UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549
FORM N-CSR
Investment Company Act file number | 811-04760 |
DWS Advisor Funds
(Exact Name of Registrant as Specified in Charter)
345 Park Avenue
New York, NY 10154-0004
(Address of principal executive offices) (Zip code)
Registrant’s Telephone Number, including Area Code: (212) 454-7190
Paul Schubert
345 Park Avenue
New York, NY 10154-0004
(Name and Address of Agent for Service)
Date of fiscal year end: | 03/31 |
Date of reporting period: | 03/31/08 |
ITEM 1. REPORT TO STOCKHOLDERS
MARCH 31, 2008 Annual Report |
|
DWS Lifecycle Long Range Fund |
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Contents
click here Performance Summary click here Information About Your Fund's Expenses click here Portfolio Management Review click here Portfolio Summary click here Investment Portfolio click here Financial Statements click here Financial Highlights click here Notes to Financial Statements click here Report of Independent Registered Public Accounting Firm click here Tax Information click here Summary of Management Fee Evaluation by Independent Fee Consultant click here Trustees and Officers click here Account Management Resources |
This report must be preceded or accompanied by a prospectus. To obtain a prospectus for any of our funds, refer to the Account Management Resources information provided in the back of this booklet. We advise you to consider the fund's objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other important information about the fund. Please read the prospectus carefully before you invest.
Investments in mutual funds involve risk. Some funds have more risk than others. Although asset allocation among different asset classes generally limits risk and exposure to any one class, the risk remains that the investment advisor may favor an asset class that performs poorly relative to the other asset classes. The fund is subject to stock market risk, meaning stocks of companies the fund holds may decline in value for extended periods of time due to the activities and financial prospects of individual companies, or due to general market and economic conditions. Bond investments are subject to interest-rate risk such that when interest rates rise, the prices of the bonds, and thus the value of the fund, can decline and the investor can lose principal value. Investing in foreign securities presents certain risks, such as currency fluctuation, political and economic changes and market risks. Additionally, derivatives may be more volatile and less liquid than traditional securities, and the fund could suffer losses on its derivatives positions. Please read this fund's prospectus for specific details regarding its investments and risk profile.
DWS Scudder is part of Deutsche Asset Management, which is the marketing name in the US for the asset management activities of Deutsche Bank AG, Deutsche Bank Trust Company Americas, Deutsche Investment Management Americas Inc. and DWS Trust Company.
NOT FDIC/NCUA INSURED NO BANK GUARANTEE MAY LOSE VALUE NOT A DEPOSIT NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY
Performance Summary March 31, 2008
Institutional Class
All performance shown is historical, assumes reinvestment of all dividend and capital gain distributions, and does not guarantee future results. Investment return and principal value fluctuate with changing market conditions so that, when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please visit www.dws-scudder.com for the Fund's most recent month-end performance.
The total annual fund operating expense ratio, gross of any fee waivers or expense reimbursements, as stated in the fee table of the prospectus dated August 1, 2007 is 0.88% for Institutional Class shares. Please see the Information About Your Fund's Expenses, the Financial Highlights and Notes to the Financial Statements (Note C, Related Parties) sections of this report for gross and net expense related disclosure for the period ended March 31, 2008.
To discourage short-term trading, the Fund imposed a 2% redemption fee on shareholders redeeming shares held less than 15 days, which had the effect of lowering total return.
Returns and rankings during all periods shown reflect a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns and rankings would have been lower.
Performance figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Returns and rankings may differ by share class.
Average Annual Total Returns as of 3/31/08 | ||||
DWS Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year |
Institutional Class | -.40% | 6.25% | 9.36% | 4.89% |
Russell 1000® Index+ | -5.40% | 6.19% | 11.86% | 3.83% |
S&P 500® Index+ | -5.08% | 5.85% | 11.32% | 3.50% |
MSCI EAFE Index+ | -2.70% | 13.32% | 21.40% | 6.18% |
Citigroup Broad Investment Grade Bond Index+ | 8.41% | 5.77% | 4.80% | 6.13% |
Lehman Brothers US Aggregate Index+ | 7.67% | 5.48% | 4.58% | 6.04% |
Asset Allocation Index — Long Range+ | -.37% | 5.56% | 8.16% | 4.69% |
Sources: Lipper Inc. and Deutsche Investment Management Americas Inc.
Net Asset Value and Distribution Information | |
| Institutional Class |
Net Asset Value: 3/31/08 | $ 10.22 |
3/31/07 | $ 12.29 |
Distribution Information: Twelve Months as of 3/31/08:Income Dividends | $ .47 |
Capital Gain Distributions | $ 1.63 |
Institutional Class Lipper Rankings — Mixed-Asset Target Allocation Moderate Funds Category as of 3/31/08 | ||||
Period | Rank |
| Number of Funds Tracked | Percentile Ranking (%) |
1-Year | 153 | of | 457 | 34 |
3-Year | 86 | of | 331 | 26 |
5-Year | 74 | of | 235 | 32 |
10-Year | 43 | of | 135 | 31 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total return with distributions reinvested. Rankings are for Institutional Class shares; other share classes may vary.
Growth of an Assumed $1,000,000 Investment |
[] DWS Lifecycle Long Range Fund — Institutional Class [] Russell 1000 Index+ [] S&P 500 Index+ [] MSCI EAFE Index+ [] Citigroup Broad Investment Grade Bond Index+ [] Lehman Brothers US Aggregate Index+ [] Asset Allocation Index — Long Range+ |
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Yearly periods ended March 31 |
Comparative Results as of 3/31/08 | |||||
DWS Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Institutional Class | Growth of $1,000,000 | $996,000 | $1,199,300 | $1,564,200 | $1,611,200 |
Average annual total return | -.40% | 6.25% | 9.36% | 4.89% | |
Russell 1000 Index+ | Growth of $1,000,000 | $946,000 | $1,197,500 | $1,751,300 | $1,456,600 |
Average annual total return | -5.40% | 6.19% | 11.86% | 3.83% | |
S&P 500 Index+ | Growth of $1,000,000 | $949,200 | $1,186,000 | $1,709,800 | $1,411,100 |
Average annual total return | -5.08% | 5.85% | 11.32% | 3.50% |
The growth of $1,000,000 is cumulative.
The minimum initial investment for the Institutional Class is $1,000,000.
Comparative Results as of 3/31/08 | |||||
DWS Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
MSCI EAFE Index+ | Growth of $1,000,000 | $973,000 | $1,455,000 | $2,637,300 | $1,822,300 |
Average annual total return | -2.70% | 13.32% | 21.40% | 6.18% | |
Citigroup Broad Investment Grade Bond Index+ | Growth of $1,000,000 | $1,084,100 | $1,183,400 | $1,264,000 | $1,813,100 |
Average annual total return | 8.41% | 5.77% | 4.80% | 6.13% | |
Lehman Brothers US Aggregate Index+ | Growth of $1,000,000 | $1,076,700 | $1,173,500 | $1,251,200 | $1,797,100 |
Average annual total return | 7.67% | 5.48% | 4.58% | 6.04% | |
Asset Allocation Index — Long Range+ | Growth of $1,000,000 | $996,300 | $1,176,100 | $1,480,300 | $1,581,000 |
Average annual total return | -.37% | 5.56% | 8.16% | 4.69% |
The growth of $1,000,000 is cumulative.
The minimum initial investment for the Institutional Class is $1,000,000.
+ The Russell 1000 Index is an unmanaged index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index. The Russell 1000 Index replaced the S&P 500 as the Fund's benchmark index because the advisor believes that it more accurately reflects the Fund's investment strategy.The Standard & Poor's 500 (S&P 500) Index is an unmanaged, capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.
The Morgan Stanley Capital International (MSCI) Europe, Australasia and Far East (EAFE) Index is an unmanaged capitalization-weighted index that tracks international stock performance in the 21 developed markets of Europe, Australasia and the Far East. The index is calculated using closing local market prices and translates into US dollars using the London close foreign exchange rates.
The Citigroup Broad Investment Grade Bond Index is an unmanaged index which covers an all inclusive universe of institutionally traded US Treasury, agency, mortgage and corporate securities.
The Lehman Brothers US Aggregate Index is an unmanaged, market value-weighted measure of treasury issues, corporate bond issues and mortgage securities. The Lehman Brothers US Aggregate Index replaced the Citigroup Broad Investment Grade Bond Index because the advisor believes that it more accurately reflects the Fund's investment strategy.
The Asset Allocation Index — Long Range is calculated using the performance of six unmanaged indices representative of stocks (Russell 1000 Index effective January 1, 2007, S&P 500 Index until December 31, 2006, Russell 2000 Index, and MSCI EAFE Index), bonds (Citigroup Broad Investment Grade Bond Index until December 31, 2007, Lehman Brothers US Aggregate Index and Credit Suisse High Yield Index as of January 1, 2008) and cash (Merrill Lynch 3-month US Treasury Bill Index) weighted by their corresponding proportion of the Fund's neutral position (stocks: 60%; bonds: 35%; cash: 5%). These results are summed to produce the aggregate benchmark. The Russell 2000 Index is an unmanaged capitalization-weighted measure of approximately 2,000 small US stocks. Credit Suisse High Yield Index is an unmanaged, trader-priced portfolio constructed to mirror the global high-yield debt market. The Merrill Lynch 3-month US Treasury Bill Index is representative of the 3-month Treasury market.
Equity index returns assume reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
Class S
Class S shares are generally not available to new investors except under certain circumstances. (Please see the Fund's Statement of Additional Information.)
All performance shown is historical, assumes reinvestment of all dividend and capital gain distributions, and does not guarantee future results. Investment return and principal value fluctuate with changing market conditions so that, when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please visit www.dws-scudder.com for the Fund's most recent month-end performance.
The total annual fund operating expense ratio, gross of any fee waivers or expense reimbursements, as stated in the fee table of the prospectus dated August 1, 2007 is 0.93% for Class S shares. Please see the Information About Your Fund's Expenses, the Financial Highlights and Notes to the Financial Statements (Note C, Related Parties) sections of this report for gross and net expense related disclosure for the period ended March 31, 2008.
To discourage short-term trading, the Fund imposed a 2% redemption fee on shareholders redeeming shares held less than 15 days, which had the effect of lowering total return.
Returns and rankings during all periods shown reflect a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns and rankings would have been lower.
Performance figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Returns and rankings may differ by share class.
On July 25, 2003, Class S shares of the Fund were issued in conjunction with the combination of the Fund and Scudder Lifecycle Long Range Fund, each a feeder fund that had invested all of its investable assets in the same master portfolio. Returns shown for Class S shares for the period prior to July 25, 2003 are derived from the historical performance of the Institutional Class of the DWS Lifecycle Long Range Fund during such periods and have been adjusted to reflect the higher gross total annual operating expenses of the Class S shares. Any difference in expenses will affect performance.
Average Annual Total Returns as of 3/31/08 | ||||
DWS Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year |
Class S | -.75% | 5.94% | 8.95% | 4.48% |
Russell 1000 Index+ | -5.40% | 6.19% | 11.86% | 3.83% |
S&P 500 Index+ | -5.08% | 5.85% | 11.32% | 3.50% |
MSCI EAFE Index+ | -2.70% | 13.32% | 21.40% | 6.18% |
Citigroup Broad Investment Grade Bond Index+ | 8.41% | 5.77% | 4.80% | 6.13% |
Lehman Brothers US Aggregate Index+ | 7.67% | 5.48% | 4.58% | 6.04% |
Asset Allocation Index — Long Range+ | -.37% | 5.56% | 8.16% | 4.69% |
Sources: Lipper Inc. and Deutsche Investment Management Americas Inc.
Net Asset Value and Distribution Information | |
| Class S |
Net Asset Value: 3/31/08 | $ 9.79 |
3/31/07 | $ 11.85 |
Distribution Information: Twelve Months as of 3/31/08:Income Dividends | $ .42 |
Capital Gain Distributions | $ 1.63 |
Class S Lipper Rankings — Mixed-Asset Target Allocation Moderate Funds Category as of 3/31/08 | ||||
Period | Rank |
| Number of Funds Tracked | Percentile Ranking (%) |
1-Year | 179 | of | 457 | 40 |
3-Year | 105 | of | 331 | 32 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total return with distributions reinvested. Rankings are for Class S shares; other share classes may vary.
Growth of an Assumed $10,000 Investment |
[] DWS Lifecycle Long Range Fund — Class S [] Russell 1000 Index+ [] S&P 500 Index+ [] MSCI EAFE Index+ [] Citigroup Broad Investment Grade Bond Index+ [] Lehman Brothers US Aggregate Index+ [] Asset Allocation Index — Long Range+ |
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Yearly periods ended March 31 |
Comparative Results as of 3/31/08 | |||||
DWS Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Class S | Growth of $10,000 | $9,925 | $11,891 | $15,353 | $15,502 |
Average annual total return | -.75% | 5.94% | 8.95% | 4.48% |
The growth of $10,000 is cumulative.
Comparative Results as of 3/31/08 | |||||
DWS Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Russell 1000 Index+ | Growth of $10,000 | $9,460 | $11,975 | $17,513 | $14,566 |
Average annual total return | -5.40% | 6.19% | 11.86% | 3.83% | |
S&P 500 Index+ | Growth of $10,000 | $9,492 | $11,860 | $17,098 | $14,111 |
Average annual total return | -5.08% | 5.85% | 11.32% | 3.50% | |
MSCI EAFE Index+ | Growth of $10,000 | $9,730 | $14,550 | $26,373 | $18,223 |
Average annual total return | -2.70% | 13.32% | 21.40% | 6.18% | |
Citigroup Broad Investment Grade Bond Index+ | Growth of $10,000 | $10,841 | $11,834 | $12,640 | $18,131 |
Average annual total return | 8.41% | 5.77% | 4.80% | 6.13% | |
Lehman Brothers US Aggregate Index+ | Growth of $10,000 | $10,767 | $11,735 | $12,512 | $17,971 |
Average annual total return | 7.67% | 5.48% | 4.58% | 6.04% | |
Asset Allocation Index — Long Range+ | Growth of $10,000 | $9,963 | $11,761 | $14,803 | $15,810 |
Average annual total return | -.37% | 5.56% | 8.16% | 4.69% |
The growth of $10,000 is cumulative.
+ The Russell 1000 Index is an unmanaged index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index. The Russell 1000 Index replaced the S&P 500 as the Fund's benchmark index because the advisor believes that it more accurately reflects the Fund's investment strategy.The Standard & Poor's 500 (S&P 500) Index is an unmanaged, capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.
The Morgan Stanley Capital International (MSCI) Europe, Australasia and Far East (EAFE) Index is an unmanaged capitalization-weighted index that tracks international stock performance in the 21 developed markets of Europe, Australasia and the Far East. The index is calculated using closing local market prices and translates into US dollars using the London close foreign exchange rates.
The Citigroup Broad Investment Grade Bond Index is an unmanaged index which covers an all inclusive universe of institutionally traded US Treasury, agency, mortgage and corporate securities.
The Lehman Brothers US Aggregate Index is an unmanaged, market value-weighted measure of treasury issues, corporate bond issues and mortgage securities. The Lehman Brothers US Aggregate Index replaced the Citigroup Broad Investment Grade Bond Index because the advisor believes that it more accurately reflects the Fund's investment strategy.
The Asset Allocation Index — Long Range is calculated using the performance of six unmanaged indices representative of stocks (Russell 1000 Index effective January 1, 2007, S&P 500 Index until December 31, 2006, Russell 2000 Index, and MSCI EAFE Index), bonds (Citigroup Broad Investment Grade Bond Index until December 31, 2007, Lehman Brothers US Aggregate Index and Credit Suisse High Yield Index as of January 1, 2008) and cash (Merrill Lynch 3-month US Treasury Bill Index) weighted by their corresponding proportion of the Fund's neutral position (stocks: 60%; bonds: 35%; cash: 5%). These results are summed to produce the aggregate benchmark. The Russell 2000 Index is an unmanaged capitalization-weighted measure of approximately 2,000 small US stocks. Credit Suisse High Yield Index is an unmanaged, trader-priced portfolio constructed to mirror the global high-yield debt market. The Merrill Lynch 3-month US Treasury Bill Index is representative of the 3-month Treasury market.
Equity index returns assume reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
Information About Your Fund's Expenses
As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees and other Fund expenses. Examples of transaction costs include redemption fees and account maintenance fees, which are not shown in this section. The following tables are intended to help you understand your ongoing expenses (in dollars) of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. In the most recent six-month period, the Fund limited these expenses; had it not done so, expenses would have been higher. The example in the table is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period (October 1, 2007 to March 31, 2008).
The tables illustrate your Fund's expenses in two ways:
Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses (but not transaction costs) paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line under the share class you hold.
Hypothetical 5% Fund Return. This helps you to compare your Fund's ongoing expenses (but not transaction costs) with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expense of owning different funds. An account maintenance fee of $6.25 per quarter for Class S shares may apply for certain accounts whose balances do not meet the applicable minimum initial investment. This fee is not included in these tables. If it was, the estimate of expenses paid for Class S shares during the period would be higher, and account value during the period would be lower, by this amount.
Expenses and Value of a $1,000 Investment for the six months ended March 31, 2008 | ||
Actual Fund Return | Class S | Institutional Class |
Beginning Account Value 10/1/07 | $ 1,000.00 | $ 1,000.00 |
Ending Account Value 3/31/08 | $ 939.20 | $ 940.70 |
Expenses Paid per $1,000* | $ 3.98 | $ 2.67 |
Hypothetical 5% Fund Return | Class S | Institutional Class |
Beginning Account Value 10/1/07 | $ 1,000.00 | $ 1,000.00 |
Ending Account Value 3/31/08 | $ 1,020.90 | $ 1,022.25 |
Expenses Paid per $1,000* | $ 4.14 | $ 2.78 |
Annualized Expense Ratios | Class S | Institutional Class |
DWS Lifecycle Long Range Fund | .82% | .55% |
For more information, please refer to the Fund's prospectus.
DWS Lifecycle Long Range Fund: A Team Approach to Investing
Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), which is part of Deutsche Asset Management, is the investment advisor for DWS Lifecycle Long Range Fund. DIMA and its predecessors have more than 80 years of experience managing mutual funds and DIMA provides a full range of investment advisory services to institutional and retail clients.
Deutsche Asset Management is a global asset management organization that offers a wide range of investing expertise and resources. This well-resourced global investment platform brings together a wide variety of experience and investment insight across industries, regions, asset classes and investing styles.
DIMA is an indirect, wholly owned subsidiary of Deutsche Bank AG. Deutsche Bank AG is a major global banking institution that is engaged in a wide range of financial services, including investment management, mutual funds, retail, private and commercial banking, investment banking and insurance.
Aberdeen Asset Management Inc. ("AAMI"), a US registered investment advisor, is a subadvisor for the fund. With respect to the core bond and active fixed income portions of the fund only, AAMI makes the investment decisions, buys and sells securities, and conducts the research that leads to these purchase and sale decisions. AAMI is also responsible for selecting brokers and dealers and for negotiating brokerage commissions and dealer charges. AAMI provides a full range of international investment advisory services to institutional and retail clients. AAMI is a direct, wholly owned subsidiary of Aberdeen Asset Management PLC, the parent company of an asset management group formed in 1983.
Portfolio Management Team
The following portfolio managers are responsible for the day-to-day management of the fund's investments, except for the passive equity, core bond and active fixed-income portions of the fund.
Thomas Picciochi
Director of Deutsche Asset Management and Portfolio Manager of the fund.
Joined Deutsche Asset Management in 1999, formerly serving as portfolio manager for Absolute Return Strategies, after 13 years of experience in various research and analysis positions at State Street Global Advisors, FPL Energy, Barnett Bank, Trade Finance Corporation and Reserve Financial Management.
Senior portfolio manager for Quantitative Strategies Portfolio Management: New York.
BA and MBA from University of Miami.
Joined the fund in 2005.
Robert Wang
Managing Director of Deutsche Asset Management and Portfolio Manager of the fund.
Joined Deutsche Asset Management in 1995 as a portfolio manager for asset allocation after 13 years of experience in trading fixed income, foreign exchange and derivative products at J.P. Morgan.
Senior portfolio manager for global and tactical asset allocation portfolios, with a focus on quantitative asset allocation, portfolio risk control and derivatives trading management.
BS, University of Pennsylvania — The Wharton School.
Joined the fund in 2000.
Inna Okounkova
Director of Deutsche Asset Management and Portfolio Manager of the fund.
Global Asset Allocation portfolio manager: New York.
Joined Deutsche Asset Management in 1999 as a quantitative analyst, becoming an associate portfolio manager in 2001.
Joined the fund in 2007.
BS, MS, Moscow State University; MBA, University of Chicago.
Jin Chen, CFA
Director of Deutsche Asset Management and Portfolio Manager of the fund.
Senior portfolio manager for Global Strategies: New York.
Joined Deutsche Asset Management in 1999; prior to that, served as
portfolio manager for Absolute Return Strategies and as a fundamental
equity analyst and portfolio manager for Thomas White Asset Management.
Joined the fund in 2007.
BS, Nanjing University; MS, Michigan State University.
Julie Abbett
Director of Deutsche Asset Management and Portfolio Manager of the fund.
Senior portfolio manager for Global Quantitative Equity: New York.
Joined Deutsche Asset Management in 2000 after four years of combined experience as a consultant with equity trading services for BARRA, Inc. and a product developer for FactSet Research.
Joined the fund in 2007.
BA, University of Connecticut.
Gary Sullivan, CFA
Managing Director of Deutsche Asset Management and Portfolio Manager of the fund.
Joined Deutsche Asset Management in 1996 and the fund in 2007. Served as the head of the High Yield group in Europe and as an Emerging Markets portfolio manager.
Prior to that, four years at Citicorp as a research analyst and structurer of collateralized mortgage obligations. Prior to Citicorp, served as an officer in the US Army from 1988 to 1991.
BS, United States Military Academy (West Point); MBA, New York University, Stern School of Business.
Matthias Knerr, CFA
Managing Director, Deutsche Asset Management and Portfolio Manager of the fund.
Joined Deutsche Asset Management in 1995 as a member of the International Equity team, serving as portfolio manager and investment analyst, and joined the fund in 2007.
Senior portfolio manager for International Select Equity and International Equity Strategies: New York.
Previously served as portfolio manager for the Deutsche European Equity Fund and the Deutsche Global Select Equity Fund, and as head of global equity research team for Capital Goods sector: London.
BS, Pennsylvania State University.
The following portfolio managers are responsible for the day-to-day management of the core bond and active fixed-income portion of the fund.
Gary W. Bartlett, CFA
Head of US Fixed Income and senior portfolio manager specializing in taxable municipal, utility and government fixed income investments: Philadelphia.
Joined Aberdeen Asset Management Inc. and the fund in 2005.
Formerly, Managing Director of Deutsche Asset Management; joined Deutsche Asset Management in 1992 after nine years of experience as an analyst and fixed income portfolio manager at PNC Financial and credit analyst at First Pennsylvania Bank.
BA from Bucknell University; MBA from Drexel University.
Warren S. Davis, III
Senior portfolio manager for mortgage- and asset-backed fixed income investments: Philadelphia.
Joined Aberdeen Asset Management Inc. and the fund in 2005.
Formerly, Managing Director of Deutsche Asset Management; joined Deutsche Asset Management in 1995 after nine years of experience as a trader, analyst and developer of analytical and risk management systems for PaineWebber and Merrill Lynch.
BS from Pennsylvania State University; MBA from Drexel University.
Thomas J. Flaherty
Senior portfolio manager for corporate and taxable municipal fixed income investments: Philadelphia.
Joined Aberdeen Asset Management Inc. and the fund in 2005.
Formerly, Managing Director of Deutsche Asset Management; joined Deutsche Asset Management in 1995 after 10 years of fixed income experience, including vice president for US taxable fixed income securities at Prudential Securities.
BA from SUNY Stony Brook.
J. Christopher Gagnier
Head of Core Plus Fixed Income product and senior portfolio manager for corporate and commercial mortgages: Philadelphia.
Joined Aberdeen Asset Management Inc. and the fund in 2005.
Formerly, Managing Director of Deutsche Asset Management; joined Deutsche Asset Management in 1997 after 17 years of experience in fixed income investments at PaineWebber and Continental Bank.
BS from Wharton School of Business; MBA from University of Chicago.
Daniel R. Taylor, CFA
Senior portfolio manager for asset-backed and commercial mortgage fixed income investments: Philadelphia.
Joined Aberdeen Asset Management Inc. and the fund in 2005.
Formerly, Managing Director of Deutsche Asset Management; joined Deutsche Asset Management in 1998 after six years of experience as fixed income portfolio manager and senior credit analyst for CoreStates Investment Advisors.
BS from Villanova University.
Timothy C. Vile, CFA
Senior portfolio manager for Core Fixed Income and Global Aggregate Fixed Income: Philadelphia.
Joined Aberdeen Asset Management Inc. and the fund in 2005.
Formerly, Managing Director of Deutsche Asset Management; joined Deutsche Asset Management in 1991 as member of Core Fixed Income; seconded to the London office from January 1999 to June 2002 to design and develop the firm's European Credit and Global Aggregate capabilities; before joining Deutsche Asset Management, he had six years of experience that included portfolio manager for fixed income portfolios at Equitable Capital Management.
BS from Susquehanna University.
William T. Lissenden
Portfolio manager for Core Fixed Income: Philadelphia.
Joined Aberdeen Asset Management Inc. and the fund in 2005.
Formerly, Director of Deutsche Asset Management; joined Deutsche Asset Management in 2002 after 31 years of experience, including fixed income strategist and director of research at Conseco Capital Management, director of fixed income research and product management at Prudential Securities and national sales manager for fixed income securities at Prudential Securities.
BS from St. Peter's College; MBA from Baruch College.
In the following interview, Portfolio Managers Thomas Picciochi, Inna Okounkova and Robert Wang address the economy, markets, portfolio management strategy and resulting performance of DWS Lifecycle Long Range Fund for the 12 months ended March 31, 2008.
The views expressed in the following discussion reflect those of the portfolio managers only through the end of the period of the report as stated on the cover. The management team's views are subject to change at any time based on market and other conditions and should not be construed as a recommendation. Past performance is no guarantee of future results.
Q: How would you describe market conditions over the last year?
A: The tone of the US equity market has changed considerably over the last 12 months. Except for a period of weakness in late February and early March, equity markets were quite strong during the first half of 2007. By the end of May, most indices were at or near their all-time highs. Following an increase in volatility during the summer, a September rally was sparked in part by the first of the US Federal Reserve Board's (the Fed's) series of interest rate reductions.
The last quarter of 2007 and the early months of 2008 represented a period of considerable economic uncertainty and significant turmoil throughout capital markets. What began as a correction in the US housing market accelerated into a crisis in the subprime mortgage market with profound implications for the entire economy. By early 2008, there had been pronounced changes in attitudes toward risk in financial markets, as demonstrated by wider credit spreads, severe dislocation in short-term credit markets, overall tightening of financial conditions and an increasingly volatile equity market. The Fed reduced interest rates six times between September 2007 and March 2008, striving to strike a balance between providing liquidity to financial markets and keeping inflation at a moderate level. Even with this stimulus, recent trends in employment, consumer spending and other indicators have led many economists to forecast that the US will experience a recession during 2008.
In this challenging economic environment, most US equity indices posted negative returns for the 12 months ended March 31, 2008. The Russell 3000® Index, which is generally regarded as a good indicator of the broad stock market, posted a negative return of -6.06% for the period.1 There was a change in market leadership in 2007: After a period of approximately seven years during which small-cap stocks generally outperformed large-cap stocks, large-cap stocks regained market leadership as investors became less comfortable with risk. The Russell 1000® Index, which measures performance of large-cap stocks, returned -5.40%, while the small-cap Russell 2000® Index returned -13.00%.2 Growth stocks performed better than value stocks: the Russell 3000® Growth Index returned -1.45%, while the Russell 3000® Value Index returned -10.60%.3 Most international markets performed better than the US market: return of the MSCI EAFE® Index, which measures performance of a broad range of international markets, was -2.70%.4 Emerging markets were much stronger than developed markets: return of the MSCI Emerging Markets Index was 21.33%.5
1 The Russell 3000 Index is an unmanaged index that measures the performance of the 3,000 largest US companies based on total market capitalization, which represents approximately 98% of the investable US equity market.2 The Russell 1000 Index is an unmanaged index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index. The Russell 2000 Index is an unmanaged index that measures the performance of the 2,000 smallest companies in the Russell 3000 Index, which represents approximately 8% of the total market capitalization of the Russell 3000 Index.
3 The Russell 3000 Growth Index is an unmanaged index that measures the performance of those Russell 3000 companies with higher price-to-book ratios and higher forecasted growth values. The Russell 3000 Value Index is an unmanaged index that measures the performance of those Russell 3000 companies with lower price-to-book ratios and lower forecasted growth values.
4 The Morgan Stanley Capital International (MSCI) Europe, Australasia and Far East (EAFE) Index is an unmanaged capitalization-weighted index that tracks international stock performance in the 21 developed markets of Europe, Australasia and the Far East. The index is calculated using closing local market prices and translates into US dollars using the London close foreign exchange rates.
Equity index returns assume reinvestment of dividends and, unlike fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
5 The MSCI Emerging Markets Index is a float-adjusted capitalization-weighted index created by Morgan Stanley Capital International to measure market performance in global emerging markets.
MSCI indices are calculated using closing market prices and translate to US dollars using the London close foreign exchange rates.
Returns in the US fixed-income market were positive, with the best returns from the least risky securities, particularly near the end of the period, as investors demonstrated a reduced tolerance for risk. In recent months, the market for non-government-backed bonds has experienced unprecedented volatility, as investors sought to avoid risk. The Lehman Brothers US Aggregate Index, which measures return of the bond market as a whole, posted a return of 7.67%.6 Return of the Merrill Lynch 1-5 Year Treasury Index was 10.58%.7 Returns on cash equivalents were less than bond returns; return of the Merrill Lynch 3-month T-bill index was 4.62%.8
6 The Lehman Brothers US Aggregate Index is an unmanaged, market-value-weighted measure of treasury issues, corporate bond issues and mortgage securities.7 The Merrill Lynch 1-5 Year US Treasury index is an index of US Treasury securities with maturities of one to five years. It is constructed by Merrill Lynch & Co. and is frequently used as a measure of returns on US Treasury securities.
8 The Merrill Lynch 3-month T-bill index is an index of US Treasury securities with maturities of three months or less. It is constructed by Merrill Lynch & Co. and is frequently used as a measure of short-term returns on cash investments.
Equity index returns assume reinvestment of dividends and, unlike fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
Q: How is DWS Lifecycle Long Range Fund managed?
A: The fund invests in a mix of stocks, bonds and short-term investments, with a strategic allocation to each asset class. To derive the strategic asset allocation we use a proprietary methodology that consists of several steps. First, we derive long-term equilibrium return forecasts, taking into account long-term factors such as productivity rates and inflation expectations. Then we combine the equilibrium returns with medium-term views. Finally we use the medium-term forecasts to derive optimal asset allocation using a proprietary optimization system. The current target allocation is 43% in large-cap equities, 7% in small-cap equities, 10% in international equities, 32% in investment-grade bonds, 3% in high-yield bonds and 5% in cash equivalents. We review strategic asset allocation at least annually.
In the equity portion of the portfolio, we use several quantitative and qualitative security selection strategies designed to achieve long-term outperformance by systematically exploring market inefficiency. For US equities, our quantitative stock selection model uses a broad range of information from companies' balance sheets, income statements and cash flow statements. The signals are selected based on statistical evidence and economic intuition.
In managing the bond portion of the portfolio, we use a core fixed-income strategy to select bonds based on a number of characteristics, in an effort to outperform the Lehman Brothers US Aggregate Index. We have also allocated a smaller portion of the fixed-income to high-yield bonds since the end of 2007.
In addition to the main investment strategy, we employ a Global Tactical Asset Allocation (GTAA) overlay, which is designed to add value by benefiting from short-term mispricings within global equity, bond and currency markets. This strategy is expected to have a low correlation to the fund's security holdings. It utilizes stock and bond futures and currency forwards to take long and short positions in different asset classes without having to make dramatic shifts in the stock, bond and cash allocations of the underlying strategies, which are maintained at the percentages specific to the fund and are rebalanced to these percentages each month.9
9 Futures and options are used as a low-cost method for gaining exposure to a particular securities market without investing directly in those securities. Forward currency transactions are the purchase or sale of a foreign currency at an exchange rate established now, but with payment and delivery at a specified future time. Forward currency transactions are used as hedges and, where possible, to add to investment returns.The GTAA strategy combines diverse macro investment views from various investment teams within Deutsche Asset Management. Since a single investment approach rarely works in all market conditions, the teams are chosen to diversify investment approaches, thereby enhancing the expected return for a given level of risk. The collective views are then used to determine GTAA's positions using a disciplined risk-managed process. The result is a collection of long and short investment positions within global equity, bond and currency markets designed to generate excess returns that have little correlation to major markets.10 The positions are then implemented by the GTAA portfolio managers using futures and forward contracts. The GTAA portfolio managers consider factors such as liquidity, cost, margin requirement and credit quality when selecting the appropriate derivative instrument.11
10 Long positions represent ownership of a security in the expectation that its price will rise. Short positions represent the sale of a contract on a security that is not owned.11 Credit quality is a measure of a bond issuer's ability to repay interest and principal in a timely manner. Rating agencies assign letter designations such as AAA, AA, and so forth. The lower the rating, the higher the probability of default.
Q: How did the fund perform during the period?
A: We find that the best way to evaluate performance is to compare returns to those of a peer group of funds that allocate assets among several asset classes. For the 12 months ended March 31, 2008, DWS Lifecycle Long Range Fund had a return of -0.40% (Institutional Class). The fund outperformed its Lipper peer group of Mixed-Asset Target Allocation Moderate Funds, which had an average return of -1.68%.12
12 The Lipper Mixed-Asset Target Allocation Moderate Funds category is a group of mutual funds that, by portfolio practice, maintain a mix of 0% to 60% equity securities, with the remainder invested in bonds, cash and cash equivalents. Category returns assume reinvestment of dividends. It is not possible to invest directly into a Lipper category.Q: What decisions had the greatest effect on the fund's performance over the period?
A: The fund's strategic asset allocation contributed to performance. During this fiscal year, we have implemented significant changes to the strategy of the fund. We diversified further its strategic asset allocation, adding three new asset classes: international equities, US small-cap equities and high-yield bonds. Because of these changes, turnover was higher than usual, as we adjusted the portfolio to reflect a wider range of investment options. Because of the new asset categories now included in the portfolio, there are far more holdings than in the past.
It is too early to analyze the impact of the new strategic asset allocation, as the transition was completed at the end of March. Prior to that, strategic asset allocation of the fund was static and it was represented by three major asset classes: US large cap equities with 55% allocation, investment grade bonds with 35% allocation and cash with a 10% allocation. The current target strategic mix is:
US large cap equities | 43% |
US small cap equities | 7% |
International equities | 10% |
Investment grade bonds | 32% |
High-Yield bonds | 3% |
Cash | 5% |
Asset allocation are subject to change.
Going forward strategic asset allocation of the fund will be reviewed periodically.
The Global Tactical Asset Allocation overlay made a positive contribution to return over the period and was a major factor that enabled the fund to outperform its peer group. Positive performance came mainly from the equity and currency positions. In equities, the major contributors were a long position in the Hang Seng Stock Index and a short position in the S&P 500® Index.13 Strength in Asian economies caused Asian equity markets to rally to new highs during 2007, while US equity markets struggled from credit concerns and weakening economic fundamentals. In currencies, long positions in the major G10 currencies contributed to performance, as the US dollar weakened significantly against most of these currencies.14 The New Zealand dollar, one of the fund's largest long currency positions, was the largest contributor as strength in carry trades during the latter half of 2007 helped this high-yielding currency.15 In fixed income, positive performance from the fund's net long fixed-income position was offset by a predominantly short US Treasury position.
13 The Hang Seng Stock Index is a free float-adjusted capitalization-weighted index used to measure performance of the Hong Kong stock market. Index returns assume reinvestment of dividends and, unlike fund returns, do not include fees or expenses. It is not possible to invest directly into an index.14 The G10 currencies are currencies of a group of countries whose central banks have agreed to participate in a borrowing agreement under which financial resources are made available to all participants. Current members are Brazil, Canada, France, Germany, Italy, Japan, the Netherlands, Sweden, Switzerland, the United Kingdom and the United States.
15 Carry trade is a strategy in which an investor sells a certain currency with a relatively low interest rate and uses the proceeds to purchase a different currency yielding a higher interest rate.
The major negative effect on performance was the core fixed-income strategy. During this period when the least risky bonds performed best, the portfolio's fixed-income sleeve was overweight relative to the Lehman Brothers US Aggregate Index in bonds that carry a greater degree of credit risk.16 In an extraordinarily volatile bond market, spreads between government-backed bonds and bonds that carry some degree of credit risk have widened dramatically. However, the fixed-income sleeve managers believe that technical trends cannot cause a bond to default, and the underlying credit quality of bonds will drive their returns over the long term. In managing the fixed-income sleeve of the portfolio, they continue to focus on fundamentals and to position the portfolio to benefit from a future recovery in the market.
16 "Overweight" means the fund holds a higher weighting in a given sector or security than the benchmark. "Underweight" means the fund holds a lower weighting.Q: Do you have other comments for shareholders?
A: While the current environment involves risks including a slowing in the US economy and political instability in many parts of the world, we believe there is potential for global economic growth over the long term. During times of uncertainty with regard to geopolitical risks, economic growth and inflation, this fund, with its investments in multiple asset classes, could be a good investment because of its relatively low volatility and good risk-adjusted returns. Of course, past performance is no guarantee of future results.
We believe that a disciplined asset allocation fund such as DWS Lifecycle Long Range Fund offers investors the potential to take advantage of a wide range of investment opportunities with a moderate degree of risk.
Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral) | 3/31/08 | 3/31/07 |
|
|
|
Common Stocks | 58% | 53% |
Bonds | 35% | 35% |
Cash Equivalents | 7% | 12% |
| 100% | 100% |
Geographical Diversification (As a % of Common Stocks) | 3/31/08 | 3/31/07 |
|
|
|
United States | 78% | 100% |
Europe (excluding United Kingdom) | 9% | — |
Japan | 2% | — |
Pacific Basin | 3% | — |
United Kingdom | 2% | — |
Other | 6% | — |
| 100% | 100% |
Asset allocation and geographical diversification are subject to change.
Five Largest Equity Holdings at March 31, 2008 (6.2% of Net Assets) | |
1. ExxonMobil Corp. Explorer and producer of oil and gas | 2.0% |
2. Microsoft Corp. Developer of computer software | 1.3% |
3. Pfizer, Inc. Manufacturer of prescription pharmaceuticals and non-prescription self-medications | 1.0% |
4. Chevron Corp. Operator of petroleum exploration, delivery and refining facilities | 1.0% |
5. Verizon Communications, Inc. Provider of advanced communication and information technology services | 0.9% |
Five Largest Fixed-Income Long-Term Securities at March 31, 2008 (3.9% of Net Assets) | |
1. US Treasury Note 4.875%, 8/31/2008 | 1.4% |
2. US Treasury Bond 4.75%, 2/15/2037 | 1.0% |
3. US Treasury Note 3.5%, 2/15/2018 | 0.6% |
4. Wells Fargo Mortgage Backed Securities Trust 5.109%, 3/25/2036 | 0.5% |
5. SPI Electricity Property Ltd. 7.25%, 12/1/2016 | 0.4% |
Portfolio holdings are subject to change.
For more complete details about the Fund's investment portfolio, see page 25. A quarterly Fact Sheet is available upon request. Information concerning portfolio holdings of the Fund as of month end will be posted to www.dws-scudder.com on or after the last day of the following month. In addition, the Fund's top ten holdings and other information about the Fund is posted on www.dws-scudder.com as of the calendar quarter-end on or after the 15th day following quarter-end. Please see the Account Management Resources section for contact information.
Following the Fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. This form will be available on the SEC's Web site at www.sec.gov, and it also may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the SEC's Public Reference Room may be obtained by calling (800) SEC-0330.
Investment Portfolio as of March 31, 2008
|
| Value ($) |
|
| |
Common Stocks 57.9% | ||
Consumer Discretionary 6.1% | ||
Auto Components 0.5% | ||
Aftermarket Technology Corp.* | 7,100 | 138,024 |
Aisin Seiki Co., Ltd. | 100 | 3,749 |
American Axle & Manufacturing Holdings, Inc. | 6,100 | 125,050 |
Amerigon, Inc.* | 6,100 | 90,280 |
Autoliv, Inc. | 38,100 | 1,912,620 |
Bridgestone Corp. | 400 | 6,835 |
Compagnie Generale des Etablissements Michelin "B" | 157 | 16,386 |
Continental AG | 138 | 14,063 |
Cooper Tire & Rubber Co. | 16,700 | 249,999 |
Denso Corp. | 300 | 9,724 |
Lear Corp.* | 10,600 | 274,646 |
Magna International, Inc. "A" | 500 | 36,358 |
Nokian Renkaat Oyj | 17,635 | 752,541 |
Rieter Holding AG (Registered) | 24 | 9,182 |
Toyota Industries Corp. | 200 | 7,219 |
| 3,646,676 | |
Automobiles 0.1% | ||
Daimler AG (Registered) | 823 | 70,308 |
Fiat SpA | 4,201 | 97,034 |
Honda Motor Co., Ltd. | 900 | 25,794 |
Nissan Motor Co., Ltd. | 1,400 | 11,619 |
PSA Peugeot Citroen | 169 | 13,126 |
Renault SA | 194 | 21,465 |
Suzuki Motor Corp. | 26,000 | 658,247 |
Toyota Motor Corp. | 1,500 | 75,595 |
Volkswagen AG | 138 | 40,000 |
| 1,013,188 | |
Distributors 0.0% | ||
Li & Fung Ltd. | 40,000 | 148,887 |
Diversified Consumer Services 0.1% | ||
DeVry, Inc. | 7,600 | 317,984 |
Sotheby's | 3,900 | 112,749 |
| 430,733 | |
Hotels Restaurants & Leisure 1.0% | ||
Accor SA | 229 | 16,721 |
AFC Enterprises, Inc.* | 3,500 | 31,465 |
Aristocrat Leisure Ltd. | 3,352 | 29,499 |
Bob Evans Farms, Inc. | 10,700 | 295,213 |
Carnival PLC | 221 | 8,856 |
CEC Entertainment, Inc.* | 1,400 | 40,432 |
Chipotle Mexican Grill, Inc. "B"* | 1,400 | 135,926 |
CKE Restaurants, Inc. | 26,800 | 300,696 |
Compass Group PLC | 2,073 | 13,256 |
Enterprise Inns PLC | 717 | 5,705 |
InterContinental Hotel Group PLC | 373 | 5,637 |
Lottomatica SpA | 456 | 14,216 |
P.F. Chang's China Bistro, Inc.* | 9,900 | 281,556 |
Premier Exhibitions, Inc.* | 5,400 | 32,616 |
Royal Caribbean Cruises Ltd. | 39,400 | 1,296,260 |
Shangri-La Asia Ltd. | 22,000 | 59,689 |
Sodexho Alliance SA | 129 | 7,941 |
TABCORP Holdings Ltd. | 5,134 | 66,391 |
Tatts Group Ltd. | 10,534 | 33,502 |
Town Sports International Holdings, Inc.* | 14,500 | 92,945 |
TUI AG* | 232 | 5,948 |
Whitbread PLC | 338 | 7,827 |
WMS Industries, Inc.* | 8,200 | 294,954 |
Yum! Brands, Inc. | 126,200 | 4,695,902 |
| 7,773,153 | |
Household Durables 0.5% | ||
American Greetings Corp. "A" | 11,300 | 209,615 |
Blyth, Inc. | 7,100 | 140,012 |
CSS Industries, Inc. | 7,500 | 262,200 |
Daiwa House Industry Co., Ltd. | 1,000 | 10,018 |
Electrolux AB "B" | 1,200 | 19,729 |
Garmin Ltd. | 30,500 | 1,647,305 |
Hooker Furniture Corp. | 9,700 | 216,698 |
Husqvarna AB "B" | 1,300 | 15,673 |
La-Z-Boy, Inc. | 1,900 | 15,846 |
Libbey, Inc. | 8,000 | 134,720 |
Makita Corp. | 7,000 | 220,508 |
Matsushita Electric Industrial Co., Ltd. | 1,000 | 21,728 |
NVR, Inc.* | 1,100 | 657,250 |
Persimmon PLC | 383 | 5,814 |
Pioneer Corp. | 16,100 | 160,414 |
Sekisui House Ltd. | 1,000 | 9,287 |
Sharp Corp. | 1,000 | 17,052 |
Sony Corp. | 600 | 24,001 |
Taylor Wimpey PLC | 1,575 | 5,859 |
Tupperware Brands Corp. | 4,400 | 170,192 |
| 3,963,921 | |
Internet & Catalog Retail 0.1% | ||
FTD Group, Inc. | 15,600 | 209,352 |
GSI Commerce, Inc.* | 4,700 | 61,805 |
Home Retail Group PLC | 1,046 | 5,423 |
Priceline.com, Inc.* | 1,100 | 132,946 |
Systemax, Inc. | 14,300 | 172,458 |
| 581,984 | |
Leisure Equipment & Products 0.0% | ||
Callaway Golf Co. | 11,300 | 165,884 |
JAKKS Pacific, Inc.* | 2,400 | 66,168 |
Sturm, Ruger & Co., Inc.* | 900 | 7,416 |
| 239,468 | |
Media 1.9% | ||
British Sky Broadcasting Group PLC | 1,175 | 13,021 |
DG Fastchannel, Inc.* | 9,900 | 189,882 |
DISH Network Corp. "A"* | 125,000 | 3,591,250 |
Fairfax Media Ltd. | 11,534 | 36,689 |
Gestevision Telecinco SA | 6,796 | 138,299 |
Global Sources Ltd.* | 7,240 | 107,514 |
ITV PLC | 4,753 | 5,970 |
Lagardere SCA | 166 | 12,427 |
Liberty Global, Inc. "A"* | 100,300 | 3,418,224 |
Mediaset SpA | 4,231 | 39,234 |
Modern Times Group MTG AB "B" | 250 | 17,439 |
Pearson PLC | 966 | 13,053 |
Publicis Groupe | 212 | 8,108 |
Reed Elsevier NV | 1,844 | 35,181 |
Reed Elsevier PLC | 1,235 | 15,739 |
Regal Entertainment Group "A" | 21,100 | 407,019 |
Reuters Group PLC | 1,263 | 14,536 |
Scholastic Corp.* | 10,100 | 305,727 |
Seat Pagine Gialle SpA | 27,435 | 4,760 |
Shaw Communications, Inc. "B" | 1,700 | 31,103 |
Singapore Press Holdings Ltd. | 293,000 | 982,943 |
The DIRECTV Group, Inc.* | 174,000 | 4,313,460 |
Thomson Corp. | 1,100 | 36,994 |
Vivendi | 1,187 | 46,434 |
Wolters Kluwer NV | 890 | 23,582 |
WPP Group PLC | 1,283 | 15,300 |
Yell Group PLC | 1,016 | 3,105 |
Yellow Pages Income Fund (Unit) | 1,300 | 13,286 |
| 13,840,279 | |
Multiline Retail 0.0% | ||
Canadian Tire Corp. Ltd. "A" | 400 | 25,817 |
Marks & Spencer Group PLC | 1,707 | 13,116 |
Next PLC | 252 | 5,695 |
PPR | 86 | 12,770 |
| 57,398 | |
Specialty Retail 1.6% | ||
Best Buy Co., Inc. | 80,700 | 3,345,822 |
Christopher & Banks Corp. | 20,200 | 201,798 |
Esprit Holdings Ltd. | 77,200 | 925,651 |
Hennes & Mauritz AB "B" | 2,125 | 130,734 |
Hot Topic, Inc.* | 20,800 | 89,648 |
Industria de Diseno Textil SA | 15,074 | 837,454 |
Jo-Ann Stores, Inc.* | 11,400 | 167,922 |
Kingfisher PLC | 2,909 | 7,618 |
New York & Co., Inc.* | 21,900 | 125,706 |
Office Depot, Inc.* | 135,800 | 1,500,590 |
Rent-A-Center, Inc.* | 16,200 | 297,270 |
RONA, Inc.* | 700 | 9,732 |
Shoe Carnival, Inc.* | 6,400 | 86,592 |
The Buckle, Inc. | 5,700 | 254,961 |
TJX Companies, Inc. | 106,900 | 3,535,183 |
West Marine, Inc.* | 6,200 | 43,214 |
Yamada Denki Co., Ltd. | 70 | 6,064 |
| 11,565,959 | |
Textiles, Apparel & Luxury Goods 0.3% | ||
Adidas AG | 3,993 | 265,648 |
Billabong International Ltd. | 1,725 | 20,604 |
Burberry Group PLC | 630 | 5,632 |
Compagnie Financiere Richemont SA "A" (Unit) | 9,176 | 515,295 |
Fossil, Inc.* | 8,700 | 265,698 |
G-III Apparel Group Ltd.* | 6,700 | 89,914 |
Gildan Activewear, Inc.* | 600 | 22,633 |
Hermes International | 82 | 10,238 |
Luxottica Group SpA | 740 | 18,636 |
LVMH Moet Hennessy Louis Vuitton SA | 250 | 27,870 |
Movado Group, Inc. | 6,800 | 132,532 |
Oxford Industries, Inc. | 3,900 | 87,867 |
Perry Ellis International, Inc.* | 11,300 | 246,679 |
Swatch Group AG (Bearer) | 143 | 38,222 |
Swatch Group AG (Registered) | 241 | 12,374 |
The Warnaco Group, Inc.* | 6,100 | 240,584 |
| 2,000,426 | |
Consumer Staples 4.7% | ||
Beverages 0.9% | ||
Asahi Breweries Ltd. | 1,100 | 22,757 |
Carlsberg AS "B" | 3,925 | 502,139 |
Coca-Cola Amatil Ltd. | 3,041 | 23,623 |
Diageo PLC | 2,872 | 57,902 |
Foster's Group Ltd. | 10,895 | 50,980 |
Heineken NV | 1,014 | 58,925 |
InBev NV | 6,320 | 557,210 |
Kirin Holdings Co., Ltd. | 2,000 | 38,069 |
Pepsi Bottling Group, Inc. | 82,200 | 2,787,402 |
PepsiAmericas, Inc. | 2,100 | 53,613 |
PepsiCo, Inc. | 40,000 | 2,888,000 |
Pernod Ricard SA | 460 | 47,370 |
SABMiller PLC | 1,041 | 22,804 |
Scottish & Newcastle PLC | 992 | 15,555 |
| 7,126,349 | |
Food & Staples Retailing 1.4% | ||
Aeon Co., Ltd. | 1,700 | 20,556 |
Alimentation Couche-Tard, Inc. "B" | 1,800 | 28,216 |
BJ's Wholesale Club, Inc.* | 29,200 | 1,042,148 |
Carrefour SA | 1,564 | 120,648 |
Casino Guichard-Perrachon SA | 123 | 14,760 |
Colruyt SA | 122 | 31,501 |
Delhaize Group | 731 | 57,474 |
George Weston Ltd. | 700 | 32,202 |
Ingles Markets, Inc. "A" | 4,500 | 110,655 |
J Sainsbury PLC | 1,965 | 13,374 |
Kesko Oyj "B" | 199 | 10,287 |
Koninklijke Ahold NV* | 5,352 | 79,412 |
Kroger Co. | 144,800 | 3,677,920 |
Loblaw Companies Ltd. | 1,400 | 41,477 |
Metro AG | 2,070 | 167,127 |
Olam International Ltd. | 59,000 | 93,101 |
Ruddick Corp. | 2,200 | 81,092 |
Safeway, Inc. | 23,200 | 680,920 |
Seven & I Holdings Co., Ltd. | 2,100 | 53,381 |
Shoppers Drug Mart Corp. | 4,800 | 242,888 |
Tesco PLC | 8,774 | 66,275 |
Wal-Mart Stores, Inc. | 66,200 | 3,487,416 |
Wesfarmers Ltd. | 2,182 | 80,098 |
Woolworths Ltd. | 6,525 | 173,375 |
| 10,406,303 | |
Food Products 0.5% | ||
Ajinomoto Co., Inc. | 2,000 | 20,469 |
Cadbury Schweppes PLC | 2,401 | 26,372 |
Cal-Maine Foods, Inc. | 6,600 | 220,308 |
Danisco AS | 1,250 | 91,342 |
Darling International, Inc.* | 1,600 | 20,720 |
Flowers Foods, Inc. | 17,500 | 433,125 |
Fresh Del Monte Produce, Inc.* | 9,600 | 349,440 |
Groupe Danone | 1,115 | 99,803 |
IAWS Group PLC | 3,674 | 86,362 |
Imperial Sugar Co. | 7,800 | 146,796 |
Kerry Group PLC "A" | 3,767 | 117,523 |
Nestle SA (Registered) | 2,227 | 1,113,305 |
Nissin Food Products Co., Ltd. | 200 | 6,751 |
Parmalat SpA | 4,471 | 17,172 |
Saputo, Inc. | 1,800 | 48,540 |
Tate & Lyle PLC | 684 | 7,329 |
Unilever NV (CVA) | 7,132 | 239,653 |
Unilever PLC | 1,440 | 48,584 |
Wm. Wrigley Jr. Co. | 6,300 | 395,892 |
Yakult Honsha Co., Ltd. | 300 | 9,348 |
| 3,498,834 | |
Household Products 0.6% | ||
Colgate-Palmolive Co. | 55,200 | 4,300,632 |
Kao Corp. | 1,000 | 28,360 |
Procter & Gamble Co. | 3,000 | 210,210 |
| 4,539,202 | |
Personal Products 0.5% | ||
Beiersdorf AG | 1,136 | 95,549 |
Herbalife Ltd. | 80,100 | 3,804,750 |
L'Oreal SA | 650 | 82,667 |
Shiseido Co., Ltd. | 1,000 | 26,461 |
| 4,009,427 | |
Tobacco 0.8% | ||
Altria Group, Inc. | 54,500 | 1,209,900 |
British American Tobacco PLC | 1,673 | 62,780 |
Imperial Tobacco Group PLC | 4,963 | 228,307 |
Japan Tobacco, Inc. | 165 | 827,297 |
Loews Corp. — Carolina Group | 5,300 | 384,515 |
Philip Morris International, Inc.* | 54,500 | 2,756,610 |
Swedish Match AB | 18,600 | 405,307 |
| 5,874,716 | |
Energy 7.4% | ||
Energy Equipment & Services 1.6% | ||
Acergy SA | 500 | 10,693 |
Aker Kvaerner ASA | 450 | 10,297 |
Atwood Oceanics, Inc.* | 3,300 | 302,676 |
Bristow Group, Inc.* | 5,900 | 316,653 |
Dawson Geophysical Co.* | 2,200 | 148,500 |
FMC Technologies, Inc.* | 17,000 | 967,130 |
Fugro NV (CVA) | 1,167 | 90,613 |
Global Industries Ltd.* | 131,500 | 2,115,835 |
Grey Wolf, Inc.* | 35,700 | 242,046 |
Gulf Island Fabrication, Inc. | 3,700 | 106,264 |
Oil States International, Inc.* | 200 | 8,962 |
Petroleum Geo-Services ASA | 450 | 11,191 |
Prosafe SE | 500 | 7,882 |
SBM Offshore NV | 2,847 | 91,812 |
Seadrill Ltd. | 700 | 18,845 |
Superior Energy Services, Inc.* | 68,400 | 2,710,008 |
Technip SA | 115 | 8,900 |
Transocean, Inc.* | 32,338 | 4,372,098 |
Union Drilling, Inc.* | 11,700 | 204,633 |
WorleyParsons Ltd. | 594 | 18,244 |
| 11,763,282 | |
Oil, Gas & Consumable Fuels 5.8% | ||
Alpha Natural Resources, Inc.* | 6,200 | 269,328 |
BG Group PLC | 22,315 | 516,767 |
Bois d'Arc Energy, Inc.* | 13,600 | 292,264 |
BP PLC | 5,924 | 59,983 |
Brigham Exploration Co.* | 13,800 | 83,766 |
Caltex Australia Ltd. | 620 | 7,391 |
Cameco Corp. | 200 | 6,594 |
Canadian Natural Resources Ltd. | 300 | 20,538 |
Canadian Oil Sands Trust (Unit) | 200 | 8,086 |
Chevron Corp. | 83,640 | 7,139,510 |
Clayton Williams Energy, Inc.* | 5,900 | 309,691 |
Comstock Resources, Inc.* | 9,600 | 386,880 |
ConocoPhillips | 77,600 | 5,913,896 |
Enbridge, Inc. | 200 | 8,248 |
EnCana Corp. | 400 | 30,474 |
Eni SpA | 4,950 | 168,733 |
ExxonMobil Corp. | 180,200 | 15,241,316 |
Frontline Ltd. | 39,600 | 1,822,392 |
Gazprom (ADR) (REG S) | 14,750 | 752,838 |
Hess Corp. | 41,800 | 3,685,924 |
Husky Energy, Inc. | 200 | 7,831 |
Imperial Oil Ltd. | 200 | 10,483 |
INPEX Holdings, Inc. | 8 | 89,807 |
KazMunaiGas Exploration Production (GDR) 144A | 11,500 | 288,075 |
Knightsbridge Tankers Ltd. | 2,800 | 74,704 |
Mariner Energy, Inc.* | 13,000 | 351,130 |
Nexen, Inc. | 300 | 8,903 |
Nippon Mining Holdings, Inc. | 9,500 | 50,596 |
Nippon Oil Corp. | 13,000 | 82,096 |
OMV AG | 2,431 | 160,633 |
Origin Energy Ltd. | 2,837 | 23,798 |
Paladin Energy Ltd.* | 2,182 | 10,216 |
Petro-Canada | 300 | 13,070 |
Petroleo Brasileiro SA (ADR) | 3,500 | 357,385 |
PetroQuest Energy, Inc.* | 17,100 | 296,514 |
Repsol YPF SA | 13,503 | 466,008 |
Royal Dutch Shell PLC "A" | 1,131 | 39,020 |
Royal Dutch Shell PLC "B" | 862 | 29,015 |
Santos Ltd. | 2,378 | 31,821 |
St. Mary Land & Exploration Co. | 2,600 | 100,100 |
StatoilHydro ASA | 22,900 | 688,584 |
Suncor Energy, Inc. | 200 | 19,331 |
Sunoco, Inc. | 49,500 | 2,597,265 |
Swift Energy Co.* | 6,600 | 296,934 |
Talisman Energy, Inc. | 700 | 12,419 |
TonenGeneral Sekiyu KK | 2,000 | 17,137 |
Total SA | 8,550 | 635,769 |
Woodside Petroleum Ltd. | 1,604 | 79,839 |
| 43,563,102 | |
Financials 8.9% | ||
Capital Markets 2.7% | ||
3i Group PLC | 36,920 | 608,077 |
Bank of New York Mellon Corp. | 122,700 | 5,120,271 |
Charles Schwab Corp. | 197,400 | 3,717,042 |
Credit Suisse Group (Registered) | 847 | 43,103 |
Daiwa Securities Group, Inc. | 1,000 | 8,705 |
GFI Group, Inc. | 500 | 28,650 |
IGM Financial, Inc. | 200 | 8,805 |
Janus Capital Group, Inc. | 15,600 | 363,012 |
Lehman Brothers Holdings, Inc. | 79,200 | 2,981,088 |
Mediobanca SpA | 1,048 | 21,471 |
Nomura Holdings, Inc. | 1,300 | 19,557 |
Northern Trust Corp. | 75,000 | 4,985,250 |
Prospect Capital Corp. | 17,396 | 264,767 |
Raymond James Financial, Inc. | 17,200 | 395,256 |
The Goldman Sachs Group, Inc. | 4,600 | 760,794 |
UBS AG (Registered) | 1,659 | 48,287 |
Waddell & Reed Financial, Inc. "A" | 12,400 | 398,412 |
| 19,772,547 | |
Commercial Banks 2.2% | ||
Allied Irish Banks PLC | 7,336 | 155,278 |
Australia & New Zealand Banking Group Ltd. | 1,305 | 27,006 |
Banca Monte dei Paschi di Siena SpA | 1,361 | 6,021 |
Banca Popolare di Milano Scarl | 596 | 6,538 |
Banco Bilbao Vizcaya Argentaria SA | 4,032 | 88,799 |
Banco Bradesco SA (ADR) (Preferred) | 12,700 | 352,552 |
Banco Comercial Portugues SA (Registered) | 37,880 | 123,175 |
Banco Espirito Santo SA (Registered) | 4,453 | 77,444 |
Banco Popular Espanol SA | 820 | 14,888 |
Banco Santander SA | 6,459 | 128,688 |
BanColombia SA (ADR) (REG S) (Preferred) | 5,200 | 184,392 |
Bank of East Asia Ltd. | 4,000 | 20,120 |
Bank of Ireland | 8,336 | 123,417 |
Bank of Montreal | 400 | 17,906 |
Bank of Nova Scotia | 800 | 36,280 |
Barclays PLC | 2,184 | 19,773 |
BB&T Corp. | 5,500 | 176,330 |
BNP Paribas | 3,411 | 344,698 |
BOC Hong Kong (Holdings) Ltd. | 10,000 | 24,099 |
Boston Private Financial Holdings, Inc. | 6,600 | 69,894 |
Canadian Imperial Bank of Commerce | 300 | 19,319 |
Center Financial Corp. | 2,300 | 20,838 |
Citizens Republic Bancorp., Inc. | 1,800 | 22,374 |
City Holding Co. | 2,900 | 115,710 |
Commerzbank AG | 967 | 30,263 |
Commonwealth Bank of Australia | 903 | 34,650 |
Community Bank System, Inc. | 1,300 | 31,928 |
Credit Agricole SA | 542 | 16,805 |
Danske Bank AS | 5,200 | 192,163 |
DBS Group Holdings Ltd. | 8,000 | 105,225 |
Deutsche Postbank AG | 94 | 8,982 |
Dexia SA | 985 | 28,062 |
DnB NOR ASA | 8,400 | 128,025 |
Erste Bank der oesterreichischen Sparkassen AG | 8,141 | 529,812 |
First Financial Bankshares, Inc. | 800 | 32,784 |
FirstMerit Corp. | 10,400 | 214,864 |
Grupo Financiero Banorte SAB de CV "O" | 74,800 | 324,003 |
Hang Seng Bank Ltd. | 1,900 | 34,572 |
HBOS PLC | 1,192 | 13,244 |
HSBC Holdings PLC (Registered) | 44,914 | 739,730 |
Hypo Real Estate Holding AG | 213 | 5,543 |
ICICI Bank Ltd. (ADR) | 1,400 | 53,466 |
Intesa Sanpaolo | 89,515 | 632,578 |
Intesa Sanpaolo (RNC) | 641 | 4,232 |
Jyske Bank AS (Registered)* | 700 | 47,064 |
KBC Groep NV | 2,558 | 331,652 |
Lloyds TSB Group PLC | 1,913 | 17,163 |
Mitsubishi UFJ Financial Group, Inc. | 5,300 | 46,131 |
Mizuho Financial Group, Inc. | 6 | 22,113 |
National Australia Bank Ltd. | 1,170 | 32,399 |
National Bank of Canada | 200 | 9,321 |
National Bank of Greece SA | 5,500 | 292,008 |
National Penn Bancshares, Inc. | 8,600 | 156,434 |
NBT Bancorp., Inc. | 1,400 | 31,080 |
Nordea Bank AB | 6,000 | 97,386 |
Old National Bancorp. | 9,800 | 176,400 |
Oriental Financial Group, Inc. | 13,300 | 262,143 |
Oversea-Chinese Banking Corp., Ltd. | 17,000 | 100,571 |
Raiffeisen International Bank-Holding AG | 855 | 117,037 |
Resona Holdings, Inc. | 4 | 6,788 |
Royal Bank of Canada | 1,000 | 46,714 |
Royal Bank of Scotland Group PLC | 3,121 | 20,883 |
Shinsei Bank Ltd. | 2,000 | 6,624 |
Skandinaviska Enskilda Banken AB "A" | 1,300 | 34,086 |
Societe Generale | 4,295 | 419,819 |
Standard Chartered PLC | 10,493 | 358,496 |
Sterling Bancshares, Inc. | 19,900 | 197,806 |
Sumitomo Mitsui Financial Group, Inc. | 4 | 26,411 |
Sumitomo Trust & Banking Co., Ltd. | 1,000 | 6,903 |
Susquehanna Bancshares, Inc. | 13,800 | 281,106 |
SVB Financial Group* | 9,100 | 397,124 |
Svenska Handelsbanken AB "A" | 1,300 | 37,901 |
Sydbank AS | 750 | 27,310 |
Taylor Capital Group, Inc. | 4,700 | 77,174 |
The Bank of Yokohama Ltd. | 1,000 | 6,911 |
The Shizuoka Bank Ltd. | 1,000 | 11,944 |
Tompkins Financial Corp. | 1,500 | 73,800 |
UniCredito Italiano SpA | 63,580 | 425,030 |
Unione di Banche Italiane ScpA | 562 | 14,430 |
United Overseas Bank Ltd. | 9,000 | 125,900 |
VTB Bank OJSC (GDR) 144A* | 42,900 | 310,167 |
Wells Fargo & Co. | 223,400 | 6,500,940 |
WesBanco, Inc. | 4,400 | 108,724 |
Westpac Banking Corp. | 1,312 | 28,592 |
| 16,626,955 | |
Consumer Finance 0.1% | ||
Dollar Financial Corp.* | 10,500 | 241,500 |
EZCORP., Inc. "A"* | 16,400 | 201,884 |
ORIX Corp. | 70 | 9,574 |
| 452,958 | |
Diversified Financial Services 0.9% | ||
ASX Ltd. | 175 | 6,012 |
Bank of America Corp. | 19,000 | 720,290 |
Deutsche Boerse AG | 2,686 | 433,140 |
Fortis | 3,905 | 98,180 |
Groupe Bruxelles Lambert SA | 164 | 20,009 |
Hong Kong Exchanges & Clearing Ltd. | 3,500 | 60,662 |
ING Groep NV (CVA) | 3,900 | 145,808 |
Interactive Brokers Group, Inc. "A"* | 7,000 | 179,690 |
JPMorgan Chase & Co. | 53,200 | 2,284,940 |
Nasdaq OMX Group, Inc.* | 62,200 | 2,404,652 |
OMX AB | 200 | 8,769 |
Singapore Exchange Ltd. | 6,000 | 33,055 |
| 6,395,207 | |
Insurance 1.8% | ||
ACE Ltd. | 94,600 | 5,208,676 |
Aegon NV | 2,740 | 40,366 |
Allianz SE (Registered) | 1,393 | 276,206 |
Allied World Assurance Co. Holdings Ltd. | 16,300 | 647,110 |
AMP Ltd. | 1,450 | 10,440 |
AmTrust Financial Services, Inc. | 14,900 | 241,529 |
Aspen Insurance Holdings Ltd. | 10,300 | 271,714 |
Assicurazioni Generali SpA | 811 | 36,529 |
Aviva PLC | 909 | 11,138 |
Axa | 10,885 | 393,927 |
Fidelity National Financial, Inc. "A" | 2,900 | 53,157 |
Great-West Lifeco, Inc. | 200 | 6,032 |
Hallmark Financial Services, Inc.* | 5,700 | 63,612 |
Insurance Australia Group Ltd. | 1,711 | 5,723 |
IPC Holdings Ltd. | 2,700 | 75,600 |
Irish Life & Permanent PLC | 2,449 | 47,923 |
Legal & General Group PLC | 3,476 | 8,718 |
Manulife Financial Corp. | 1,200 | 45,933 |
Max Capital Group Ltd. | 1,500 | 39,285 |
Millea Holdings, Inc. | 500 | 18,501 |
Mitsui Sumitomo Insurance Co., Ltd. | 1,000 | 10,102 |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 192 | 37,532 |
National Interstate Corp. | 1,500 | 35,025 |
Navigators Group, Inc.* | 3,800 | 206,720 |
Old Mutual PLC | 2,119 | 4,646 |
PartnerRe Ltd. | 39,500 | 3,013,850 |
Platinum Underwriters Holdings Ltd. | 6,000 | 194,760 |
Power Corp. of Canada | 300 | 9,937 |
Power Financial Corp. | 200 | 6,841 |
Prudential PLC | 39,143 | 516,869 |
QBE Insurance Group Ltd. | 15,712 | 319,810 |
Reinsurance Group of America, Inc. | 13,800 | 751,272 |
Sampo Oyj "A" | 6,514 | 176,528 |
SeaBright Insurance Holdings, Inc.* | 12,800 | 188,544 |
Selective Insurance Group, Inc. | 5,200 | 124,176 |
Sompo Japan Insurance, Inc. | 1,000 | 8,957 |
Storebrand ASA | 4,800 | 37,940 |
Sun Life Financial, Inc. | 400 | 18,701 |
Suncorp-Metway Ltd. | 731 | 8,628 |
Swiss Life Holding (Registered)* | 29 | 8,067 |
Swiss Re (Registered) | 287 | 25,093 |
T&D Holdings, Inc. | 150 | 7,882 |
Topdanmark AS* | 200 | 33,601 |
Zurich Financial Services AG (Registered) | 116 | 36,565 |
| 13,284,165 | |
Real Estate Investment Trusts 1.0% | ||
Alexandria Real Estate Equities, Inc. (REIT) | 2,100 | 194,712 |
AMB Property Corp. (REIT) | 3,300 | 179,586 |
AvalonBay Communities, Inc. (REIT) | 2,600 | 250,952 |
BioMed Realty Trust, Inc. (REIT) | 6,600 | 157,674 |
CapitaMall Trust (REIT) | 9,000 | 22,808 |
Corio NV (REIT) | 101 | 8,848 |
Corporate Office Properties Trust (REIT) | 3,800 | 127,718 |
Cousins Properties, Inc. (REIT) | 5,700 | 140,847 |
Digital Realty Trust, Inc. (REIT) | 5,100 | 181,050 |
EastGroup Properties, Inc. (REIT) | 2,800 | 130,088 |
Equity Lifestyle Properties, Inc. (REIT) | 2,900 | 143,173 |
Equity One, Inc. (REIT) | 7,100 | 170,187 |
Equity Residential (REIT) | 18,200 | 755,118 |
First Industrial Realty Trust, Inc. (REIT) | 4,900 | 151,361 |
Glimcher Realty Trust (REIT) | 6,100 | 72,956 |
Goodman Group (REIT) | 1,533 | 6,073 |
GPT Group (REIT) | 2,169 | 6,522 |
Healthcare Realty Trust, Inc. (REIT) | 5,000 | 130,750 |
Home Properties, Inc. (REIT) | 3,700 | 177,563 |
Host Hotels & Resorts, Inc. (REIT) | 25,600 | 407,552 |
Land Securities Group PLC (REIT) | 252 | 7,546 |
LaSalle Hotel Properties (REIT) | 5,100 | 146,523 |
Link (REIT) | 6,500 | 14,426 |
Maguire Properties, Inc. (REIT) | 2,000 | 28,620 |
Mirvac Group (REIT) | 1,210 | 4,488 |
National Retail Properties, Inc. (REIT) | 6,500 | 143,325 |
Nationwide Health Properties, Inc. (REIT) | 5,100 | 172,125 |
Newcastle Investment Corp. (REIT) | 8,000 | 66,080 |
Pennsylvania Real Estate Investment Trust (REIT) | 4,300 | 104,877 |
Potlatch Corp. (REIT) | 700 | 28,889 |
ProLogis (REIT) | 8,400 | 494,424 |
Public Storage (REIT) | 8,780 | 778,084 |
Realty Income Corp. (REIT) | 5,600 | 143,472 |
Redwood Trust, Inc. (REIT) | 2,000 | 72,700 |
Simon Property Group, Inc. (REIT) | 12,300 | 1,142,793 |
Sovran Self Storage, Inc. (REIT) | 3,600 | 153,756 |
Stockland (REIT) | 1,308 | 8,382 |
Sunstone Hotel Investors, Inc. (REIT) | 3,900 | 62,439 |
Tanger Factory Outlet Centers, Inc. (REIT) | 3,900 | 150,033 |
The Macerich Co. (REIT) | 1,900 | 133,513 |
Unibail-Rodamco (REIT) | 58 | 14,947 |
Vornado Realty Trust (REIT) | 2,500 | 215,525 |
Washington Real Estate Investment Trust (REIT) | 4,900 | 163,758 |
Wereldhave NV (REIT) | 67 | 8,265 |
Westfield Group (REIT) | 1,301 | 21,245 |
| 7,695,773 | |
Real Estate Management & Development 0.1% | ||
Brookfield Asset Management, Inc. "A" | 400 | 10,779 |
CapitaLand Ltd. | 13,000 | 60,639 |
Cheung Kong (Holdings) Ltd. | 5,000 | 71,935 |
City Developments Ltd. | 4,000 | 32,124 |
Emaar Properties PJSC* | 73,261 | 218,431 |
Hang Lung Properties Ltd. | 6,000 | 21,444 |
Henderson Land Development Co., Ltd. | 3,000 | 21,641 |
Immoeast AG* | 6,842 | 65,880 |
Immofinanz Immobilien Anlagen AG | 5,907 | 63,980 |
Kerry Properties Ltd. | 2,000 | 12,196 |
Lend Lease Corp., Ltd. | 408 | 4,956 |
Meinl European Land Ltd. (Certificate)* | 4,901 | 56,045 |
Mitsubishi Estate Co., Ltd. | 1,000 | 24,353 |
Mitsui Fudosan Co., Ltd. | 1,000 | 20,350 |
New World Development Ltd. | 7,000 | 16,936 |
Sino Land Co. | 4,000 | 8,728 |
Sun Hung Kai Properties Ltd. | 4,000 | 62,532 |
Swire Pacific Ltd. "A" | 2,500 | 28,364 |
Wharf Holdings Ltd. | 70,000 | 333,219 |
| 1,134,532 | |
Thrifts & Mortgage Finance 0.1% | ||
Anchor BanCorp Wisconsin, Inc. | 3,700 | 70,189 |
Corus Bankshares, Inc. | 12,500 | 121,625 |
Dime Community Bancshares | 5,500 | 96,140 |
Flagstar Bancorp, Inc. | 11,200 | 80,864 |
Northwest Bancorp, Inc. | 5,000 | 136,650 |
Ocwen Financial Corp.* | 18,300 | 81,252 |
WSFS Financial Corp. | 1,300 | 64,064 |
| 650,784 | |
Health Care 6.6% | ||
Biotechnology 0.7% | ||
Alkermes, Inc.* | 20,500 | 243,540 |
Alnylam Pharmaceuticals, Inc.* | 7,300 | 178,120 |
Amgen, Inc.* | 85,900 | 3,588,902 |
Applera Corp. — Celera Group* | 4,100 | 60,270 |
CSL Ltd. | 9,599 | 323,794 |
Cubist Pharmaceuticals, Inc.* | 14,700 | 270,774 |
Isis Pharmaceuticals, Inc.* | 4,400 | 62,084 |
Onyx Pharmaceuticals, Inc.* | 6,600 | 191,598 |
OSI Pharmaceuticals, Inc.* | 8,300 | 310,337 |
| 5,229,419 | |
Health Care Equipment & Supplies 1.6% | ||
Align Technology, Inc.* | 12,300 | 136,653 |
Baxter International, Inc. | 96,500 | 5,579,630 |
Cochlear Ltd. | 1,100 | 55,274 |
Cutera, Inc.* | 1,400 | 18,858 |
Essilor International SA | 909 | 59,452 |
Getinge AB "B" | 400 | 10,375 |
Hologic, Inc.* | 1,300 | 72,280 |
Intuitive Surgical, Inc.* | 9,000 | 2,919,150 |
Kinetic Concepts, Inc.* | 45,400 | 2,098,842 |
Meridian Bioscience, Inc. | 6,800 | 227,324 |
Merit Medical Systems, Inc.* | 3,700 | 58,571 |
Nobel Biocare Holding AG (Bearer) | 45 | 10,475 |
Olympus Corp. | 1,000 | 30,401 |
Smith & Nephew PLC | 2,003 | 26,492 |
Sonova Holding AG (Registered) | 88 | 8,071 |
SurModics, Inc.* | 6,400 | 268,032 |
Synthes, Inc. | 109 | 15,244 |
Terumo Corp. | 7,900 | 413,298 |
William Demant Holding AS* | 150 | 12,004 |
| 12,020,426 | |
Health Care Providers & Services 1.6% | ||
Aetna, Inc. | 84,200 | 3,543,978 |
Air Methods Corp.* | 1,100 | 53,207 |
Alliance Imaging, Inc.* | 9,900 | 85,140 |
Amedisys, Inc.* | 6,700 | 263,578 |
Animal Health International, Inc.* | 2,000 | 21,880 |
Apria Healthcare Group, Inc.* | 16,100 | 317,975 |
Celesio AG | 615 | 30,428 |
Centene Corp.* | 13,000 | 181,220 |
Chemed Corp. | 2,400 | 101,280 |
Corvel Corp.* | 5,300 | 162,127 |
Fresenius Medical Care AG & Co. KGaA | 9,754 | 490,508 |
Health Net, Inc.* | 89,500 | 2,756,600 |
Healthspring, Inc.* | 15,300 | 215,424 |
Humana, Inc.* | 55,000 | 2,467,300 |
Kindred Healthcare, Inc.* | 12,000 | 262,440 |
Magellan Health Services, Inc.* | 5,100 | 202,419 |
MedCath Corp.* | 900 | 16,380 |
Owens & Minor, Inc. | 9,500 | 373,730 |
RehabCare Group, Inc.* | 5,800 | 87,000 |
Sonic Healthcare Ltd. | 6,162 | 77,615 |
| 11,710,229 | |
Health Care Technology 0.1% | ||
Agfa Gevaert NV | 9,176 | 71,888 |
Eclipsys Corp.* | 12,400 | 243,164 |
Phase Forward, Inc.* | 2,600 | 44,408 |
TriZetto Group, Inc.* | 7,600 | 126,844 |
| 486,304 | |
Life Sciences Tools & Services 0.3% | ||
Albany Molecular Research, Inc.* | 1,400 | 16,996 |
Cambrex Corp. | 24,300 | 168,399 |
Dionex Corp.* | 4,500 | 346,455 |
eResearchTechnology, Inc.* | 5,700 | 70,794 |
Lonza Group AG (Registered) | 4,575 | 607,216 |
MDS, Inc.* | 13,600 | 264,991 |
Nektar Therapeutics* | 5,000 | 34,700 |
PAREXEL International Corp.* | 11,500 | 300,150 |
PharmaNet Development Group, Inc.* | 6,300 | 158,949 |
QIAGEN NV* | 1,305 | 27,006 |
| 1,995,656 | |
Pharmaceuticals 2.3% | ||
Astellas Pharma, Inc. | 2,300 | 89,260 |
AstraZeneca PLC | 3,451 | 129,018 |
Biovail Corp. | 16,000 | 172,244 |
Bristol-Myers Squibb Co. | 16,300 | 347,190 |
Caraco Pharmaceutical Laboratories Ltd.* | 7,200 | 129,240 |
Chugai Pharmaceutical Co., Ltd. | 1,300 | 14,718 |
Daiichi Sankyo Co., Ltd. | 3,300 | 97,647 |
Eisai Co., Ltd. | 1,200 | 41,003 |
Elan Corp. PLC* | 20,979 | 435,435 |
Eli Lilly & Co. | 2,700 | 139,293 |
GlaxoSmithKline PLC | 12,830 | 271,883 |
Kyowa Hakko Kogyo Co., Ltd. | 1,000 | 9,562 |
Medicis Pharmaceutical Corp. "A" | 15,000 | 295,350 |
Merck & Co., Inc. | 57,000 | 2,163,150 |
Merck KGaA | 467 | 57,576 |
Mitsubishi Tanabe Pharma Corp. | 1,000 | 11,661 |
Novartis AG (Registered) | 4,098 | 210,142 |
Novo Nordisk AS "B" | 9,325 | 638,064 |
Obagi Medical Products, Inc.* | 1,100 | 9,548 |
Perrigo Co. | 11,100 | 418,803 |
Pfizer, Inc. | 343,200 | 7,183,176 |
Roche Holding AG (Genusschein) | 4,846 | 912,445 |
Salix Pharmaceuticals Ltd.* | 35,200 | 221,056 |
Sanofi-Aventis | 5,140 | 385,678 |
Sepracor, Inc.* | 103,900 | 2,028,128 |
Shionogi & Co., Ltd. | 1,000 | 17,103 |
Takeda Pharmaceutical Co., Ltd. | 3,900 | 197,213 |
UCB SA | 7,948 | 276,552 |
ViroPharma, Inc.* | 17,600 | 157,344 |
Watson Pharmaceuticals, Inc.* | 4,700 | 137,804 |
| 17,197,286 | |
Industrials 7.4% | ||
Aerospace & Defense 1.8% | ||
BAE Systems PLC | 28,481 | 274,245 |
Bombardier, Inc. "B"* | 11,200 | 59,685 |
CAE, Inc. | 2,200 | 24,927 |
Cobham PLC | 1,695 | 6,727 |
European Aeronautic Defence & Space Co. | 334 | 7,929 |
Finmeccanica SpA | 314 | 10,697 |
General Dynamics Corp. | 35,100 | 2,926,287 |
Honeywell International, Inc. | 95,200 | 5,371,184 |
Meggitt PLC | 1,213 | 6,637 |
Northrop Grumman Corp. | 22,000 | 1,711,820 |
Rolls-Royce Group PLC* | 1,916 | 15,322 |
Rolls-Royce Group PLC "B"* | 171,673 | 341 |
Singapore Technologies Engineering Ltd. | 22,000 | 54,115 |
Teledyne Technologies, Inc.* | 7,300 | 343,100 |
United Technologies Corp. | 34,000 | 2,339,880 |
| 13,152,896 | |
Air Freight & Logistics 0.0% | ||
Deutsche Post AG (Registered) | 775 | 23,686 |
TNT NV | 2,702 | 100,439 |
Toll Holdings Ltd. | 2,318 | 21,227 |
| 145,352 | |
Airlines 0.4% | ||
Air France-KLM | 402 | 11,320 |
Alaska Air Group, Inc.* | 1,400 | 27,468 |
Allegiant Travel Co.* | 1,100 | 29,062 |
Cathay Pacific Airways Ltd. | 19,000 | 37,227 |
Deutsche Lufthansa AG (Registered) | 303 | 8,200 |
Iberia Lineas Aereas de Espana SA | 4,358 | 18,989 |
Northwest Airlines Corp.* | 154,300 | 1,387,157 |
Pinnacle Airlines Corp.* | 7,400 | 64,602 |
Qantas Airways Ltd. | 4,271 | 15,383 |
Singapore Airlines Ltd. | 9,000 | 102,384 |
US Airways Group, Inc.* | 136,100 | 1,212,651 |
| 2,914,443 | |
Building Products 0.1% | ||
Apogee Enterprises, Inc. | 17,100 | 263,340 |
Asahi Glass Co., Ltd. | 1,000 | 11,090 |
Assa Abloy AB "B" | 600 | 10,905 |
Compagnie de Saint-Gobain | 270 | 22,063 |
Daikin Industries Ltd. | 200 | 8,771 |
Geberit AG (Registered) | 86 | 12,815 |
Gibraltar Industries, Inc. | 2,000 | 23,460 |
Wienerberger AG | 6,458 | 344,833 |
| 697,277 | |
Commercial Services & Supplies 1.1% | ||
Adecco SA (Registered) | 270 | 15,608 |
Allied Waste Industries, Inc.* | 149,600 | 1,617,176 |
American Ecology Corp. | 300 | 7,599 |
Babcock International Group PLC | 33,076 | 375,096 |
Bowne & Co., Inc. | 1,500 | 22,875 |
Brambles Ltd. | 5,824 | 53,286 |
COMSYS IT Partners, Inc.* | 19,400 | 164,124 |
Consolidated Graphics, Inc.* | 5,000 | 280,250 |
Deluxe Corp. | 12,800 | 245,888 |
Diamond Management & Technology Consultants, Inc. | 1,900 | 12,255 |
Experian Group Ltd. | 1,147 | 8,353 |
G & K Services, Inc. "A" | 200 | 7,122 |
G4S PLC | 1,553 | 7,018 |
Herman Miller, Inc. | 11,500 | 282,555 |
Hudson Highland Group, Inc.* | 18,200 | 154,154 |
IKON Office Solutions, Inc. | 11,400 | 86,640 |
Intertek Group PLC | 18,496 | 378,765 |
PeopleSupport, Inc.* | 7,700 | 70,224 |
Randstad Holding NV | 371 | 17,441 |
Secom Co., Ltd. | 100 | 4,914 |
Securitas AB "B" | 600 | 7,937 |
Serco Group PLC | 32,043 | 288,519 |
SGS SA (Registered) | 10 | 14,388 |
The Advisory Board Co.* | 300 | 16,482 |
The Brink's Co. | 52,900 | 3,553,822 |
United Stationers, Inc.* | 6,400 | 305,280 |
Vedior NV (CVA) | 1,187 | 34,572 |
Volt Information Sciences, Inc.* | 12,700 | 215,392 |
Watson Wyatt Worldwide, Inc. "A" | 3,600 | 204,300 |
| 8,452,035 | |
Construction & Engineering 0.5% | ||
Acciona SA | 265 | 70,960 |
ACS, Actividades de Construccion y Servicios SA | 1,733 | 98,667 |
AMEC PLC | 85,478 | 1,227,162 |
Balfour Beatty PLC | 659 | 6,159 |
EMCOR Group, Inc.* | 12,800 | 284,288 |
FLSmidth & Co. AS | 250 | 24,797 |
Fomento de Construcciones y Contratas SA | 398 | 26,197 |
Granite Construction, Inc. | 9,000 | 294,390 |
Grupo Ferrovial SA | 536 | 38,936 |
Hochtief AG | 49 | 4,484 |
Leighton Holdings Ltd. | 13,674 | 537,475 |
Michael Baker Corp.* | 3,200 | 71,872 |
Orascom Construction Industries (GDR) | 100 | 14,975 |
Orascom Construction Industries (GDR) (REG S) | 3,550 | 531,824 |
Perini Corp.* | 7,100 | 257,233 |
Sacyr Vallehermoso SA | 722 | 25,072 |
Skanska AB "B" | 600 | 12,034 |
SNC-Lavalin Group, Inc. | 1,300 | 56,334 |
Vinci SA | 385 | 27,880 |
YIT Oyj | 2,870 | 81,520 |
| 3,692,259 | |
Electrical Equipment 0.3% | ||
ABB Ltd. (Registered) | 16,448 | 442,928 |
Acuity Brands, Inc. | 7,900 | 339,305 |
Alstom | 98 | 21,288 |
AZZ, Inc.* | 3,400 | 120,972 |
Encore Wire Corp. | 2,600 | 47,346 |
Gamesa Corp. Tecnologica SA | 1,492 | 68,074 |
GrafTech International Ltd.* | 15,000 | 243,150 |
II-VI, Inc.* | 8,500 | 322,830 |
LSI Industries, Inc. | 8,800 | 116,248 |
Mitsubishi Electric Corp. | 1,000 | 8,813 |
Renewable Energy Corp. AS* | 150 | 4,215 |
Schneider Electric SA | 201 | 26,003 |
Solarworld AG | 89 | 4,245 |
Sumitomo Electric Industries Ltd. | 600 | 7,613 |
Superior Essex, Inc.* | 9,600 | 269,952 |
Vestas Wind Systems AS* | 850 | 93,018 |
Woodward Governor Co. | 11,000 | 293,920 |
| 2,429,920 | |
Industrial Conglomerates 0.6% | ||
CSR Ltd. | 4,742 | 13,910 |
Fraser & Neave Ltd. | 15,000 | 53,204 |
General Electric Co. | 103,000 | 3,812,030 |
Hutchison Whampoa Ltd. | 31,000 | 295,027 |
Keppel Corp., Ltd. | 19,000 | 137,668 |
Koninklijke (Royal) Philips Electronics NV | 3,402 | 130,249 |
Orkla ASA | 900 | 11,454 |
SembCorp Industries Ltd. | 15,000 | 44,469 |
Siemens AG (Registered) | 917 | 99,516 |
Smiths Group PLC | 609 | 11,360 |
| 4,608,887 | |
Machinery 1.4% | ||
Actuant Corp. "A" | 6,600 | 199,386 |
Alfa Laval AB | 175 | 10,653 |
Atlas Copco AB "A" | 1,200 | 20,536 |
Atlas Copco AB "B" | 800 | 12,578 |
Caterpillar, Inc. | 66,700 | 5,221,943 |
China Infrastructure Machinery Holdings Ltd. | 258,000 | 196,337 |
Columbus McKinnon Corp.* | 7,500 | 232,350 |
FANUC Ltd. | 100 | 9,678 |
KCI Konecranes Oyj | 1,399 | 53,949 |
Komatsu Ltd. | 20,200 | 572,858 |
Kone Oyj "B" | 3,414 | 140,244 |
Kubota Corp. | 1,000 | 6,304 |
MAN AG | 116 | 15,394 |
Metso Corp. | 2,690 | 145,423 |
Mitsubishi Heavy Industries Ltd. | 2,000 | 8,704 |
Mueller Industries, Inc. | 3,200 | 92,320 |
PACCAR, Inc. | 58,400 | 2,628,000 |
Robbins & Myers, Inc. | 7,400 | 241,610 |
Sandvik AB | 1,600 | 27,854 |
Scania AB "B" | 600 | 12,601 |
Schindler Holding AG | 121 | 9,068 |
SKF AB "B" | 800 | 16,116 |
SMC Corp. | 100 | 10,581 |
Sulzer AG (Registered) | 6 | 7,932 |
Sun Hydraulics Corp. | 2,800 | 81,956 |
Trimas Corp.* | 6,800 | 35,836 |
Twin Disc, Inc. | 4,100 | 64,862 |
Vallourec SA | 49 | 11,915 |
Volvo AB "A" | 800 | 11,938 |
Volvo AB "B" | 1,900 | 28,834 |
Wartsila Corp. "B"* | 1,450 | 97,841 |
Xerium Technologies, Inc. | 17,400 | 22,446 |
Zardoya Otis SA | 998 | 27,727 |
| 10,275,774 | |
Marine 0.1% | ||
A P Moller-Maersk AS "B" | 5 | 55,878 |
Kirby Corp.* | 7,600 | 433,200 |
Kuehne & Nagel International AG (Registered) | 117 | 11,737 |
Mitsui OSK Lines Ltd. | 1,000 | 12,338 |
Nippon Yusen Kabushiki Kaisha | 1,000 | 9,427 |
TBS International Ltd. "A"* | 5,600 | 169,120 |
| 691,700 | |
Road & Rail 0.8% | ||
Burlington Northern Santa Fe Corp. | 7,300 | 673,206 |
Canadian National Railway Co. | 3,900 | 189,101 |
Canadian Pacific Railway Ltd. | 1,300 | 83,589 |
Central Japan Railway Co. | 1 | 10,413 |
ComfortDelgro Corp., Ltd. | 33,000 | 43,902 |
Dollar Thrifty Automotive Group, Inc.* | 4,100 | 55,924 |
DSV AS | 1,000 | 21,909 |
East Japan Railway Co. | 2 | 16,650 |
FirstGroup PLC | 629 | 7,037 |
Kansas City Southern* | 15,500 | 621,705 |
MTR Corp., Ltd. | 19,500 | 66,847 |
Ryder System, Inc. | 63,500 | 3,867,785 |
Tokyu Corp. | 1,000 | 5,102 |
West Japan Railway Co. | 2 | 8,799 |
| 5,671,969 | |
Trading Companies & Distributors 0.2% | ||
Applied Industrial Technologies, Inc. | 10,100 | 301,889 |
Finning International, Inc. | 1,600 | 45,313 |
Hagemeyer NV | 3,992 | 30,505 |
Itochu Corp. | 1,000 | 9,921 |
Marubeni Corp. | 1,000 | 7,432 |
Mitsubishi Corp. | 20,800 | 640,962 |
Mitsui & Co., Ltd. | 10,000 | 207,030 |
Noble Group Ltd. | 122,000 | 196,863 |
Sumitomo Corp. | 800 | 10,747 |
Wolseley PLC | 828 | 8,697 |
| 1,459,359 | |
Transportation Infrastructure 0.1% | ||
Abertis Infraestructuras SA | 2,126 | 69,276 |
Atlantia SpA | 277 | 8,385 |
Brisa | 29,178 | 416,842 |
Cintra Concesiones de Infraestructuras de Transporte SA | 1,891 | 27,968 |
DP World Ltd.* | 110,139 | 104,632 |
Hopewell Holdings | 9,000 | 34,377 |
Macquarie Infrastructure Group (Unit) | 11,449 | 29,376 |
Novorossiysk Sea Trade Port (GDR) 144A* | 5,800 | 87,000 |
Transurban Group (Unit) | 4,660 | 27,682 |
| 805,538 | |
Information Technology 8.2% | ||
Communications Equipment 0.5% | ||
Alcatel-Lucent | 10,494 | 60,098 |
Anaren, Inc.* | 3,600 | 45,576 |
Dycom Industries, Inc.* | 12,200 | 146,522 |
Juniper Networks, Inc.* | 86,700 | 2,167,500 |
MasTec, Inc.* | 19,700 | 161,737 |
Nokia Oyj | 23,681 | 753,376 |
Nortel Networks Corp.* | 1,300 | 8,865 |
Plantronics, Inc. | 4,300 | 83,033 |
Research In Motion Ltd.* | 1,500 | 168,771 |
Tandberg ASA | 1,300 | 19,537 |
Tekelec* | 20,600 | 256,470 |
Telefonaktiebolaget LM Ericsson "B" | 89,000 | 174,903 |
| 4,046,388 | |
Computers & Peripherals 2.1% | ||
Apple, Inc.* | 41,800 | 5,998,300 |
Data Domain, Inc.* | 8,000 | 190,400 |
Emulex Corp.* | 20,800 | 337,792 |
Fujitsu Ltd. | 2,000 | 13,133 |
Lexmark International, Inc. "A"* | 87,500 | 2,688,000 |
Logitech International SA (Registered)* | 5,470 | 138,438 |
NEC Corp. | 2,000 | 7,662 |
Novatel Wireless, Inc.* | 14,800 | 143,264 |
Rimage Corp.* | 700 | 15,330 |
Sun Microsystems, Inc.* | 209,400 | 3,251,982 |
Toshiba Corp. | 2,000 | 13,415 |
Western Digital Corp.* | 90,900 | 2,457,936 |
Wincor Nixdorf AG | 127 | 10,163 |
| 15,265,815 | |
Electronic Equipment & Instruments 1.0% | ||
Arrow Electronics, Inc.* | 4,800 | 161,520 |
Dolby Laboratories, Inc. "A"* | 50,200 | 1,820,252 |
Electrocomponents PLC | 5,671 | 20,452 |
Fujifilm Holdings Corp. | 300 | 10,658 |
Hitachi Ltd. | 3,000 | 17,844 |
Hoya Corp. | 300 | 7,111 |
IBIDEN Co., Ltd. | 100 | 3,954 |
Kingboard Chemical Holdings Ltd. | 19,900 | 70,949 |
Kyocera Corp. | 100 | 8,410 |
LoJack Corp.* | 1,500 | 18,960 |
Multi-Fineline Electronix, Inc.* | 8,300 | 155,791 |
Murata Manufacturing Co., Ltd. | 200 | 10,080 |
Nidec Corp. | 100 | 6,248 |
Omron Corp. | 200 | 4,150 |
TDK Corp. | 100 | 5,943 |
Tech Data Corp.* | 37,400 | 1,226,720 |
Tyco Electronics Ltd. | 111,700 | 3,833,544 |
| 7,382,586 | |
Internet Software & Services 0.6% | ||
Chordiant Software, Inc.* | 6,300 | 37,989 |
CMGI, Inc.* | 6,200 | 82,212 |
CNET Networks, Inc.* | 15,800 | 112,180 |
Earthlink, Inc.* | 15,900 | 120,045 |
eBay, Inc.* | 43,200 | 1,289,088 |
Google, Inc. "A"* | 5,865 | 2,583,357 |
Greenfield Online, Inc.* | 2,100 | 24,906 |
InfoSpace, Inc. | 5,100 | 59,007 |
j2 Global Communications, Inc.* | 3,700 | 82,584 |
Tencent Holdings Ltd. | 600 | 3,408 |
United Online, Inc. | 8,500 | 89,760 |
ValueClick, Inc.* | 4,400 | 75,900 |
Websense, Inc.* | 2,700 | 50,625 |
Yahoo! Japan Corp. | 13 | 6,840 |
| 4,617,901 | |
IT Services 0.8% | ||
Atos Origin SA* | 266 | 14,804 |
Cap Gemini SA | 633 | 36,114 |
CGI Group, Inc. "A"* | 900 | 9,557 |
Computer Sciences Corp.* | 31,300 | 1,276,727 |
CSG Systems International, Inc.* | 29,100 | 330,867 |
Indra Sistemas SA | 501 | 14,427 |
LogicaCMG PLC | 18,023 | 37,820 |
MasterCard, Inc. "A" | 13,800 | 3,077,262 |
MAXIMUS, Inc. | 9,100 | 334,061 |
NTT Data Corp. | 1 | 4,387 |
Redecard SA (GDR) 144A | 9,400 | 312,744 |
SRA International, Inc. "A"* | 4,400 | 106,964 |
| 5,555,734 | |
Office Electronics 0.1% | ||
Canon, Inc. | 17,700 | 820,225 |
Konica Minolta Holdings, Inc. | 500 | 6,894 |
Neopost SA | 135 | 15,170 |
Ricoh Co., Ltd. | 1,000 | 16,717 |
| 859,006 | |
Semiconductors & Semiconductor Equipment 1.2% | ||
Amkor Technology, Inc.* | 16,800 | 179,760 |
ARM Holdings PLC | 20,911 | 36,513 |
ASML Holding NV* | 8,644 | 212,567 |
Cabot Microelectronics Corp.* | 6,400 | 205,760 |
Cymer, Inc.* | 3,100 | 80,724 |
Infineon Technologies AG* | 2,595 | 18,248 |
Mattson Technology, Inc.* | 28,800 | 175,392 |
NVIDIA Corp.* | 94,400 | 1,868,176 |
OC Oerlikon Corp. AG (Registered)* | 204 | 71,780 |
Pericom Semiconductor Corp.* | 17,500 | 256,900 |
ROHM Co., Ltd. | 100 | 6,209 |
Semtech Corp.* | 23,100 | 331,023 |
Sigma Designs, Inc.* | 7,500 | 170,025 |
Skyworks Solutions, Inc.* | 16,800 | 122,304 |
Standard Microsystems Corp.* | 7,300 | 213,014 |
STMicroelectronics NV | 3,286 | 34,958 |
Tessera Technologies, Inc.* | 12,600 | 262,080 |
Texas Instruments, Inc. | 146,800 | 4,150,036 |
Tokyo Electron Ltd. | 200 | 12,374 |
Zoran Corp.* | 17,600 | 240,416 |
| 8,648,259 | |
Software 1.9% | ||
Advent Software, Inc.* | 6,500 | 277,030 |
Ansoft Corp.* | 11,300 | 344,876 |
Commvault Systems, Inc.* | 5,300 | 65,720 |
Compuware Corp.* | 109,400 | 802,996 |
Dassault Systemes SA | 246 | 14,298 |
Jack Henry & Associates, Inc. | 7,400 | 182,558 |
JDA Software Group, Inc.* | 15,100 | 275,575 |
MICROS Systems, Inc.* | 12,000 | 403,920 |
Microsoft Corp. | 345,558 | 9,806,936 |
Misys PLC | 6,246 | 17,165 |
Net 1 UEPS Technologies, Inc.* | 7,900 | 178,145 |
Nintendo Co., Ltd. | 1,300 | 673,447 |
Progress Software Corp.* | 2,300 | 68,816 |
Renaissance Learning, Inc. | 800 | 11,192 |
SAP AG | 2,996 | 148,850 |
Secure Computing Corp.* | 6,700 | 43,215 |
Solera Holdings, Inc.* | 1,500 | 36,540 |
SPSS, Inc.* | 1,200 | 46,536 |
Sybase, Inc.* | 1,400 | 36,820 |
Symantec Corp.* | 41,260 | 685,741 |
The Sage Group PLC | 20,009 | 74,684 |
Ultimate Software Group, Inc.* | 5,000 | 150,300 |
| 14,345,360 | |
Materials 3.1% | ||
Chemicals 1.7% | ||
Agrium, Inc. | 100 | 6,212 |
Akzo Nobel NV | 1,715 | 137,715 |
Asahi Kasei Corp. | 2,000 | 10,568 |
BASF SE | 480 | 64,598 |
Bayer AG | 8,825 | 706,862 |
CF Industries Holdings, Inc. | 4,500 | 466,290 |
Ciba Specialty Chemicals AG (Registered) | 254 | 9,262 |
Croda International PLC | 1,255 | 16,511 |
Eastman Chemical Co. | 8,500 | 530,825 |
Ferro Corp. | 4,500 | 66,870 |
GenTek, Inc.* | 3,600 | 108,288 |
Givaudan SA (Registered) | 20 | 19,785 |
JSR Corp. | 300 | 6,817 |
Koninklijke DSM NV | 939 | 45,327 |
Kuraray Co., Ltd. | 500 | 6,045 |
Linde AG | 3,025 | 427,600 |
Mitsubishi Chemical Holdings Corp. | 1,500 | 9,943 |
Mitsubishi Gas Chemical Co., Inc. | 1,000 | 7,129 |
Mitsui Chemicals, Inc. | 1,000 | 6,648 |
Monsanto Co. | 39,800 | 4,437,700 |
NewMarket Corp. | 2,300 | 173,535 |
Nitto Denko Corp. | 200 | 8,580 |
Novozymes AS "B" | 1,950 | 182,584 |
Orica Ltd. | 303 | 8,090 |
Potash Corp. of Saskatchewan, Inc. | 2,600 | 404,014 |
Rockwood Holdings, Inc.* | 3,100 | 101,587 |
Scotts Miracle-Gro Co. "A" | 14,700 | 476,574 |
Shin-Etsu Chemical Co., Ltd. | 500 | 25,946 |
Showa Denko KK | 2,000 | 6,759 |
Solvay SA | 856 | 109,473 |
Stepan Co. | 2,800 | 107,044 |
Sumitomo Chemical Co., Ltd. | 2,000 | 12,846 |
Syngenta AG (Registered) | 264 | 77,323 |
Teijin Ltd. | 2,000 | 8,531 |
Terra Industries, Inc.* | 8,700 | 309,111 |
The Mosaic Co.* | 27,400 | 2,811,240 |
Toray Industries, Inc. | 2,000 | 13,187 |
Umicore | 1,685 | 87,894 |
Uralkali (GDR) 144A* | 11,700 | 479,700 |
Yara International ASA | 2,850 | 165,642 |
| 12,660,655 | |
Construction Materials 0.1% | ||
CRH PLC | 4,758 | 179,947 |
Fletcher Building Ltd. | 468 | 3,095 |
Holcim Ltd. (Registered) | 596 | 62,585 |
Imerys SA | 185 | 16,964 |
Lafarge SA | 716 | 124,674 |
| 387,265 | |
Containers & Packaging 0.6% | ||
AEP Industries, Inc.* | 2,300 | 69,667 |
AptarGroup, Inc. | 5,200 | 202,436 |
Gerresheimer AG* | 7,364 | 370,484 |
Greif, Inc. "A" | 5,200 | 353,236 |
Owens-Illinois, Inc.* | 59,000 | 3,329,370 |
Rock-Tenn Co. "A" | 12,100 | 362,637 |
| 4,687,830 | |
Metals & Mining 0.6% | ||
Acerinox SA | 6,732 | 186,630 |
Agnico-Eagle Mines Ltd. | 100 | 6,783 |
AK Steel Holding Corp. | 41,100 | 2,236,662 |
Alumina Ltd. | 1,124 | 5,774 |
Anglo American PLC | 7,093 | 426,140 |
Barrick Gold Corp. | 600 | 26,234 |
BHP Billiton Ltd. | 2,382 | 78,261 |
BHP Billiton PLC | 1,249 | 37,048 |
BlueScope Steel Ltd. | 707 | 6,442 |
Boliden AB | 2,800 | 29,816 |
Compass Minerals International, Inc. | 5,600 | 330,288 |
First Quantum Minerals Ltd. | 100 | 8,109 |
Fording Canadian Coal Trust (Unit) | 100 | 5,236 |
Fortescue Metal Group Ltd.* | 1,040 | 6,227 |
Goldcorp, Inc. | 500 | 19,431 |
Harry Winston Diamond Corp. | 100 | 2,396 |
JFE Holdings, Inc. | 700 | 31,546 |
Kinross Gold Corp. | 400 | 8,924 |
Kobe Steel Ltd. | 4,000 | 11,604 |
Mitsubishi Materials Corp. | 2,000 | 8,825 |
Newcrest Mining Ltd. | 392 | 11,982 |
Nippon Steel Corp. | 7,000 | 36,010 |
Norsk Hydro ASA | 1,700 | 24,882 |
Outokumpu Oyj | 827 | 37,663 |
Rautaruukki Oyj | 583 | 28,174 |
Rio Tinto Ltd. | 231 | 25,832 |
Rio Tinto PLC | 533 | 55,340 |
Salzgitter AG | 47 | 8,165 |
SSAB Svenskt Stal AB "A" | 1,700 | 47,886 |
Sumitomo Metal Industries Ltd. | 5,000 | 19,238 |
Sumitomo Metal Mining Co., Ltd. | 1,000 | 18,744 |
Teck Cominco Ltd. "B" | 300 | 12,302 |
ThyssenKrupp AG | 372 | 21,263 |
Universal Stainless & Alloy Products, Inc.* | 2,800 | 83,188 |
Vedanta Resources PLC | 8,997 | 374,154 |
voestalpine AG | 556 | 38,747 |
Worthington Industries, Inc. | 16,100 | 271,607 |
Xstrata PLC | 6,437 | 450,764 |
Yamana Gold, Inc. | 400 | 5,869 |
Zinifex Ltd. | 479 | 4,389 |
| 5,048,575 | |
Paper & Forest Products 0.1% | ||
Buckeye Technologies, Inc.* | 10,400 | 116,064 |
Oji Paper Co., Ltd. | 2,000 | 9,095 |
Schweitzer-Mauduit International, Inc. | 5,300 | 122,642 |
Stora Enso Oyj "R" | 3,956 | 45,700 |
Svenska Cellulosa AB "B" | 5,200 | 94,719 |
UPM-Kymmene Oyj | 3,601 | 63,945 |
| 452,165 | |
Telecommunication Services 3.3% | ||
Diversified Telecommunication Services 2.9% | ||
Alaska Communications Systems Group, Inc. | 24,900 | 304,776 |
AT&T, Inc. | 147,559 | 5,651,510 |
Atlantic Tele-Network, Inc. | 4,400 | 148,852 |
BCE, Inc. | 1,800 | 60,938 |
Belgacom | 332 | 14,700 |
BT Group PLC | 6,617 | 28,526 |
Cable & Wireless PLC | 2,185 | 6,456 |
Cincinnati Bell, Inc.* | 28,200 | 120,132 |
Deutsche Telekom AG (Registered) | 8,950 | 148,804 |
Elisa Oyj | 362 | 9,040 |
Embarq Corp. | 73,000 | 2,927,300 |
France Telecom SA | 12,955 | 435,579 |
Koninklijke (Royal) KPN NV | 16,378 | 277,298 |
Nippon Telegraph & Telephone Corp. | 41 | 178,351 |
PCCW Ltd. | 439,000 | 274,894 |
Portugal Telecom, SGPS SA (Registered) | 14,680 | 170,655 |
PT Telekomunikasi Indonesia (ADR) | 13,400 | 561,996 |
Singapore Telecommunications Ltd. | 139,000 | 398,368 |
Swisscom AG (Registered) | 834 | 285,864 |
Tele2 AB "B" | 3,700 | 69,968 |
Telecom Corp. of New Zealand Ltd. | 114,954 | 338,288 |
Telecom Italia SpA | 81,685 | 170,904 |
Telecom Italia SpA (RNC) | 45,323 | 75,242 |
Telefonica SA | 35,056 | 1,007,272 |
Telekom Austria AG | 20,307 | 420,236 |
Telenor ASA* | 9,500 | 182,577 |
TeliaSonera AB | 28,500 | 228,966 |
Telstra Corp., Ltd. | 63,819 | 257,186 |
Telstra Corp., Ltd. (Insurance Receipt) | 32,245 | 83,084 |
Telus Corp. | 400 | 17,419 |
Telus Corp. (Non-Voting Shares) | 1,100 | 46,349 |
Verizon Communications, Inc. | 187,200 | 6,823,440 |
| 21,724,970 | |
Wireless Telecommunication Services 0.4% | ||
America Movil SAB de CV "L" (ADR) | 4,800 | 305,712 |
Bouygues SA | 450 | 28,583 |
China Mobile Ltd. | 20,500 | 306,662 |
Hutchison Telecommunications International Ltd. | 157,000 | 224,649 |
KDDI Corp. | 20 | 123,617 |
Mobistar SA | 78 | 7,068 |
NTT DoCoMo, Inc. | 127 | 192,851 |
Rogers Communications, Inc. "B" | 3,400 | 122,293 |
Softbank Corp. | 5,900 | 108,795 |
Syniverse Holdings, Inc.* | 2,600 | 43,316 |
Telephone & Data Systems, Inc. | 16,800 | 659,736 |
USA Mobility, Inc.* | 24,100 | 172,074 |
Vodafone Group PLC | 129,816 | 388,715 |
| 2,684,071 | |
Utilities 2.2% | ||
Electric Utilities 1.4% | ||
American Electric Power Co., Inc. | 36,100 | 1,502,843 |
Brookfield Infrastructure Partners LP | 16 | 271 |
Chubu Electric Power Co., Inc. | 3,700 | 92,908 |
CLP Holdings Ltd. | 17,500 | 144,501 |
E.ON AG | 5,248 | 971,083 |
Edison International | 96,500 | 4,730,430 |
EDP — Energias de Portugal SA | 28,967 | 175,586 |
Enel SpA | 33,787 | 359,082 |
Fortis, Inc. | 3,600 | 102,446 |
Fortum Oyj | 578 | 23,548 |
Hokkaido Electric Power Co., Inc. | 1,100 | 25,707 |
HongKong Electric Holdings Ltd. | 20,000 | 127,434 |
Iberdrola SA | 43,356 | 672,162 |
Kansai Electric Power Co., Inc. | 3,800 | 94,892 |
Kyushu Electric Power Co., Inc. | 2,100 | 51,521 |
Oesterreichische Elektrizitaetswirtschafts AG "A" | 104 | 7,420 |
RWE AG | 397 | 48,773 |
Scottish & Southern Energy PLC | 3,150 | 87,794 |
Terna — Rate Elettrica Nationale SpA | 9,810 | 41,831 |
Tohoku Electric Power Co., Inc. | 2,400 | 58,747 |
Tokyo Electric Power Co., Inc. | 6,300 | 169,470 |
Union Fenosa SA | 3,762 | 252,834 |
Westar Energy, Inc. | 12,300 | 280,071 |
| 10,021,354 | |
Gas Utilities 0.2% | ||
Centrica PLC | 14,645 | 86,676 |
Gas Natural SDG SA | 3,938 | 243,587 |
Gaz de France | 252 | 15,230 |
Hong Kong & China Gas Co., Ltd. | 53,000 | 160,115 |
New Jersey Resources Corp. | 3,300 | 102,465 |
Osaka Gas Co., Ltd. | 11,000 | 44,181 |
Snam Rete Gas SpA | 6,997 | 44,458 |
South Jersey Industries, Inc. | 900 | 31,599 |
Southwest Gas Corp. | 4,300 | 120,228 |
The Laclede Group, Inc. | 3,700 | 131,831 |
Tokyo Gas Co., Ltd. | 13,000 | 52,676 |
WGL Holdings, Inc. | 13,300 | 426,398 |
| 1,459,444 | |
Independent Power Producers & Energy Traders 0.1% | ||
Constellation Energy Group | 9,700 | 856,219 |
Electric Power Development Co., Ltd. | 900 | 32,450 |
International Power PLC | 6,598 | 52,110 |
TransAlta Corp. | 4,600 | 143,093 |
| 1,083,872 | |
Multi-Utilities 0.5% | ||
AGL Energy Ltd. | 35,311 | 357,080 |
National Grid PLC | 9,504 | 130,417 |
Sempra Energy | 62,500 | 3,330,000 |
Suez SA | 1,359 | 89,287 |
United Utilities PLC | 2,574 | 35,269 |
Veolia Environnement | 463 | 32,274 |
| 3,974,327 | |
Water Utilities 0.0% | ||
Severn Trent PLC | 708 | 19,936 |
Total Common Stocks (Cost $454,629,611) | 430,618,450 |
| Principal Amount ($) | Value ($) |
|
| |
Corporate Bonds 7.6% | ||
Consumer Discretionary 0.9% | ||
AMC Entertainment, Inc., 8.0%, 3/1/2014 | 120,000 | 101,700 |
American Achievement Corp., 8.25%, 4/1/2012 | 20,000 | 17,850 |
American Achievement Group Holding Corp., 14.75%, 10/1/2012 (PIK) | 35,000 | 27,475 |
Asbury Automotive Group, Inc.: |
|
|
7.625%, 3/15/2017 | 45,000 | 35,550 |
8.0%, 3/15/2014 | 20,000 | 17,400 |
Burlington Coat Factory Warehouse Corp., 11.125%, 4/15/2014 | 40,000 | 30,900 |
Cablevision Systems Corp., Series B, 9.644%**, 4/1/2009 | 25,000 | 24,812 |
CanWest MediaWorks LP, 144A, 9.25%, 8/1/2015 | 35,000 | 32,200 |
Charter Communications Holdings LLC, 11.0%, 10/1/2015 | 70,000 | 48,650 |
Charter Communications, Inc., 144A, 10.875%, 9/15/2014 | 65,000 | 64,025 |
Cooper-Standard Automotive, Inc., 8.375%, 12/15/2014 | 25,000 | 18,938 |
CSC Holdings, Inc.: |
|
|
7.25%, 7/15/2008 | 35,000 | 35,000 |
Series B, 8.125%, 7/15/2009 | 35,000 | 35,350 |
Series B, 8.125%, 8/15/2009 | 75,000 | 75,750 |
Denny's Holdings, Inc., 10.0%, 10/1/2012 | 10,000 | 9,200 |
EchoStar DBS Corp.: |
|
|
6.375%, 10/1/2011 | 10,000 | 9,600 |
6.625%, 10/1/2014 | 55,000 | 50,050 |
7.125%, 2/1/2016 | 40,000 | 37,300 |
Fontainebleau Las Vegas Holdings LLC, 144A, 10.25%, 6/15/2015 | 55,000 | 38,775 |
Foot Locker, Inc., 8.5%, 1/15/2022 | 15,000 | 13,200 |
French Lick Resorts & Casino LLC, 144A, 10.75%, 4/15/2014 | 165,000 | 99,000 |
General Motors Corp.: |
|
|
7.2%, 1/15/2011 | 150,000 | 125,250 |
7.4%, 9/1/2025 | 35,000 | 23,450 |
Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015 | 40,000 | 38,050 |
Group 1 Automotive, Inc., 8.25%, 8/15/2013 | 20,000 | 18,800 |
Hanesbrands, Inc., Series B, 8.204%**, 12/15/2014 | 60,000 | 53,250 |
Hertz Corp.: |
|
|
8.875%, 1/1/2014 | 95,000 | 90,012 |
10.5%, 1/1/2016 | 20,000 | 18,725 |
Idearc, Inc., 8.0%, 11/15/2016 | 255,000 | 165,112 |
Indianapolis Downs LLC, 144A, 11.0%, 11/1/2012 | 25,000 | 21,750 |
Isle of Capri Casinos, Inc., 7.0%, 3/1/2014 | 45,000 | 32,062 |
Jarden Corp., 7.5%, 5/1/2017 | 30,000 | 26,250 |
Lamar Media Corp., Series C, 6.625%, 8/15/2015 | 25,000 | 22,000 |
Liberty Media LLC: |
|
|
5.7%, 5/15/2013 | 10,000 | 8,756 |
8.25%, 2/1/2030 | 55,000 | 46,157 |
8.5%, 7/15/2029 | 70,000 | 59,810 |
Mediacom Broadband LLC, 8.5%, 10/15/2015 | 5,000 | 4,200 |
MGM MIRAGE: |
|
|
6.75%, 9/1/2012 | 15,000 | 13,913 |
8.375%, 2/1/2011 | 35,000 | 35,087 |
MTR Gaming Group, Inc., Series B, 9.75%, 4/1/2010 | 65,000 | 62,725 |
Pinnacle Entertainment, Inc., 8.75%, 10/1/2013 | 40,000 | 39,400 |
Quebecor Media, Inc., 7.75%, 3/15/2016 | 25,000 | 22,812 |
Quiksilver, Inc., 6.875%, 4/15/2015 | 100,000 | 80,500 |
Shingle Springs Tribal Gaming Authority, 144A, 9.375%, 6/15/2015 | 30,000 | 26,550 |
Simmons Co.: |
|
|
Step-up Coupon, 0% to 12/15/2009, 10.0% to 12/15/2014 | 125,000 | 80,625 |
7.875%, 1/15/2014 | 25,000 | 20,500 |
Sinclair Television Group, Inc., 8.0%, 3/15/2012 | 20,000 | 20,200 |
Station Casinos, Inc., 6.5%, 2/1/2014 | 75,000 | 45,000 |
TCI Communications, Inc., 8.75%, 8/1/2015 | 1,085,000 | 1,227,335 |
Time Warner Cable, Inc., 5.4%, 7/2/2012 | 1,981,000 | 1,946,396 |
Travelport LLC, 7.701%**, 9/1/2014 | 35,000 | 28,350 |
Trump Entertainment Resorts, Inc., 8.5%, 6/1/2015 | 85,000 | 57,375 |
United Components, Inc., 9.375%, 6/15/2013 | 5,000 | 4,581 |
Viacom, Inc.: |
|
|
5.75%, 4/30/2011 | 678,000 | 685,221 |
6.75%, 10/5/2037 | 360,000 | 345,243 |
Vitro SAB de CV: |
|
|
9.125%, 2/1/2017 | 140,000 | 116,200 |
11.75%, 11/1/2013 | 15,000 | 15,188 |
XM Satellite Radio, Inc., 9.75%, 5/1/2014 | 85,000 | 82,025 |
| 6,531,585 | |
Consumer Staples 0.6% | ||
Alliance One International, Inc., 8.5%, 5/15/2012 | 20,000 | 18,800 |
CVS Caremark Corp.: |
|
|
6.25%, 6/1/2027 | 487,000 | 485,333 |
6.302%, 6/1/2037 | 1,336,000 | 1,225,144 |
Delhaize America, Inc., 9.0%, 4/15/2031 | 480,000 | 577,684 |
Kroger Co., 6.8%, 4/1/2011 | 590,000 | 627,443 |
Miller Brewing Co., 144A, 5.5%, 8/15/2013 | 765,000 | 813,057 |
Pilgrim's Pride Corp., 7.625%, 5/1/2015 | 15,000 | 14,437 |
Rite Aid Corp., 7.5%, 3/1/2017 | 65,000 | 58,500 |
Smithfield Foods, Inc., 7.75%, 7/1/2017 | 45,000 | 43,875 |
Tesco PLC, 144A, 6.15%, 11/15/2037 | 700,000 | 678,362 |
| 4,542,635 | |
Energy 0.8% | ||
Atlas Energy Resources LLC, 144A, 10.75%, 2/1/2018 | 15,000 | 15,188 |
Belden & Blake Corp., 8.75%, 7/15/2012 | 205,000 | 205,512 |
Bristow Group, Inc., 7.5%, 9/15/2017 | 35,000 | 35,175 |
Canadian Natural Resources Ltd., 6.5%, 2/15/2037 (a) | 510,000 | 504,509 |
Chaparral Energy, Inc., 8.5%, 12/1/2015 | 45,000 | 39,150 |
Chesapeake Energy Corp.: |
|
|
6.25%, 1/15/2018 | 25,000 | 23,875 |
6.875%, 1/15/2016 | 120,000 | 118,800 |
7.75%, 1/15/2015 | 15,000 | 15,450 |
Cimarex Energy Co., 7.125%, 5/1/2017 | 30,000 | 29,775 |
Delta Petroleum Corp., 7.0%, 4/1/2015 | 85,000 | 75,650 |
Dynegy Holdings, Inc.: |
|
|
6.875%, 4/1/2011 | 15,000 | 14,738 |
8.375%, 5/1/2016 | 70,000 | 69,300 |
El Paso Corp., 9.625%, 5/15/2012 | 34,000 | 36,802 |
Energy Partners Ltd., 9.75%, 4/15/2014 | 35,000 | 28,875 |
EXCO Resources, Inc., 7.25%, 1/15/2011 | 30,000 | 29,175 |
Frontier Oil Corp., 6.625%, 10/1/2011 | 25,000 | 24,687 |
Mariner Energy, Inc.: |
|
|
7.5%, 4/15/2013 | 25,000 | 24,000 |
8.0%, 5/15/2017 | 25,000 | 23,875 |
OPTI Canada, Inc., 8.25%, 12/15/2014 | 100,000 | 99,000 |
Pemex Project Funding Master Trust, 144A, 5.75%, 3/1/2018 (a) | 236,000 | 240,810 |
Petrohawk Energy Corp., 9.125%, 7/15/2013 | 20,000 | 20,550 |
Quicksilver Resources, Inc., 7.125%, 4/1/2016 | 90,000 | 86,850 |
Sabine Pass LNG LP, 7.5%, 11/30/2016 | 105,000 | 101,325 |
Southwestern Energy Co., 144A, 7.5%, 2/1/2018 | 10,000 | 10,350 |
SPI Electricity Property Ltd., 144A, 7.25%, 12/1/2016 | 2,875,000 | 3,169,785 |
Stone Energy Corp.: |
|
|
6.75%, 12/15/2014 | 130,000 | 118,300 |
8.25%, 12/15/2011 | 50,000 | 49,500 |
Tesoro Corp., 6.5%, 6/1/2017 | 20,000 | 17,900 |
TransCanada PipeLines Ltd., 6.35%, 5/15/2067 | 745,000 | 658,494 |
| 5,887,400 | |
Financials 2.1% | ||
Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015 | 120,000 | 103,800 |
American Express Centurion Bank, 5.55%, 10/17/2012 | 700,000 | 706,339 |
American General Finance Corp.: |
|
|
Series H, 4.625%, 9/1/2010 | 1,305,000 | 1,300,311 |
Series J, 5.625%, 8/17/2011 | 895,000 | 896,043 |
Ashton Woods USA LLC, 9.5%, 10/1/2015 | 100,000 | 53,500 |
Bank of New York Mellon Corp., Series G, 4.95%, 11/1/2012 | 1,440,000 | 1,475,392 |
Buffalo Thunder Development Authority, 144A, 9.375%, 12/15/2014 | 20,000 | 15,000 |
Corp. Andina de Fomento: |
|
|
5.75%, 1/12/2017 | 570,000 | 557,292 |
6.875%, 3/15/2012 | 210,000 | 225,831 |
E*TRADE Financial Corp.: |
|
|
7.375%, 9/15/2013 | 35,000 | 24,850 |
7.875%, 12/1/2015 | 80,000 | 56,800 |
Erac USA Finance Co.: |
|
|
144A, 5.8%, 10/15/2012 | 420,000 | 400,290 |
144A, 7.0%, 10/15/2037 | 995,000 | 817,960 |
144A, 8.0%, 1/15/2011 | 1,180,000 | 1,258,823 |
Farmers Exchange Capital, 144A, 7.2%, 7/15/2048 | 760,000 | 690,500 |
Ford Motor Credit Co., LLC: |
|
|
7.25%, 10/25/2011 | 260,000 | 213,570 |
7.375%, 10/28/2009 | 460,000 | 419,121 |
7.875%, 6/15/2010 | 125,000 | 108,992 |
FPL Group Capital, Inc., 6.65%, 6/15/2067 | 1,037,000 | 957,656 |
General Electric Capital Corp., 5.875%, 1/14/2038 | 480,000 | 462,652 |
GMAC LLC, 6.875%, 9/15/2011 | 500,000 | 382,682 |
Hawker Beechcraft Acquisition Co., LLC: |
|
|
8.5%, 4/1/2015 | 65,000 | 66,787 |
9.75%, 4/1/2017 | 50,000 | 49,750 |
Hexion US Finance Corp., 9.75%, 11/15/2014 | 10,000 | 10,725 |
Inmarsat Finance PLC, Step-up Coupon, 0% to 11/15/2008, 10.375% to 11/15/2012 | 90,000 | 87,300 |
iPayment, Inc., 9.75%, 5/15/2014 | 40,000 | 35,500 |
Pinnacle Foods Finance LLC, 9.25%, 4/1/2015 | 25,000 | 22,125 |
Residential Capital LLC: |
|
|
3.49%**, 6/9/2008 | 15,000 | 11,850 |
6.37%**, 11/21/2008 | 105,000 | 71,400 |
8.125%, 11/21/2008 | 65,000 | 44,850 |
StanCorp Financial Group, Inc., 6.9%, 5/29/2067 | 720,000 | 640,026 |
Symetra Financial Corp., 144A, 8.3%, 10/15/2037 | 340,000 | 320,215 |
The Travelers Cos., Inc., 6.25%, 3/15/2037 | 185,000 | 163,174 |
TNK-BP Finance SA: |
|
|
Series 5, 144A, 7.5%, 3/13/2013 | 365,000 | 355,419 |
Series 6, 144A, 7.875%, 3/13/2018 (a) | 330,000 | 304,837 |
UCI Holdco, Inc., 12.49%**, 12/15/2013 (PIK) | 50,000 | 43,500 |
UDR, Inc., Series E, (REIT), 3.9%, 3/15/2010 | 305,000 | 293,232 |
Universal City Development Partners, 11.75%, 4/1/2010 | 160,000 | 164,400 |
Wells Fargo & Co., 5.25%, 10/23/2012 | 380,000 | 394,088 |
Woori Bank, 144A, 6.208%, 5/2/2037 | 670,000 | 530,895 |
Xstrata Finance Canada Ltd., 144A, 5.8%, 11/15/2016 | 711,000 | 686,665 |
| 15,424,142 | |
Health Care 0.2% | ||
Advanced Medical Optics, Inc., 7.5%, 5/1/2017 | 55,000 | 47,300 |
Bausch & Lomb, Inc., 144A, 9.875%, 11/1/2015 | 55,000 | 55,963 |
Boston Scientific Corp., 6.0%, 6/15/2011 | 35,000 | 34,125 |
Community Health Systems, Inc., 8.875%, 7/15/2015 | 260,000 | 260,975 |
HCA, Inc.: |
|
|
9.125%, 11/15/2014 | 50,000 | 51,500 |
9.25%, 11/15/2016 | 175,000 | 181,562 |
9.625%, 11/15/2016 (PIK) | 55,000 | 57,063 |
HEALTHSOUTH Corp., 10.75%, 6/15/2016 | 25,000 | 26,250 |
IASIS Healthcare LLC, 8.75%, 6/15/2014 | 50,000 | 49,750 |
Psychiatric Solutions, Inc., 7.75%, 7/15/2015 | 30,000 | 29,850 |
Quest Diagnostics, Inc., 6.95%, 7/1/2037 | 336,000 | 332,633 |
Schering-Plough Corp., 6.55%, 9/15/2037 | 390,000 | 375,586 |
Sun Healthcare Group, Inc., 9.125%, 4/15/2015 | 40,000 | 38,600 |
Surgical Care Affiliates, Inc., 144A, 8.875%, 7/15/2015 (PIK) | 45,000 | 34,650 |
The Cooper Companies, Inc., 7.125%, 2/15/2015 | 75,000 | 71,250 |
Vanguard Health Holding Co. II, LLC, 9.0%, 10/1/2014 | 125,000 | 120,312 |
| 1,767,369 | |
Industrials 0.2% | ||
Actuant Corp., 144A, 6.875%, 6/15/2017 | 25,000 | 24,688 |
Allied Waste North America, Inc., 6.5%, 11/15/2010 | 25,000 | 25,000 |
American Railcar Industries, Inc., 7.5%, 3/1/2014 | 35,000 | 30,800 |
ARAMARK Corp., 6.739%**, 2/1/2015 | 45,000 | 39,712 |
Baldor Electric Co., 8.625%, 2/15/2017 | 30,000 | 29,700 |
Belden, Inc., 7.0%, 3/15/2017 | 30,000 | 28,950 |
Browning-Ferris Industries, Inc., 7.4%, 9/15/2035 | 105,000 | 95,550 |
Building Materials Corp. of America, 7.75%, 8/1/2014 | 45,000 | 32,400 |
Cenveo Corp., 7.875%, 12/1/2013 | 55,000 | 44,550 |
DRS Technologies, Inc.: |
|
|
6.625%, 2/1/2016 | 15,000 | 14,663 |
6.875%, 11/1/2013 | 95,000 | 93,100 |
7.625%, 2/1/2018 | 110,000 | 110,000 |
Education Management LLC, 8.75%, 6/1/2014 | 30,000 | 25,350 |
Esco Corp.: |
|
|
144A, 6.675%**, 12/15/2013 | 35,000 | 30,100 |
144A, 8.625%, 12/15/2013 | 65,000 | 63,050 |
General Cable Corp., 7.125%, 4/1/2017 | 5,000 | 4,775 |
Gibraltar Industries, Inc., Series B, 8.0%, 12/1/2015 | 30,000 | 24,300 |
Great Lakes Dredge & Dock Co., 7.75%, 12/15/2013 | 30,000 | 27,450 |
Harland Clarke Holdings Corp., 9.5%, 5/15/2015 | 35,000 | 25,725 |
K. Hovnanian Enterprises, Inc.: |
|
|
6.25%, 1/15/2016 | 45,000 | 30,375 |
8.875%, 4/1/2012 | 145,000 | 80,475 |
Kansas City Southern de Mexico SA de CV, 144A, 7.375%, 6/1/2014 | 55,000 | 50,737 |
Navios Maritime Holdings, Inc., 9.5%, 12/15/2014 | 50,000 | 49,812 |
R.H. Donnelley Corp., 144A, 8.875%, 10/15/2017 | 125,000 | 78,125 |
Rainbow National Services LLC, 144A, 10.375%, 9/1/2014 | 5,000 | 5,300 |
RBS Global & Rexnord Corp., 9.5%, 8/1/2014 | 35,000 | 32,725 |
Titan International, Inc., 8.0%, 1/15/2012 | 130,000 | 127,400 |
United Rentals North America, Inc.: |
|
|
6.5%, 2/15/2012 | 80,000 | 72,400 |
7.0%, 2/15/2014 | 95,000 | 74,575 |
Vought Aircraft Industries, Inc., 8.0%, 7/15/2011 | 25,000 | 22,938 |
| 1,394,725 | |
Information Technology 0.4% | ||
Alion Science & Technology Corp., 10.25%, 2/1/2015 | 25,000 | 14,125 |
Broadridge Financial Solutions, Inc., 6.125%, 6/1/2017 | 629,000 | 590,610 |
Computer Sciences Corp., 144A, 6.5%, 3/15/2018 | 295,000 | 299,718 |
Dun & Bradstreet Corp., 6.0%, 4/1/2013 | 725,000 | 727,158 |
Freescale Semiconductor, Inc., 8.875%, 12/15/2014 | 120,000 | 93,900 |
L-3 Communications Corp.: |
|
|
5.875%, 1/15/2015 | 105,000 | 100,537 |
Series B, 6.375%, 10/15/2015 | 50,000 | 48,875 |
Lucent Technologies, Inc., 6.45%, 3/15/2029 | 145,000 | 103,675 |
MasTec, Inc., 7.625%, 2/1/2017 | 45,000 | 39,150 |
Seagate Technology HDD Holdings, 6.8%, 10/1/2016 | 60,000 | 57,150 |
SunGard Data Systems, Inc., 10.25%, 8/15/2015 | 95,000 | 95,475 |
Tyco Electronics Group SA, 144A, 6.0%, 10/1/2012 | 930,000 | 953,194 |
| 3,123,567 | |
Materials 0.4% | ||
Appleton Papers, Inc., Series B, 8.125%, 6/15/2011 | 20,000 | 19,250 |
Associated Materials, Inc., Step-up Coupon, 0% to 3/1/2009, 11.25% to 3/1/2014 | 75,000 | 51,188 |
Cascades, Inc., 7.25%, 2/15/2013 | 110,000 | 97,075 |
Celulosa Arauco y Constitucion SA, 5.625%, 4/20/2015 | 1,042,000 | 1,039,272 |
Chemtura Corp., 6.875%, 6/1/2016 | 60,000 | 53,400 |
CPG International I, Inc., 10.5%, 7/1/2013 | 45,000 | 37,800 |
Exopack Holding Corp., 11.25%, 2/1/2014 | 105,000 | 96,075 |
Freeport-McMoRan Copper & Gold, Inc., 8.375%, 4/1/2017 | 50,000 | 53,062 |
Georgia-Pacific LLC: |
|
|
144A, 7.125%, 1/15/2017 | 25,000 | 23,125 |
9.5%, 12/1/2011 | 30,000 | 30,525 |
Hexcel Corp., 6.75%, 2/1/2015 | 135,000 | 130,612 |
Innophos, Inc., 8.875%, 8/15/2014 | 15,000 | 14,550 |
Koppers Holdings, Inc., Step-up Coupon, 0% to 11/15/2009, 9.875% to 11/15/2014 | 90,000 | 78,075 |
Millar Western Forest Products Ltd., 7.75%, 11/15/2013 | 15,000 | 10,125 |
Momentive Performance Materials, Inc., 9.75%, 12/1/2014 | 40,000 | 35,900 |
Mueller Water Products, Inc., 7.375%, 6/1/2017 | 20,000 | 17,250 |
NewMarket Corp., 7.125%, 12/15/2016 | 80,000 | 78,000 |
Sappi Papier Holding AG, 144A, 6.75%, 6/15/2012 | 499,000 | 452,788 |
Smurfit-Stone Container Enterprises, Inc.: |
|
|
8.0%, 3/15/2017 | 65,000 | 54,600 |
8.25%, 10/1/2012 | 50,000 | 45,063 |
8.375%, 7/1/2012 | 30,000 | 27,150 |
Steel Dynamics, Inc., 144A, 7.375%, 11/1/2012 | 15,000 | 15,150 |
The Mosaic Co., 144A, 7.625%, 12/1/2014 | 60,000 | 64,200 |
Witco Corp., 6.875%, 2/1/2026 | 25,000 | 16,750 |
Xstrata Canada Corp., 6.0%, 10/15/2015 | 160,000 | 157,998 |
| 2,698,983 | |
Telecommunication Services 0.4% | ||
British Telecommunications PLC, 5.15%, 1/15/2013 | 700,000 | 689,815 |
Centennial Communications Corp.: |
|
|
10.0%, 1/1/2013 | 90,000 | 83,700 |
10.125%, 6/15/2013 | 25,000 | 24,688 |
Cincinnati Bell, Inc.: |
|
|
7.25%, 7/15/2013 | 75,000 | 73,687 |
8.375%, 1/15/2014 | 40,000 | 37,500 |
Cricket Communications, Inc., 144A, 9.375%, 11/1/2014 | 40,000 | 37,900 |
Embratel, Series B, 11.0%, 12/15/2008 | 15,000 | 15,675 |
Intelsat Jackson Holdings Ltd.: |
|
|
9.25%, 6/15/2016 | 20,000 | 20,150 |
11.25%, 6/15/2016 | 70,000 | 70,962 |
Intelsat Corp., 9.0%, 6/15/2016 | 25,000 | 25,188 |
Intelsat Subsidiary Holding Co., Ltd., 8.25%, 1/15/2013 | 65,000 | 65,487 |
iPCS, Inc., 5.364%**, 5/1/2013 | 15,000 | 11,550 |
MetroPCS Wireless, Inc., 9.25%, 11/1/2014 | 70,000 | 64,400 |
Millicom International Cellular SA, 10.0%, 12/1/2013 | 155,000 | 164,300 |
Nortel Networks Ltd., 8.508%**, 7/15/2011 | 60,000 | 51,450 |
Qwest Corp.: |
|
|
7.625%, 6/15/2015 | 913,000 | 890,175 |
7.875%, 9/1/2011 | 40,000 | 39,900 |
Rural Cellular Corp., 9.875%, 2/1/2010 | 70,000 | 71,925 |
SK Telecom Co., Ltd., 144A, 6.625%, 7/20/2027 | 250,000 | 245,751 |
SunCom Wireless Holdings, Inc., 8.5%, 6/1/2013 | 165,000 | 171,806 |
US Unwired, Inc., Series B, 10.0%, 6/15/2012 | 70,000 | 64,925 |
Verizon Communications, Inc., 6.4%, 2/15/2038 | 250,000 | 243,393 |
Virgin Media Finance PLC, 8.75%, 4/15/2014 | 80,000 | 71,800 |
| 3,236,127 | |
Utilities 1.6% | ||
AES Corp.: |
|
|
8.0%, 10/15/2017 | 65,000 | 65,813 |
144A, 8.75%, 5/15/2013 | 205,000 | 213,200 |
Allegheny Energy Supply Co., LLC, 144A, 8.25%, 4/15/2012 | 245,000 | 264,600 |
Appalachian Power Co., 7.0%, 4/1/2038 | 480,000 | 470,397 |
Arizona Public Service Co., 6.875%, 8/1/2036 | 490,000 | 466,100 |
CMS Energy Corp., 8.5%, 4/15/2011 | 150,000 | 159,325 |
Commonwealth Edison Co.: |
|
|
Series 98, 6.15%, 3/15/2012 | 265,000 | 276,583 |
5.8%, 3/15/2018 | 705,000 | 701,294 |
Dominion Resources, Inc.: |
|
|
Series 06-B, 6.3%, 9/30/2066 | 400,000 | 365,812 |
7.5%, 6/30/2066 | 1,305,000 | 1,204,606 |
Edison Mission Energy, 7.0%, 5/15/2017 | 55,000 | 54,725 |
Energy East Corp.: |
|
|
6.75%, 6/15/2012 | 970,000 | 1,036,600 |
6.75%, 7/15/2036 | 450,000 | 437,076 |
Energy Future Holdings Corp., 144A, 10.875%, 11/1/2017 | 100,000 | 101,000 |
FPL Group Capital, Inc., Series D, 7.3%, 9/1/2067 | 170,000 | 166,265 |
Integrys Energy Group, Inc., 6.11%, 12/1/2066 | 795,000 | 685,309 |
Mirant Americas Generation LLC, 8.3%, 5/1/2011 | 55,000 | 56,100 |
Mirant North America LLC, 7.375%, 12/31/2013 | 25,000 | 25,250 |
NRG Energy, Inc.: |
|
|
7.25%, 2/1/2014 | 105,000 | 103,687 |
7.375%, 2/1/2016 | 215,000 | 210,700 |
Pedernales Electric Cooperative, Series 2002-A, 144A, 6.202%, 11/15/2032 | 1,730,000 | 1,643,552 |
PPL Capital Funding, Inc., Series A, 6.7%, 3/30/2067 | 1,135,000 | 965,170 |
Regency Energy Partners LP, 8.375%, 12/15/2013 | 45,000 | 45,900 |
Reliant Energy, Inc., 7.875%, 6/15/2017 | 60,000 | 59,700 |
Sierra Pacific Resources, 8.625%, 3/15/2014 | 10,000 | 10,501 |
Westar Energy, Inc., 5.95%, 1/1/2035 | 855,000 | 772,383 |
Wisconsin Energy Corp., Series A, 6.25%, 5/15/2067 | 1,200,000 | 1,070,759 |
| 11,632,407 | |
Total Corporate Bonds (Cost $58,148,348) | 56,238,940 | |
| ||
Asset Backed 0.5% | ||
Home Equity Loans | ||
Bayview Financial Acquisition Trust, "1A1", Series 2006-A, 5.614%, 2/28/2041 | 310,234 | 306,904 |
Countrywide Asset-Backed Certificates: |
|
|
"AF3", Series 2005-1, 4.575%, 7/25/2035 | 485,017 | 482,724 |
"A6", Series 2006-S6, 5.657%, 3/25/2034 | 1,320,000 | 1,084,875 |
"A6", Series 2006-15, 5.826%, 10/25/2046 | 450,000 | 392,354 |
"A1B", Series 2007-S1, 5.888%, 11/25/2036 | 604,872 | 576,299 |
"1AF6", Series 2006-11, 6.15%, 9/25/2046 | 1,295,000 | 1,172,341 |
Total Asset Backed (Cost $4,454,518) | 4,015,497 | |
| ||
Commercial and Non-Agency Mortgage-Backed Securities 12.5% | ||
Adjustable Rate Mortgage Trust, "1A4", Series 2006-2, 5.758%**, 5/25/2036 | 1,345,000 | 1,099,884 |
Banc of America Commercial Mortgage, Inc.: |
|
|
"A2", Series 2007-2, 5.634%, 4/10/2049 | 1,160,000 | 1,140,852 |
"A2", Series 2007-3, 5.659%**, 6/10/2049 | 940,000 | 929,664 |
"A4", Series 2007-3, 5.659%**, 6/10/2049 | 725,000 | 715,648 |
Bear Stearns Adjustable Rate Mortgage Trust, "2A1", Series 2006-4, 5.795%**, 10/25/2036 | 1,017,803 | 915,226 |
Bear Stearns Commercial Mortgage Securities, Inc., "AAB", Series 2007-PW16, 5.713%**, 6/11/2040 | 1,550,000 | 1,553,589 |
Chase Mortgage Finance Corp., "3A1", Series 2005-A1, 5.282%**, 12/25/2035 | 1,081,592 | 1,004,134 |
Citicorp Mortgage Securities, Inc., "1A1", Series 2004-8, 5.5%, 10/25/2034 | 853,308 | 819,792 |
Citigroup Commercial Mortgage Trust, "ASB", Series 2006-C5, 5.413%, 10/15/2049 | 1,000,000 | 991,414 |
Citigroup Mortgage Loan Trust, Inc.: |
|
|
"2A1A", Series 2007-AR8, 5.92%**, 7/25/2037 | 2,745,826 | 2,596,666 |
"1CB2", Series 2004-NCM2, 6.75%, 8/25/2034 | 1,108,897 | 1,148,401 |
Citigroup/Deutsche Bank Commercial Mortgage Trust: |
|
|
"A4", Series 2005-CD1, 5.225%**, 7/15/2044 | 825,000 | 823,538 |
"F", Series 2007-CD4, 5.555%**, 12/11/2049 | 690,000 | 404,768 |
Countrywide Alternative Loan Trust: |
|
|
"A2", Series 2003-21T1, 5.25%, 12/25/2033 | 761,660 | 723,518 |
"A6", Series 2004-14T2, 5.5%, 8/25/2034 | 686,827 | 663,980 |
"1A1", Series 2004-J1, 6.0%, 2/25/2034 | 164,617 | 153,433 |
Countrywide Home Loans: |
|
|
"2A2C", Series 2006-HYB1, 5.215%**, 3/20/2036 | 1,315,000 | 930,473 |
"1A1", Series 2007-HY1, 5.691%**, 4/25/2037 | 1,752,904 | 1,659,019 |
Credit Suisse Mortgage Capital Certificates, Inc.: |
|
|
"10A2", Series 2007-5, 6.0%, 4/25/2029 | 1,031,571 | 1,015,453 |
"3A1", Series 2006-9, 6.0%, 11/25/2036 | 487,814 | 480,192 |
"3A19", Series 2007-5, 6.0%, 8/25/2037 | 1,391,659 | 1,369,914 |
"5A14", Series 2007-1, 6.0%, 2/25/2037 | 1,268,669 | 1,239,495 |
First Horizon Mortgage Pass-Through Trust, "1A2", Series 2006-AR4, 5.492%**, 1/25/2037 | 1,847,431 | 1,744,488 |
GE Capital Commercial Mortgage Corp., "AJ", Series 2007-C1, 5.677%, 12/10/2049 | 1,640,000 | 1,262,471 |
GMAC Mortgage Corp. Loan Trust: |
|
|
"A2", Series 2004-J1, 5.25%, 4/25/2034 | 687,522 | 681,834 |
"4A1", Series 2005-AR6, 5.461%**, 11/19/2035 | 1,037,339 | 936,726 |
Greenwich Capital Commercial Funding Corp.: |
|
|
"A2", Series 2007-GG9, 5.381%, 3/10/2039 | 2,150,000 | 2,105,263 |
"A4", Series 2007-GG11, 5.736%, 12/10/2049 | 600,000 | 592,297 |
GS Mortgage Securities Corp. II: |
|
|
"A2", Series 2007-GG10, 5.778%, 8/10/2045 | 2,130,000 | 2,106,747 |
"A4", Series 2007-GG10, 5.799%**, 8/10/2045 | 675,000 | 673,925 |
"AAB", Series 2007-GG10, 5.799%**, 8/10/2045 | 2,100,000 | 2,112,707 |
"AM", Series 2007-GG10, 5.799%**, 8/10/2045 | 1,000,000 | 920,146 |
"J", Series 2007-GG10, 144A, 5.799%**, 8/10/2045 | 1,419,000 | 666,647 |
"K", Series 2007-GG10, 144A, 5.799%**, 8/10/2045 | 993,000 | 419,051 |
GSR Mortgage Loan Trust: |
|
|
"2A1", Series 2007-AR2, 5.51%**, 5/25/2047 | 1,912,697 | 1,843,805 |
"1A1", Series 2007-AR2, 5.787%**, 5/25/2047 | 2,069,479 | 1,961,238 |
"2A1", Series 2007-AR1, 5.999%**, 3/25/2037 | 2,338,914 | 2,224,492 |
IndyMac Inda Mortgage Loan Trust, "1A1", Series 2006-AR3, 5.343%**, 12/25/2036 | 1,314,300 | 1,239,013 |
JPMorgan Chase Commercial Mortgage Securities Corp.: |
|
|
"ASB", Series 2007-CB19, 5.73%**, 2/12/2049 | 1,280,000 | 1,285,554 |
"A4", Series 2007-LD11, 5.819%**, 6/15/2049 | 1,320,000 | 1,318,499 |
"ASB", Series 2007-LD11, 5.819%**, 6/15/2049 | 2,140,000 | 2,157,249 |
"F", Series 2007-LD11, 5.819%**, 6/15/2049 | 650,000 | 385,819 |
"A4", Series 2007-LD12, 5.882%, 7/15/2017 | 525,000 | 523,510 |
JPMorgan Mortgage Trust: |
|
|
"3A3", Series 2004-A3, 4.972%**, 7/25/2034 | 1,380,000 | 1,068,089 |
"2A1R", Series 2006-A7, 5.446%**, 1/25/2037 | 1,697,159 | 1,613,770 |
"2A4", Series 2006-A2, 5.747%**, 4/25/2036 | 2,000,000 | 1,640,451 |
"2A1" Series 2006-A5, 5.829%**, 8/25/2036 | 1,139,055 | 1,093,726 |
LB-UBS Commercial Mortgage Trust, "A2", Series 2006-C6, 5.262%, 9/15/2039 | 960,000 | 943,983 |
Lehman Mortgage Trust: |
|
|
"3A3", Series 2006-1, 5.5%, 2/25/2036 | 1,207,856 | 1,200,417 |
"1A10", Series 2006-3, 6.0%, 7/25/2036 | 1,105,603 | 1,060,360 |
Master Adjustable Rate Mortgages Trust, "B1", Series 2004-13, 3.814%**, 12/21/2034 | 1,370,280 | 1,039,496 |
Master Alternative Loans Trust, "8A1", Series 2004-3, 7.0%, 4/25/2034 | 38,361 | 39,162 |
Master Asset Securitization Trust, "2A7", Series 2003-9, 5.5%, 10/25/2033 | 988,484 | 989,101 |
Merrill Lynch Mortgage Investors Trust, "A2", Series 2005-A5, 4.566%, 6/25/2035 | 175,000 | 163,588 |
Merrill Lynch Mortgage Trust, "ASB", Series 2007-C1, 5.829%**, 6/12/2050 | 535,000 | 538,498 |
Merrill Lynch/Countrywide Commercial Mortgage Trust, "ASB", Series 2007-7, 5.745%, 6/12/2050 | 700,000 | 699,187 |
Morgan Stanley Capital I: |
|
|
"A2", Series 2007-HQ11, 5.359%, 2/12/2044 | 2,200,000 | 2,150,393 |
"AAB", Series 2007-IQ14, 5.654%, 4/15/2049 | 1,410,000 | 1,401,655 |
New York Mortgage Trust, "2A3", Series 2006-1, 5.647%**, 5/25/2036 | 1,400,000 | 1,259,176 |
Residential Accredit Loans, Inc.: |
|
|
"A3", Series 2004-QS11, 5.5%, 8/25/2034 | 509,782 | 490,892 |
"CB", Series 2004-QS2, 5.75%, 2/25/2034 | 649,438 | 613,313 |
Residential Funding Mortgage Securities I, "2A2", Series 2007-SA1, 5.619%**, 2/25/2037 | 605,447 | 573,212 |
Structured Adjustable Rate Mortgage Loan Trust: |
|
|
"6A3", Series 2005-21, 5.4%, 11/25/2035 | 1,190,000 | 840,953 |
"5A1", Series 2005-18, 5.53%**, 9/25/2035 | 900,472 | 702,624 |
"2A1", Series 2006-1, 5.621%**, 2/25/2036 | 542,956 | 411,438 |
Structured Asset Securities Corp., "4A1", Series 2005-6, 5.0%, 5/25/2035 | 340,304 | 285,749 |
SunTrust Adjustable Rate Mortgage Loan Trust, "3A1", Series 2007-3, 6.047%**, 6/25/2037 | 2,060,657 | 2,088,558 |
Wachovia Bank Commercial Mortgage Trust: |
|
|
"A3", Series 2007-C30, 5.246%, 12/15/2043 | 1,000,000 | 971,839 |
"APB", Series 2005-C22, 5.271%**, 12/15/2044 | 1,300,000 | 1,289,290 |
"A2", Series 2007-C32, 5.736%**, 6/15/2049 | 1,420,000 | 1,403,123 |
"APB", Series 2007-C32, 5.741%**, 6/15/2049 | 660,000 | 662,106 |
"H", Series 2007-C32, 144A, 5.741%**, 6/15/2049 | 990,000 | 514,577 |
Washington Mutual Mortgage Pass-Through Certificates Trust: |
|
|
"1A3", Series 2005-AR14, 5.056%**, 12/25/2035 | 1,325,000 | 1,195,192 |
"1A3", Series 2005-AR16, 5.102%**, 12/25/2035 | 1,305,000 | 1,174,439 |
"1A1", Series 2006-AR18, 5.346%**, 1/25/2037 | 1,257,047 | 1,182,930 |
"2A2", Series 2006-AR18, 5.495%**, 1/25/2037 | 1,385,000 | 1,088,413 |
"1A1", Series 2006-AR16, 5.606%**, 12/25/2036 | 1,548,205 | 1,465,443 |
"1A3", Series 2006-AR8, 5.884%**, 8/25/2046 | 1,395,000 | 1,241,479 |
Wells Fargo Mortgage Backed Securities Trust: |
|
|
"2A5", Series 2006-AR2, 5.109%**, 3/25/2036 | 3,669,828 | 3,516,124 |
"3A2", Series 2006-AR8, 5.238%**, 4/25/2036 | 2,070,000 | 1,855,786 |
"A6", Series 2006-AR11, 5.517%**, 8/25/2036 | 1,995,000 | 1,580,124 |
"1A3", Series 2006-6, 5.75%, 5/25/2036 | 1,178,418 | 1,178,499 |
Total Commercial and Non-Agency Mortgage-Backed Securities (Cost $100,092,616) | 92,767,689 | |
| ||
Collateralized Mortgage Obligations 1.6% | ||
Federal Home Loan Mortgage Corp.: |
|
|
"LN", Series 3145, 4.5%, 10/15/2034 | 1,253,181 | 1,251,159 |
"BE" Series 3128, 5.0%, 5/15/2033 | 1,400,000 | 1,382,325 |
"BG", Series 2869, 5.0%, 7/15/2033 | 315,000 | 311,385 |
"NE", Series 2802, 5.0%, 2/15/2033 | 880,000 | 874,995 |
"PE", Series 2864, 5.0%, 6/15/2033 | 2,080,000 | 2,058,262 |
"XD", Series 2941, 5.0%, 5/15/2033 | 2,010,000 | 1,974,132 |
Federal National Mortgage Association: |
|
|
"QK", Series 2003-37, 4.0%, 7/25/2027 | 1,189,820 | 1,187,844 |
"YD", Series 2005-94, 4.5%, 8/25/2033 | 1,445,000 | 1,399,330 |
"HE", Series 2005-22, 5.0%, 10/25/2033 | 1,290,000 | 1,266,050 |
Total Collateralized Mortgage Obligations (Cost $11,419,727) | 11,705,482 | |
| ||
Mortgage-Backed Securities Pass-Throughs 5.7% | ||
Federal Home Loan Mortgage Corp.: |
|
|
4.5%, 6/1/2020 | 2,018,325 | 2,021,794 |
5.5%, 10/1/2023 | 853,063 | 866,692 |
5.524%**, 2/1/2038 | 730,009 | 734,096 |
6.5%, 1/1/2035 | 843,997 | 883,988 |
Federal National Mortgage Association: |
|
|
4.5%, with various maturities from 6/1/2019 until 10/1/2033 | 8,921,179 | 8,879,169 |
5.0%, with various maturities from 2/1/2021 until 8/1/2034 | 4,360,532 | 4,359,281 |
5.5%, with various maturities from 1/1/2020 until 7/1/2037 | 16,335,722 | 16,571,722 |
6.0%, with various maturities from 1/1/2024 until 4/1/2024 | 1,741,218 | 1,796,531 |
6.5%, with various maturities from 5/1/2023 until 8/1/2036 | 4,953,522 | 5,163,461 |
7.0%, 4/1/2038 | 1,200,000 | 1,260,797 |
9.0%, 11/1/2030 | 59,098 | 67,098 |
Total Mortgage Backed Securities Pass-Throughs (Cost $41,517,307) | 42,604,629 | |
| ||
Municipal Bonds and Notes 1.2% | ||
Arroyo Grande, CA, Redevelopment Agency, Tax Allocation, Redevelopment Project Area, 5.304%, 9/1/2019 (b) | 1,280,000 | 1,299,558 |
Hammond, IN, Redevelopment Authority Lease Rent Revenue, Hammond Marina Project, 5.57%, 2/1/2014 (b) | 610,000 | 650,236 |
San Diego, CA, Redevelopment Agency, Taxable Housing Allocation, 5.81%, 9/1/2019 (b) | 2,300,000 | 2,373,715 |
Suffolk, VA, Multi-Family Housing Revenue, Redevelopment & Housing Authority, Windsor at Potomac, Series T, 6.6%, 7/1/2015 | 1,655,000 | 1,821,692 |
Texas, State General Obligation, Transportation Commission Mobility Fund, Series A, 4.5%, 4/1/2030 (b) | 1,320,000 | 1,226,874 |
Whittier, CA, Redevelopment Agency, Tax Allocation, Housing Projects, Series B, 6.09%, 11/1/2038 (b) | 1,400,000 | 1,406,468 |
Total Municipal Bonds and Notes (Cost $8,460,975) | 8,778,543 | |
| ||
Government & Agency Obligations 4.8% | ||
US Treasury Obligations | ||
US Treasury Bills: |
|
|
1.5%***, 4/17/2008(c) | 35,000 | 34,981 |
1.84%***, 4/17/2008(c) | 87,000 | 86,954 |
1.842%***, 4/17/2008(c) | 1,000 | 999 |
1.9%***, 4/17/2008(c) | 119,000 | 118,937 |
1.929%***, 4/17/2008(c) | 2,000 | 1,999 |
2.055%***, 4/17/2008(c) | 23,000 | 22,988 |
2.1%***, 4/17/2008(c) | 13,000 | 12,993 |
2.153%***, 4/17/2008(c) | 1,000 | 999 |
2.2%***, 4/17/2008(c) | 46,000 | 45,976 |
2.299%***, 4/17/2008(c) | 1,000 | 999 |
2.3%***, 4/17/2008(c) | 13,000 | 12,993 |
2.31%***, 4/17/2008(c) | 3,000 | 2,998 |
3.03%***, 4/17/2008(c) | 11,636,000 | 11,629,798 |
US Treasury Bond, 4.75%, 2/15/2037 (a) | 6,870,000 | 7,389,008 |
US Treasury Notes: |
|
|
3.5%, 2/15/2018 (a) | 4,272,000 | 4,296,697 |
4.75%, 5/31/2012 (a) | 803,000 | 880,790 |
4.875%, 8/31/2008 (a) | 10,455,000 | 10,602,018 |
4.875%, 4/30/2011 (a) | 635,000 | 691,852 |
Total Government & Agency Obligations (Cost $35,536,515) | 35,833,979 | |
| ||
Preferred Securities 1.2% | ||
Axa SA, 144A, 6.379%, 12/14/2036**** | 180,000 | 145,093 |
Goldman Sachs Capital II, 5.793%, 6/1/2012**** | 850,000 | 566,185 |
MUFG Capital Finance 1 Ltd., 6.346%, 7/25/2016**** | 935,000 | 761,931 |
Oil Insurance Ltd., 144A, 7.558%, 6/30/2011**** | 2,055,000 | 1,792,330 |
Royal Bank of Scotland Group PLC, Series U, 7.64%, 9/29/2017**** | 900,000 | 775,071 |
Santander Perpetual SA, 144A, 6.671%, 10/24/2017**** | 600,000 | 540,697 |
SMFG Preferred Capital, 144A, 6.078%, 1/25/2017**** | 1,195,000 | 936,880 |
Stoneheath Re, 6.868%, 10/15/2011**** | 1,460,000 | 1,164,496 |
Wachovia Capital Trust III, 5.8%, 3/15/2011**** | 1,665,000 | 1,186,312 |
XL Capital Ltd., Series E, 6.5%, 4/15/2017**** | 1,095,000 | 820,751 |
Total Preferred Securities (Cost $10,801,777) | 8,689,746 |
|
| Value ($) |
|
| |
Preferred Stocks 0.1% | ||
Consumer Discretionary 0.1% | ||
Porsche Automobil Holding SE | 3,008 | 552,020 |
Volkswagen AG | 92 | 15,277 |
| 567,297 | |
Consumer Staples 0.0% | ||
Henkel KGaA | 2,268 | 104,805 |
Financials 0.0% | ||
Arch Capital Group Ltd., Series A, 8.0%* | 809 | 20,554 |
Total Preferred Stocks (Cost $739,080) | 692,656 | |
| ||
Participatory Note 0.0% | ||
Merrill Lynch Pioneers Index (issuer Merrill Lynch International), Expiration date 2/27/2009* (Cost $168,834) | 1,700 | 157,488 |
| ||
Securities Lending Collateral 2.9% | ||
Daily Assets Fund Institutional, 3.25% (d) (e) (Cost $21,841,115) | 21,841,115 | 21,841,115 |
| ||
Cash Equivalents 7.2% | ||
Cash Management QP Trust, 2.84% (d) (Cost $53,385,624) | 53,385,624 | 53,385,624 |
| % of Net Assets | Value ($) |
|
| |
Total Investment Portfolio (Cost $801,196,047)+ | 103.2 | 767,329,838 |
Other Assets and Liabilities, Net | (3.2) | (24,079,566) |
Net Assets | 100.0 | 743,250,272 |
** Floating rate notes are securities whose yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate. These securities are shown at their current rate as of March 31, 2008.
*** Annualized yield at time of purchase; not a coupon rate
**** Date shown is call date; not a maturity date for the perpetual preferred securities
+ The cost for federal income tax purposes was $804,644,435. At March 31, 2008, net unrealized depreciation for all securities based on tax cost was $37,314,597. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $16,256,021 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $53,570,618.
(a) All or a portion of these securities were on loan (see Notes to Financial Statements). The value of all securities loaned at March 31, 2008 amounted to $21,292,947 which is 2.9% of net assets.
(b) Bond is insured by one of these companies:
Insurance Coverage | As a % of Total Investment Portfolio |
Financial Guaranty Insurance Company | 0.3 |
MBIA Corp. | 0.3 |
XL Capital Insurance | 0.3 |
(d) Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
(e) Represents collateral held in connection with securities lending. Income earned by the Fund is net of borrower rebates.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
PIK: Denotes that all or a portion of income is paid in kind.
REIT: Real Estate Investment Trust
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in this investment portfolio.
At March 31, 2008, open futures contracts purchased were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation ($) |
DJ Euro Stoxx 50 Index | 6/20/2008 | 5 | 269,276 | 280,149 | 10,873 |
Hang Seng Stock Index | 4/29/2008 | 18 | 2,580,109 | 2,616,975 | 36,866 |
Nikkei 225 Index | 6/12/2008 | 1 | 62,155 | 63,525 | 1,370 |
Russell 2000 Index | 6/18/2008 | 1 | 339,030 | 345,000 | 5,970 |
Russell E Mini 2000 Index | 6/20/2008 | 50 | 3,397,638 | 3,450,000 | 52,362 |
S&P 500 Index | 6/19/2008 | 29 | 9,495,536 | 9,599,000 | 103,464 |
S&P/TSE 60 Index | 6/19/2008 | 30 | 4,566,842 | 4,593,307 | 26,465 |
SPI 200 Index | 6/19/2008 | 2 | 234,651 | 246,570 | 11,919 |
United Kingdom Treasury Bond | 6/26/2008 | 77 | 16,876,766 | 17,008,655 | 131,889 |
10 Year US Treasury Note | 6/19/2008 | 91 | 10,414,089 | 10,824,734 | 410,645 |
Total unrealized appreciation | 791,823 |
As of March 31, 2008, the Fund had the following open forward foreign currency exchange contracts:
Contracts to Deliver |
| In Exchange For |
| Settlement Date | Unrealized Appreciation ($) | ||
USD | 19,242,435 | | EUR | 12,396,000 | | 6/18/2008 | 258,083 |
USD | 38,808,001 | | SGD | 53,335,000 | | 6/18/2008 | 61,656 |
Total unrealized appreciation | 319,739 |
Contracts to Deliver |
| In Exchange For |
| Settlement Date | Unrealized Depreciation ($) | ||
USD | 37,830,610 | | AUD | 40,890,000 | | 6/18/2008 | (859,519) |
USD | 24,961,013 | | CAD | 24,649,000 | | 6/18/2008 | (984,786) |
USD | 24,468,812 | | NOK | 125,295,000 | | 6/18/2008 | (38,216) |
USD | 14,266,497 | | NZD | 17,934,000 | | 6/18/2008 | (355,968) |
Total unrealized depreciation | (2,238,489) |
Currency Abbreviations |
AUD Australian Dollar CAD Canadian Dollar EUR Euro Currency NZD New Zealand Dollar NOK Norwegian Krone SGD Singapore Dollar USD United States Dollar |
The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities as of March 31, 2008 | |
Assets | |
Investments: Investments in securities, at value (cost $725,969,308) — including $21,292,947 of securities loaned | $ 692,103,099 |
Investment in Daily Assets Fund Institutional (cost $21,841,115)* | 21,841,115 |
Investment in Cash Management QP Trust (cost $53,385,624) | 53,385,624 |
Total investments, at value (cost $801,196,047) | 767,329,838 |
Cash | 200,133 |
Foreign currency, at value (cost $236,695) | 267,044 |
Receivable for investments sold | 1,994,936 |
Dividends receivable | 871,363 |
Interest receivable | 2,297,385 |
Receivable for Fund shares sold | 320,303 |
Receivable for daily variation margin on open futures contracts | 221,121 |
Foreign taxes recoverable | 24,444 |
Unrealized appreciation on forward foreign currency exchange contracts | 319,739 |
Due from Advisor | 109,787 |
Other assets | 51,795 |
Total assets | 774,007,888 |
Liabilities | |
Payable for investments purchased | 5,215,590 |
Payable for Fund shares redeemed | 718,923 |
Payable upon return of securities loaned | 21,841,115 |
Unrealized depreciation on forward foreign currency exchange contracts | 2,238,489 |
Accrued management fee | 231,072 |
Other accrued expenses and payables | 512,427 |
Total liabilities | 30,757,616 |
Net assets, at value | $ 743,250,272 |
The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities as of March 31, 2008 (continued) | |
Net Assets consist of | |
Undistributed net investment income | 5,530,126 |
Net unrealized appreciation (depreciation) on: Investments | (33,866,209) |
Futures | 791,823 |
Foreign currency | (1,893,297) |
Accumulated net realized gain (loss) | (34,047,741) |
Paid-in capital | 806,735,570 |
Net assets, at value | $ 743,250,272 |
Net Asset Value | |
Class S Net Asset Value offering and redemption price(a) per share ($4,751,387 ÷ 485,475 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized) | $ 9.79 |
Institutional Class Net Asset Value offering and redemption price(a) per share ($738,498,885 ÷ 72,263,136 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized) | $ 10.22 |
The accompanying notes are an integral part of the financial statements.
Statement of Operations for the year ended March 31, 2008 | |
Investment Income | |
Income: Dividends (net of foreign taxes withheld of $33,156) | $ 7,717,124 |
Interest (net of foreign taxes withheld of $2,490) | 15,073,112 |
Interest — Cash Management QP Trust | 3,551,653 |
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates | 199,241 |
Total Income | 26,541,130 |
Expenses: Management fee | 4,589,629 |
Administration fee | 787,327 |
Services to shareholders | 1,237,241 |
Professional fees | 119,321 |
Trustees' fees and expenses | 29,279 |
Custodian fee | 74,612 |
Reports to shareholders | 56,004 |
Registration fees | 35,005 |
Other | 50,833 |
Total expenses before expense reductions | 6,979,251 |
Expense reductions | (2,628,512) |
Total expenses after expense reductions | 4,350,739 |
Net investment income | 22,190,391 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: Investments | 2,685,148 |
Futures | 9,577,222 |
Foreign currency | 13,404,722 |
Payments by affiliates (See Note H) | 17,512 |
| 25,684,604 |
Change in net unrealized appreciation (depreciation) on: Investments | (46,220,118) |
Futures | (1,539,127) |
Foreign currency | (2,628,304) |
| (50,387,549) |
Net gain (loss) | (24,702,945) |
Net increase (decrease) in net assets resulting from operations | $ (2,512,554) |
The accompanying notes are an integral part of the financial statements.
Statement of Changes in Net Assets | ||
Increase (Decrease) in Net Assets | Years Ended March 31, | |
2008 | 2007 | |
Operations: Net investment income | $ 22,190,391 | $ 21,334,561 |
Net realized gain (loss) | 25,684,604 | 93,749,918 |
Change in net unrealized appreciation (depreciation) | (50,387,549) | (41,015,364) |
Net increase (decrease) in net assets resulting from operations | (2,512,554) | 74,069,115 |
Distributions to shareholders from: Net investment income Class S | (186,707) | (531,935) |
Institutional Class | (31,654,117) | (18,648,813) |
Net realized gains Class S | (697,044) | (899,280) |
Institutional Class | (105,625,464) | (19,732,118) |
Total distributions | (138,163,332) | (39,812,146) |
Fund share transactions: Proceeds from shares sold | 99,016,462 | 62,454,436 |
Reinvestment of distributions | 138,155,019 | 39,808,921 |
Cost of shares redeemed | (118,987,404) | (128,188,418) |
Redemption fees | 89,752 | 63,097 |
Net increase (decrease) in net assets from Fund share transactions | 118,273,829 | (25,861,964) |
Increase (decrease) in net assets | (22,402,057) | 8,395,005 |
Net assets at beginning of period | 765,652,329 | 757,257,324 |
Net assets at end of period (including undistributed net investment income of $5,530,126 and $4,325,377, respectively) | $ 743,250,272 | $ 765,652,329 |
The accompanying notes are an integral part of the financial statements.
Class S+ Years Ended March 31, | 2008 | 2007 | 2006 | 2005 | 2004a |
Selected Per Share Data | |||||
Net asset value, beginning of period | $ 11.85 | $ 11.30 | $ 10.62 | $ 10.43 | $ 9.75 |
Income (loss) from investment operations: Net investment incomeb | .29 | .33 | .22 | .21 | .11 |
Net realized and unrealized gain (loss) | (.30) | .80 | .70 | .30 | .93 |
Total from investment operations | (.01) | 1.13 | .92 | .51 | 1.04 |
Less distributions from: Net investment income | (.42) | (.25) | (.24) | (.32) | (.36) |
Net realized gains | (1.63) | (.33) | — | — | — |
Total distributions | (2.05) | (.58) | (.24) | (.32) | (.36) |
Redemption fees | .00*** | .00*** | .00*** | .00*** | — |
Net asset value, end of period | $ 9.79 | $ 11.85 | $ 11.30 | $ 10.62 | $ 10.43 |
Total Return (%)c | (.75) | 10.16 | 8.77 | 4.92 | 10.79** |
Ratios to Average Net Assets and Supplemental Data | |||||
Net assets, end of period ($ millions) | 5 | 5 | 31 | 56 | 69 |
Ratio of expenses before expense reductions (%) | 1.05 | .93 | 1.41 | 1.33d | 1.41d* |
Ratio of expenses after expense reductions (%) | .87 | .71 | 1.00 | 1.00d | 1.00d* |
Ratio of net investment income (%) | 2.50 | 2.67 | 1.92 | 1.90 | 1.65* |
Portfolio turnover rate (%)f | 262 | 174 | 101 | 106e | 115d,e** |
+ On October 23, 2006, Investment Class was renamed Class S. a For the period from July 25, 2003 (commencement of operations of Investment Class shares) to March 31, 2004. b Based on average shares outstanding during the period. c Total return would have been lower had certain expenses not been reduced. d The ratio includes expenses allocated from the Asset Management Portfolio, the Fund's master portfolio through August 20, 2004. e This ratio includes the purchase and sales of portfolio securities of the DWS Lifecycle Long Range Fund as a stand-alone fund in addition to the Asset Management Portfolio. The 2004 ratio represents the Asset Management Portfolio only. f The portfolio turnover rate including mortgage dollar roll transactions was 264%, 175%, 108%, 122% and 124% for the years ended March 31, 2008, 2007, 2006, 2005 and 2004, respectively. * Annualized. ** Not annualized. *** Amount is less than $.005. |
Institutional Class Years Ended March 31, | 2008 | 2007 | 2006 | 2005 | 2004 |
Selected Per Share Data | |||||
Net asset value, beginning of period | $ 12.29 | $ 11.74 | $ 11.04 | $ 10.84 | $ 9.17 |
Income (loss) from investment operations: Net investment incomea | .32 | .34 | .27 | .25 | .21 |
Net realized and unrealized gain (loss) | (.29) | .85 | .74 | .33 | 1.94 |
Total from investment operations | .03 | 1.19 | 1.01 | .58 | 2.15 |
Less distributions from: Net investment income | (.47) | (.31) | (.31) | (.38) | (.48) |
Net realized gains | (1.63) | (.33) | — | — | — |
Total distributions | (2.10) | (.64) | (.31) | (.38) | (.48) |
Redemption fees | .00* | .00* | .00* | .00* | — |
Net asset value, end of period | $ 10.22 | $ 12.29 | $ 11.74 | $ 11.04 | $ 10.84 |
Total Return (%)b | (.40) | 10.28 | 9.19 | 5.42 | 23.71 |
Ratios to Average Net Assets and Supplemental Data | |||||
Net assets, end of period ($ millions) | 738 | 761 | 726 | 719 | 702 |
Ratio of expenses before expense reductions (%) | .89 | .89 | .91 | .83c | .91c |
Ratio of expenses after expense reductions (%) | .55 | .55 | .55 | .55c | .55c |
Ratio of net investment income (%) | 2.82 | 2.83 | 2.37 | 2.35 | 2.08 |
Portfolio turnover rate (%)e | 262 | 174 | 101 | 106d | 115d |
a Based on average shares outstanding during the period. b Total return would have been lower had certain expenses not been reduced. c The ratio includes expenses allocated from the Asset Management Portfolio, the Fund's master portfolio through August 20, 2004. d This ratio includes the purchase and sales of portfolio securities of the DWS Lifecycle Long Range Fund as a stand-alone fund in addition to the Asset Management Portfolio. The 2004 ratio represents the Asset Management Portfolio only. e The portfolio turnover rate including mortgage dollar roll transactions was 264%, 175%, 108%, 122% and 124% for the years ended March 31, 2008, 2007, 2006, 2005 and 2004, respectively. * Amount is less than $.005. |
A. Significant Accounting Policies
DWS Lifecycle Long Range Fund (the "Fund") is a diversified series of DWS Advisor Funds (the "Trust") which is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company organized as a Massachusetts business trust.
The Fund offers two classes of shares: Class S and Institutional Class. Institutional Class shares are offered to a limited group of investors and are not subject to initial or contingent deferred sales charges. Institutional Class shares have lower ongoing expenses than Class S shares. Class S shares are not subject to initial or contingent deferred sales charges and are generally not available to new investors except under certain circumstances.
Investment income, realized and unrealized gains and losses, and certain fund-level expenses and expense reductions, if any, are borne pro rata on the basis of relative net assets by the holders of both classes of shares except that each class bears certain expenses unique to that class such as services to shareholders and certain other class specific expenses. Differences in class-level expenses may result in payment of different per share dividends by class. All shares of the Fund have equal rights with respect to voting subject to class-specific arrangements.
The Fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America, which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Fund in the preparation of its financial statements.
Security Valuation. Investments are stated at value determined as of the close of regular trading on the New York Stock Exchange on each day the exchange is open for trading. Equity securities are valued at the most recent sale price or official closing price reported on the exchange (US or foreign) or over-the-counter market on which the security is traded most extensively. Securities for which no sales are reported are valued at the calculated mean between the most recent bid and asked quotations on the relevant market or, if a mean cannot be determined, at the most recent bid quotation.
Debt securities are valued by independent pricing services approved by the Trustees of the Fund. If the pricing services are unable to provide valuations, the securities are valued at the most recent bid quotation or evaluated price, obtained from a broker-dealer. Such services may use various pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as broker quotes.
Money market instruments purchased with an original or remaining maturity of sixty days or less, maturing at par, are valued at amortized cost. Investments in open-end investment companies and Cash Management QP Trust are valued at their net asset value each business day.
Securities and other assets for which market quotations are not readily available or for which the above valuation procedures are deemed not to reflect fair value are valued in a manner that is intended to reflect their fair value as determined in accordance with procedures approved by the Trustees. The Fund may use a fair valuation model to value international equity securities in order to adjust for events which may occur between the close of the foreign exchanges and the close of the New York Stock Exchange.
New Accounting Pronouncements. In September 2006, the Financial Accounting Standards Board ("FASB") released Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"). FAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. As of March 31, 2008, management does not believe the adoption of FAS 157 will impact the amounts reported in the financial statements, however, additional disclosures will be required about the inputs used to develop the measurements of fair value and the effect of certain of the measurements reported in the statement of operations for a fiscal period.
In addition, in March 2008, FASB issued Statement of Financial Accounting Standards No. 161 ("FAS 161") Disclosures about Derivative Instruments and Hedging Activities, an amendment of FASB Statement No. 133. FAS 161 requires enhanced disclosure about an entity's derivative and hedging activities. FAS 161 is effective for fiscal years beginning after November 15, 2008. Management is currently evaluating the impact the adoption of FAS 161 will have on the Fund's financial statement disclosures.
Securities Lending. The Fund may lend securities to financial institutions. The Fund retains beneficial ownership of the securities it has loaned and continues to receive interest and dividends paid by the issuer of securities and to participate in any changes in their value. The Fund requires the borrowers of the securities to maintain collateral with the Fund consisting of liquid, unencumbered assets having a value at least equal to the value of the securities loaned. The Fund may invest the cash collateral into a joint trading account in an affiliated money market fund pursuant to Exemptive Orders issued by the SEC. The Fund receives compensation for lending its securities either in the form of fees or by earning interest on invested cash collateral net of borrower rebates and fees paid to the lending agent. Either the Fund or the borrower may terminate the loan. The Fund is subject to all investment risks associated with the value of any cash collateral received, including, but not limited to, interest rate, credit and liquidity risk associated with such investments.
Foreign Currency Translations. The books and records of the Fund are maintained in US dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into US dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into US dollars at the prevailing exchange rates on the respective dates of the transactions.
Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the disposition of forward foreign currency exchange contracts and foreign currencies, and the difference between the amount of net investment income accrued and the US dollar amount actually received. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed but is included with net realized and unrealized gain/appreciation and loss/depreciation on investments.
Futures Contracts. A futures contract is an agreement between a buyer or seller and an established futures exchange or its clearinghouse in which the buyer or seller agrees to take or make a delivery of a specific amount of a financial instrument at a specified price on a specific date (settlement date). The Fund may also invest in futures contracts to keep cash on hand to meet shareholder redemptions or other needs while maintaining exposure to the stock market.
Upon entering into a futures contract, the Fund is required to deposit with a financial intermediary an amount ("initial margin") equal to a certain percentage of the face value indicated in the futures contract. Subsequent payments ("variation margin") are made or received by the Fund dependent upon the daily fluctuations in the value of the underlying security and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When entering into a closing transaction, the Fund will realize a gain or loss equal to the difference between the value of the futures contract to sell and the futures contract to buy. Futures contracts are valued at the most recent settlement price.
Certain risks may arise upon entering into futures contracts, including the risk that an illiquid secondary market will limit the Fund's ability to close out a futures contract prior to the settlement date and that a change in the value of a futures contract may not correlate exactly with the changes in the value of the securities or currencies hedged. When utilizing futures contracts to hedge, the Fund gives up the opportunity to profit from favorable price movements in the hedged positions during the term of the contract.
Forward Foreign Currency Exchange Contracts. A forward foreign currency exchange contract ("forward currency contract") is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. The Fund may enter into forward currency contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign currency denominated portfolio holdings, to facilitate transactions in foreign currency denominated securities and to enhance the total returns.
Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain (loss) is recorded daily. Sales and purchases of forward currency contracts having the same settlement date and broker are offset and any gain (loss) is realized on the date of offset; otherwise, gain (loss) is realized on settlement date. Realized and unrealized gains and losses which represent the difference between the value of a forward currency contract to buy and a forward currency contract to sell are included in net realized and unrealized gain (loss) from foreign currency.
Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund gives up the opportunity to profit from favorable exchange rate movements during the term of the contract.
Mortgage Dollar Rolls. The Fund may enter into mortgage dollar rolls in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to repurchase similar, but not identical, securities at an agreed upon price and date. During the period between the sale and repurchase, the Fund will not be entitled to earn interest and receive principal payment on securities sold. The Fund receives compensation as consideration for entering into the commitment to repurchase. The compensation is paid in the form of a lower price for the security upon its repurchase or, alternatively, a fee. Mortgage dollar rolls may be renewed with a new sale and repurchase price and a cash settlement made at each renewal without physical delivery of the securities subject to the contract.
Certain risks may arise upon entering into mortgage dollar rolls from the potential inability of counterparties to meet the terms of their commitments. Additionally, the value of the securities sold by the Fund may decline below the repurchase price of those securities.
When-Issued/Delayed Delivery Securities. The Fund may purchase securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time the Fund enters into a commitment to purchase a security, the transaction is recorded and the value of the security is reflected in the net asset value. The price of such security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations. No interest accrues to the Fund until payment takes place. At the time the Fund enters into this type of transaction it is required to segregate cash or other liquid assets at least equal to the amount of the commitment.
Certain risks may arise upon entering into when-issued or delayed delivery securities from the potential inability of counterparties to meet the terms of their contracts or if the issuer does not issue the securities due to political, economic, or other factors. Additionally, losses may arise due to changes in the value of the underlying securities.
Federal Income Taxes. The Fund's policy is to comply with the requirements of the Internal Revenue Code, as amended, which are applicable to regulated investment companies, and to distribute all of its taxable income to its shareholders.
At March 31, 2008, the Fund had a net tax basis capital loss carryforward of approximately $10,326,000, which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until March 31, 2010 $3,729,000, March 31, 2011 $4,041,000, March 31, 2012 $2,301,000 and March 31, 2013 $255,000, the respective expiration dates, whichever occurs first, subject to certain limitations under Sections 382-383 of the Internal Revenue Code. During the year ended March 31, 2008, the Fund utilized approximately $2,590,000 of prior year capital loss carryforwards.
In addition, from November 1, 2007 through March 31, 2008, the Fund incurred approximately $29,024,000 of net realized capital losses. As permitted by tax regulations, the Fund intends to elect to defer these losses and treat them as arising in the fiscal year ending March 31, 2009.
The Fund has reviewed the tax positions for each of the three open tax years as of March 31, 2008 and has determined that no provision for income tax is required in the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Distribution of Income and Gains. Net investment income of the Fund is declared and distributed to shareholders quarterly. Net realized gains from investment transactions, in excess of available capital loss carryforwards,
would be taxable to the Fund if not distributed, and, therefore, will be distributed to shareholders at least annually.
The timing and characterization of certain income and capital gains distributions are determined annually in accordance with federal tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences primarily relate to investments in foreign denominated investments, investments in passive foreign investment companies, forward foreign currency exchange contracts, recognition of certain foreign currency gains (losses) as ordinary income (loss), futures and certain securities sold at a loss. As a result net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, the Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of the Fund.
At March 31, 2008, each Fund's components of distributable earnings (accumulated losses) on a tax-basis were as follows:
Undistributed ordinary income* | $ 3,560,708 |
Undistributed net long-term capital gains | $ 9,333,880 |
Capital loss carryforward** | $ (10,326,000) |
Net unrealized appreciation (depreciation) on investments | $ (37,314,597) |
In addition, the tax character of distributions paid to shareholders by the Fund is summarized as follows:
| Years Ended March 31, | |
| 2008 | 2007 |
Distributions from ordinary income* | $ 70,993,246 | $ 21,994,120 |
Distributions from long-term capital gains* | $ 67,170,086 | $ 17,818,026 |
** Subject to certain limitations under Section 382-383 of the Internal Revenue Code.
Redemption Fees. During the year, the Fund imposed a redemption fee of 2% of the total redemption amount on the Fund shares redeemed or exchanged within 15 days of buying them, either by purchase or exchange. This fee was assessed and retained by the Fund for the benefit of the remaining shareholders. The redemption fee was accounted for as an addition to paid-in capital. Effective April 1, 2008, the Fund no longer imposes the 2% redemption fee on Fund shares acquired on or after that date.
Expenses. Expenses of the Trust arising in connection with a specific fund are allocated to that fund. Other Trust expenses which cannot be directly attributed to a fund are apportioned among the funds in the Trust.
Contingencies. In the normal course of business, the Fund may enter into contracts with service providers that contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet been made. However, based on experience, the Fund expects the risk of loss to be remote.
Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment security transactions are reported on trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date net of foreign withholding taxes. Certain dividends from foreign securities may be recorded subsequent to the ex-dividend date as soon as the Fund is informed of such dividends. Realized gains and losses from investment transactions are recorded on an identified cost basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
B. Purchases and Sales of Securities
During the year ended March 31, 2008, purchases and sales of investment securities (excluding short-term investments, US Treasury obligations and mortgage dollar roll transactions) aggregated $1,545,917,687 and $1,455,137,571, respectively. Purchases and sales of US Treasury obligations aggregated $352,503,171 and $379,795,257, respectively. Purchases and sales of mortgage dollar roll transactions aggregated $11,002,388 and $14,029,880, respectively.
C. Related Parties
Management Agreement. Under the Investment Management Agreement with Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), an indirect, wholly owned subsidiary of Deutsche Bank AG, the Advisor directs the investments of the Fund in accordance with its investment objectives, policies and restrictions. The Advisor determines the securities, instruments and other contracts relating to investments to be purchased, sold or entered into by the Fund or delegates such responsibility to the Fund's subadvisor.
Pursuant to a written contract, Aberdeen Asset Management Inc. ("AAMI"), a direct, wholly owned subsidiary of Aberdeen Asset Management PLC, serves as subadvisor to the Fund with respect to the fixed income portion of the Fund's portfolio. AAMI is paid for its services by the Advisor from its fee as investment advisor to the Fund.
Under the Investment Management Agreement with the Advisor, the Fund pays a monthly management fee based on the Fund's average daily net assets, computed and accrued daily and payable monthly, at the following annual rates:
First $250 million of the Fund's average daily net assets | .600% |
Next $750 million of such net assets | .575% |
Over $1 billion of such net assets | .550% |
For the period from April 1, 2007 through September 30, 2007, the Advisor had contractually agreed to waive all or a portion of its management fee and reimburse or pay certain operating expenses of the Fund (excluding certain expenses such as extraordinary expenses, taxes, brokerage, interest and organizational and offering expenses) to the extent necessary to maintain the total operating expenses of Institutional Class at 1.03%.
Effective October 1, 2006, the Advisor has voluntarily agreed to waive a portion of its management fee and reimburse or pay certain operating expenses of the Fund (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest expenses) to the extent necessary to maintain the total operating expenses of Institutional Class at 0.55%. This voluntary waiver or reimbursement may be terminated at any time at the option of the Advisor.
Accordingly, for the year ended March 31, 2008, the Advisor waived a portion of its management fee pursuant to the Investment Management Agreement aggregating $1,355,984 ($8,620 and $1,347,364 for Class S and Institutional Class, respectively) and the amount charged aggregated $3,233,645 which was equivalent to an annual effective rate of 0.41% of the Fund's average daily net assets.
In addition, for the year ended March 31, 2008, the Advisor reimbursed $1,250,980 of sub-recordkeeping expenses for Institutional Class shares.
Administration Fee. Pursuant to an Administrative Services Agreement, DIMA provides most administrative services to the Fund. For all services provided under the Administrative Services Agreement, the Fund pays the Advisor an annual fee ("Administration Fee") of 0.10% of the Fund's average daily net assets, computed and accrued daily and payable monthly. For the year ended March 31, 2008, the Advisor received an Administration Fee of $787,327 of which $63,100 is unpaid.
Service Provider Fees. DWS Scudder Investments Service Company ("DWS-SISC"), an affiliate of the Advisor, is the transfer agent, dividend-paying agent and shareholder service agent for the Fund. Pursuant to a sub-transfer agency agreement between DWS-SISC and DST Systems, Inc. ("DST"), DWS-SISC has delegated certain transfer agent, dividend-paying agent and shareholder service agent functions to DST. DWS-SISC compensates DST out of the shareholder servicing fee it receives from the Fund. For the year ended March 31, 2008 the amounts charged to the Fund by DWS-SISC were as follows:
Services to Shareholders | Total Aggregated | Waived | Unpaid at March 31, 2008 |
Class S | $ 2,050 | $ — | $ 346 |
Institutional Class | 358 | 358 | — |
| $ 2,408 | $ 358 | $ 346 |
Typesetting and Filing Service Fees. Under an agreement with DIMA, DIMA is compensated for providing typesetting and certain regulatory filing services to the Fund. For the year ended March 31, 2008, the amount charged to the Fund by DIMA included in the Statement of Operations under "reports to shareholders" aggregated $40,400, of which $8,160 is unpaid.
Trustees' Fees and Expenses. As compensation for his or her services, each Independent Trustee receives an aggregated annual fee, plus a fee for each meeting attended (plus reimbursement for reasonable out-of-pocket expenses incurred in connection with his or her attendance at board and committee meetings) from each fund in the Fund Complex for which he or she serves. In addition, the Chairperson of the Board and the Chairperson of each committee of the Board receive additional compensation for their services. Payment of such fees and expenses is allocated among all such funds described above in direct proportion to their relative net assets.
Cash Management QP Trust. Pursuant to an Exemptive Order issued by the SEC, the Fund may invest in the Cash Management QP Trust (the "QP Trust") and other affiliated funds managed by the Advisor. The QP Trust seeks to provide as high a level of current income as is consistent with the preservation of capital and the maintenance of liquidity. The QP Trust does not pay the Advisor a management fee for the affiliated funds' investments in the QP Trust.
D. Concentration of Ownership
From time to time the Fund may have a concentration of several shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Fund.
At March 31, 2008, one or more shareholders individually held greater than 10% of the outstanding shares of the Fund. These shareholders held 64% and 21%, respectively, of the total shares outstanding of the Fund.
E. Fee Reductions
The Fund has entered into an arrangement with its custodian and transfer agent whereby credits realized as a result of uninvested cash balances are used to reduce a portion of the Fund's custodian expenses. During the year ended March 31, 2008, the Fund's custodian fees were reduced by $4,944 and $16,246 for custody and transfer agent credits earned.
F. Line of Credit
The Fund and other affiliated funds (the "Participants") share in a $750 million revolving credit facility administered by JPMorgan Chase Bank N.A. for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee which is allocated, based upon net assets, among each of the Participants. Interest is calculated at the Federal Funds Rate plus 0.35 percent. The Fund may borrow up to a maximum of 33 percent of its net assets under the agreement.
G. Share Transactions
The following table summarizes share and dollar activity in the Fund:
| Year Ended March 31, 2008 | Year Ended March 31, 2007 | ||
| Shares | Dollars | Shares | Dollars |
Shares sold | ||||
Class S | 53,768 | $ 583,399 | 350,375 | $ 4,045,889 |
Institutional Class | 8,558,886 | 98,433,063 | 4,825,664 | 58,408,547 |
|
| $ 99,016,462 |
| $ 62,454,436 |
Shares issued to shareholders in reinvestment of distributions | ||||
Class S | 82,668 | $ 883,751 | 122,508 | $ 1,430,927 |
Institutional Class | 12,318,040 | 137,271,268 | 3,164,121 | 38,377,994 |
|
| $ 138,155,019 |
| $ 39,808,921 |
Shares redeemed | ||||
Class S | (84,282) | $ (1,031,482) | (2,814,416) | $ (33,157,167) |
Institutional Class | (10,507,314) | (117,955,922) | (7,919,157) | (95,031,251) |
|
| $ (118,987,404) |
| $ (128,188,418) |
Redemption fees | $ 89,752 |
| $ 63,097 | |
Net increase (decrease) | ||||
Class S | 52,154 | $ 525,420 | (2,341,533) | $ (27,680,311) |
Institutional Class | 10,369,612 | 117,748,409 | 70,628 | 1,818,347 |
|
| $ 118,273,829 |
| $ (25,861,964) |
H. Payments Made by Affiliates
During the year ended March 31, 2008, the Advisor fully reimbursed the Fund $17,512 for losses incurred on trades executed incorrectly. The amount of the loss was less than 0.01% of the Fund's average daily net assets, thus having no impact on the Fund's total return.
Report of Independent Registered Public Accounting Firm
To the Trustees of DWS Advisor Funds and Shareholders of DWS Lifecycle Long Range Fund:
In our opinion, the accompanying statement of assets and liabilities, including the investment portfolio, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DWS Lifecycle Long Range Fund (the "Fund") at March 31, 2008, and the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements 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 are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
Boston, Massachusetts | PricewaterhouseCoopers LLP |
The Fund paid distributions of $1.05 per share from net long-term capital gains during its year ended March 31, 2008, of which 100% represents 15% rate gains.
Pursuant to Section 852 of the Internal Revenue Code, the Fund designates $16,421,000 as capital gain dividends for its the year ended March 31, 2008, of which 100% represents 15% rate gains.
For federal income tax purposes, the Fund designates $8,488,836, or the maximum amount allowable under tax law, as qualified dividend income.
Please consult a tax advisor if you have questions about federal or state income tax laws, or on how to prepare your tax returns. If you have specific questions about your account, please call (800) 621-1048.
Summary of Management Fee Evaluation by Independent Fee Consultant
October 26, 2007
Pursuant to an Order entered into by Deutsche Investment Management Americas and affiliates (collectively, "DeAM") with the Attorney General of New York, I, Thomas H. Mack, have been appointed the Independent Fee Consultant for the DWS Scudder Funds. My duties include preparing an annual written evaluation of the management fees DeAM charges the Funds, considering among other factors the management fees charged by other mutual fund companies for like services, management fees DeAM charges other clients for like services, DeAM's costs of supplying services under the management agreements and related profit margins, possible economies of scale if a Fund grows larger, and the nature and quality of DeAM's services, including fund performance. This report summarizes my evaluation for 2007, including my qualifications, the evaluation process for each of the DWS Scudder Funds, consideration of certain complex-level factors, and my conclusions.
Qualifications
For more than 30 years I have served in various professional capacities within the investment management business. I have held investment analysis and advisory positions, including securities analyst, portfolio strategist and director of investment policy with a large investment firm. I have also performed business management functions, including business development, financial management and marketing research and analysis.
Since 1991, I have been an independent consultant within the asset management industry. I have provided services to over 125 client organizations, including investment managers, mutual fund boards, product distributors and related organizations. Over the past several years I have completed a number of assignments for mutual fund boards, specifically including assisting boards with management contract renewal.
I hold a Master of Business Administration degree, with highest honors, from Harvard University; and Master of Science and Bachelor of Science (highest honors) degrees from the University of California at Berkeley. I am an independent director and audit committee financial expert for two closed-end mutual funds, serve on the board of directors of a private market research company, and have served in various leadership and financial oversight capacities with non-profit organizations.
Evaluation of Fees for each DWS Scudder Fund
My work focused primarily on evaluating, fund-by-fund, the fees charged to each of the 136 Fund portfolios in the DWS Scudder Fund family. For each Fund, I considered each of the key factors mentioned above, as well as any other relevant information. In doing so I worked closely with the Funds' Independent Directors in their annual contract renewal process, as well as in their approval of contracts for several new funds (documented separately).
In evaluating each Fund's fees, I reviewed comprehensive materials provided by or on behalf of DeAM, including expense information prepared by Lipper Analytical, comparative performance information, profitability data, manager histories, and other materials. I also accessed certain additional information from the Lipper, Strategic Insight, and Morningstar databases and drew on my industry knowledge and experience.
To facilitate evaluating this considerable body of information, I prepared for each Fund a document summarizing the key data elements in each area as well as additional analytics discussed below. This made it possible to consider each key data element in the context of the others.
In the course of contract renewal, DeAM agreed to implement a number of fee and expense adjustments requested by the Independent Directors which will favorably impact future fees and expenses, and my evaluation includes the effects of these changes.
Fees and Expenses Compared with Other Funds
The competitive fee and expense evaluation for each fund focused on two primary comparisons:
The Fund's contractual management fee (the advisory fee plus the administration fee where applicable) compared with those of a group of typically 12-15 funds in the same Lipper investment category (e.g. Large Capitalization Growth) having similar distribution arrangements and being of similar size.
The Fund's total expenses compared with a broader universe of funds from the same Lipper investment category and having similar distribution arrangements.
These two comparisons provide a view of not only the level of the fee compared with funds of similar scale but also the total expense the Fund bears for all the services it receives, in comparison with the investment choices available in the Fund's investment category and distribution channel. The principal figure-of-merit used in these comparisons was the subject Fund's percentile ranking against peers.
DeAM's Fees for Similar Services to Others
DeAM provided management fee schedules for all of its US domiciled fund and non-fund investment management accounts in any of the investment categories where there is a DWS Scudder Fund. These similar products included the other DWS Scudder Funds, non-fund pooled accounts, institutional accounts and sub-advisory accounts. Using this information, I calculated for each Fund the fee that would be charged to each similar product, at the subject Fund's asset level.
Evaluating information regarding non-fund products is difficult because there are varying levels of services required for different types of accounts, with mutual funds generally requiring considerably more regulatory and administrative types of service as well as having more frequent cash flows than other types of accounts. Also, while mutual fund fees for similar fund products can be expected to be similar, there will be some differences due to different pricing conditions in different distribution channels (e.g. retail funds versus those used in variable insurance products), differences in underlying investment processes and other factors.
Costs and Profit Margins
DeAM provided a detailed profitability analysis for each Fund. After making some adjustments so that the presentation would be more comparable to the available industry figures, I reviewed profit margins from investment management alone, from investment management plus other fund services (excluding distribution) provided to the Funds by DeAM (principally shareholder services), and DeAM profits from all sources, including distribution. A later section comments on overall profitability.
Economies of Scale
Economies of scale — an expected decline in management cost per dollar of fund assets as fund assets grow — are very rarely quantified and documented because of inherent difficulties in collecting and analyzing relevant data. However, in virtually every investment category that I reviewed, larger funds tend to have lower fees and lower total expenses than smaller funds. To see how each DWS Scudder Fund compares with this industry observation, I reviewed:
The trend in Fund assets over the last five years and the accompanying trend in total expenses. This shows if the Fund has grown and, if so, whether total expense (management fees as well as other expenses) have declined as a percent of assets.
Whether the Fund has break-points in its management fee schedule, the extent of the fee reduction built into the schedule and the asset levels where the breaks take effect, and in the case of a sub-advised Fund how the Fund's break-points compare with those of the sub-advisory fee schedule.
How the Fund's contractual fee schedule compares with trends in the industry data. To accomplish this, I constructed a chart showing how actual latest-fiscal-year contractual fees of the Fund and of other similar funds relate to average fund assets, with the subject Fund's contractual fee schedule superimposed.
Quality of Service — Performance
The quality-of-service evaluation focused on investment performance, which is the principal result of the investment management service. Each Fund's performance was reviewed over the past 1, 3, 5 and 10 years, as applicable, and compared with that of other funds in the same investment category and with a suitable market index.
In addition, I calculated and reviewed risk-adjusted returns relative to an index of similar mutual funds' returns and a suitable market index. The risk-adjusted returns analysis provides a way of determining the extent to which the Fund's return comparisons are mainly the product of investment value-added (or lack thereof) or alternatively taking considerably more or less risk than is typical in its investment category.
I also received and considered the history of portfolio manager changes for each Fund, as this provided an important context for evaluating the performance results.
Complex-Level Considerations
While this evaluation was conducted mainly at the individual fund level, there are some issues relating to the reasonableness of fees that can alternatively be considered across the whole fund complex:
I reviewed DeAM's profitability analysis for all DWS Scudder funds, with a view toward determining if the allocation procedures used were reasonable and how profit levels compared with public data for other investment managers.
I considered whether DeAM and affiliates receive any significant ancillary or "fall-out" benefits that should be considered in interpreting the direct profitability results. These would be situations where serving as the investment manager of the Funds is beneficial to another part of the Deutsche Bank organization.
I considered how aggregated DWS Scudder Fund expenses had varied over the years, by asset class and in the context of trends in asset levels.
I reviewed the structure of the DeAM organization, trends in staffing levels, and information on compensation of investment management and other professionals compared with industry data.
Findings
Based on the process and analysis discussed above, which included reviewing a wide range of information from management and external data sources and considering among other factors the fees DeAM charges other clients, the fees charged by other fund managers, DeAM's costs and profits associated with managing the Funds, economies of scale, possible fall-out benefits, and the nature and quality of services provided, in my opinion the management fees charged the DWS Scudder Funds are reasonable.
Thomas H. Mack
The following table presents certain information regarding the Board Members and Officers of the Trust. Each Board Member's year of birth is set forth in parentheses after his or her name. Unless otherwise noted, (i) each Board Member has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity; and (ii) the address of each Independent Board Member is c/o Dawn-Marie Driscoll, PO Box 100176, Cape Coral, FL 33904. Except as otherwise noted below, the term of office for each Board Member is until the election and qualification of a successor, or until such Board Member sooner dies, resigns, is removed or as otherwise provided in the governing documents of the fund. Because the fund does not hold an annual meeting of shareholders, each Board Member will hold office for an indeterminate period. The Board Members may also serve in similar capacities with other funds in the fund complex. The Length of Time Served represents the year in which the Board Member joined the board of one or more DWS funds now overseen by the Board.
Independent Board Members | ||
Name, Year of Birth, Position with the Fund and Length of Time Served1 | Business Experience and Directorships During the Past Five Years | Number of Funds in DWS Fund Complex Overseen |
Dawn-Marie Driscoll (1946) Chairperson since 20042 Board Member since 1987 | President, Driscoll Associates (consulting firm); Executive Fellow, Center for Business Ethics, Bentley College; formerly: Partner, Palmer & Dodge (1988-1990); Vice President of Corporate Affairs and General Counsel, Filene's (1978-1988). Directorships: Trustee of eight open-end mutual funds managed by Sun Capital Advisers, Inc. (since 2007); Director of ICI Mutual Insurance Company (since 2007); Advisory Board, Center for Business Ethics, Bentley College; Trustee, Southwest Florida Community Foundation (charitable organization). Former Directorships: Investment Company Institute (audit, executive, nominating committees) and Independent Directors Council (governance, executive committees) | 134 |
Paul K. Freeman (1950) Vice Chairperson since 2008 Board Member since 19933 | Consultant, World Bank/Inter-American Development Bank; formerly: Project Leader, International Institute for Applied Systems Analysis (1998-2001); Chief Executive Officer, The Eric Group, Inc. (environmental insurance) (1986-1998) | 132 |
John W. Ballantine (1946) Board Member since 19993 | Retired; formerly: Executive Vice President and Chief Risk Management Officer, First Chicago NBD Corporation/The First National Bank of Chicago (1996-1998); Executive Vice President and Head of International Banking (1995-1996). Directorships: Healthways, Inc. (provider of disease and care management services); Portland General Electric (utility company); Stockwell Capital Investments PLC (private equity). Former Directorships: First Oak Brook Bancshares, Inc. and Oak Brook Bank | 134 |
Henry P. Becton, Jr. (1943) Board Member since 1990 | Vice Chair, WGBH Educational Foundation. Directorships: Association of Public Television Stations; Becton Dickinson and Company4 (medical technology company); Belo Corporation4 (media company); Boston Museum of Science; Public Radio International. Former Directorships: American Public Television; Concord Academy; New England Aquarium; Mass. Corporation for Educational Telecommunications; Committee for Economic Development; Public Broadcasting Service | 134 |
Keith R. Fox (1954) Board Member since 1996 | Managing General Partner, Exeter Capital Partners (a series of private equity funds). Directorships: Progressive Holding Corporation (kitchen goods importer and distributor); Natural History, Inc. (magazine publisher); Box Top Media Inc. (advertising); The Kennel Shop (retailer) | 134 |
Kenneth C. Froewiss (1945) Board Member since 2001 | Clinical Professor of Finance, NYU Stern School of Business (1997-present); Member, Finance Committee, Association for Asian Studies (2002-present); Director, Mitsui Sumitomo Insurance Group (US) (2004-present); prior thereto, Managing Director, J.P. Morgan (investment banking firm) (until 1996) | 134 |
Richard J. Herring (1946) Board Member since 1990 | Jacob Safra Professor of International Banking and Professor, Finance Department, The Wharton School, University of Pennsylvania (since July 1972); Co-Director, Wharton Financial Institutions Center (since July 2000); Director, Japan Equity Fund, Inc. (since September 2007), Thai Capital Fund, Inc. (since September 2007), Singapore Fund, Inc. (since September 2007); formerly: Vice Dean and Director, Wharton Undergraduate Division (July 1995-June 2000); Director, Lauder Institute of International Management Studies (July 2000-June 2006) | 134 |
William McClayton (1944) Board Member since 20043 | Chief Administrative Officer, Diamond Management & Technology Consultants, Inc. (global management consulting firm) (2001-present); Directorship: Board of Managers, YMCA of Metropolitan Chicago; formerly: Senior Partner, Arthur Andersen LLP (accounting) (1966-2001); Trustee, Ravinia Festival | 134 |
Rebecca W. Rimel (1951) Board Member since 1995 | President and Chief Executive Officer, The Pew Charitable Trusts (charitable organization) (1994 to present); Trustee, Thomas Jefferson Foundation (charitable organization) (1994 to present); Trustee, Executive Committee, Philadelphia Chamber of Commerce (2001-2007); Trustee, Pro Publica (2007-present) (charitable organization); formerly: Executive Vice President, The Glenmede Trust Company (investment trust and wealth management) (1983-2004); Board Member, Investor Education (charitable organization) (2004-2005); Director, Viasys Health Care4 (January 2007-June 2007) | 134 |
William N. Searcy, Jr. (1946) Board Member since 1993 | Private investor since October 2003; Trustee of eight open-end mutual funds managed by Sun Capital Advisers, Inc. (since October 1998); formerly: Pension & Savings Trust Officer, Sprint Corporation4 (telecommunications) (November 1989-September 2003 | 134 |
Jean Gleason Stromberg (1943) Board Member since 1997 | Retired; formerly: Consultant (1997-2001); Director, US Government Accountability Office (1996-1997); Partner, Fulbright & Jaworski, L.L.P. (law firm) (1978-1996). Directorships: The William and Flora Hewlett Foundation; Service Source, Inc. Former Directorships: Mutual Fund Directors Forum (2002-2004), American Bar Retirement Association (funding vehicle for retirement plans) (1987-1990 and 1994-1996) | 134 |
Robert H. Wadsworth (1940) Board Member since 19993 | President, Robert H. Wadsworth & Associates, Inc. (consulting firm) (1983 to present). | 137 |
Interested Board Member | ||
Name, Year of Birth, Position with the Fund and Length of Time Served1 | Business Experience and Directorships During the Past Five Years | Number of Funds in Fund Complex Overseen |
Axel Schwarzer5 (1958) Board Member since 2006 | Managing Director6, Deutsche Asset Management; Head of Deutsche Asset Management Americas; CEO of DWS Scudder; formerly: board member of DWS Investments, Germany (1999-2005); formerly: Head of Sales and Product Management for the Retail and Private Banking Division of Deutsche Bank in Germany (1997-1999); formerly: various strategic and operational positions for Deutsche Bank Germany Retail and Private Banking Division in the field of investment funds, tax driven instruments and asset management for corporates (1989-1996) | 134 |
Officers7 | |
Name, Year of Birth, Position with the Fund and Length of Time Served8 | Principal Occupation(s) During Past 5 Years and Other Directorships Held |
Michael G. Clark9 (1965) President, 2006-present | Managing Director6, Deutsche Asset Management (2006-present); President of DWS family of funds; Director, ICI Mutual Insurance Company (since October 2007); formerly: Director of Fund Board Relations (2004-2006) and Director of Product Development (2000-2004), Merrill Lynch Investment Managers; Senior Vice President Operations, Merrill Lynch Asset Management (1999-2000) |
John Millette10 (1962) Vice President and Secretary, 1999-present | Director6, Deutsche Asset Management |
Paul H. Schubert9 (1963) Chief Financial Officer, 2004-present Treasurer, 2005-present | Managing Director6, Deutsche Asset Management (since July 2004); formerly: Executive Director, Head of Mutual Fund Services and Treasurer for UBS Family of Funds (1998-2004); Vice President and Director of Mutual Fund Finance at UBS Global Asset Management (1994-1998) |
Patricia DeFilippis11 (1963) Assistant Secretary, 2005-present | Vice President, Deutsche Asset Management (since June 2005); formerly: Counsel, New York Life Investment Management LLC (2003-2005); legal associate, Lord, Abbett & Co. LLC (1998-2003) |
Elisa D. Metzger11 (1962) Assistant Secretary 2005-present | Director6, Deutsche Asset Management (since September 2005); formerly: Counsel, Morrison and Foerster LLP (1999-2005) |
Caroline Pearson10 (1962) Assistant Secretary, 1997-present | Managing Director6, Deutsche Asset Management |
Paul Antosca10 (1957) Assistant Treasurer, 2007-present | Director6, Deutsche Asset Management (since 2006); Vice President, The Manufacturers Life Insurance Company (U.S.A.) (1990-2006) |
Jack Clark10 (1967) Assistant Treasurer, 2007-present | Director6, Deutsche Asset Management (since 2007); formerly: Vice President, State Street Corporation (2002-2007) |
Kathleen Sullivan D'Eramo10 (1957) Assistant Treasurer, 2003-present | Director6, Deutsche Asset Management |
Diane Kenneally10 (1966) Assistant Treasurer, 2007-present | Director6, Deutsche Asset Management |
Jason Vazquez11 (1972) Anti-Money Laundering Compliance Officer, 2007-present | Vice President, Deutsche Asset Management (since 2006); formerly: AML Operations Manager for Bear Stearns (2004-2006), Supervising Compliance Principal and Operations Manager for AXA Financial (1999-2004) |
Robert Kloby11 (1962) Chief Compliance Officer, 2006-present | Managing Director6, Deutsche Asset Management (2004-present); formerly: Chief Compliance Officer/Chief Risk Officer, Robeco USA (2000-2004); Vice President, The Prudential Insurance Company of America (1988-2000); E.F. Hutton and Company (1984-1988) |
J. Christopher Jackson11 (1951) Chief Legal Officer, 2006-present | Director6, Deutsche Asset Management (2006-present); formerly: Director, Senior Vice President, General Counsel and Assistant Secretary, Hansberger Global Investors, Inc. (1996-2006); Director, National Society of Compliance Professionals (2002-2005) (2006-2009) |
2 Represents the year Ms. Driscoll was first appointed Chairperson of certain DWS funds.
3 Elected to the Board April 1, 2008.
4 A publicly held company with securities registered pursuant to Section 12 of the Securities Exchange Act of 1934.
5 The mailing address of Axel Schwarzer is c/o Deutsche Investment Management Americas Inc., 345 Park Avenue, New York, New York 10154. Mr. Schwarzer is an interested Board Member by virtue of his positions with Deutsche Asset Management. As an interested person, Mr. Schwarzer receives no compensation from the funds.
6 Executive title, not a board directorship.
7 As a result of their respective positions held with the Advisor, these individuals are considered "interested persons" of the Advisor within the meaning of the 1940 Act. Interested persons receive no compensation from the funds.
8 The length of time served represents the year in which the officer was first elected in such capacity for one or more DWS funds.
9 Address: 345 Park Avenue, New York, New York 10154.
10 Address: Two International Place, Boston, MA 02110.
11 Address: 280 Park Avenue, New York, New York 10017.
The fund's Statement of Additional Information ("SAI") includes additional information about the Board Members. The SAI is available, without charge, upon request. If you would like to request a copy of the SAI, you may do so by calling the following toll-free number: (800) 621-1048.
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For More Information | The automated telephone system allows you to access personalized account information and obtain information on other DWS funds using either your voice or your telephone keypad. Certain account types within Class S also have the ability to purchase, exchange or redeem shares using this system. For more information, contact your financial advisor. You may also access our automated telephone system or speak with a DWS Scudder representative by calling the appropriate number below: For shareholders of Institutional Class: (800) 621-1048For shareholders of Class S: (800) 728-3337 |
Web Site | www.dws-scudder.com View your account transactions and balances, trade shares, monitor your asset allocation, and change your address, 24 hours a day.Obtain prospectuses and applications, blank forms, interactive worksheets, news about DWS funds, subscription to fund updates by e-mail, retirement planning information, and more. |
Written Correspondence | DWS Scudder PO Box 219151Kansas City, MO 64121-9151 |
Proxy Voting | A description of the fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 is available on our Web site — www.dws-scudder.com (click on "proxy voting"at the bottom of the page) — or on the SEC's Web site — www.sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at (800) 621-1048. |
Principal Underwriter | If you have questions, comments or complaints, contact: DWS Scudder Distributors, Inc. 222 South Riverside PlazaChicago, IL 60606-5808 (800) 621-1148 |
| Class S | Institutional Class |
Nasdaq Symbol | BTILX | BTAMX |
CUSIP Number | 23339E 517 | 23339E 525 |
Fund Number | 812 | 567 |
Notes
ITEM 2. | CODE OF ETHICS |
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| As of the end of the period, March 31, 2008, DWS Lifecycle Long Range Fund has a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its Principal Executive Officer and Principal Financial Officer.
There have been no amendments to, or waivers from, a provision of the code of ethics during the period covered by this report that would require disclosure under Item 2.
A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
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ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT |
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| The Funds’ audit committee is comprised solely of trustees who are “independent” (as such term has been defined by the Securities and Exchange Commission (“SEC”) in regulations implementing Section 407 of the Sarbanes-Oxley Act (the “Regulations”)). The Funds’ Board of Trustees has determined that there are several “audit committee financial experts” (as such term has been defined by the Regulations) serving on the Funds’ audit committee including Mr. William McClayton, the chair of the Funds’ audit committee. The SEC has stated that an audit committee financial expert is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933 and the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. In accordance with New York Stock Exchange requirements, the Board believes that all members of the Funds’ audit committee are financially literate, as such qualification is interpreted by the Board in its business judgment, and that at least one member of the audit committee has accounting or related financial management expertise. |
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ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES |
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DWS LIFECYCLE LONG RANGE FUND
FORM N-CSR DISCLOSURE RE: AUDIT FEES
The following table shows the amount of fees that PricewaterhouseCoopers, LLP (“PWC”), the Fund’s independent registered public accounting firm, billed to the Fund during the Fund’s last two fiscal years. The Audit Committee approved in advance all audit services and non-audit services that PWC provided to the Fund.
The Audit Committee has delegated certain pre-approval responsibilities to its Chairman (or, in his absence, any other member of the Audit Committee).
Services that the Fund’s Independent Registered Public Accounting Firm Billed to the Fund
Fiscal Year | Audit Fees Billed to Fund | Audit-Related | Tax Fees Billed to Fund | All |
2008 | $68,025 | $0 | $0 | $0 |
2007 | $69,500 | $128 | $0 | $0 |
The above “Audit- Related Fees” were billed for agreed upon procedures performed.
Services that the Fund’s Independent Registered Public Accounting Firm Billed to the Adviser and Affiliated Fund Service Providers
The following table shows the amount of fees billed by PWC to Deutsche Investment Management Americas, Inc. (“DeIM” or the “Adviser”), and any entity controlling, controlled by or under common control with DeIM (“Control Affiliate”) that provides ongoing services to the Fund (“Affiliated Fund Service Provider”), for engagements directly related to the Fund’s operations and financial reporting, during the Fund’s last two fiscal years.
Fiscal Year | Audit-Related | Tax Fees Billed to Adviser and Affiliated Fund Service Providers | All |
2008 | $21,500 | $25,000 | $0 |
2007 | $192,500 | $11,930 | $0 |
The “Audit-Related Fees” were billed for services in connection with the agreed-upon procedures related to fund mergers and additional costs related to annual audits and the above “Tax Fees” were billed in connection with tax consultation and agreed-upon procedures.
Non-Audit Services
The following table shows the amount of fees that PWC billed during the Fund’s last two fiscal years for non-audit services. The Audit Committee pre-approved all non-audit services that PWC provided to the Adviser and any Affiliated Fund Service Provider that related directly to the Fund’s operations and financial reporting. The Audit Committee requested and received information from PWC about any non-audit services that PWC rendered during the Fund’s last fiscal year to the Adviser and any Affiliated Fund Service Provider. The Committee considered this information in evaluating PWC’s independence.
Fiscal Year | Total (A) | Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (engagements related directly to the operations and financial reporting of the Fund) (B) | Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (all other engagements) (C) | Total of (A), (B) |
2008 | $0 | $25,000 | $600,000 | $625,000 |
2007 | $0 | $11,930 | $0 | $11,930 |
All other engagement fees were billed for services provided by PWC for services related to consulting on an IT project.
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ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS |
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| Not Applicable |
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ITEM 6. | SCHEDULE OF INVESTMENTS |
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| Not Applicable |
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ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
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| Not applicable. |
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ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
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| Not applicable. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
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| Not Applicable. |
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS |
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| The primary function of the Nominating and Governance Committee is to identify and recommend individuals for membership on the Board and oversee the administration of the Board Governance Guidelines. Shareholders may recommend candidates for Board positions by forwarding their correspondence by U.S. mail or courier service to Chairman of the Board, P.O. Box 100176, Cape Coral, FL 33910. |
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ITEM 11. | CONTROLS AND PROCEDURES |
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| (a) The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. |
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| (b) There have been no changes in the registrant’s internal control over financial reporting 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 controls over financial reporting. |
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ITEM 12. | EXHIBITS |
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| (a)(1) Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
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| (a)(2) Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
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| (b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
Form N-CSR Item F
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.
Registrant: | DWS Lifecycle Long Range Fund, a series of DWS Advisor Funds |
By: | /s/Michael G. Clark |
| Michael G. Clark |
President
Date: | May 30, 2008 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Registrant: | DWS Lifecycle Long Range Fund, a series of DWS Advisor Funds |
By: | /s/Michael G. Clark |
| Michael G. Clark |
President
Date: | May 30, 2008 |
By: | /s/Paul Schubert |
| Paul Schubert |
Chief Financial Officer and Treasurer
Date: | May 30, 2008 |