | |
| 3,044,082 | |||
| THAILAND—2.5% | |||
| Hana Microelectronics PCL | 1,589,680 | 1,261,442 | |
| Thai Union Frozen Products plc | 871,395 | 1,325,316 | |
| 2,586,758 | |||
| UNITED KINGDOM—17.8% | |||
| Alternative Networks plc | 649,100 | 2,343,844 | |
| BBA Aviation plc | 386,036 | 1,258,885 | |
| Character Group plc | 437,300 | 1,347,458 | |
| Clarkson plc | 72,300 | 1,485,193 | |
| CSR plc | 214,200 | 1,270,533 | |
| Galliford Try plc | 271,628 | 1,634,709 | |
| Halfords Group plc | 228,716 | 1,278,085 | |
| Hampson Industries plc | 2,198,100 | 952,458 | |
| Healthcare Locums plc (c) | 792,810 | 1,374,129 | |
| Keller Group plc | 124,500 | 1,238,784 | |
| The Restaurant Group plc | 278,400 | 1,340,371 | |
| Vitec Group plc | 142,734 | 1,375,546 | |
| Wetherspoon (JD) plc | 188,200 | 1,282,130 | |
| 18,182,125 | |||
| TOTAL COMMON STOCK | |||
| (Cost $70,647,567) | 87,260,438 | ||
| Preferred Stock—1.6% | |||
| GERMANY—1.6% | |||
| Drägerwerk AG | |||
| (Cost $621,858) | 16,600 | 1,613,568 |
| The accompanying notes are an integral part of these financial statements. |
QUANT FOREIGN VALUE SMALL CAP FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
| Shares | Value | ||
| Warrants—5.4% | |||
| India—5.4% | |||
| KRBL Limited Derivative (a) | 1,679,000 | $ 1,007,400 | |
| LIC Housing Finance Derivative | 204,200 | 1,035,294 | |
| NIIT Technologies Derivative (a) | 276,900 | 1,146,366 | |
| South Indian Bank Derivative (a) | 2,535,250 | 1,292,978 | |
| Usha Martin Group Derivative (a) | 807,100 | 1,033,088 | |
| (Cost $2,692,091) | 5,515,126 | ||
| Short Term Investments—7.5% | |||
| Par Value | Value | ||
| Money Market—7.5% | |||
| State Street Global Advisors FDS | |||
| (Cost $7,712,945) | $7,712,945 | 7,712,945 | |
| TOTAL SHORT TERM INVESTMENTS—7.5% | 7,712,945 | ||
| TOTAL INVESTMENTS—99.8% | |||
| (Cost $81,674,461) (d) | 102,102,077 | ||
| OTHER ASSETS & LIABILITIES (NET)—0.2% | 177,508 | ||
| NET ASSETS—100% | $102,279,585 |
| (a) | Non-income producing security | |
| (b) | SDR—Special Depository Receipts | |
| (c) | Valued at a fair value in accordance with procedures established by the Board of Trustees. As of March 31, 2011 the securities had a value of $2,263,456 (2.2% of Net Assets) | |
| (d) | At March 31, 2011, the unrealized appreciation of investments based on aggregate cost for federal tax purposes of $82,912,787 was as follows: | |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ 21,134,675 | |
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (1,945,385) | |
| Net unrealized appreciation / (depreciation) | $ 19,189,290 | |
| The percentage of each investment category is calculated as a percentage of net assets. | ||
| The accompanying notes are an integral part of these financial statements. |
QUANT FOREIGN VALUE SMALL CAP FUND
SCHEDULE OF INVESTMENTS (continued)
March 31, 2011
SECTOR ALLOCATIONS (as a percentage of Total Net Assets) | |
| Consumer Discretionary | 21.1% |
| Industrials | 19.6% |
| Financials | 9.8% |
| Consumer Staples | 9.3% |
| Information Technology | 7.3% |
| Health Care | 7.2% |
| Materials | 6.7% |
| Utilities | 5.2% |
| Telecommunication Services | 4.2% |
| Energy | 1.9% |
| Cash and Other Assets | 7.7% |
| The accompanying notes are an integral part of these financial statements. |
QUANT FUNDS
STATEMENT OF ASSETS AND LIABILITIES
March 31, 2011
| Small Cap | Quality | ||
| Assets: | |||
Investments at value (Includes collateral from securities on loan of $2,174,088; $20,648,376; $6,033,852; $0: $0, respectively)* (Note 2) | $122,336,726 | $82,344,903 | |
| Repurchase agreements/commercial paper | 1,597,037 | — | |
Foreign currency at value (Cost $237,973 for Emerging Markets, $561,961 for Foreign Value, and $1 for Foreign Value Small Cap) | — | — | |
| Cash | — | 1,454,026 | |
| Dividend, interest and foreign tax reclaims receivable | 129,685 | 178,745 | |
| Receivable for investments sold | 1,151,144 | 476,198 | |
| Receivable for shares of beneficial interest sold | 1,890 | — | |
| Other assets | 13,863 | 7,527 | |
| Total Assets | $125,230,345 | $84,461,399 | |
| Liabilities: | |||
| Payable for investments purchased | $ 861,550 | $ — | |
| Payable for shares of beneficial interest repurchased | 514,179 | — | |
| Payable for compensation of manager (Note 3) | 102,206 | 44,314 | |
| Payable for distribution fees (Note 3) | 23,926 | 12,975 | |
| Payable to custodian | 6,346 | 7,322 | |
| Payable to transfer agent (Note 3) | 12,756 | 13,051 | |
| Payable for collateral received for securities loaned | 2,174,088 | 20,648,376 | |
| Payable for foreign capital gain tax | — | — | |
Unrealized gain/(loss) on forward foreign currency contracts (Note 2) | — | — | |
| Other accrued expenses and liabilities | 53,893 | 6,007 | |
| Total Liabilities | $ 3,748,944 | $20,732,045 | |
| Net Assets | $121,481,401 | $63,729,354 |
| * | Includes securities on loan to brokers with market value of $2,128,882; $20,149,800; $5,753,912; $0; $0, respectively. |
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT FUNDS
STATEMENT OF ASSETS AND LIABILITIES (continued)
March 31, 2011
Emerging Markets | Foreign Value | Foreign Value Small Cap | ||
$193,682,126 | $423,190,203 | $102,102,077 | ||
| — | 23,490,000 | — | ||
| 239,906 | 562,966 | 1 | ||
| — | 45,007 | — | ||
| 553,427 | 2,450,580 | 397,469 | ||
| 19,095 | — | — | ||
| 12,597 | 91,416 | 4,202 | ||
| 7,239 | 22,387 | — | ||
| $194,514,390 | $449,852,559 | $102,503,749 | ||
| $— | $— | $— | ||
| 243,032 | 86,724 | 51,260 | ||
| 153,571 | 372,889 | 83,999 | ||
| 36,096 | 76,708 | 16,334 | ||
| 156,132 | 19,853 | 10,049 | ||
| 26,286 | 80,324 | 16,611 | ||
| 6,033,852 | — | — | ||
| 169,063 | 845,693 | 19,724 | ||
| — | 2,169 | — | ||
| 43,595 | 27,685 | 26,187 | ||
| $ 6,861,627 | $ 1,512,045 | $ 224,164 | ||
| $187,652,763 | $448,340,514 | $102,279,585 |
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT FUNDS
STATEMENT OF ASSETS AND LIABILITIES (continued)
March 31, 2011
| Small Cap | Quality | ||
| Net Assets Consist Of: | |||
| Shares of beneficial interest | $118,277,095 | $75,441,621 | |
| Undistributed net investment income | 264,541 | 67,780 | |
Accumulated net realized gain/(loss) on investments and foreign denominated assets, liabilities and currency | (31,066,520) | (12,511,413) | |
Unrealized appreciation/(depreciation) of investments and foreign denominated assets, liabilities and currency | 34,006,285 | 731,366 | |
| Net Assets | $121,481,401 | $63,729,354 | |
| Investments at cost | $ 89,927,478 | $81,613,537 | |
| Net assets | |||
| Ordinary Shares | $113,675,091 | $62,920,092 | |
| Institutional Shares | $ 7,806,310 | $ 809,262 | |
Shares of beneficial interest outstanding (unlimited number of shares authorized) | |||
| Ordinary Shares | 5,706,518 | 5,090,493 | |
| Institutional Shares | 346,996 | 62,970 | |
| Net asset value and offering price per share** | |||
| Ordinary Shares | $ 19.92 | $ 12.36 | |
| Institutional Shares | $ 22.50 | $ 12.85 |
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT FUNDS
STATEMENT OF ASSETS AND LIABILITIES (continued)
March 31, 2011
Emerging Markets | Foreign Value | Foreign Value Small Cap | ||
| $183,265,219 | $659,281,345 | $ 74,306,903 | ||
| 1,982,045 | 2,376,458 | 183,510 | ||
(36,020,508) | (222,314,443) | 7,374,844 | ||
38,426,007 | 8,997,154 | 20,414,328 | ||
| $187,652,763 | $448,340,514 | $102,279,585 | ||
| $155,106,056 | $436,898,921 | $ 81,674,461 | ||
| $176,386,058 | $369,550,177 | $ 78,306,607 | ||
| $ 11,266,705 | $ 78,790,337 | $ 23,972,978 | ||
| 7,006,100 | 25,174,016 | 6,995,682 | ||
| 441,295 | 5,368,165 | 2,138,501 | ||
| $ 25.18 | $ 14.68 | $ 11.19 | ||
| $ 25.53 | $ 14.68 | $ 11.21 |
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT FUNDS
STATEMENT OF OPERATIONS
12 Months Ended March 31, 2011
| Small Cap | Quality | ||
| Investment Income: | |||
| Dividends* | $ 2,004,963 | $1,399,974 | |
| Interest | 397 | 296 | |
| Sec Lending Income | 10,994 | 18,599 | |
| Miscellaneous (Note 2) | — | — | |
| Total Investment Income | 2,016,354 | 1,418,869 | |
| Expenses: | |||
| Dividend expense on securities sold short | — | 22,016 | |
| Stock loan fees | — | 81,314 | |
| Compensation of manager (Note 3) | 1,076,125 | 518,747 | |
| Distribution fees, Ordinary Shares (Note 3) | 251,641 | 128,301 | |
| Administrative Fees (Note 3) | 32,501 | 15,667 | |
| Custodian and fund accounting fees | 67,678 | 59,720 | |
| Regulatory and Compliance (Note 3) | 22,462 | 10,829 | |
| Transfer agent fees (Note 3): | |||
| Ordinary Shares | 171,445 | 89,019 | |
| Institutional Shares | 11,571 | 931 | |
| Audit and legal | 38,319 | 18,386 | |
| Registration fees | 30,356 | 24,728 | |
| Insurance | 8,200 | 3,956 | |
| Compensation of trustees (Note 3) | 13,369 | 6,444 | |
| Printing | 12,852 | 6,227 | |
| Miscellaneous | 14,944 | 9,752 | |
| Total expenses before waivers/reimbursements/reductions | 1,751,463 | 996,037 | |
| Waivers and/or reimbursements of expenses (Note 3) | — | (16,257) | |
| Fees reduced by credits allowed by custodian (Note 3) | — | (18) | |
| Expenses, Net | 1,751,463 | 979,762 | |
| Net investment income/(loss) | 264,891 | 439,107 | |
| Realized and Unrealized Gain/(loss) on Investments, Foreign Currency, and Foreign Translation: | |||
| Net realized gain/(loss) (Note 2) on: | |||
| Investments | 6,902,815 | 13,460,302 | |
| Securities sold short transactions | — | (4,586,102) | |
| Foreign denominated assets, liabilities, and currency | — | — | |
| Futures contracts | — | 189,801 | |
| Change in unrealized appreciation/(depreciation) of: | |||
| Investments | 14,682,547 | (6,605,323) | |
| Securities sold short transactions | — | 2,091,261 | |
| Foreign denominated assets, liabilities, and currency | — | — | |
| Net realized and unrealized gain/(loss) on investment and foreign currency | 21,585,362 | 4,549,939 | |
| Net increase/(decrease) in net assets resulting from operations | $21,850,253 | $4,989,046 |
| * | Dividends are net of withholding taxes of $10,806 for Small Cap and $11,048 for Quality, net of foreign withholding taxes of $686,196 for Emerging Markets, $1,101,741 for Foreign Value, and $134,778 for Foreign Value Small Cap. |
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT FUNDS
STATEMENT OF OPERATIONS (continued)
12 Months Ended March 31, 2011
Emerging Markets | Foreign Value | Foreign Value Small Cap | ||
| $ 6,250,208 | $ 8,941,853 | $ 2,560,756 | ||
| 141 | 12,886 | 7,695 | ||
| 20,922 | — | — | ||
| 1,083 | — | — | ||
| 6,272,354 | 8,954,739 | 2,568,451 | ||
| — | — | — | ||
| — | — | — | ||
| 2,180,211 | 4,116,999 | 1,029,883 | ||
| 497,386 | 854,740 | 227,869 | ||
| 67,694 | 125,501 | 32,211 | ||
| 431,442 | 243,485 | 115,326 | ||
| 46,881 | 86,813 | 22,267 | ||
| 325,920 | 573,898 | 150,311 | ||
| 30,748 | 115,749 | 19,235 | ||
| 77,933 | 144,789 | 36,098 | ||
| 57,189 | 50,966 | 28,002 | ||
| 17,092 | 31,638 | 8,203 | ||
| 27,895 | 51,643 | 13,261 | ||
| 26,771 | 49,723 | 13,030 | ||
| 25,512 | 43,260 | 15,102 | ||
| 3,812,674 | 6,489,204 | 1,710,798 | ||
| — | — | — | ||
| — | (9) | (7) | ||
| 3,812,674 | 6,489,195 | 1,710,791 | ||
| 2,459,680 | 2,465,544 | 857,660 | ||
| 41,835,088 | 11,045,566 | 10,720,029 | ||
| — | — | — | ||
| (422,088) | (69,156) | (142,000) | ||
| (5,707,453) | 55,370,860 | 255,338 | ||
| — | — | — | ||
| 277,189 | (458,040) | 22,222 | ||
| 35,982,736 | 65,889,230 | 10,855,589 | ||
| $38,442,416 | $68,354,774 | $11,713,249 |
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT FUNDS
STATEMENT OF CHANGES IN NET ASSETS
Small Cap | |||||
Year Ended March 31, 2011 | Year Ended March 31, 2010 | ||||
| Increase (Decrease) in Net Assets: | |||||
| Operations: | |||||
| Net investment income/(loss) | $ | 264,891 | $ | 747,601 | |
Net realized gain/(loss) on investments Foreign denominated assets, liabilities, and currency | 6,902,815 | (2,131,430) | |||
Unrealized appreciation/(depreciation) of investments, foreign denominated assets, liabilities, and currency | 14,682,547 | 42,535,784 | |||
| Net increase/(decrease) from operations | $ | 21,850,253 | $ | 41,151,955 | |
| Distributions to shareholders from: | |||||
| Net investment income | |||||
| Ordinary shares | $ | (529,869) | $ | (166,855) | |
| Institutional shares | (46,439) | (21,762) | |||
| Net realized gains | |||||
| Ordinary shares | — | — | |||
| Institutional shares | — | — | |||
| Total distributions | $ | (576,308) | $ | (188,617) | |
| Fund share transactions (Note 8) | (6,382,018) | (3,597,853) | |||
Contributions to capital from investment manager/brokers | — | 25 | |||
| Increase/(decrease) in net assets | $ | 14,891,927 | $ | 37,365,510 | |
| Net assets beginning of period | 106,589,474 | 69,223,964 | |||
| Net assets end of period* | $ | 121,481,401 | $ | 106,589,474 | |
*Includes undistributed net investment income/(loss) of: | $ | 264,541 | $ | 575,958 | |
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT FUNDS
STATEMENT OF CHANGES IN NET ASSETS (continued)
| Quality | |||||
Year Ended March 31, 2011 | Year Ended March 31, 2010 | ||||
| Increase (Decrease) in Net Assets: | |||||
| Operations: | |||||
| Net investment income/(loss) | $ | 439,107 | $ | 258,344 | |
Net realized gain/(loss) on investments Foreign denominated assets, liabilities, currency and futures contracts | 9,064,001 | 2,249,050 | |||
Unrealized appreciation/(depreciation) of investments, foreign denominated assets, liabilities, and currency | (4,514,062) | 13,603,852 | |||
| Net increase/(decrease) from operations | $ | 4,989,046 | $ | 16,111,246 | |
| Distributions to shareholders from: | |||||
| Net investment income | |||||
| Ordinary shares | $ | (505,181) | $ | (120,372) | |
| Institutional shares | (3,797) | (2,488) | |||
| Net realized gains | |||||
| Ordinary shares | — | — | |||
| Institutional shares | — | — | |||
| Total distributions | $ | (508,978) | $ | (122,860) | |
| Fund share transactions (Note 8) | 4,444,910 | (4,782,560) | |||
| Contributions to capital from investment manager/brokers | — | 677 | |||
| Increase/(decrease) in net assets | $ | 8,924,978 | $ | 11,206,503 | |
| Net assets beginning of period | 54,804,376 | 43,597,873 | |||
| Net assets end of period* | $ | 63,729,354 | $ | 54,804,376 | |
| *Includes undistributed net investment income/(loss) of: | $ | 67,780 | $ | 137,790 | |
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT FUNDS
STATEMENT OF CHANGES IN NET ASSETS (continued)
Emerging Markets | |||||
Year Ended March 31, 2011 | Year Ended March 31, 2010 | ||||
| Increase (Decrease) in Net Assets: | |||||
| Operations: | |||||
| Net investment income/(loss) | $ | 2,459,680 | $ | 2,615,809 | |
| Net realized gain/(loss) on investments | |||||
| Foreign denominated assets, liabilities, and currency | 41,413,000 | 21,873,966 | |||
Unrealized appreciation / (depreciation) of investments, foreign denominated assets, liabilities, and currency | (5,430,264) | 107,500,961 | |||
| Net increase/(decrease) from operations | $ | 38,442,416 | $ | 131,990,736 | |
| Distributions to shareholders from: | |||||
| Net investment income | |||||
| Ordinary shares | $ | (2,386,187) | $ | (824,167) | |
| Institutional shares | (114,101) | (111,587) | |||
| Net realized gains | |||||
| Ordinary shares | — | — | |||
| Institutional shares | — | — | |||
| Total distributions | $ | (2,500,288) | $ | (935,754) | |
| Fund share transactions (Note 8) | (80,263,559) | (88,878,390) | |||
Contributions to capital from investment manager/brokers | 604 | — | |||
| Increase/(decrease) in net assets | $ | (44,320,827) | $ | 42,176,592 | |
| Net assets beginning of period | 231,973,590 | 189,796,998 | |||
| Net assets end of period* | $ | 187,652,763 | $ | 231,973,590 | |
| *Includes undistributed net investment income/(loss) of: | $ | 1,982,045 | $ | 2,231,034 | |
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT FUNDS
STATEMENT OF CHANGES IN NET ASSETS (continued)
Foreign Value | |||||
Year Ended March 31, 2011 | Year Ended March 31, 2010 | ||||
| Increase (Decrease) in Net Assets: | |||||
| Operations: | |||||
| Net investment income/(loss) | $ | 2,465,544 | $ | 4,669,469 | |
Net realized gain/(loss) on investments Foreign denominated assets, liabilities, and currency | 10,976,410 | (106,488,180) | |||
Unrealized appreciation/(depreciation) of investments, foreign denominated assets, liabilities, and currency | 54,912,820 | 311,243,529 | |||
| Net increase/(decrease) from operations | $ | 68,354,774 | $ | 209,424,818 | |
| Distributions to shareholders from: | |||||
| Net investment income | |||||
| Ordinary shares | $ | (3,725,640) | $ | (10,593,651) | |
| Institutional shares | (976,013) | (2,023,876) | |||
| Net realized gains | |||||
| Ordinary shares | — | — | |||
| Institutional shares | — | — | |||
| Total distributions | $ | (4,701,653) | $ | (12,617,527) | |
| Fund share transactions (Note 8) | (53,005,588) | (2,423) | |||
Contributions to capital from investment manager/brokers | 71 | 375 | |||
| Increase/(decrease) in net assets | $ | 10,647,604 | $ | 196,805,243 | |
| Net assets beginning of period | 437,692,910 | 240,887,667 | |||
| Net assets end of period* | $ | 448,340,514 | $ | 437,692,910 | |
| *Includes undistributed net investment income/(loss) of: | $ | 2,376,458 | $ | 4,681,726 | |
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT FUNDS
STATEMENT OF CHANGES IN NET ASSETS (continued)
Foreign Value Small Cap | |||||
Year Ended March 31, 2011 | Period Ended March 31, 2010 | ||||
| Increase (Decrease) in Net Assets: | |||||
| Operations: | |||||
| Net investment income/(loss) | $ | 857,660 | $ | 653,192 | |
Net realized gain/(loss) on investments Foreign denominated assets, liabilities, and currency | 10,578,029 | 1,051,032 | |||
Unrealized appreciation/(depreciation) of investments, foreign denominated assets, liabilities, and currency | 277,560 | 34,258,072 | |||
| Net increase/(decrease) from operations | $ | 11,713,249 | $ | 35,962,296 | |
| Distributions to shareholders from: | |||||
| Net investment income | |||||
| Ordinary shares | (689,222) | (345,343) | |||
| Institutional shares | (97,556) | (29,098) | |||
| Net realized gains | |||||
| Ordinary shares | (3,107,308) | — | |||
| Institutional shares | (314,276) | — | |||
| Total distributions | $ | (4,208,362) | $ | (374,441) | |
| Fund share transactions (Note 8) | (38,298,704) | 74,915,340 | |||
Contributions to capital from investment manager/brokers | — | — | |||
| Increase/(decrease) in net assets | $ | (30,793,817) | $ | 110,503,195 | |
| Net assets beginning of period | 133,073,402 | 22,570,207 | |||
| Net assets end of period* | $ | 102,279,585 | $ | 133,073,402 | |
| *Includes undistributed net investment income/(loss) of: | $183,510 | $254,628 | |||
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT SMALL CAP FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
| Ordinary Shares | |||||||||
| Years Ending March 31, | |||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | |||||
| Net Asset Value, Beginning of Period | $ 16.45 | $ 10.22 | $ 19.45 | $ 23.88 | $ 22.99 | ||||
| Income from Investment Operations: | |||||||||
Net investment income (loss) (a)(b)(c) | 0.04 | 0.11 | 0.06 | 0.07 | (0.19) | ||||
Net realized and unrealized gain/(loss) on securities | 3.52 | 6.15 | (9.23) | (3.56) | 2.91 | ||||
| Total from Investment Operations | 3.56 | 6.26 | (9.17) | (3.49) | 2.72 | ||||
| Less Distributions: | |||||||||
| Dividends from net investment income | (0.09) | (0.03) | — | (0.11) | — | ||||
| Distributions from realized capital gains | — | — | (0.06) | (0.83) | (1.83) | ||||
| Total Distributions | (0.09) | (0.03) | (0.06) | (0.94) | (1.83) | ||||
| Net Asset Value, End of Period | $ 19.92 | $ 16.45 | $ 10.22 | $ 19.45 | $ 23.88 | ||||
| Total Return (d) | 21.69% | 61.27% | (47.11)% | (15.17)% | 12.01% | ||||
| Net Assets, End of Period (000’s) | $113,675 | $99,444 | $61,943 | $119,949 | $124,998 | ||||
| Ratios and Supplemental Data: | |||||||||
| Ratios of expenses to average net assets: (e) | |||||||||
| Gross | 1.64% | 1.65% | 1.64% | 1.59%* | 1.82% | ||||
| Net | 1.64% | 1.65% | 1.64% | 1.59%* | 1.82% | ||||
Ratio of net investment income (loss) to average net assets (c) | 0.23% | 0.81% | 0.31% | 0.31% | (0.80)% | ||||
| Portfolio Turnover | 71% | 50% | 72% | 39% | 41% | ||||
| * | Expense ratio declined from year ended March 31, 2007 to 2008.The prior year was the result of the reduction of the 12b-1 fee from 50 basis points to 25 basis points on June 1, 2007. |
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT SMALL CAP FUND
FINANCIAL HIGHLIGHTS (continued)
(For a share outstanding throughout each period)
| Institutional Shares | ||||||||||
| Years Ending March 31, | ||||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | ||||||
| Net Asset Value, Beginning of Period | $ 18.56 | $ 11.51 | $ 21.86 | $ 26.71 | $ 25.39 | |||||
| Income from Investment Operations: | ||||||||||
Net investment income (loss) (a)(b)(c) | 0.09 | 0.20 | 0.10 | 0.12 | (0.08) | |||||
Net realized and unrealized gain/(loss) on securities | 3.98 | 6.91 | (10.39) | (3.94) | 3.23 | |||||
| Total from Investment Operations | 4.07 | 7.11 | (10.29) | (3.82) | 3.15 | |||||
| Less Distributions: | ||||||||||
| Dividends from net investment income | (0.13) | (0.06) | — | (0.20) | — | |||||
| Distributions from realized capital gains | — | — | (0.06) | (0.83) | (1.83) | |||||
| Total Distributions | (0.13) | (0.06) | (0.06) | (1.03) | (1.83) | |||||
| Net Asset Value, End of Period | $ 22.50 | $ 18.56 | $ 11.51 | $ 21.86 | $ 26.71 | |||||
| Total Return (d) | 21.98% | 61.83% | (47.04)% | (14.87)% | 12.58% | |||||
| Net Assets, End of Period (000’s) | $ 7,806 | $ 7,146 | $ 7,281 | $ 24,282 | $12,400 | |||||
| Ratios and Supplemental Data: | ||||||||||
Ratios of expenses to average net assets: (e) | ||||||||||
| Gross | 1.39% | 1.41% | 1.42% | 1.30% | 1.31% | |||||
| Net | 1.39% | 1.41% | 1.42% | 1.30% | 1.31% | |||||
Ratio of net investment income (loss) to average net assets (c) | 0.48% | 1.35% | 0.48% | 0.45% | (0.30%) | |||||
| Portfolio Turnover | 71% | 50% | 72% | 39% | 41% | |||||
| (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). |
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT QUALITY FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
| Ordinary Shares | ||||||||||||
| Years Ended March 31, | ||||||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||
| Net Asset Value, Beginning of Period | $ 11.37 | $ 8.24 | $ 14.07 | $ 17.04 | $ 14.76 | |||||||
| Income from Investment Operations: | ||||||||||||
Net investment income (loss) (a)(b)(c) | 0.09 | 0.05 | (0.04) | (0.09) | (0.02) | |||||||
Net realized and unrealized gain/(loss) on securities | 1.01 | 3.10 | (5.78) | (2.30) | 2.33 | |||||||
| Total from Investment Operations | 1.10 | 3.15 | (5.82) | (2.39) | 2.31 | |||||||
| Less Distributions: | ||||||||||||
| Dividends from net investment income | (0.11) | (0.02) | (0.01) | — | (0.03) | |||||||
| Distributions from realized capital gains | — | — | — | (0.58) | — | |||||||
| Total Distributions | (0.11) | (0.02) | (0.01) | (0.58) | (0.03) | |||||||
| Net Asset Value, End of Period | $ 12.36 | $ 11.37 | $ 8.24 | $ 14.07 | $ 17.04 | |||||||
| Total Return (d) | 9.78% | 38.30% | (41.36)% | (14.43)% | 15.63% | |||||||
| Net Assets, End of Period (000’s) | $62,920 | $54,213 | $43,014 | $69,767 | $75,376 | |||||||
| Ratios and Supplemental Data: | ||||||||||||
Ratios of expenses to average net assets: (e) | ||||||||||||
| Gross | 1.93% | 2.10% | 2.71% | 2.18% | 1.74% | |||||||
Net including dividend and interest expense for securities sold short | 1.89% | 2.10% | 2.71% | 2.12% | 1.71% | |||||||
Net excluding dividend and interest expense for securities sold short | 1.85% | 1.92% | 1.98% | 1.90% | 1.69% | |||||||
| Ratio of net investment income (loss) to average net assets (c) | 0.84% | 0.50% | (0.38)% | (0.52)% | (0.14)% | |||||||
Portfolio Turnover Excluding Short Positions (f) | 283% | 191% | 207% | 171% | 83% | |||||||
Note: This fund changed its investment strategy on January 27, 2011.
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT QUALITY FUND
FINANCIAL HIGHLIGHTS (continued)
(For a share outstanding throughout each period)
| Institutional Shares | ||||||||||
| Years Ending March 31, | ||||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | ||||||
| Net Asset Value, Beginning of Period | $ 11.80 | $ 8.54 | $ 14.71 | $ 17.80 | $ 15.40 | |||||
| Income from Investment Operations: | ||||||||||
Net investment income (loss) (a)(b)(c) | 0.12 | 0.08 | (0.10) | (0.10) | 0.06 | |||||
Net realized and unrealized gain/(loss) on securities | 1.06 | 3.22 | (6.02) | (2.41) | 2.44 | |||||
| Total from Investment Operations | 1.18 | 3.30 | (6.12) | (2.51) | 2.50 | |||||
| Less Distributions: | ||||||||||
| Dividends from net investment income | (0.13) | (0.04) | (0.05) | — | (0.10) | |||||
| Distributions from realized capital gains | — | — | — | (0.58) | — | |||||
| Total Distributions | (0.13) | (0.04) | (0.05) | (0.58) | (0.10) | |||||
| Net Asset Value, End of Period | $ 12.85 | $ 11.80 | $8.54 | $ 14.71 | $ 17.80 | |||||
| Total Return (d) | 10.07% | 38.71% | (41.66)% | (14.49)% | 16.22% | |||||
| Net Assets, End of Period (000’s) | $ 809 | $ 591 | $ 584 | $ 1,009 | $ 1,279 | |||||
| Ratios and Supplemental Data: | ||||||||||
| Ratios of expenses to average net assets: (e) | ||||||||||
| Gross | 1.71% | 1.81% | 3.19% | 2.23% | 1.25% | |||||
Net including dividend and interest expense for securities sold short | 1.67% | 1.81% | 3.19% | 2.17% | 1.22% | |||||
Net excluding dividend and interest expense for securities sold short | 1.63% | 1.63% | 2.46% | 1.95% | 1.20% | |||||
Ratio of net investment income (loss) to average net assets (c) | 1.08% | 0.75% | (0.86)% | (0.56)% | 0.35% | |||||
Portfolio Turnover Excluding Short Positions (f) | 283% | 191% | 207% | 171% | 83% | |||||
| Note: | This Fund changed its investment strategy on November 1, 2006 from Growth & Income to Long/Short then on January 27, 2011 changed from Long/Short to Quality. |
| (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. |
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT QUALITY FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
| Ordinary Shares | |||||||||
| Years Ended March 31, | |||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | |||||
| Net Asset Value, Beginning of Period | $ 21.23 | $ 12.06 | $ 27.04 | $ 23.34 | $ 19.85 | ||||
Income from Investment Operations: | |||||||||
Net investment income (loss) (a)(b)(c) | 0.24 | 0.18 | 0.33 | 0.26 | 0.16 | ||||
Net realized and unrealized gain/(loss) on securities | 3.96 | 9.05 | (14.76) | 4.42 | 4.02 | ||||
Total from Investment Operations | 4.20 | 9.23 | (14.43) | 4.68 | 4.18 | ||||
| Less Distributions: | |||||||||
Dividends from net investment income | (0.25) | (0.06) | (0.43) | (0.16) | (0.22) | ||||
Distributions from realized capital gains | — | — | (0.12) | (0.82) | (0.47) | ||||
| Total Distributions | (0.25) | (0.06) | (0.55) | (0.98) | (0.69) | ||||
| Net Asset Value, End of Period | $ 25.18 | $ 21.23 | $ 12.06 | $ 27.04 | $ 23.34 | ||||
| Total Return (d) | 19.86% | 76.56% | (53.27)% | 19.35% | 21.36% | ||||
Net Assets, End of Period (000’s) | $176,386 | $205,727 | $164,133 | $491,462 | $276,698 | ||||
| Ratios and Supplemental Data: | |||||||||
Ratios of expenses to average net assets: (e) | |||||||||
| Gross | 1.77% | 1.74% | 1.67% | 1.60% | 1.67% | ||||
| Net | 1.77% | 1.74% | 1.67% | 1.60% | 1.67% | ||||
Ratio of net investment income (loss) to average net assets (c) | 1.05% | 0.99% | 1.66% | 0.91% | 0.77% | ||||
| Portfolio Turnover | 68% | 120% | 67% | 18% | 24% | ||||
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT EMERGING MARKETS FUND
FINANCIAL HIGHLIGHTS (continued)
(For a share outstanding throughout each period)
| Institutional Shares | |||||||||
| Years Ending March 31, | |||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | |||||
| Net Asset Value, Beginning of Period | $ 21.48 | $ 12.19 | $ 27.46 | $ 23.67 | $ 20.11 | ||||
| Income from Investment Operations: | |||||||||
Net investment income (loss) (a)(b)(c) | 0.42 | 0.27 | 0.34 | 0.33 | 0.21 | ||||
Net realized and unrealized gain/(loss) on securities | 3.89 | 9.11 | (14.98) | 4.50 | 4.08 | ||||
| Total from Investment Operations | 4.31 | 9.38 | (14.64) | 4.83 | 4.29 | ||||
| Less Distributions: | |||||||||
Dividends from net investment income | (0.26) | (0.09) | (0.51) | (0.22) | (0.26) | ||||
Distributions from realized capital gains | — | — | (0.12) | (0.82) | (0.47) | ||||
| Total Distributions | (0.26) | (0.09) | (0.63) | (1.04) | (0.73) | ||||
| Net Asset Value, End of Period | $ 25.53 | $ 21.48 | $ 12.19 | $ 27.46 | $ 23.67 | ||||
| Total Return (d) | 20.14% | 77.02% | (53.17)% | 19.67% | 21.68% | ||||
| Net Assets, End of Period (000’s) | $11,267 | $26,247 | $ 25,664 | $40,501 | $12,759 | ||||
| Ratios and Supplemental Data: | |||||||||
Ratios of expenses to average net assets: (e) | |||||||||
| Gross | 1.51% | 1.50% | 1.48% | 1.39% | 1.41% | ||||
| Net | 1.51% | 1.50% | 1.48% | 1.39% | 1.41% | ||||
Ratio of net investment income (loss) to average net assets (c) | 1.94% | 1.48% | 1.82% | 1.12% | 1.02% | ||||
| Portfolio Turnover | 68% | 120% | 67% | 18% | 24% | ||||
| (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). |
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
| QUANT FOREIGN VALUE FUND |
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
| Ordinary Shares | ||||||||||
| Years Ended March 31, | ||||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | ||||||
Net Asset Value, Beginning of Period | $ 12.45 | $ 6.97 | $ 19.87 | $ 23.07 | $ 19.91 | |||||
| Income from Investment Operations: | ||||||||||
Net investment income (loss) (a)(b)(c) | 0.07 | 0.13 | 0.35 | 0.19 | 0.18 | |||||
Net realized and unrealized gain/(loss) on securities | 2.31 | 5.71 | (11.53) | (2.11) | 4.12 | |||||
Total from Investment Operations | 2.38 | 5.84 | (11.18) | (1.92) | 4.30 | |||||
| Less Distributions: | ||||||||||
Dividends from net investment income | (0.15) | (0.36) | (0.11) | (0.19) | (0.07) | |||||
Distributions from realized capital gains | — | — | (1.61) | (1.09) | (1.07) | |||||
| Total Distributions | (0.15) | (0.36) | (1.72) | (1.28) | (1.14) | |||||
| Net Asset Value, End of Period | $ 14.68 | $ 12.45 | $ 6.97 | $ 19.87 | $ 23.07 | |||||
| Total Return (d) | 19.17% | 84.05% | (55.95)% | (8.71)% | 22.08% | |||||
| Net Assets, End of Period (000’s) | $369,550 | $369,626 | $193,798 | $781,136 | $778,104 | |||||
| Ratios and Supplemental Data: | ||||||||||
Ratios of expenses to average net assets: (e) | ||||||||||
| Gross | 1.62% | 1.62% | 1.62% | 1.56% | 1.60% | |||||
| Net | 1.62% | 1.62% | 1.62% | 1.56% | 1.60% | |||||
Ratio of net investment income (loss) to average net assets (c) | 0.56% | 1.17% | 2.49% | 0.83% | 0.88% | |||||
| Portfolio Turnover | 9% | 24% | 20% | 44% | 19% | |||||
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT FOREIGN VALUE FUND
FINANCIAL HIGHLIGHTS (continued)
(For a share outstanding throughout each period)
| ` | Institutional Shares | |||||||||
| Years Ending March 31, | ||||||||||
| 2011 | 2010 | 2009 | 2008 | 2007 | ||||||
| Net Asset Value, Beginning of Period | $ 12.45 | $ 6.98 | $ 19.98 | $ 23.19 | $ 20.01 | |||||
| Income from Investment Operations: | ||||||||||
| Net investment income (loss) (a)(b)(c) | 0.10 | 0.14 | 0.38 | 0.26 | 0.25 | |||||
| Net realized and unrealized gain/(loss) on securities | 2.31 | 5.71 | (11.60) | (2.13) | 4.12 | |||||
| Total from Investment Operations | 2.41 | 5.85 | (11.22) | (1.87) | 4.37 | |||||
| Less Distributions: | ||||||||||
| Dividends from net investment income | (0.18) | (0.38) | (0.17) | (0.25) | (0.12) | |||||
| Distributions from realized capital gains | — | — | (1.61) | (1.09) | (1.07) | |||||
| Total Distributions | (0.18) | (0.38) | (1.78) | (1.34) | (1.19) | |||||
| Net Asset Value, End of Period | $ 14.68 | $ 12.45 | $ 6.98 | $ 19.98 | $ 23.19 | |||||
| Total Return (d) | 19.48% | 84.12% | (55.85)% | (8.49)% | 22.37% | |||||
| Net Assets, End of Period (000’s) | $78,790 | $68,067 | $ 47,090 | $140,999 | $115,200 | |||||
| Ratios and Supplemental Data: | ||||||||||
| Ratios of expenses to average net assets: (e) | ||||||||||
| Gross | 1.37% | 1.37% | 1.38% | 1.32% | 1.35% | |||||
| Net | 1.37% | 1.37% | 1.38% | 1.32% | 1.35% | |||||
| Ratio of net investment income (loss) to average net assets (c) | 0.79% | 1.29% | 2.77% | 1.18% | 1.13% | |||||
| Portfolio Turnover | 9% | 24% | 20% | 44% | 19% | |||||
| (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). |
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT FOREIGN VALUE SMALL CAP FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
| Ordinary Shares | ||||||
| Period Ended March 31, | ||||||
| 2011 | 2010 | 2009 | ||||
| Net Asset Value, Beginning of Period | $ 10.28 | $ 4.82 | $ 10.00 | |||
| Income from Investment Operations: | ||||||
| Net investment income (loss) (a)(b)(c) | 0.09 | 0.07 | 0.03 | |||
Net realized and unrealized gain/(loss) on securities | 1.25 | 5.42 | (5.15) | |||
| Total from Investment Operations | 1.34 | 5.49 | (5.12) | |||
| Less Distributions: | ||||||
| Dividends from net investment income | (0.08) | (0.03) | (0.04) | |||
| Distributions from realized capital gains | (0.35) | — | (0.02) | |||
| Total Distributions | (0.43) | (0.03) | (0.06) | |||
| Net Asset Value, End of Period* | $ 11.19 | $ 10.28 | $ 4.82 | |||
| Total Return (d) | 13.12% | 114.00% | (51.25)% | |||
| Net Assets, End of Period (000’s) | $78,307 | $124,971 | $ 18,978 | |||
| Ratios and Supplemental Data: | ||||||
| Ratios of expenses to average net assets: (e) | ||||||
| Gross | 1.69% | 1.64% | 2.00%** | |||
| Net | 1.69% | 1.64% | 1.97%** | |||
Ratio of net investment income (loss) to average net assets (c) | 0.82% | 0.82% | 0.66%** | |||
| Portfolio Turnover | 54% | 14% | 10% | |||
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
QUANT FOREIGN VALUE SMALL CAP FUND
FINANCIAL HIGHLIGHTS (continued)
(For a share outstanding throughout each period)
| Institutional Shares | |||
| Period Ending March 31, | |||
| 2011 | 2010 | 2009 | |
| Net Asset Value, Beginning of Period | $ 10.30 | $ 4.82 | $ 10.00 |
| Income from Investment Operations: | |||
| Net investment income (loss) (a)(b)(c) | 0.09 | 0.11 | 0.07 |
Net realized and unrealized gain/(loss) on securities | 1.28 | 5.41 | (5.19) |
| Total from Investment Operations | 1.37 | 5.52 | (5.12) |
| Less Distributions: | |||
| Dividends from net investment income | (0.11) | (0.04) | (0.04) |
| Distributions from realized capital gains | (0.35) | — | (0.02) |
| Total Distributions | (0.46) | (0.04) | (0.06) |
| Net Asset Value, End of Period* | $ 11.21 | $ 10.30 | $4.82 |
| Total Return (d) | 13.40% | 114.55% | (51.20)% |
| Net Assets, End of Period (000’s) | $23,973 | $ 8,103 | $ 3,592 |
| Ratios and Supplemental Data: | |||
| Ratios of expenses to average net assets: (e) | |||
| Gross | 1.44% | 1.43% | 1.88%** |
| Net | 1.44% | 1.43% | 1.85%** |
Ratio of net investment income (loss) to average net assets (c) | 0.92% | 1.27% | 1.10%** |
| Portfolio Turnover | 54% | 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) |
| The accompanying notes are an integral part of these financial statements. |
| The accompanying notes are an integral part of these financial statements. |
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 Quality Fund (“Quality”) seeks long-term growth of capital. Prior to January 27, 2011, the Fund was called Quant Long/Short Fund (“Long/Short”). Prior to that date, the Fund pursued the same investment objective but used a long-short investment strategy.
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. Those principals 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 generally 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 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
QUANT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
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.
QUANT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
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, 2011:
Quoted Prices In Active Markets | Significant Other Observable Inputs | Significant Unobservable Inputs | Carrying Value at March 31, 2011 | ||||
| Level 1 | Level 2 | Level 3 | Total | ||||
| Small Cap | |||||||
Common Stock* | $106,027,918 | $— | $— | $106,027,918 | |||
Depository Receipts | 2,864,106 | — | — | 2,864,106 | |||
Limited Partnerships | 93,174 | 93,174 | |||||
Real Estate Inv. Trusts | 11,177,440 | — | — | 11,177,440 | |||
Short Term Investments | 2,174,088 | 1,597,037 | — | 3,771,125 | |||
| Total | $122,336,726 | $ 1,597,037 | $— | $123,933,763 | |||
| Quality | |||||||
Common Stock* | $ 53,776,216 | $— | $— | $53,776,216 | |||
Depository Receipts | 7,920,311 | — | — | 7,920,311 | |||
Short Term Investments | — | 20,648,376 | — | 20,648,376 | |||
Total Assets | $ 61,696,527 | $20,648,376 | $— | $ 82,344,903 | |||
| Emerging Markets | |||||||
Common Stock* | $147,698,254 | $ 3,001,451 | $— | $150,699,705 | |||
Depository Receipts | 25,130,711 | — | — | 25,130,711 | |||
Preferred Stock | 11,301,904 | — | — | 11,301,904 | |||
Real Estate Inv. Trusts | 515,954 | — | — | 515,954 | |||
Short Term Investments | 6,033,852 | — | — | 6,033,852 | |||
| Total | $190,680,675 | $ 3,001,451 | $— | $193,682,126 | |||
| Foreign Value | |||||||
Common Stock* | $383,892,718 | $18,509,053 | $— | $402,401,771 | |||
Depository Receipts | 13,954,410 | — | — | 13,954,410 | |||
Short Term Investments | 6,834,022 | 23,490,000 | — | 30,324,022 | |||
| Total | $404,681,150 | $41,999,053 | $— | $446,680,203 | |||
| Foreign Value Small Cap | |||||||
Common Stock* | $ 81,305,764 | $ 2,586,758 | $2,263,456 | $ 86,155,978 | |||
Depository Receipts | 1,104,460 | — | — | 1,104,460 | |||
Preferred Stock | 1,613,568 | — | — | 1,613,568 | |||
Short Term Investments | 7,712,945 | — | 7,712,945 | ||||
Warrants | — | 5,515,126 | — | 5,515,126 | |||
| Total | $ 91,736,737 | $ 8,101,884 | $2,263,456 | $102,102,077 |
QUANT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
| Emerging Markets | Foreign Value Small Cap | ||||||
| Common Stock | Common Stock | ||||||
Balance as of 3/31/2010 | $ | 121,408 | $ | — | |||
Realized gain (loss) | $ | — | $ | — | |||
Changed in unrealized appreciation (depreciation) | $ | — | $ | — | |||
Net purchases (sales) | $ | — | $ | — | |||
Transfer in and/or out of Level 3 | $ | (121,408) | $ | 2,263,456 | |||
Balances as of 03/31/2011 | $ | — | $ | 2,263,456 | |||
* Refer to Schedule of Investments for breakout by industry or country.
In January 2010, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2010-06(“ASU 2010-06”), “Improving Disclosures about Fair Value Measurements.” ASU 2010-06 amends FASB Accounting Standards Codification 820, “Fair Value Measurements and Disclosures,” to require additional disclosures regarding fair value measurements. Pursuant to ASU 2010-06, disclosures regarding transfers into and out of Levels 1 and 2 are effective for reporting periods beginning after December 15, 2009 and for the interim periods within those fiscal years, and other disclosures relating to purchases, sales, issuances and settlements on a gross basis relating to Level 3 measurements are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. There were no significant transfers into and out of levels 1 and 2 during the year ended March 31, 2011 and the Fund’s management is currently evaluating what impact further disclosures under ASU 2010-06 may have on the Fund’s financial statements.
At March 31, 2011, there were no open futures contracts in the Quality Fund. The realized gains or losses and change in unrealized gains or losses on future contracts are reflected in the appropriate financial statements. The effect of derivative instruments on the Statement of Operations for the twelve months ended March 31, 2011:
| Derivatives Not Accounted for as Hedging Instruments | Realized Gain (Loss) on Futures Recognized in Income | Changes in Unrealized Appreciation (Depreciation) on Futures Recognized in Income |
| Quality | $189,801 | $0 |
Use of Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.
Guarantees and Indemnifications
In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Subsequent Events
In preparing these financial statements, the Funds have evaluated events and transactions for potential recognition or disclosure through the date the financial were issued. There were no events or transactions that occurred during the period that materially impacted the accounts or disclosures in the Funds’ financial statements.
QUANT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
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.
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.
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 March 31, 2011:
| Foreign Value | ||||
| Currency to deliver | Local Value | In exchange for | Settlement Date | Unrealized appreciation (depreciation) |
| Japanese Yen | 13,649,610 | USD 164,108 | 04/01/11 | $ (802) |
| Swedish Krona | 2,513,025 | USD 396,689 | 04/01/11 | (1,367) |
| Foreign Value Small Cap | ||||
| Currency to deliver | Local Value | In exchange for | Settlement Date | Unrealized appreciation (depreciation) |
| Australian Dollar | 0.49 | USD 0.50 | 04/01/11 | $ (0.01) |
QUANT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
Short Sales
Prior to January 27, 2011, Quality Fund (at the time referred to as Quant Long/Short Fund) engaged in short sales (selling securities it did not own) as part of its normal investment activities. Upon selling a security short, the Fund’s Custodian segregated cash, cash equivalents or other appropriate liquid securities in an amount equal to the then current market value of the securities sold short and maintained such collateral until Long/Short Fund replaced the borrowed security. The Fund was required to pay any dividends or interest due on securities sold short. Such dividends and interest were recorded as an expense. Liabilities for securities sold short were valued daily and were recorded as unrealized appreciation (depreciation) on investments and securities sold short. The Fund recorded realized gain (loss) on a security sold short when a short position was terminated by the Fund. The Fund incurred a loss if the price of a security increased between the date of the short sale and the date on which the Fund replaced the borrowed security. The realized a gain if the price of borrowed security declined between the date of a short sale and the date Long/Short Fund replaced 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 borrowings for the Small Cap Fund. Collateral is marked-to-market daily. Cash collateral is invested in a registered money market fund.
The Trust uses State Street Bank and Trust Company (“State Street”) as lending agent for the Quality Fund pursuant to a Securities Lending Authorization Agreement. The Quality may lend up to 33-1/3% 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, 2011, the following Funds had collateral and loans outstanding of:
| Value of Collateral | Value of Loaned Securities | |
| Quant Small Cap Fund | $ 2,174,088 | $ 2,128,882 |
| Quant Quality Fund | 20,648,376 | 20,149,800 |
| Quant Emerging Markets Fund | 6,033,852 | 5,753,912 |
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
QUANT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
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.
Beginning January 27, 2011 The Manager has agreed until July 31, 2012 to waive 0.15 percent of its management fee if the Quality Fund’s average daily net assets are up to $100 million and 0.25 percent of its management fee if the Fund’s average daily net assets are $100 million or more. Beginning April 1, 2011, the Manager has agreed to waive or reimburse Fund expenses relating to Institutional Shares of Quality Fund such that the total annual fund operating expenses relating to Institutional Shares is not greater than 1.00 percent. The Board has the right to terminate either or both arrangements in its discretion. In addition, 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 exceeds 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, 2011 aggregate management fees were $8,921,965.
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 and Quality), PanAgora Asset Management, Inc. (Emerging Markets), and Polaris Capital Management, LLC (Foreign Value and Foreign Value Small Cap.) Prior to January 27, 2011, Analytic Investors, LLC served as subadvisor with respect to Long/Short Fund (currently named Quant Quality Fund).
QUANT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
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 |
| Quality* | 0.10% of the first $100 million and |
| 0.08% of amounts in excess of $100 million but less than $250 million and | |
0.06% of amounts in excess of $250 million of average daily total net assets. | |
| Emerging Markets | 0.40% of average daily total net assets; |
| Foreign Value | 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 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 of average daily total net assets. |
* Effective January 1, 2009 through January 27, 2011, the subadvisory 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 (i) 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, 2011 the aggregate distribution fees of the Funds were $1,959,937.
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, 2011, the aggregate fees of the Funds were $1,488,827.
Pursuant to an Administration Agreement, the Manager provides certain administrative services to the Funds. During the year ended March 31, 2011, fees paid pursuant to this agreement were $273,574.
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, 2011, the Trustees have approved reimbursements that amounted to $189,252.
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.
For the year ended March 31, 2011, each Trustee received an annual Trustee’s fee of $21,000, with the exception of the Chairman of the Audit Committee and the Lead Independent Trustee of the Board. For the year ended March 31, 2011, the Chairman of the Audit Committee was paid $24,000 and the Lead Independent Trustee of the Board, whom was paid $23,250. The fees paid to the Trustees are allocated to each Fund in proportion to its respective net assets. Effective April 1, 2011, each trustee will receive $27,000 annually with the exception of the Chairman of the Audit Committee, the Lead Independent Trustee of the Board, each of
QUANT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
whom will receive $30,000 annually and the Trustee who is an “interested person” of the Trust, as such term is defined in the Investment Company Act, whose compensation for such services will be paid by the Manager and not directly by the Trust.
4. Purchases and Sales
During the twelve months ended March 31, 2011, purchases of investment securities other than U.S. Government obligations and short-term investments, for Small Cap, Quality, Emerging Markets, Foreign Value, and Foreign Value Small Cap were $73,721,524, $176,469,925, $147,148,147, $35,587,147, and $51,667,313, respectively. Sales of such securities for the Funds were $75,817,259, $190,863,066, $227,966,066, $100,165,604, and $94,358,693, respectively. With respect to Quality Fund, securities sold short thru January 27, 2011 were not included in the amount of that Fund’s sales of investment securities identified above as those short positions generally were open 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.
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.
As of March 31, 2011 the capital loss carryovers were as follows:
| Portfolio | Capital Loss Expires March 31, 2017 | Capital Loss Expires March 31, 2018 | Capital Loss Expires March 31, 2019 | Total Capital Loss |
| Small Cap Fund | $ 5,719,158 | $ 23,795,469 | $ — | $ 29,514,627 |
| Quality Fund | — | 12,445,061 | — | 12,445,061 |
| Emerging Markets Fund | 3,527,534 | 31,309,051 | — | 34,836,585 |
| Foreign Value Fund | 80,608,820 | 131,156,114 | 10,547,106 | 222,312,040 |
| Foreign Value Small Cap Fund | — | — | — | — |
During the fiscal year ending March 31, 2011, capital loss carryovers in the amount of $6,699,837, $5,135,328, $41,291,501, and $0 were utilized by Small Cap, Quality, Emerging Markets, and Foreign Value Small Cap, respectively. Foreign Value had an expired loss carryover in the amount of $932,449.
The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by the tax authorities. Management has analyzed the Funds’ tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years 2008-2010, or expected to be taken in the Funds’ 2011 tax returns. The Funds identify their major tax jurisdictions at U.S. Federal and Massachusetts
QUANT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
State; however the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
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, 2011 | ||||||
| Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Gains | Accumulated Capital Losses | Post- October Deferral | Net Tax Appreciation/ (Depreciation) | Total |
| Small Cap Fund | $ 264,541 | $ — | $ (29,514,627) | $— | $32,454,392 | $ 3,204,306 |
| Quality Fund | 67,780 | — | (12,445,061) | — | 665,014 | (11,712,267) |
| Emerging Markets Fund | 2,046,792 | — | (34,836,585) | — | 37,177,337 | 4,387,544 |
| Foreign Value Fund | 2,440,814 | — | (222,312,040) | — | 8,930,395 | (210,940,831) |
| Foreign Value Small Cap Fund | 1,811,534 | 6,985,146 | — | — | 19,176,002 | 27,972,682 |
At March 31, 2011, the tax composition of dividends was as follows:
| Portfolio | Ordinary Income | Long Term Capital Gains | Tax Return Of Capital | ||
| Small Cap Fund | $ 576,308 | $ — | $— | ||
| Quality Fund | 508,978 | — | — | ||
| Emerging Markets Fund | 2,500,288 | — | — | ||
| Foreign Value Fund | 4,701,653 | — | — | ||
| Quant Foreign Value Small Cap Fund | 786,778 | 3,421,584 | — | ||
At March 31, 2010, the tax composition of dividends was as follows:
| Portfolio | Ordinary Income | Long Term Capital Gains | Tax Return Of Capital | |
| Small Cap Fund | $ 188,617 | $— | $— | |
| Quality Fund | 122,860 | — | — | |
| Emerging Markets Fund | 935,754 | — | — | |
| Foreign Value Fund | 12,617,527 | — | — | |
| Quant Foreign Value Small Cap Fund | 374,441 | — | — | |
QUANT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
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, 2011, permanent differences in book and tax accounting have been reclassified to shares of beneficial interest, undistributed net investment income (loss) and accumulated net realized gain/(loss) on investments and foreign denominated assets, liabilities and currency.
| Increase/(Decrease) | |||||
Shares of Beneficial Interest | Undistributed Net Investment Income (Loss) | Accumulated Net Gain/ (Loss) on Investments and Foreign Denominated Assets, Liabilities and Currency | |||
| Quant Small Cap Fund | $ — | $ — | $ — | ||
| Quant Quality Fund | 2 | (139) | 137 | ||
| Quant Emerging Mkts. Fund | — | (208,381) | 208,381 | ||
| Quant Foreign Value Fund | (932,444) | (69,159) | 1,001,603 | ||
| Quant Foreign Value Small Cap Fund | — | (142,000) | 142,000 | ||
The permanent differences primarily relate to net operating losses, wash sales, return of capital distributions by real estate investment trusts (REITs), foreign currency reclasses and adjustments for sale of shares in passive foreign investment corporations (PFICs).
QUANT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
8. Transactions in Shares of Beneficial Interest
Transactions in shares of beneficial interest were as follows:
Year Ended March 31, 2011 | Year Ended March 31, 2010 | |||||||||
| Shares | Dollars | Shares | Dollars | |||||||
| Small Cap | ||||||||||
| Ordinary Shares | ||||||||||
| Shares sold | 504,964 | $ | 9,036,002 | 616,767 | $ | 8,505,968 | ||||
| Shares issued in reinvestment of distributions | 26,733 | 499,111 | 10,752 | 156,762 | ||||||
| Shares redeemed | (868,984) | (15,175,822) | (646,575) | (8,834,143) | ||||||
| Net Change | (337,287) | (5,640,709) | (19,056) | (171,413) | ||||||
| Institutional Shares | ||||||||||
| Shares sold | 33,512 | $ | 648,053 | 61,117 | $ | 992,998 | ||||
| Shares issued in reinvestment of distributions | 1,975 | 41,624 | 1,312 | 21,550 | ||||||
| Shares redeemed | (73,515) | (1,430,986) | (309,802) | (4,440,988) | ||||||
| Net Change | (38,028) | (741,309) | (247,373) | (3,426,440) | ||||||
| Total Net Change For Fund | $ | (6,382,018) | $ | (3,597,853) | ||||||
| Quality | ||||||||||
| Ordinary Shares | ||||||||||
| Shares sold | 753,057 | $ | 9,103,352 | 388,733 | $ | 3,869,231 | ||||
| Shares issued in reinvestment of distributions | 40,824 | 471,929 | 10,130 | 111,739 | ||||||
| Shares redeemed | (473,260) | (5,324,465) | (848,257) | (8,564,514) | ||||||
| Net Change | 320,621 | 4,250,816 | (449,394) | (4,583,544) | ||||||
| Institutional Shares | ||||||||||
| Shares sold | 34,077 | $ | 434,510 | 4,319 | $ | 41,778 | ||||
| Shares issued in reinvestment of distributions | 316 | 3,797 | 218 | 2,489 | ||||||
| Shares redeemed | (21,480) | (244,213) | (22,871) | (243,283) | ||||||
| Net Change | 12,913 | 194,094 | (18,334) | (199,016) | ||||||
| Total Net Change For Fund | $ | 4,444,910 | $ | (4,782,560) | ||||||
| Emerging Markets | ||||||||||
| Ordinary Shares | ||||||||||
| Shares sold | 3,675,329 | $ | 82,415,682 | 5,756,404 | $ | 104,705,318 | ||||
| Shares issued in reinvestment of distributions | 93,424 | 2,247,776 | 38,441 | 786,122 | ||||||
| Shares redeemed | (6,451,916) | (146,132,731) | (9,715,787) | (180,344,576) | ||||||
| Net Change | (2,683,163) | (61,469,273) | (3,920,942) | (74,853,136) | ||||||
QUANT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
Year Ended March 31, 2011 | Year Ended March 31, 2010 | |||||||||
| Shares | Dollars | Shares | Dollars | |||||||
| Institutional Shares | ||||||||||
| Shares sold | 307,919 | $ | 6,681,226 | 683,681 | $ | 11,800,520 | ||||
| Shares issued in reinvestment of distributions | 4,601 | 112,212 | 5,392 | 111,454 | ||||||
| Shares redeemed | (1,093,015) | (25,587,724) | (1,572,205) | (25,937,228) | ||||||
| Net Change | (780,495) | (18,794,286) | (883,132) | (14,025,254) | ||||||
| Total Net Change For Fund | $ | (80,263,559) | $ | (88,878,390) | ||||||
| Foreign Value | ||||||||||
| Ordinary Shares | ||||||||||
| Shares sold | 3,241,340 | $ | 41,652,537 | 13,262,594 | $ | 145,162,678 | ||||
| Shares issued in reinvestment of distributions | 263,174 | 3,621,279 | 880,784 | 10,331,432 | ||||||
| Shares redeemed | (8,025,937) | (96,826,111) | (12,236,058) | (141,205,485) | ||||||
| Net Change | (4,521,423) | (51,552,295) | 1,907,320 | 14,288,625 | ||||||
| Institutional Shares | ||||||||||
| Shares sold | 498,257 | $ | 6,338,939 | 599,263 | $ | 6,268,518 | ||||
| Shares issued in reinvestment of distributions | 58,949 | 810,543 | 164,913 | 1,932,784 | ||||||
| Shares redeemed | (658,345) | (8,602,775) | (2,036,513) | (22,492,350) | ||||||
| Net Change | (101,139) | (1,453,293) | (1,272,337) | (14,291,048) | ||||||
| Total Net Change For Fund | $ | (53,005,588) | $ | (2,423) | ||||||
| Foreign Value Small Cap | ||||||||||
| Ordinary Shares | ||||||||||
| Shares sold | 2,979,093 | $ | 31,548,656 | 8,949,723 | $ | 80,886,500 | ||||
| Shares issued in reinvestment of distributions | 343,469 | 3,723,203 | 36,249 | 342,912 | ||||||
| Shares redeemed | (8,487,003) | (88,399,013) | (765,876) | (6,799,738) | ||||||
| Net Change | (5,164,441) | (53,127,154) | 8,220,096 | 74,429,674 | ||||||
| Institutional Shares | ||||||||||
| Shares sold | 1,344,178 | $ | 14,744,709 | 121,383 | $ | 920,199 | ||||
| Shares issued in reinvestment of distributions | 37,867 | 410,859 | 3,073 | 29,098 | ||||||
| Shares redeemed | (30,573) | (327,118) | (82,780) | (463,631) | ||||||
| Net Change | 1,351,472 | 14,828,450 | 41,676 | 485,666 | ||||||
| Total Net Change for Fund | $ | (38,298,704) | $ | 74,915,340 | ||||||
QUANT FUNDS
NOTES TO FINANCIAL STATEMENTS (continued)
Federal Tax Information (unaudited)
Designation Requirements at March 31, 2011.
| Qualified Dividend Income Percentage | |
| Small Cap Fund | 100% |
| Quality Fund | 100% |
| Emerging Markets Fund | 100% |
| Foreign Value Fund | 100% |
| Foreign Value Small Cap Fund | 86% |
QUANT FUNDS
INFORMATION FOR SHAREHOLDERS (unaudited)
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, 2010 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.
QUANT FUNDS
MANAGEMENT CONTRACT AND ADVISORY
CONTRACT APPROVAL (unaudited)
Quant Quality Fund
Prior to approving the appointment of Columbia as sub-adviser to the Fund and the sub-advisory agreement between the Manager and Columbia with respect to the Fund, the Independent Trustees completed a review of information requested by the Independent Trustees from the Manager and Columbia, including the following: (a) information provided by Columbia in connection with the annual contract review of the Quant Small Cap Fund; (b) information regarding the expected decrease in the expense ratio of the Fund following the implementation of the new strategy; (c) descriptions of the qualifications of the investment personnel proposed to be responsible for managing the Fund, the structure of their compensation and their responsibilities with respect to managing other accounts or mutual funds; (d) descriptions of the services to be provided to the Fund, including the investment strategies and techniques to be used by Columbia in managing the Fund; (e) other information relevant to an evaluation of the nature, extent and quality of the services expected to be provided by; and (f) the Manager’s recommendation that Columbia be appointed to serve as the sub-adviser to the Fund that the Sub-Advisory Agreement be approved.
The Independent Trustees relied upon the advice of independent counsel and their own business judgment in determining the material factors to be considered in evaluating the appointment of Columbia and the weight to be given to each such factor. The conclusions reached by the Independent Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Independent Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the appointment of Columbia.
Nature, Quality and Extent of Services Provided. In considering whether to approve the appointment of Columbia as sub-adviser to the Fund and the Sub-Advisory Agreement, the Board evaluated the nature, extent and quality of services expected to be provided to the Fund by Columbia. The Board considered the investment management and related services to be provided by Columbia, including the quantity and quality of the resources available to provide such services. Among other things, the Board considered information provided by the Manager and Columbia as to the operations, facilities, organization and personnel of Columbia, and information provided by the Manager and Columbia describing the qualifications and experience of the individuals who would be responsible for performing various investment related services to the Fund. The information included considered included information provided at the meeting and certain information previously provided by Columbia to the Board in connection with the renewal of its sub-advisory agreement with the Manager with respect to another fund of the Trust. The Board also considered whether Columbia had the capabilities, resources and personnel necessary to provide advisory services to the Fund, including those services that would be expected as a result of the proposed change to the Fund’s principal investment strategies, and concluded that it did. The Board also considered the quality of the compliance program of Columbia based on Columbia’s current role serving as the sub-advisor with respect to another fund of the Trust. Additionally, the Board considered the demonstrated ability of Columbia to work cooperatively with the Manager and the officers of the Trust on investment, compliance and administrative matters relating to the Fund.
The Board concluded that it was satisfied with the nature, extent and quality of services expected to be provided by Columbia.
Investment Performance. The Board considered the Fund’s recent underperformance relative to its benchmark index under the previous long/short strategy and that the Manager and Columbia would be implementing a new strategy. The Board considered Columbia’s record of performance with respect to the other Fund of the Trust for which it serves as sub-adviser. Additionally, the Board considered the Manager’s statement that it was not aware of any other registered open-end management investment company that pursued the same strategy as the Fund, and that Columbia had not previously managed an account using this strategy, and thus, comparative investment performance was not available.
QUANT FUNDS
MANAGEMENT CONTRACT AND ADVISORY
CONTRACT APPROVAL (unaudited) (continued)
Sub-advisory Fees and Expenses. The Board considered the contractual investment advisory fee rates payable by the Fund to the Manager, the contractual sub-advisory fee rates payable by the Manager to Columbia for sub-advisory services and the total expense ratio of the Fund before and after the expected appointment of Columbia. The Board also considered information regarding fees charged by Columbia to certain other funds and accounts, the differences between those funds/accounts and the proposed strategy of the Fund. The Trustees noted that Columbia does not currently manage an index strategy or any strategy substantially similar to the Fund. The Trustees also noted that the Fund’s total expense ratio is expected to decrease once the new strategy is fully implemented. After reviewing the foregoing information, and in light of the nature, extent and quality of the services expected to be provided by Columbia, the Board concluded that the sub-advisory fee is fair and reasonable.
Profitability. The Board did not consider the profitability of Columbia to be a material factor based on the representation from the Manager that it negotiated the sub-advisory fee with Columbia on an arm’s-length basis.
Economies of Scale. The Board considered the extent to which economies of scale can be expected to be realized by Columbia, on the one hand, and the Fund, on the other hand, as the assets of the Fund increase. In this regard, the Trustees noted that the fee levels and breakpoints contained in the proposed management fee, including the proposed management fee waiver, and the proposed sub-advisory fee would not result in any increase in expenses to the Fund at increased asset levels. The Trustees also noted that the proposed management fee arrangements would be expected to result in higher revenues to the Manager at current and expected increased future asset levels, but that those increases in revenues would be expected to be offset, at least in part, by expected increases in the costs to the Manager of overseeing the Fund and selecting and monitoring the target portfolio. Based on the foregoing, the Board concluded that the proposed fee schedule, including the breakpoints in the sub-advisory fee, was acceptable.
Other Benefits to the Sub-Adviser. The Board considered the incidental, or “fall-out,” benefits that would accrue to Columbia and any of its affiliates by virtue of its relationship to the Fund. The Board noted that Columbia had stated that it did not intend to use any soft dollar commission arrangements with respect to Fund transactions. The Board concluded that incidental benefits were reasonable.
Conclusion. Based on its evaluation of all material factors and assisted by the advice of independent counsel, the Board of Trustees, including the Independent Trustees, concluded that the sub-advisory fee to be paid to Columbia is fair and reasonable, and that the Sub-Advisory Agreement with Columbia should be approved.
QUANT FUNDS
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 Quality Fund (formerly 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, 2011, 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, and the financial highlights for each of the four years in the period then ended (with respect to Quant Foreign Value Small Cap Fund, for each of the two years 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 the year 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, 2011 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, 2011, the results of their operations, the changes in their net assets, 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 20, 2011
QUANT FUNDS
PRIVACY POLICY
| FACTS | WHAT DOES QUANTITATIVE INVESTMENT ADVISORS, INC., QUANTITATIVE GROUP OF FUNDS, AND U.S. BOSTON CAPITAL CORPORATION (COLLECTIVELY, “QUANT”) DO WITH YOUR PERSONAL INFORMATION? |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share and protect your personal information. Please read this notice carefully to understand what we do. |
| What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: • Social Security Numbers • Names, Addresses and Telephone numbers • Account Balances • Account Transactions • Transaction History • Information regarding your investments in the Quant Mutual Funds • Other account information |
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reason Quant chooses to share and whether you can limit this sharing. |
| Reasons we can share your personal information | Does Quant share? | Can you limit this sharing? |
For our everyday business purposes — Such as to process your transaction, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — To offer our products and services to you | No | We don’t share |
| For joint marketing with other financial companies | No | We don’t share |
For our affiliates’ everyday business purposes — Information about your transactions and experiences | No | We don’t share |
For our affiliates’ everyday business purposes — Information about your creditworthiness | No | We don’t share |
| For non-affiliates to market to you | No | We don’t share |
| Questions? | CALL 1-800-326-2151 |
QUANT FUNDS
PRIVACY POLICY (continued)
| What we do | |
| How does Quant protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These include computer safeguards and secured files and buildings. |
| How does Quant collect my personal information? | We collect your personal information, for example, when you • Open an account • Send us a check or wire • Provide account information • Give us your contact information • Transfer assets from another firm |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only • Sharing for affiliates everyday business purposes — information about your creditworthiness • Affiliates from using your information to market to you • Sharing for non-affiliates to market to you. State laws and individual companies may give you additional rights to limit sharing. |
| Definitions | |
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. • Quant does not share with affiliates so they can market to you. |
| Non-affiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. • Quant does not share with non-affiliates so they can market to you. |
| Joint marketing | A formal agreement between non-affiliated financial companies that together market financial products or services to you. • Quant doesn’t jointly market |
QUANT FUNDS
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 and (Age) | Position Held With Trust | Term of Office/ Length of Time Served | Principal Occupation(s) during Past Five Years | Number of Portfolios in Fund Complex Overseen | Other Directorships Held by Trustee in Public Companies |
Non-Interested Trustees | |||||
Robert M. Armstrong (72) | Trustee | Indefinite Term (1985 to present) | Independent Director and Consultant services (1998–Present) | 5 | NewPage Corporation (2006–Present); NewPage Holding Corporation (2006–Present); NewPage Group, Inc. (2006–Present) |
John M. Bulbrook (68) | Trustee | Indefinite Term (1985 to present) | CEO and Treasurer, John M. Bulbrook Insurance Agency, Inc. (dba/Bulbrook/Drislane Brokerage) (distributor of financial products, including insurance) (1984–Present); | 5 | None |
QUANT FUNDS
TRUSTEES AND OFFICERS (continued)
Name and (Age) | Position Held With Trust | Term of Office/ Length of Time Served | Principal Occupation(s) during Past Five Years | Number of Portfolios in Fund Complex Overseen | Other Directorships Held by Trustee in Public Companies |
Non-Interested Trustees (continued) | |||||
William H. Dunlap (60) | Trustee | Indefinite Term (October 2006 to present) | Executive Director, New Hampshire Historical Society, (Feb. 2010–Present); Principal, William H. Dunlap & Company (consulting firm) (2005–Present); President, EQ Rider, Inc., (equestrian clothing sales) (1998–2008) | 5 | Merrimack County Savings Bank (2005–Present); Merrimack Bank Corp. (2005–Present) |
Clinton S. Marshall (53) | Trustee | Indefinite Term (April 2003 to present) | Owner, Coastal CFO Solutions, outsource firm offering CFO solutions to businesses (1998–Present); CFO, Fore River Company (2002–Present) | 5 | None |
QUANT FUNDS
TRUSTEES AND OFFICERS (continued)
Name and (Age) | Position Held With Trust | Term of Office/ Length of Time Served | Principal Occupation(s) during Past Five Years | Number of Portfolios in Fund Complex Overseen | Other Directorships Held by Trustee in Public Companies |
Interested Trustees and Officers | |||||
Willard L. Umphrey* (69) | Trustee, President, Chairman (1985 to present) | Indefinite Term (1985 to present) | Director, U.S. Boston Capital Corporation; President, Quantitative Investment Advisors, Inc. | 5 | U.S. Boston Corporation; U.S. Boston Asset Management Corporation; Quantitative Investment Advisors, Inc.; Pear Tree Partners Management LLC; USB Corporation; USB Atlantic Associates, Inc.; U.S. Boston Insurance Agency, Inc.; U.S. Boston Capital Corporation |
Leon Okurowski (68) | Vice President, Treasurer (1985 to present) | (1985 to present) | Director and Vice President, U.S. Boston Capital Corporation; Treasurer, Quantitative Investment Advisors, Inc.; Trustee, Quant Funds (4/17/1985–9/30/2004) | N/A | Everest USB Canadian Storage, Inc.; Quantitative Investment Advisors, Inc.; U.S. Boston Corporation; U.S. Boston Asset Management Corporation; MedCool, Inc., USB Corporation; USB Everest Management, LLC; USB Everest Storage LLC; USB Atlantic Associates, Inc.; U.S. Boston Insurance Agency, Inc.; U.S. Boston Capital Corporation |
QUANT FUNDS
TRUSTEES AND OFFICERS (continued)
Name and (Age) | Position Held With Trust | Term of Office/ Length of Time Served | Principal Occupation(s) during Past Five Years | Number of Portfolios in Fund Complex Overseen | Other Directorships Held by Trustee in Public Companies |
Interested Trustees and Officers (continued) | |||||
Deborah A. Kessinger (47) | Assistant Clerk and Chief Compliance Officer | (April 2005 to Present) | Senior Counsel (since 9/04), President (since 8/07) and Chief Compliance Officer (since 12/05), U.S. Boston Capital Corporation; Senior Counsel (since 9/2004) and Chief Compliance Officer (since 10/2006), Quantitative Investment Advisors, Inc.; Chief Compliance Officer and General Counsel, Wainwright Investment Counsel, LLC (investment management firm) (2000–2004); Compliance Attorney, Forefield, Inc. (software provider) (2001–2004) and Compliance Consultant (2007 to present) | N/A | None |
Diane Hunt (48) | Assistant Treasurer | (June 2010 to Present) | Controller (Since 3/2010) Quantitative Investment Advisors, Inc.; Accountant (Since 1984) U.S. Boston Capital Corporation | N/A | None |
Kelly Lavari (43) | Clerk | (November 2010 to Present) | Regulatory Compliance Manager (since April 2008), Legal and Compliance Associate (4/2005–4/2008) Quantitative Investment Advisors, Inc. | 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 Funds’ investment advisor, Quantitative Advisors and the Funds’ distributor, U.S. Boston Capital Corporation.
QUANT FUNDS
NOTES
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QUANT FUNDS
NOTES
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QUANT FUNDS
SERVICE PROVIDERS
| Manager | Quantitative Advisors, 55 Old Bedford Road, Lincoln, MA 01772 |
| Advisers | Columbia Partners, L.L.C., Investment Management, 5425 Wisconsin Avenue, Suite 700, Chevy Chase, MD 20815 PanAgora Asset Management, Inc., 470 Atlantic Avenue, 8th Floor, Boston, MA 02210 Polaris Capital Management, LLC, 125 Summer Street, Boston, MA 02210 |
| Distributor | U.S. Boston Capital Corporation, 55 Old Bedford Road, Lincoln, MA 01773 |
| Custodian | State Street Bank and Trust Company, One Lincoln Street, Boston, MA 02111 |
| Fund Accountant | State Street Bank and Trust Company, One Lincoln Street, Boston, MA 02111 |
| Transfer Agent | Quantitative Institutional Services, 55 Old Bedford Road, Lincoln, MA 01773 |
Independent Registered Public Accounting Firm | Tait, Weller & Baker LLP, 1818 Market Street, Suite 2400 Philadelphia, PA 19103 |
| Legal Counsel | McLaughlin & Hunt LLP, Ten Post Office Square, 8th Floor, Boston, MA 02109 |
| 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. Or visit our website, www.quantfunds.com |
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.
| 2010 | 2011 | ||
| Audit Fees* | Tait Weller | $108,000 | $113,400 |
| Audit-Related Fees** | Tait Weller | $35,300 | $37,000 |
| Tax Fees*** | Tait Weller | $17,600 | $18,400 |
| 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. |
| 2010 | 2011 | ||
| 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: May 31, 2011
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: May 31, 2011
By: /s/ Leon Okurowski
Leon Okurowski, Treasurer
Date: May 31, 2011
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.