UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549
FORM N-CSRS
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: | 09/30/08 |
ITEM 1. REPORT TO STOCKHOLDERS
SEPTEMBER 30, 2008 Semiannual Report |
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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 Investment Management Agreement Approval click here Summary of Management Fee Evaluation by Independent Fee Consultant click here Account Management Resources click here Privacy Statement |
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 Investments is part of Deutsche Bank's Asset Management division and, within the US, represents the retail 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 September 30, 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-investments.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, 2008 is 0.89% 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 September 30, 2008.
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 9/30/08 | |||||
DWS Lifecycle Long Range Fund | 6-Month‡ | 1-Year | 3-Year | 5-Year | 10-Year |
Institutional Class | -11.43% | -16.68% | .47% | 4.30% | 3.76% |
Russell 1000® Index+ | -11.06% | -22.10% | .13% | 5.49% | 3.49% |
S&P 500® Index+ | -10.87% | -21.98% | .22% | 5.17% | 3.06% |
MSCI EAFE Index+ | -22.35% | -30.50% | 1.12% | 9.69% | 5.02% |
Citigroup Broad Investment Grade Bond Index+ | -1.26% | 4.51% | 4.49% | 4.04% | 5.33% |
Barclays Capital US Aggregate Index+ | -1.50% | 3.65% | 4.15% | 3.78% | 5.20% |
Asset Allocation Index — Long Range+ | -7.66% | -12.83% | 1.52% | 4.27% | 3.97% |
Sources: Lipper Inc. and Deutsche Investment Management Americas Inc.
‡ Total returns shown for periods less than one year are not annualized.Net Asset Value and Distribution Information | |
| Institutional Class |
Net Asset Value: 9/30/08 | $ 8.73 |
3/31/08 | $ 10.22 |
Distribution Information: Six Months as of 9/30/08:Income Dividends | $ .21 |
Capital Gain Distributions | $ .13 |
Institutional Class Lipper Rankings — Mixed-Asset Target Allocation Moderate Funds Category as of 9/30/08 | ||||
Period | Rank |
| Number of Funds Tracked | Percentile Ranking (%) |
1-Year | 349 | of | 498 | 70 |
3-Year | 194 | of | 362 | 54 |
5-Year | 96 | of | 244 | 40 |
10-Year | 70 | of | 139 | 49 |
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+ [] Barclays Capital US Aggregate Index+ [] Asset Allocation Index — Long Range+ |
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Yearly periods ended September 30 |
Comparative Results as of 9/30/08 | |||||
DWS Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Institutional Class | Growth of $1,000,000 | $833,200 | $1,014,300 | $1,234,500 | $1,445,800 |
Average annual total return | -16.68% | .47% | 4.30% | 3.76% | |
Russell 1000 Index+ | Growth of $1,000,000 | $779,000 | $1,004,000 | $1,306,600 | $1,409,100 |
Average annual total return | -22.10% | .13% | 5.49% | 3.49% | |
S&P 500 Index+ | Growth of $1,000,000 | $780,200 | $1,006,500 | $1,286,600 | $1,352,000 |
Average annual total return | -21.98% | .22% | 5.17% | 3.06% | |
MSCI EAFE Index+ | Growth of $1,000,000 | $695,000 | $1,034,000 | $1,588,000 | $1,632,200 |
Average annual total return | -30.50% | 1.12% | 9.69% | 5.02% | |
Citigroup Broad Investment Grade Bond Index+ | Growth of $1,000,000 | $1,045,100 | $1,140,700 | $1,218,900 | $1,680,000 |
Average annual total return | 4.51% | 4.49% | 4.04% | 5.33% | |
Barclays Capital US Aggregate Index+ | Growth of $1,000,000 | $1,036,500 | $1,129,800 | $1,204,000 | $1,659,500 |
Average annual total return | 3.65% | 4.15% | 3.78% | 5.20% | |
Asset Allocation Index — Long Range+ | Growth of $1,000,000 | $871,700 | $1,046,300 | $1,232,800 | $1,475,700 |
Average annual total return | -12.83% | 1.52% | 4.27% | 3.97% |
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 Barclays Capital US Aggregate Index (name changed from Lehman Brothers US Aggregate Index, effective November 3, 2008) is an unmanaged, market value-weighted measure of treasury issues, corporate bond issues and mortgage securities.
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, Barclays Capital 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.
Fixed income index returns, 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-investments.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, 2008 is 1.05% 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 September 30, 2008.
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 shares of the DWS Lifecycle Long Range Fund during such period and have been adjusted to reflect the higher total annual operating expenses of the Class S shares. Any difference in expenses will affect performance.
Average Annual Total Returns as of 9/30/08 | |||||
DWS Lifecycle Long Range Fund | 6-Month‡ | 1-Year | 3-Year | 5-Year | 10-Year |
Class S | -11.65% | -17.02% | .16% | 3.92% | 3.34% |
Russell 1000 Index+ | -11.06% | -22.10% | .13% | 5.49% | 3.49% |
S&P 500 Index+ | -10.87% | -21.98% | .22% | 5.17% | 3.06% |
MSCI EAFE Index+ | -22.35% | -30.50% | 1.12% | 9.69% | 5.02% |
Citigroup Broad Investment Grade Bond Index+ | -1.26% | 4.51% | 4.49% | 4.04% | 5.33% |
Barclays Capital US Aggregate Index+ | -1.50% | 3.65% | 4.15% | 3.78% | 5.20% |
Asset Allocation Index — Long Range+ | -7.66% | -12.83% | 1.52% | 4.27% | 3.97% |
Sources: Lipper Inc. and Deutsche Investment Management Americas Inc.
‡ Total returns shown for periods less than one year are not annualized.Net Asset Value and Distribution Information | |
| Class S |
Net Asset Value: 9/30/08 | $ 8.36 |
3/31/08 | $ 9.79 |
Distribution Information: Six Months as of 9/30/08:Income Dividends | $ .19 |
Capital Gain Distributions | $ .13 |
Class S Lipper Rankings — Mixed-Asset Target Allocation Moderate Funds Category as of 9/30/08 | ||||
Period | Rank |
| Number of Funds Tracked | Percentile Ranking (%) |
1-Year | 369 | of | 498 | 74 |
3-Year | 221 | of | 362 | 61 |
5-Year | 121 | of | 244 | 49 |
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+ [] Barclays Capital US Aggregate Index+ [] Asset Allocation Index — Long Range+ |
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Yearly periods ended September 30 |
Comparative Results as of 9/30/08 | |||||
DWS Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Class S | Growth of $10,000 | $8,298 | $10,049 | $12,119 | $13,893 |
Average annual total return | -17.02% | .16% | 3.92% | 3.34% | |
Russell 1000 Index+ | Growth of $10,000 | $7,790 | $10,040 | $13,066 | $14,091 |
Average annual total return | -22.10% | .13% | 5.49% | 3.49% | |
S&P 500 Index+ | Growth of $10,000 | $7,802 | $10,065 | $12,866 | $13,520 |
Average annual total return | -21.98% | .22% | 5.17% | 3.06% | |
MSCI EAFE Index+ | Growth of $10,000 | $6,950 | $10,340 | $15,880 | $16,322 |
Average annual total return | -30.50% | 1.12% | 9.69% | 5.02% | |
Citigroup Broad Investment Grade Bond Index+ | Growth of $10,000 | $10,451 | $11,407 | $12,189 | $16,800 |
Average annual total return | 4.51% | 4.49% | 4.04% | 5.33% | |
Barclays Capital US Aggregate Index+ | Growth of $10,000 | $10,365 | $11,298 | $12,040 | $16,595 |
Average annual total return | 3.65% | 4.15% | 3.78% | 5.20% | |
Asset Allocation Index — Long Range+ | Growth of $10,000 | $8,717 | $10,463 | $12,328 | $14,757 |
Average annual total return | -12.83% | 1.52% | 4.27% | 3.97% |
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 Barclays Capital US Aggregate Index (name changed from Lehman Brothers US Aggregate Index, effective November 3, 2008) is an unmanaged, market value-weighted measure of treasury issues, corporate bond issues and mortgage securities.
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, Barclays Capital 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.
Fixed income index returns, 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 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 (April 1, 2008 to September 30, 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 September 30, 2008 | ||
Actual Fund Return | Class S | Institutional Class |
Beginning Account Value 4/1/08 | $ 1,000.00 | $ 1,000.00 |
Ending Account Value 9/30/08 | $ 883.50 | $ 885.70 |
Expenses Paid per $1,000* | $ 3.64 | $ 2.60 |
Hypothetical 5% Fund Return | Class S | Institutional Class |
Beginning Account Value 4/1/08 | $ 1,000.00 | $ 1,000.00 |
Ending Account Value 9/30/08 | $ 1,021.21 | $ 1,022.31 |
Expenses Paid per $1,000* | $ 3.90 | $ 2.79 |
Annualized Expense Ratios | Class S | Institutional Class |
DWS Lifecycle Long Range Fund | .77% | .55% |
For more information, please refer to the Fund's prospectus.
In the following interview, the portfolio management team discusses DWS Lifecycle Long Range Fund's performance, strategy and the market environment during the six-month period ended September 30, 2008.
The views expressed in the following discussion reflect those of the portfolio management team 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. Current and future portfolio holdings are subject to risk.
Q: How would you describe market conditions over the last six months?
A: This was a period of considerable economic uncertainty and significant turmoil throughout the capital markets. By early 2008, what began as a correction in the subprime housing market had accelerated into the worst financial crisis in decades, with profound implications for the entire US economy and related effects on global markets and economies. Financial markets became quite risk-averse, as demonstrated by wider credit spreads, severe dislocation in short-term credit markets and a highly volatile equity market.1 These problems reached crisis proportions in September, as troubledseveral financial firms failed or were forced into mergers with stronger entitiesfiled for bankruptcy protection and others appeared to be near collapse. The US government has taken unprecedented actions, including instituting temporary insurance on money market funds, expanding access by financial institutions to the US Federal Reserve Board (the Fed), and the purchase by the Treasury of billions of dollars of illiquid securities from financial institutions.
1 Credit spread — the additional yield provided by non-Treasury fixed income securities versus Treasury securities of comparable duration.In this very difficult environment, most US equity indices posted negative returns for the six months ended September 30, 2008. The Russell 3000® Index, which is generally regarded as a good indicator of the broad stock market, posted a negative return of -10.27% for the period.2 Small-cap stocks generally performed better than large-cap stocks; the Russell 1000® Index, which measures performance of large-cap stocks, returned -11.06%, while the small-cap Russell 2000® Index returned -0.54%.3 Value stocks performed somewhat better than growth stocks: the Russell 3000® Growth Index returned -10.6118%, while the Russell 3000® Value Index returned -10.169.52%.4 Most international markets performed worse than the US market: the return of the Morgan Stanley Capital International (MSCI) Europe, Australasia, Europe and Far East (EAFE) Index, which measures performance of a broad range of international markets, was -22.35%. Emerging markets were even weaker than developed markets: the return of the MSCI Emerging Markets Index was -27.44%.5
2 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.3 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.
4 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, while 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.
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.
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.
6 The Barclays Capital US Aggregate Index (name changed from Lehman Brothers US Aggregate Index, effective November 3, 2008) is an unmanaged, market-value-weighted measure of Treasury issues, corporate bond issues and mortgage securities. Index returns, unlike fund returns, do not include fees or expenses. It is not possible to invest directly into an index.
Bond returns were also generally negative, except for US Treasury securities. The Lehman BrothersBarclays Capital US Aggregate Index, which measures return of the bond market as a whole, posted a return of -1.50%.6 The rReturn of the Merrill Lynch 1-35 year Treasury Index was 0.8147%, and the return of the Merrill Lynch 3-Month T-Bill Index was 0.94%.7,8
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.
Index returns, unlike fund returns, do not include 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 will review strategic asset allocation at least annually going forward.
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 BrothersBarclays Capital 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 strategy. This strategy, which DWS Investments calls iGAP (integrated Global Alpha Platform), attempts to take advantage ofportable alpha strategy, which is designed to add value by benefiting from short-term and medium-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
The portable alpha strategy combines diverse macro investment views from various investment teams within DB Advisors. 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 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. The positions are then implemented using futures and forward contracts. The portfolio managers consider factors such as liquidity, cost, margin requirement and credit quality when selecting the appropriate derivative instrument.10
Q: How did the fund perform during the period?
A: We find that onethe best way to evaluate performance is to compare returns to those of a peer group of funds that allocate assets among several asset classes, the Lipper Mixed-Asset Target Allocation Moderate Funds category.9101 For the six months ended September 30, 2008, DWS Lifecycle Long Range Fund had a return of -11.43% (Institutional Class). The fund underperformed its Lipper peer group of Mixed-Asset Target Allocation Moderate Funds, which had an average return of -9.26%. (Past performance is no guarantee of future results. Please see pages 5 through 12 for the performance of other share classes and more complete performance information.)
9 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; however, the underlying strategies on balance detracted from performance, with the exception of the quantitative international sleeve and the high-yield sleeve, which marginally added value. Within the quantitative international equity sleeve, holdings in the United Kingdom provided the most significant contribution to return, driven mainly by a significant underweight in the financial sector, which performed poorly, as well as an underweight in the economically sensitive materials sector.10
10 "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.The fundamental international equity sleeve detracted from performance. Within the fundamental international equity sleeve, allocation among industry sectors contributed to performance, specifically an overweight of the healthcare sector, which is considered defensive, and an underweight of the financial sector.The strategy benefited from strong asset allocation from a sector perspective, overweighting defensive health care sector and underweighting financials. However, this was not enough to offset stock selection weakness in the consumer discretionary and energy sectors.
Within the US equity portion of the portfolio, the small quantitative equity underperformance resulted mainly from overweights in technology and consumer durables sectors and an underweight in diversified financials. The domestic large-cap quantitative equity underperformance was driven by the energy, materials, pharmaceuticals and biotechnology sectors.
In the fixed-income space, the core fixed-income strategy underperformed its benchmarks, as it has in prior periods. The main sources of this underperformance were exposure to corporate bonds, mainly in the financial industry, and mortgage-backed securities. In the case of mortgage-backed securities, we believe that the positions held in the portfolio have significant long-term value that is currently obscured by accounting requirements that mandate valuing these securities at current market prices, which are severely depressed by a lack of market liquidity.
The iGAPportable alpha strategy also detracted from performance. Strength in the dollar near the end of the period, sparked by lower oil prices and concerns about slowing growth in other economies, hurt the fund's long foreign currency positions, offsetting much of the gains from earlier in 2008. Asian currencies dropped in value, as overseas funds dumped stocks on concern that slowing global growth will dampen demand for Asian exports. The high-yielding Norwegian krone also traded lower during September as risk aversion, declining commodity prices and expected rate cuts weighed on the currency.
Q: Do you have other comments for shareholders?
A: In this challenging market environment, risk aversion dominates market sentiment, with financial and credit concerns at the forefront. During times of uncertainty with regard to credit markets, geopolitical risks, economic growth and inflation, this fund, with its investments in multiple asset classes, can be a worthwhile investment because of its relatively low volatility and higher risk-adjusted returns. 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) | 9/30/08 | 3/31/08 |
|
|
|
Common Stocks | 58% | 58% |
Commercial and Non-Agency Mortgage-Backed Securities | 14% | 12% |
Corporate Bonds | 9% | 8% |
Mortgage-Backed Securities Pass-Throughs | 6% | 6% |
Government & Agency Obligations | 4% | 5% |
Cash Equivalents | 3% | 7% |
Collateralized Mortgage Obligations | 2% | 2% |
Municipal Bonds & Notes | 2% | 1% |
Asset Backed | 1% | — |
Preferred Securities | 1% | 1% |
| 100% | 100% |
Sector Diversification (As a % of Equities and Corporate Bonds) | 9/30/08 | 3/31/08 |
|
|
|
Financials | 17% | 18% |
Information Technology | 13% | 13% |
Energy | 12% | 13% |
Health Care | 12% | 10% |
Industrials | 11% | 11% |
Consumer Staples | 10% | 8% |
Consumer Discretionary | 9% | 10% |
Materials | 6% | 5% |
Utilities | 5% | 6% |
Telecommunication Services | 5% | 6% |
| 100% | 100% |
Geographical Diversification (As a % of Common Stocks) | 9/30/08 | 3/31/08 |
|
|
|
United States | 82% | 78% |
Europe (excluding United Kingdom) | 9% | 9% |
Japan | 2% | 2% |
Pacific Basin | 2% | 3% |
United Kingdom | 2% | 2% |
Other | 3% | 6% |
| 100% | 100% |
Asset allocation, sector and geographical diversifications are subject to change.
Ten Largest Equity Holdings at September 30, 2008 (10.1% of Net Assets) | |
1. Microsoft Corp. Developer of computer software | 1.3% |
2. Procter & Gamble Co. Manufacturer of diversified consumer products | 1.3% |
3. Wells Fargo & Co. Provider of various financial services | 1.1% |
4. Pfizer, Inc. Manufacturer of prescription pharmaceuticals and non-prescription self-medications | 1.1% |
5. Hewlett-Packard Co. Provider of imaging and printing systems and information technology services | 1.0% |
6. Verizon Communications, Inc. Provider of advanced communication and information technology services | 1.0% |
7. Philip Morris International, Inc. Seller and distributor of tobacco products | 0.9% |
8. ExxonMobil Corp. Explorer and producer of oil and gas | 0.8% |
9. Comcast Corp. Developer, manager, and operator of hybrid fiber-coaxial broadband cable communications networks | 0.8% |
10. Eli Lilly & Co. Producer of pharmaceuticals | 0.8% |
Portfolio holdings are subject to change.
For more complete details about the Fund's investment portfolio, see page 24. A quarterly Fact Sheet is available upon request. A complete list of the fund's portfolio holdings is posted as of the month end on www.dws-investments.com on or about the 15th day of the following month. More frequent posting of portfolio holdings information may be made from time to time on www.dws-investments.com. In addition, the Fund's top ten holdings and other information about the Fund is posted on www.dws-investments.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 September 30, 2008 (Unaudited)
|
| Value ($) |
|
| |
Common Stocks 56.8% | ||
Consumer Discretionary 5.0% | ||
Auto Components 0.4% | ||
Aisin Seiki Co., Ltd. | 100 | 2,441 |
ArvinMeritor, Inc. | 6,100 | 79,544 |
Bridgestone Corp. | 400 | 7,501 |
Compagnie Generale des Etablissements Michelin "B" | 157 | 10,301 |
Continental AG | 138 | 11,333 |
Denso Corp. | 300 | 7,368 |
Fuel Systems Solutions, Inc.* | 2,600 | 89,570 |
Lear Corp.* | 10,500 | 110,250 |
Magna International, Inc. "A" | 500 | 25,689 |
Nokian Renkaat Oyj | 10,035 | 243,903 |
Rieter Holding AG (Registered) | 6 | 1,823 |
Stoneridge, Inc.* | 13,500 | 151,875 |
Toyota Industries Corp. | 200 | 5,055 |
TRW Automotive Holdings Corp.* | 54,300 | 863,913 |
WABCO Holdings, Inc. | 9,082 | 322,774 |
| 1,933,340 | |
Automobiles 0.1% | ||
Bayerische Motoren Werke (BMW) AG | 214 | 8,347 |
Daimler AG (Registered) | 823 | 41,594 |
Fiat SpA | 6,559 | 87,392 |
Honda Motor Co., Ltd. | 1,100 | 32,670 |
Isuzu Motors Ltd. | 1,000 | 2,763 |
Mitsubishi Motors Corp.* | 3,000 | 5,031 |
Nissan Motor Co., Ltd. | 1,400 | 9,393 |
PSA Peugeot Citroen | 169 | 6,418 |
Renault SA | 194 | 12,536 |
Suzuki Motor Corp. | 16,000 | 297,111 |
Toyota Motor Corp. | 1,700 | 72,177 |
Volkswagen AG | 138 | 54,290 |
| 629,722 | |
Distributors 0.0% | ||
Inchcape PLC | 792 | 2,681 |
Li & Fung Ltd. | 26,000 | 63,499 |
| 66,180 | |
Diversified Consumer Services 0.0% | ||
thinkorswim Group, Inc.* | 12,000 | 99,960 |
Hotels Restaurants & Leisure 1.4% | ||
Accor SA | 229 | 12,298 |
California Pizza Kitchen, Inc.* | 10,500 | 135,135 |
Carnival Corp. (Unit) | 40,200 | 1,421,070 |
Carnival PLC | 221 | 6,624 |
CEC Entertainment, Inc.* | 6,600 | 219,120 |
CKE Restaurants, Inc. | 5,800 | 61,480 |
Compass Group PLC | 2,937 | 18,287 |
Crown Ltd. | 6,343 | 43,856 |
Enterprise Inns PLC | 717 | 2,305 |
InterContinental Hotel Group PLC | 373 | 4,616 |
Lottomatica SpA | 218 | 5,690 |
McDonald's Corp. | 52,122 | 3,215,927 |
O'Charley's, Inc. | 7,200 | 63,000 |
P.F. Chang's China Bistro, Inc.* | 9,700 | 228,338 |
Shangri-La Asia Ltd. | 18,000 | 25,827 |
Sodexo | 129 | 7,644 |
TABCORP Holdings Ltd. | 7,041 | 45,347 |
Tatts Group Ltd. | 13,276 | 25,036 |
Town Sports International Holdings, Inc.* | 21,100 | 128,710 |
TUI AG | 232 | 3,861 |
Whitbread PLC | 338 | 6,421 |
WMS Industries, Inc.* | 8,700 | 265,959 |
Yum! Brands, Inc. | 57,932 | 1,889,163 |
| 7,835,714 | |
Household Durables 0.2% | ||
Electrolux AB "B" | 1,200 | 14,216 |
Husqvarna AB "B" | 1,300 | 9,808 |
Matsushita Electric Industrial Co., Ltd. | 13,000 | 225,616 |
NVR, Inc.* | 700 | 400,400 |
Persimmon PLC | 383 | 2,757 |
Ryland Group, Inc. | 5,300 | 140,556 |
Sekisui House Ltd. | 1,000 | 9,182 |
Sharp Corp. | 1,000 | 10,794 |
Sony Corp. | 600 | 18,555 |
Tupperware Brands Corp. | 4,700 | 129,861 |
| 961,745 | |
Internet & Catalog Retail 0.0% | ||
Home Retail Group PLC | 1,046 | 4,452 |
Media 1.7% | ||
British Sky Broadcasting Group PLC | 1,807 | 13,438 |
Comcast Corp. "A" | 225,300 | 4,422,639 |
DISH Network Corp. "A"* | 11,194 | 235,074 |
Fairfax Media Ltd. | 17,853 | 38,216 |
Gestevision Telecinco SA | 500 | 5,152 |
Global Sources Ltd.* | 13,640 | 137,355 |
ITV PLC | 4,753 | 3,559 |
Lagardere SCA | 166 | 7,502 |
Live Nation, Inc.* | 10,900 | 177,343 |
Mediaset SpA | 5,737 | 36,345 |
Modern Times Group MTG AB "B" | 250 | 9,032 |
Morningstar, Inc.* | 9,057 | 502,392 |
Pearson PLC | 966 | 10,440 |
Publicis Groupe | 212 | 6,673 |
Reed Elsevier NV | 4,876 | 72,686 |
Reed Elsevier PLC | 1,396 | 13,838 |
Scholastic Corp. | 1,000 | 25,680 |
Seat Pagine Gialle SpA* | 27,435 | 2,674 |
SES "A" (FDR) | 261 | 5,418 |
Shaw Communications, Inc. "B" | 2,300 | 46,551 |
Singapore Press Holdings Ltd. | 129,000 | 359,181 |
The DIRECTV Group, Inc.* | 64,747 | 1,694,429 |
Thomson Reuters Corp. | 2,200 | 59,804 |
Thomson Reuters PLC | 202 | 4,508 |
Time Warner, Inc. | 128,500 | 1,684,635 |
United Business Media Ltd. | 550 | 4,840 |
Vivendi | 1,187 | 37,145 |
Wolters Kluwer NV | 2,435 | 49,635 |
WPP Group PLC | 1,283 | 10,412 |
Yell Group PLC | 1,016 | 1,417 |
Yellow Pages Income Fund (Unit) | 600 | 5,610 |
| 9,683,623 | |
Multiline Retail 0.0% | ||
Canadian Tire Corp. Ltd. "A" | 600 | 27,625 |
Marks & Spencer Group PLC | 1,707 | 6,176 |
Next PLC | 252 | 4,621 |
PPR | 86 | 7,723 |
| 46,145 | |
Specialty Retail 1.0% | ||
Advance Auto Parts, Inc. | 20,600 | 816,996 |
America's Car-Mart, Inc.* | 11,100 | 206,349 |
AnnTaylor Stores Corp.* | 60,095 | 1,240,361 |
Best Buy Co., Inc. | 39,500 | 1,481,250 |
Children's Place Retail Stores, Inc.* | 3,300 | 110,055 |
Esprit Holdings Ltd. | 11,500 | 70,655 |
Gymboree Corp.* | 5,600 | 198,800 |
Hennes & Mauritz AB "B" | 2,150 | 87,502 |
Hot Topic, Inc.* | 6,900 | 45,609 |
Industria de Diseno Textil SA | 3,657 | 156,005 |
Jo-Ann Stores, Inc.* | 8,700 | 182,526 |
Kingfisher PLC | 2,909 | 6,898 |
New York & Co., Inc.* | 14,400 | 137,376 |
Rent-A-Center, Inc.* | 13,000 | 289,640 |
Stage Stores, Inc. | 1,500 | 20,490 |
Systemax, Inc. | 10,700 | 150,442 |
The Buckle, Inc. | 5,800 | 322,132 |
Yamada Denki Co., Ltd. | 70 | 5,308 |
| 5,528,394 | |
Textiles, Apparel & Luxury Goods 0.2% | ||
Adidas AG | 193 | 10,365 |
Billabong International Ltd. | 200 | 2,188 |
Burberry Group PLC | 630 | 4,415 |
Compagnie Financiere Richemont SA "A" (Unit) | 2,218 | 98,511 |
Deckers Outdoor Corp.* | 2,100 | 218,568 |
Fossil, Inc.* | 7,900 | 223,017 |
G-III Apparel Group Ltd.* | 2,100 | 39,291 |
Gildan Activewear, Inc.* | 600 | 13,333 |
Hermes International | 82 | 13,407 |
Luxottica Group SpA | 740 | 16,917 |
LVMH Moet Hennessy Louis Vuitton SA | 250 | 22,074 |
Steven Madden Ltd.* | 8,500 | 210,630 |
Swatch Group AG (Bearer) | 143 | 26,469 |
Swatch Group AG (Registered) | 241 | 7,967 |
The Warnaco Group, Inc.* | 1,500 | 67,935 |
True Religion Apparel, Inc.* | 6,800 | 175,780 |
| 1,150,867 | |
Consumer Staples 5.7% | ||
Beverages 0.2% | ||
Asahi Breweries Ltd. | 1,100 | 19,246 |
Carlsberg AS "B" | 8,650 | 661,293 |
Coca-Cola Amatil Ltd. | 2,147 | 14,281 |
Diageo PLC | 2,872 | 48,617 |
Foster's Group Ltd. | 6,329 | 27,656 |
Heineken NV | 860 | 34,656 |
InBev NV | 5,585 | 329,687 |
Kirin Holdings Co., Ltd. | 2,000 | 26,300 |
Pernod Ricard SA | 372 | 32,705 |
SABMiller PLC | 1,041 | 20,334 |
| 1,214,775 | |
Food & Staples Retailing 2.0% | ||
Aeon Co., Ltd. | 1,700 | 17,271 |
Carrefour SA | 1,176 | 55,503 |
Casino Guichard-Perrachon SA | 123 | 11,028 |
Colruyt SA | 122 | 30,453 |
Delhaize Group | 731 | 42,598 |
George Weston Ltd. | 500 | 24,177 |
J Sainsbury PLC | 1,965 | 12,324 |
Kesko Oyj "B" | 199 | 5,103 |
Koninklijke Ahold NV | 3,447 | 39,773 |
Kroger Co. | 99,537 | 2,735,277 |
Lawson, Inc. | 200 | 9,269 |
Loblaw Companies Ltd. | 1,000 | 27,907 |
Metro AG | 1,069 | 53,540 |
Metro, Inc. "A" | 600 | 17,409 |
Olam International Ltd. | 3,000 | 3,848 |
Pantry, Inc.* | 9,800 | 207,662 |
Seven & I Holdings Co., Ltd. | 2,100 | 60,443 |
Shoppers Drug Mart Corp. | 2,000 | 96,500 |
Susser Holdings Corp.* | 2,700 | 40,662 |
Sysco Corp. | 104,133 | 3,210,420 |
Tesco PLC | 8,774 | 61,018 |
Wal-Mart Stores, Inc. | 64,914 | 3,887,700 |
Walgreen Co. | 3,700 | 114,552 |
Wesfarmers Ltd. | 1,881 | 42,846 |
Wesfarmers Ltd. (PPS) | 246 | 5,551 |
William Morrison Supermarkets PLC | 2,064 | 9,581 |
Woolworths Ltd. | 3,605 | 77,958 |
| 10,900,373 | |
Food Products 0.9% | ||
Ajinomoto Co., Inc. | 2,000 | 18,979 |
Aryzta AG* | 119 | 4,640 |
Cadbury PLC | 1,536 | 15,467 |
Cal-Maine Foods, Inc. | 5,600 | 153,664 |
Chaoda Modern Agriculture (Holdings) Ltd. | 104,000 | 87,255 |
Danisco AS | 850 | 47,957 |
Darling International, Inc.* | 20,100 | 223,311 |
Flowers Foods, Inc. | 14,300 | 419,848 |
General Mills, Inc. | 16,700 | 1,147,624 |
Golden Agri-Resources Ltd. | 11,000 | 2,471 |
Groupe DANONE | 864 | 61,223 |
H.J. Heinz Co. | 27,784 | 1,388,366 |
Kerry Group PLC "A" (b) | 2,803 | 82,127 |
Kerry Group PLC "A" (b) | 2,732 | 80,140 |
Nestle SA (Registered) | 21,498 | 929,833 |
Nissin Food Products Co., Ltd. | 200 | 7,119 |
Parmalat SpA | 4,471 | 10,619 |
Sanderson Farms, Inc. | 3,700 | 135,938 |
Saputo, Inc. | 1,500 | 35,588 |
Tate & Lyle PLC | 684 | 4,692 |
Unilever NV (CVA) | 4,690 | 132,497 |
Unilever PLC | 1,440 | 39,090 |
Wilmar International Ltd. | 2,000 | 3,563 |
| 5,032,011 | |
Household Products 1.3% | ||
Henkel AG & Co. KGaA | 797 | 24,675 |
Kao Corp. | 1,000 | 26,790 |
Procter & Gamble Co. | 103,641 | 7,222,741 |
Reckitt Benckiser Group PLC | 433 | 20,965 |
Unicharm Corp. | 100 | 7,671 |
| 7,302,842 | |
Personal Products 0.0% | ||
American Oriental Bioengineering, Inc.* | 19,400 | 125,906 |
Beiersdorf AG | 812 | 51,972 |
L'Oreal SA | 505 | 49,868 |
Shiseido Co., Ltd. | 1,000 | 22,398 |
| 250,144 | |
Tobacco 1.3% | ||
Altria Group, Inc. | 39,564 | 784,950 |
British American Tobacco PLC | 1,673 | 54,666 |
Imperial Tobacco Group PLC | 12,173 | 391,108 |
Japan Tobacco, Inc. | 152 | 572,257 |
Philip Morris International, Inc. | 104,521 | 5,027,460 |
Swedish Match AB | 12,200 | 212,592 |
| 7,043,033 | |
Energy 6.7% | ||
Energy Equipment & Services 0.2% | ||
Acergy SA | 500 | 5,024 |
Aker Solutions ASA | 1,150 | 18,431 |
AMEC PLC | 31,961 | 362,811 |
Compagnie Generale de Geophysique-Veritas* | 126 | 3,967 |
ENGlobal Corp.* | 8,800 | 116,776 |
Fugro NV (CVA) | 1,055 | 62,362 |
Petroleum Geo-Services ASA* | 950 | 12,610 |
PHI, Inc.* | 1,300 | 48,009 |
Prosafe Production Public Ltd.* | 500 | 1,218 |
Prosafe SE | 500 | 2,703 |
RPC, Inc. | 10,500 | 147,630 |
Saipem SpA | 12,798 | 378,638 |
SBM Offshore NV | 2,564 | 55,209 |
Seadrill Ltd. | 700 | 14,387 |
Technip SA | 115 | 6,460 |
WorleyParsons Ltd. | 411 | 10,161 |
| 1,246,396 | |
Oil, Gas & Consumable Fuels 6.5% | ||
Apache Corp. | 16,707 | 1,742,206 |
Arch Coal, Inc. | 8,800 | 289,432 |
ATP Oil & Gas Corp.* | 8,700 | 154,947 |
Berry Petroleum Co. "A" | 6,400 | 247,872 |
BG Group PLC | 20,846 | 377,709 |
Bill Barrett Corp.* | 1,500 | 48,165 |
BP PLC | 5,924 | 49,316 |
Callon Petroleum Co.* | 11,100 | 200,133 |
Cameco Corp. | 200 | 4,334 |
Canadian Natural Resources Ltd. | 200 | 13,719 |
Canadian Oil Sands Trust (Unit) | 200 | 7,284 |
Chevron Corp. | 2,673 | 220,469 |
Cimarex Energy Co. | 58,518 | 2,862,115 |
Clayton Williams Energy, Inc.* | 2,400 | 169,272 |
CNOOC Ltd. | 197,500 | 226,637 |
Comstock Resources, Inc.* | 4,400 | 220,220 |
ConocoPhillips | 3,100 | 227,075 |
Enbridge, Inc. | 200 | 7,400 |
EnCana Corp. | 300 | 19,157 |
Encore Acquisition Co.* | 38,743 | 1,618,683 |
Eni SpA | 4,187 | 110,516 |
ExxonMobil Corp. | 59,266 | 4,602,598 |
Frontline Ltd. | 45,643 | 2,194,059 |
Gazprom (ADR) (REG S) | 14,000 | 449,899 |
Hess Corp. | 33,158 | 2,721,609 |
Husky Energy, Inc. | 200 | 8,306 |
Imperial Oil Ltd. | 200 | 8,566 |
INPEX Holdings, Inc. | 5 | 43,306 |
Knightsbridge Tankers Ltd. | 2,100 | 55,587 |
Marathon Oil Corp. | 55,200 | 2,200,824 |
Mariner Energy, Inc.* | 159,345 | 3,266,572 |
McMoRan Exploration Co.* | 9,700 | 229,308 |
Mongolia Energy Corp., Ltd.* | 15,000 | 7,994 |
Nexen, Inc. | 300 | 6,963 |
Nippon Mining Holdings, Inc. | 5,000 | 20,315 |
Nippon Oil Corp. | 8,000 | 40,445 |
Noble Energy, Inc. | 34,567 | 1,921,579 |
Occidental Petroleum Corp. | 13,502 | 951,216 |
OMV AG | 2,515 | 105,523 |
Origin Energy Ltd. | 2,402 | 30,749 |
Paladin Energy Ltd.* | 950 | 3,008 |
Petro-Canada | 300 | 9,979 |
Petroleo Brasileiro SA (ADR) | 8,700 | 382,365 |
PetroQuest Energy, Inc.* | 11,900 | 182,665 |
Quest Resource Corp.* | 4,700 | 12,502 |
Repsol YPF SA | 9,816 | 289,982 |
Rosetta Resources, Inc.* | 11,800 | 216,648 |
Royal Dutch Shell PLC "A" | 1,131 | 32,671 |
Royal Dutch Shell PLC "B" | 862 | 24,454 |
Santos Ltd. | 1,672 | 25,976 |
StatoilHydro ASA | 24,050 | 573,331 |
Suncor Energy, Inc. | 5,200 | 214,987 |
Swift Energy Co.* | 6,400 | 247,616 |
Talisman Energy, Inc. | 400 | 5,645 |
TonenGeneral Sekiyu KK | 2,000 | 16,400 |
Total SA | 9,932 | 599,206 |
Tullow Oil PLC | 674 | 8,602 |
W&T Offshore, Inc. | 117,151 | 3,197,051 |
Walter Industries, Inc. | 27,783 | 1,318,303 |
Warren Resources, Inc.* | 3,300 | 32,934 |
Williams Companies, Inc. | 29,182 | 690,154 |
Woodside Petroleum Ltd. | 1,480 | 60,833 |
| 35,827,391 | |
Financials 8.4% | ||
Capital Markets 2.0% | ||
Bank of New York Mellon Corp. | 41,800 | 1,361,844 |
Charles Schwab Corp. | 57,110 | 1,484,860 |
Credit Suisse Group (Registered) | 847 | 40,327 |
Daiwa Securities Group, Inc. | 1,000 | 7,166 |
IGM Financial, Inc. | 200 | 7,218 |
Julius Baer Holding AG (Registered) | 167 | 8,210 |
LaBranche & Co., Inc.* | 23,500 | 105,750 |
Macquarie Group Ltd. | 253 | 7,899 |
Man Group PLC | 587 | 3,602 |
Mediobanca SpA | 1,048 | 14,097 |
Nomura Holdings, Inc. | 1,300 | 16,777 |
Northern Trust Corp. | 48,529 | 3,503,794 |
Penson Worldwide, Inc.* | 3,400 | 47,158 |
Prospect Capital Corp. | 12,178 | 156,000 |
State Street Corp. | 45,278 | 2,575,413 |
Stifel Financial Corp.* | 5,900 | 294,410 |
TD Ameritrade Holding Corp.* | 23,400 | 379,080 |
The Goldman Sachs Group, Inc. | 7,700 | 985,600 |
UBS AG (Registered)* | 2,487 | 42,994 |
| 11,042,199 | |
Commercial Banks 3.1% | ||
Allied Irish Banks PLC | 5,260 | 44,378 |
Anglo Irish Bank Corp. PLC | 6,615 | 37,271 |
Australia & New Zealand Banking Group Ltd. | 1,305 | 20,179 |
Banca Monte dei Paschi di Siena SpA | 1,361 | 3,362 |
Banca Popolare di Milano Scarl | 3,666 | 31,231 |
Banco Bilbao Vizcaya Argentaria SA | 2,118 | 34,335 |
Banco Comercial Portugues SA (Registered) | 102,755 | 167,965 |
Banco Espirito Santo SA (Registered) | 9,151 | 113,573 |
Banco Popolare Societa Cooperativa | 816 | 12,715 |
Banco Popular Espanol SA | 820 | 9,821 |
Banco Santander SA | 22,624 | 342,472 |
Bank of East Asia Ltd. | 2,400 | 7,486 |
Bank of Ireland | 9,514 | 54,819 |
Bank of Montreal | 400 | 17,270 |
Bank of Nova Scotia | 800 | 36,082 |
Barclays PLC | 2,184 | 13,267 |
BNP Paribas | 5,017 | 482,301 |
BOC Hong Kong (Holdings) Ltd. | 6,500 | 11,579 |
Canadian Imperial Bank of Commerce | 300 | 17,218 |
Chuo Mitsui Trust Holdings, Inc. | 2,000 | 10,711 |
City Holding Co. | 2,400 | 101,400 |
Commercial Bank of Qatar (GDR) 144A* | 42,800 | 244,937 |
Commerzbank AG | 638 | 9,527 |
Commonwealth Bank of Australia | 903 | 31,688 |
Community Bank System, Inc. | 4,000 | 100,600 |
Credit Agricole SA | 542 | 10,527 |
Danske Bank AS | 3,800 | 91,678 |
DBS Group Holdings Ltd. | 4,000 | 47,292 |
Deutsche Postbank AG | 94 | 3,582 |
Dexia SA | 985 | 10,821 |
DnB NOR ASA | 36,600 | 282,690 |
Erste Bank der oesterreichischen Sparkassen AG | 3,722 | 187,590 |
Glacier Bancorp., Inc. | 4,000 | 99,080 |
Hang Seng Bank Ltd. | 1,900 | 35,483 |
HBOS PLC | 1,192 | 2,707 |
HSBC Holdings PLC (Registered) | 36,088 | 584,439 |
Hypo Real Estate Holding AG | 213 | 1,249 |
Intesa Sanpaolo | 126,703 | 691,640 |
Intesa Sanpaolo (RNC) | 641 | 3,045 |
Jyske Bank AS (Registered)* | 500 | 25,235 |
KBC Groep NV | 398 | 34,611 |
Lloyds TSB Group PLC | 1,913 | 7,958 |
Mitsubishi UFJ Financial Group, Inc. | 49,400 | 428,231 |
Mizuho Financial Group, Inc. | 8 | 35,099 |
Mizuho Trust & Banking Co., Ltd. | 6,000 | 8,220 |
National Australia Bank Ltd. | 1,170 | 23,779 |
National Bank of Canada | 200 | 9,143 |
National Penn Bancshares, Inc. | 19,600 | 286,160 |
NBT Bancorp., Inc. | 6,400 | 191,488 |
Nordea Bank AB | 6,000 | 72,006 |
Oriental Financial Group, Inc. | 16,100 | 287,546 |
Oversea-Chinese Banking Corp., Ltd. | 8,000 | 40,499 |
PNC Financial Services Group, Inc. | 45,498 | 3,398,701 |
Raiffeisen International Bank-Holding AG | 504 | 36,644 |
Republic Bancorp., Inc. "A" | 8,600 | 260,752 |
Resona Holdings, Inc. | 4 | 5,301 |
Royal Bank of Canada | 1,000 | 47,451 |
Royal Bank of Scotland Group PLC | 3,199 | 10,597 |
Santander BanCorp. | 17,100 | 184,680 |
Shinsei Bank Ltd. | 2,000 | 6,117 |
Skandinaviska Enskilda Banken AB "A" | 1,300 | 20,441 |
Societe Generale | 1,874 | 170,112 |
Southside Bancshares, Inc. | 5,100 | 128,520 |
St. George Bank Ltd. | 352 | 8,238 |
Standard Chartered PLC | 289 | 7,020 |
Suffolk Bancorp. | 500 | 19,705 |
Sumitomo Mitsui Financial Group, Inc. | 6 | 37,589 |
Sumitomo Trust & Banking Co., Ltd. | 1,000 | 6,634 |
Susquehanna Bancshares, Inc. | 5,900 | 115,168 |
Svenska Handelsbanken AB "A" | 1,300 | 29,125 |
Swedbank AB "A" | 300 | 3,955 |
Sydbank AS | 550 | 16,538 |
The Bank of Yokohama Ltd. | 1,000 | 4,851 |
The Shizuoka Bank Ltd. | 1,000 | 9,847 |
Tompkins Financial Corp. | 1,500 | 75,750 |
Toronto-Dominion Bank | 200 | 12,042 |
UMB Financial Corp. | 1,500 | 78,780 |
UniCredit SpA | 122,581 | 452,797 |
Unione di Banche Italiane ScpA | 562 | 12,269 |
United Overseas Bank Ltd. | 28,000 | 331,655 |
Wells Fargo & Co. | 159,100 | 5,971,023 |
WesBanco, Inc. | 3,200 | 85,184 |
Westpac Banking Corp. | 1,312 | 23,223 |
| 17,028,694 | |
Consumer Finance 0.1% | ||
Cash America International, Inc. | 6,100 | 219,844 |
EZCORP., Inc. "A"* | 11,300 | 212,440 |
ORIX Corp. | 70 | 8,656 |
| 440,940 | |
Diversified Financial Services 0.4% | ||
ASX Ltd. | 175 | 4,298 |
Compagnie Nationale a Portefeuille | 85 | 5,629 |
Deutsche Boerse AG | 186 | 16,957 |
Fortis | 9,978 | 62,719 |
Groupe Bruxelles Lambert SA | 164 | 14,162 |
Hong Kong Exchanges & Clearing Ltd. | 2,300 | 28,582 |
ING Groep NV (CVA) | 2,679 | 58,277 |
Investor AB "B" | 600 | 11,219 |
KBC Ancora | 70 | 4,633 |
NYSE Euronext | 50,329 | 1,971,890 |
OMX AB | 200 | 7,539 |
Singapore Exchange Ltd. | 3,000 | 13,003 |
| 2,198,908 | |
Insurance 1.5% | ||
Aegon NV | 2,740 | 24,488 |
Allianz SE (Registered) | 2,428 | 333,929 |
Allied World Assurance Co. Holdings Ltd. | 7,713 | 273,966 |
American Physicians Capital, Inc. | 2,300 | 97,359 |
AMP Ltd. | 1,450 | 8,297 |
AmTrust Financial Services, Inc. | 18,800 | 255,492 |
Aspen Insurance Holdings Ltd. | 5,800 | 159,500 |
Assicurazioni Generali SpA | 811 | 26,844 |
Aviva PLC | 909 | 7,906 |
Axa | 15,688 | 514,299 |
China Life Insurance Co., Ltd. "H" | 98,600 | 365,053 |
Crawford & Co. "B"* | 13,800 | 209,760 |
Great-West Lifeco, Inc. | 200 | 5,901 |
Greenlight Capital Re Ltd. "A"* | 5,600 | 128,744 |
Hallmark Financial Services, Inc.* | 5,600 | 50,904 |
Harleysville Group, Inc. | 800 | 30,240 |
Hartford Financial Services Group, Inc. | 26,500 | 1,086,235 |
Insurance Australia Group Ltd. | 1,711 | 5,654 |
IPC Holdings Ltd. | 2,700 | 81,567 |
Irish Life & Permanent PLC | 2,340 | 16,579 |
Legal & General Group PLC | 3,476 | 6,285 |
Manulife Financial Corp. | 1,200 | 43,163 |
Max Capital Group Ltd. | 2,900 | 67,367 |
MetLife, Inc. | 33,620 | 1,882,720 |
Mitsui Sumitomo Insurance Group Holdings, Inc.* | 300 | 10,146 |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 192 | 28,986 |
NIPPONKOA Insurance Co., Ltd. | 1,000 | 5,638 |
Old Mutual PLC | 2,119 | 2,963 |
Platinum Underwriters Holdings Ltd. | 5,800 | 205,784 |
Power Corp. of Canada | 300 | 8,795 |
Power Financial Corp. | 200 | 6,250 |
Prudential Financial, Inc. | 22,200 | 1,598,400 |
Prudential PLC | 30,780 | 283,322 |
QBE Insurance Group Ltd. | 612 | 13,227 |
Sampo Oyj "A" | 6,100 | 139,304 |
Sompo Japan Insurance, Inc. | 1,000 | 8,406 |
Storebrand ASA | 6,200 | 36,794 |
Sun Life Financial, Inc. | 400 | 13,982 |
Suncorp-Metway Ltd. | 731 | 5,607 |
Swiss Life Holding (Registered)* | 29 | 4,217 |
Swiss Re (Registered) | 287 | 16,029 |
T&D Holdings, Inc. | 150 | 7,999 |
Tokio Marine Holdings, Inc. | 500 | 18,144 |
Topdanmark AS* | 150 | 21,455 |
Validus Holdings Ltd. | 1,000 | 23,250 |
Vienna Insurance Group | 256 | 12,915 |
Zurich Financial Services AG (Registered) | 116 | 32,154 |
| 8,186,019 | |
Real Estate Investment Trusts 1.2% | ||
AMB Property Corp. (REIT) | 3,000 | 135,900 |
AvalonBay Communities, Inc. (REIT) | 2,386 | 234,830 |
BioMed Realty Trust, Inc. (REIT) | 6,400 | 169,280 |
CapitaMall Trust (REIT) | 4,000 | 6,370 |
Corio NV (REIT) | 101 | 7,239 |
Corporate Office Properties Trust (REIT) | 3,700 | 149,295 |
Cousins Properties, Inc. (REIT) | 5,600 | 141,288 |
EastGroup Properties, Inc. (REIT) | 2,700 | 131,058 |
Equity Lifestyle Properties, Inc. (REIT) | 2,600 | 137,878 |
Equity One, Inc. (REIT) | 5,600 | 114,744 |
Equity Residential (REIT) | 16,500 | 732,765 |
FelCor Lodging Trust, Inc. (REIT) | 1,400 | 10,024 |
First Industrial Realty Trust, Inc. (REIT) | 4,700 | 134,796 |
Glimcher Realty Trust (REIT) | 6,000 | 62,640 |
Goodman Group (REIT) | 1,533 | 3,090 |
GPT Group (REIT) | 2,169 | 3,133 |
Healthcare Realty Trust, Inc. (REIT) | 4,900 | 142,835 |
Home Properties, Inc. (REIT) | 2,800 | 162,260 |
Host Hotels & Resorts, Inc. (REIT) | 25,500 | 338,895 |
Land Securities Group PLC (REIT) | 252 | 5,687 |
LaSalle Hotel Properties (REIT) | 5,000 | 116,600 |
Link (REIT) | 3,500 | 7,242 |
Maguire Properties, Inc. (REIT) | 10,100 | 60,196 |
Mirvac Group (REIT) | 1,210 | 2,446 |
National Retail Properties, Inc. (REIT) | 6,400 | 153,280 |
Pennsylvania Real Estate Investment Trust (REIT) | 3,800 | 71,630 |
ProLogis (REIT) | 7,500 | 309,525 |
Public Storage (REIT) | 8,780 | 869,308 |
RAIT Financial Trust (REIT) | 3,200 | 17,568 |
Realty Income Corp. (REIT) | 4,100 | 104,960 |
Redwood Trust, Inc. (REIT) | 2,000 | 43,460 |
Simon Property Group, Inc. (REIT) | 11,100 | 1,076,700 |
Sovran Self Storage, Inc. (REIT) | 3,400 | 151,946 |
Stockland (REIT) | 1,308 | 5,840 |
Strategic Hotels & Resorts, Inc. (REIT) | 4,600 | 34,730 |
Sunstone Hotel Investors, Inc. (REIT) | 3,800 | 51,300 |
Tanger Factory Outlet Centers, Inc. (REIT) | 1,700 | 74,443 |
The Macerich Co. (REIT) | 1,900 | 120,935 |
Unibail-Rodamco (REIT) | 58 | 11,816 |
Vornado Realty Trust (REIT) | 2,500 | 227,375 |
Washington Real Estate Investment Trust (REIT) | 4,700 | 172,161 |
Wereldhave NV (REIT) | 67 | 6,556 |
Westfield Group (REIT) | 1,301 | 17,753 |
| 6,531,777 | |
Real Estate Management & Development 0.0% | ||
Brookfield Asset Management, Inc. "A" | 400 | 10,783 |
CapitaLand Ltd. | 5,000 | 10,897 |
Cheung Kong (Holdings) Ltd. | 2,000 | 22,686 |
City Developments Ltd. | 1,000 | 6,260 |
Daiwa House Industry Co., Ltd. | 1,000 | 9,533 |
Hang Lung Properties Ltd. | 3,000 | 7,075 |
Henderson Land Development Co., Ltd. | 2,000 | 8,920 |
Hopewell Holdings Ltd. | 4,000 | 14,388 |
Immoeast AG* | 3,604 | 9,209 |
Immofinanz Immobilien Anlagen AG | 4,480 | 15,752 |
Kerry Properties Ltd. | 1,000 | 3,261 |
Lend Lease Corp., Ltd. | 408 | 3,019 |
Meinl European Land Ltd.* | 2,411 | 18,238 |
Mitsubishi Estate Co., Ltd. | 1,000 | 19,652 |
Mitsui Fudosan Co., Ltd. | 1,000 | 19,252 |
New World Development Co., Ltd. | 3,000 | 3,347 |
Sino Land Co., Ltd. | 2,000 | 2,253 |
Sun Hung Kai Properties Ltd. | 3,000 | 30,804 |
Swire Pacific Ltd. "A" | 1,000 | 8,814 |
Wharf Holdings Ltd. | 2,000 | 5,714 |
| 229,857 | |
Thrifts & Mortgage Finance 0.1% | ||
Dime Community Bancshares | 7,000 | 106,540 |
Doral Financial Corp.* | 8,600 | 93,912 |
Flushing Financial Corp. | 7,900 | 138,250 |
Northwest Bancorp., Inc. | 3,000 | 82,620 |
OceanFirst Financial Corp. | 1,600 | 28,992 |
Ocwen Financial Corp.* | 32,600 | 262,430 |
WSFS Financial Corp. | 1,300 | 78,000 |
| 790,744 | |
Health Care 7.6% | ||
Biotechnology 0.9% | ||
Actelion Ltd. (Registered)* | 117 | 5,982 |
Alexion Pharmaceuticals, Inc.* | 8,300 | 326,190 |
Amgen, Inc.* | 54,600 | 3,236,142 |
CSL Ltd. | 4,293 | 129,326 |
Cubist Pharmaceuticals, Inc.* | 11,000 | 244,530 |
CV Therapeutics, Inc.* | 17,500 | 189,000 |
Emergent Biosolutions, Inc.* | 15,100 | 197,659 |
Enzon Pharmaceuticals, Inc.* | 34,300 | 253,134 |
Grifols SA | 482 | 12,292 |
Myriad Genetics, Inc.* | 4,900 | 317,912 |
OSI Pharmaceuticals, Inc.* | 6,500 | 320,385 |
| 5,232,552 | |
Health Care Equipment & Supplies 1.4% | ||
Baxter International, Inc. | 51,872 | 3,404,359 |
Cochlear Ltd. | 455 | 21,724 |
Essilor International SA | 909 | 45,455 |
Getinge AB "B" | 400 | 8,246 |
Medtronic, Inc. | 65,200 | 3,266,520 |
Merit Medical Systems, Inc.* | 12,800 | 240,256 |
Nobel Biocare Holding AG (Bearer) | 225 | 7,544 |
Olympus Corp. | 1,000 | 29,237 |
Quidel Corp.* | 10,700 | 175,587 |
Smith & Nephew PLC | 2,003 | 21,112 |
Sonova Holding AG (Registered) | 88 | 5,686 |
STERIS Corp. | 4,000 | 150,320 |
Synthes, Inc. | 109 | 15,056 |
Terumo Corp. | 3,900 | 200,847 |
Thoratec Corp.* | 10,300 | 270,375 |
William Demant Holding AS* | 50 | 2,262 |
| 7,864,586 | |
Health Care Providers & Services 1.5% | ||
Aetna, Inc. | 83,327 | 3,008,938 |
Alliance Imaging, Inc.* | 18,600 | 191,022 |
Apria Healthcare Group, Inc.* | 5,300 | 96,672 |
Celesio AG | 905 | 39,704 |
Centene Corp.* | 9,000 | 184,590 |
Community Health Systems, Inc.* | 8,600 | 252,066 |
CorVel Corp.* | 6,600 | 188,826 |
Express Scripts, Inc.* | 5,955 | 439,598 |
Fresenius Medical Care AG & Co. KGaA | 8,562 | 440,831 |
Hanger Orthopedic Group, Inc.* | 13,800 | 240,810 |
Health Management Associates, Inc. "A"* | 140,382 | 583,989 |
Healthspring, Inc.* | 15,000 | 317,400 |
Kindred Healthcare, Inc.* | 9,000 | 248,130 |
Landauer, Inc. | 500 | 36,375 |
LHC Group, Inc.* | 4,900 | 139,552 |
LifePoint Hospitals, Inc.* | 21,900 | 703,866 |
Mediceo Paltac Holdings Co., Ltd. | 600 | 7,333 |
Owens & Minor, Inc. | 8,300 | 402,550 |
PharMerica Corp.* | 6,700 | 150,683 |
RehabCare Group, Inc.* | 7,000 | 126,700 |
Sonic Healthcare Ltd. | 2,742 | 28,796 |
Suzuken Co., Ltd. | 300 | 9,110 |
WellPoint, Inc.* | 7,000 | 327,390 |
| 8,164,931 | |
Life Sciences Tools & Services 0.3% | ||
Albany Molecular Research, Inc.* | 1,000 | 18,090 |
Bruker Corp.* | 14,200 | 189,286 |
eResearchTechnology, Inc.* | 17,500 | 208,425 |
Gerresheimer AG | 8,405 | 384,922 |
Lonza Group AG (Registered) | 4,633 | 576,198 |
MDS, Inc.* | 200 | 2,389 |
QIAGEN NV* | 129 | 2,562 |
| 1,381,872 | |
Pharmaceuticals 3.5% | ||
Astellas Pharma, Inc. | 12,100 | 508,402 |
AstraZeneca PLC | 2,614 | 114,396 |
Bayer AG | 8,520 | 621,900 |
Bristol-Myers Squibb Co. | 56,900 | 1,186,365 |
Caraco Pharmaceutical Laboratories Ltd.* | 5,600 | 70,056 |
Chugai Pharmaceutical Co., Ltd. | 1,300 | 21,146 |
Cypress Bioscience, Inc.* | 17,800 | 130,830 |
Daiichi Sankyo Co., Ltd. | 3,000 | 76,583 |
Eisai Co., Ltd. | 1,200 | 46,646 |
Elan Corp. PLC* | 15,792 | 159,944 |
Eli Lilly & Co. | 94,901 | 4,178,491 |
GlaxoSmithKline PLC | 9,891 | 213,689 |
Hisamitsu Pharmaceutical Co., Inc. | 300 | 13,023 |
Johnson & Johnson | 18,534 | 1,284,036 |
Medicines Co.* | 10,500 | 243,810 |
Medicis Pharmaceutical Corp. "A" | 4,300 | 64,113 |
Merck & Co., Inc. | 49,146 | 1,551,048 |
Merck KGaA | 812 | 87,172 |
Mitsubishi Tanabe Pharma Corp. | 1,000 | 13,801 |
Novartis AG (Registered) | 8,277 | 432,932 |
Novo Nordisk AS "B" | 12,375 | 633,813 |
Ono Pharmaceutical Co., Ltd. | 400 | 18,516 |
Pfizer, Inc. | 321,244 | 5,923,739 |
POZEN, Inc.* | 10,600 | 111,406 |
Roche Holding AG (Genusschein) | 5,047 | 786,761 |
Sanofi-Aventis | 4,514 | 296,712 |
Shionogi & Co., Ltd. | 1,000 | 20,234 |
Shire Ltd. | 873 | 13,742 |
Takeda Pharmaceutical Co., Ltd. | 3,600 | 181,307 |
UCB SA | 5,824 | 207,043 |
| 19,211,656 | |
Industrials 7.2% | ||
Aerospace & Defense 1.9% | ||
BAE Systems PLC | 32,939 | 241,742 |
Bombardier, Inc. "B" | 4,900 | 26,612 |
CAE, Inc. | 1,000 | 7,987 |
Cobham PLC | 1,695 | 5,733 |
European Aeronautic Defence & Space Co. | 334 | 5,779 |
Finmeccanica SpA | 314 | 6,753 |
General Dynamics Corp. | 54,900 | 4,041,738 |
Honeywell International, Inc. | 56,800 | 2,360,040 |
L-3 Communications Holdings, Inc. | 33,100 | 3,254,392 |
Meggitt PLC | 1,213 | 4,099 |
Northrop Grumman Corp. | 4,400 | 266,376 |
Rolls-Royce Group PLC* | 2,741 | 16,457 |
Singapore Technologies Engineering Ltd. | 13,000 | 24,733 |
Teledyne Technologies, Inc.* | 5,100 | 291,516 |
Triumph Group, Inc. | 4,900 | 223,979 |
United Technologies Corp. | 1,600 | 96,096 |
| 10,874,032 | |
Air Freight & Logistics 0.0% | ||
Deutsche Post AG (Registered) | 775 | 16,348 |
Pacer International, Inc. | 10,100 | 166,347 |
TNT NV | 1,082 | 30,262 |
Toll Holdings Ltd. | 2,318 | 12,992 |
| 225,949 | |
Airlines 0.7% | ||
Air France-KLM | 155 | 3,575 |
Alaska Air Group, Inc.* | 9,900 | 201,861 |
Deutsche Lufthansa AG (Registered) | 303 | 5,960 |
Hawaiian Holdings, Inc.* | 6,400 | 59,392 |
Iberia Lineas Aereas de Espana SA | 1,322 | 3,233 |
Qantas Airways Ltd. | 4,271 | 10,821 |
Singapore Airlines Ltd. | 4,000 | 40,013 |
Southwest Airlines Co. | 253,373 | 3,676,442 |
Virgin Blue Holdings Ltd. | 2,318 | 599 |
| 4,001,896 | |
Building Products 0.1% | ||
AAON, Inc. | 5,000 | 90,950 |
Ameron International Corp. | 2,100 | 150,465 |
Asahi Glass Co., Ltd. | 1,000 | 8,860 |
Assa Abloy AB "B" | 600 | 7,294 |
Compagnie de Saint-Gobain | 270 | 14,112 |
Daikin Industries Ltd. | 200 | 6,789 |
Geberit AG (Registered) | 86 | 10,592 |
Gibraltar Industries, Inc. | 9,100 | 170,261 |
Griffon Corp.* | 9,500 | 85,690 |
Insteel Industries, Inc. | 9,300 | 126,387 |
Wienerberger AG | 554 | 15,058 |
| 686,458 | |
Commercial Services & Supplies 0.4% | ||
Babcock International Group PLC | 28,509 | 256,707 |
Brambles Ltd. | 7,856 | 49,036 |
Comfort Systems USA, Inc. | 20,300 | 271,208 |
G4S PLC | 1,553 | 5,601 |
Herman Miller, Inc. | 1,200 | 29,364 |
Rentokil Initial PLC | 3,402 | 4,196 |
Secom Co., Ltd. | 100 | 4,181 |
Securitas AB "B" | 600 | 6,782 |
Serco Group PLC | 749 | 4,842 |
Standard Register Co. | 2,600 | 25,610 |
Team, Inc.* | 1,500 | 54,180 |
The Brink's Co. | 21,847 | 1,333,104 |
Toppan Printing Co., Ltd. | 1,000 | 7,805 |
| 2,052,616 | |
Construction & Engineering 0.2% | ||
ACS, Actividades de Construccion y Servicios SA | 1,406 | 57,223 |
Arabtec Holding Co.* | 22,170 | 76,955 |
Balfour Beatty PLC | 659 | 3,545 |
Boart Longyear Group | 5,295 | 4,826 |
Bouygues SA | 261 | 11,902 |
EMCOR Group, Inc.* | 9,200 | 242,144 |
FLSmidth & Co. AS | 250 | 12,715 |
Fomento de Construcciones y Contratas SA | 299 | 13,575 |
Grupo Ferrovial SA | 444 | 20,711 |
Hochtief AG | 49 | 2,340 |
Leighton Holdings Ltd. | 10,651 | 328,302 |
MasTec, Inc.* | 12,700 | 168,783 |
Michael Baker Corp.* | 1,000 | 34,800 |
Perini Corp.* | 7,800 | 201,162 |
Sacyr Vallehermoso SA | 70 | 1,169 |
Skanska AB "B" | 600 | 6,862 |
SNC-Lavalin Group, Inc. | 500 | 18,078 |
Vinci SA | 385 | 18,190 |
YIT Oyj | 1,109 | 11,603 |
| 1,234,885 | |
Electrical Equipment 0.4% | ||
ABB Ltd. (Registered)* | 4,020 | 77,122 |
Alstom SA | 144 | 10,859 |
AZZ, Inc.* | 4,100 | 169,617 |
Brady Corp. "A" | 7,600 | 268,128 |
Emerson Electric Co. | 27,600 | 1,125,804 |
Gamesa Corp. Tecnologica SA | 1,504 | 51,665 |
GrafTech International Ltd.* | 12,700 | 191,897 |
Mitsubishi Electric Corp. | 1,000 | 6,738 |
Q-Cells AG* | 56 | 4,705 |
Renewable Energy Corp. AS* | 150 | 2,794 |
Schneider Electric SA | 201 | 17,435 |
Solarworld AG | 89 | 3,755 |
Sumitomo Electric Industries Ltd. | 600 | 6,525 |
Vestas Wind Systems AS* | 775 | 67,467 |
Woodward Governor Co. | 6,900 | 243,363 |
| 2,247,874 | |
Industrial Conglomerates 0.3% | ||
CSR Ltd. | 4,742 | 9,570 |
Fraser & Neave Ltd. | 7,000 | 17,567 |
General Electric Co. | 54,559 | 1,391,254 |
Hutchison Whampoa Ltd. | 15,000 | 114,190 |
Keppel Corp., Ltd. | 9,000 | 49,974 |
Koninklijke (Royal) Philips Electronics NV | 2,982 | 81,650 |
Orkla ASA | 900 | 8,272 |
SembCorp Industries Ltd. | 7,000 | 15,975 |
Siemens AG (Registered) | 917 | 86,064 |
Smiths Group PLC | 609 | 10,994 |
| 1,785,510 | |
Machinery 1.5% | ||
Alfa Laval AB | 700 | 7,247 |
Altra Holdings, Inc.* | 4,300 | 63,468 |
Atlas Copco AB "A" | 1,200 | 13,747 |
Atlas Copco AB "B" | 800 | 8,114 |
Badger Meter, Inc. | 4,600 | 215,970 |
Chart Industries, Inc.* | 6,400 | 182,784 |
Columbus McKinnon Corp.* | 8,100 | 190,917 |
Cummins, Inc. | 80,700 | 3,528,204 |
EnPro Industries, Inc.* | 7,600 | 282,416 |
FANUC Ltd. | 100 | 7,543 |
Flowserve Corp. | 5,800 | 514,866 |
Gardner Denver, Inc.* | 26,319 | 913,796 |
Gorman-Rupp Co. | 500 | 18,860 |
Hitachi Construction Machinery Co., Ltd. | 400 | 9,835 |
Invensys PLC* | 1,137 | 4,196 |
Japan Steel Works Ltd. | 1,000 | 12,478 |
KCI Konecranes Oyj | 115 | 2,777 |
Komatsu Ltd. | 12,500 | 202,336 |
Kone Oyj "B" | 1,371 | 37,536 |
Kubota Corp. | 1,000 | 6,300 |
MAN AG | 116 | 7,792 |
Manitowoc Co., Inc. | 61,100 | 950,105 |
Metso Corp. | 1,117 | 27,475 |
Mitsubishi Heavy Industries Ltd. | 2,000 | 8,645 |
Mueller Water Products, Inc. "A" | 23,500 | 211,030 |
Robbins & Myers, Inc. | 5,700 | 176,301 |
Sandvik AB | 1,600 | 16,983 |
Sauer-Danfoss, Inc. | 400 | 9,876 |
Scania AB "B" | 1,900 | 23,417 |
Schindler Holding AG | 121 | 7,231 |
SembCorp. Marine Ltd. | 4,000 | 8,476 |
SKF AB "B" | 800 | 10,260 |
SMC Corp. | 100 | 10,462 |
Sulzer AG (Registered) | 60 | 6,372 |
Sumitomo Heavy Industries Ltd. | 2,000 | 9,576 |
Sun Hydraulics Corp. | 1,300 | 33,852 |
Titan International, Inc. | 8,500 | 181,220 |
Trimas Corp.* | 4,900 | 32,144 |
Twin Disc, Inc. | 3,100 | 42,656 |
Vallourec SA | 49 | 10,657 |
Volvo AB "A" | 300 | 2,560 |
Volvo AB "B" | 4,500 | 40,866 |
Wartsila Corp. "B" | 735 | 31,233 |
Xerium Technologies, Inc. | 17,400 | 112,056 |
Zardoya Otis SA | 769 | 16,851 |
| 8,211,486 | |
Marine 0.1% | ||
A P Moller-Maersk AS "A" | 1 | 8,658 |
A P Moller-Maersk AS "B" | 5 | 43,673 |
Kuehne & Nagel International AG (Registered) | 117 | 7,801 |
Mitsui OSK Lines Ltd. | 1,000 | 8,654 |
Nippon Yusen Kabushiki Kaisha | 1,000 | 6,487 |
Pacific Basin Shipping Ltd. | 9,000 | 7,487 |
TBS International Ltd. "A"* | 4,100 | 55,186 |
Ultrapetrol Bahamas Ltd.* | 23,200 | 182,120 |
| 320,066 | |
Professional Services 0.1% | ||
Adecco SA (Registered) | 270 | 11,797 |
Capita Group PLC | 504 | 6,264 |
COMSYS IT Partners, Inc.* | 16,200 | 157,464 |
Experian Group Ltd. | 1,147 | 7,606 |
Exponent, Inc.* | 900 | 29,781 |
Randstad Holding NV | 471 | 12,451 |
SGS SA (Registered) | 10 | 11,751 |
Volt Information Sciences, Inc.* | 15,800 | 141,884 |
| 378,998 | |
Road & Rail 0.7% | ||
Canadian National Railway Co. | 1,600 | 76,343 |
Canadian Pacific Railway Ltd. | 500 | 26,812 |
Central Japan Railway Co. | 1 | 9,438 |
DSV AS | 1,000 | 15,956 |
East Japan Railway Co. | 40 | 298,182 |
FirstGroup PLC | 629 | 5,974 |
MTR Corp., Ltd. | 10,000 | 29,493 |
Ryder System, Inc. | 47,461 | 2,942,582 |
Tokyu Corp. | 1,000 | 4,782 |
Werner Enterprises, Inc. | 11,900 | 258,349 |
West Japan Railway Co. | 2 | 8,537 |
| 3,676,448 | |
Trading Companies & Distributors 0.7% | ||
Bunzl PLC | 487 | 5,699 |
DXP Enterprises, Inc.* | 1,700 | 90,627 |
Finning International, Inc. | 200 | 3,924 |
Itochu Corp. | 1,000 | 6,045 |
Marubeni Corp. | 1,000 | 4,518 |
Mitsubishi Corp. | 18,000 | 374,575 |
Mitsui & Co., Ltd. | 11,000 | 135,923 |
Noble Group Ltd. | 9,000 | 8,485 |
Sumitomo Corp. | 800 | 7,454 |
TAL International Group, Inc. | 8,300 | 172,806 |
United Rentals, Inc.* | 191,011 | 2,911,008 |
Wolseley PLC | 828 | 6,306 |
| 3,727,370 | |
Transportation Infrastructure 0.1% | ||
Abertis Infraestructuras SA | 1,910 | 37,798 |
Atlantia SpA | 277 | 5,691 |
Brisa | 20,045 | 199,723 |
CAI International, Inc.* | 1,200 | 13,272 |
Cintra Concesiones de Infraestructuras de Transporte SA | 1,459 | 17,327 |
Macquarie Infrastructure Group (Unit) | 11,449 | 21,820 |
Transurban Group (Unit) | 6,678 | 30,374 |
| 326,005 | |
Information Technology 7.9% | ||
Communications Equipment 0.2% | ||
Alcatel-Lucent* | 8,959 | 34,920 |
Black Box Corp. | 2,400 | 82,872 |
DG Fastchannel, Inc.* | 8,000 | 175,360 |
InterDigital, Inc.* | 8,900 | 214,045 |
Nokia Oyj | 19,463 | 362,843 |
Nortel Networks Corp.* | 1,300 | 2,859 |
Plantronics, Inc. | 3,900 | 87,828 |
Research In Motion Ltd.* | 1,300 | 87,595 |
Tandberg ASA | 100 | 1,348 |
Tekelec* | 15,200 | 212,648 |
Telefonaktiebolaget LM Ericsson "B" | 13,800 | 130,096 |
| 1,392,414 | |
Computers & Peripherals 2.4% | ||
Apple, Inc.* | 4,252 | 483,282 |
Fujitsu Ltd. | 2,000 | 11,173 |
Hewlett-Packard Co. | 119,970 | 5,547,413 |
International Business Machines Corp. | 19,327 | 2,260,486 |
Lexmark International, Inc. "A"* | 60,282 | 1,963,385 |
Logitech International SA (Registered)* | 13,036 | 297,092 |
NEC Corp. | 2,000 | 8,481 |
QLogic Corp.* | 15,500 | 238,080 |
STEC, Inc.* | 17,200 | 132,440 |
Synaptics, Inc.* | 6,450 | 194,919 |
Toshiba Corp. | 3,000 | 12,955 |
Western Digital Corp.* | 97,828 | 2,085,693 |
Wincor Nixdorf AG | 127 | 7,507 |
| 13,242,906 | |
Electronic Equipment, Instruments & Components 1.0% | ||
Anixter International, Inc.* | 1,100 | 65,461 |
Avnet, Inc.* | 10,300 | 253,689 |
Daktronics, Inc. | 10,300 | 171,598 |
DTS, Inc.* | 5,600 | 155,848 |
Electrocomponents PLC | 2,551 | 7,457 |
Fujifilm Holdings Corp. | 300 | 7,775 |
Hitachi Ltd. | 3,000 | 20,631 |
Hoya Corp. | 300 | 5,943 |
IBIDEN Co., Ltd. | 100 | 2,436 |
Jabil Circuit, Inc. | 325,438 | 3,104,678 |
Kyocera Corp. | 100 | 7,581 |
Multi-Fineline Electronix, Inc.* | 5,800 | 85,782 |
Murata Manufacturing Co., Ltd. | 200 | 8,025 |
Nidec Corp. | 100 | 6,151 |
Omron Corp. | 200 | 3,072 |
Plexus Corp.* | 2,100 | 43,470 |
RadiSys Corp.* | 10,400 | 89,440 |
SYNNEX Corp.* | 6,300 | 140,742 |
TDK Corp. | 100 | 5,011 |
TTM Technologies, Inc.* | 7,100 | 70,432 |
Tyco Electronics Ltd. | 40,000 | 1,106,400 |
| 5,361,622 | |
Internet Software & Services 0.8% | ||
Earthlink, Inc.* | 6,600 | 56,100 |
eBay, Inc.* | 38,291 | 856,953 |
Google, Inc. "A"* | 5,865 | 2,349,050 |
GSI Commerce, Inc.* | 7,800 | 120,744 |
InfoSpace, Inc. | 5,000 | 54,250 |
j2 Global Communications, Inc.* | 5,500 | 128,425 |
Marchex, Inc. "B" | 17,000 | 174,930 |
ModusLink Global Solutions, Inc.* | 6,100 | 58,621 |
United Internet AG (Registered) | 308 | 3,329 |
United Online, Inc. | 8,300 | 78,103 |
ValueClick, Inc.* | 6,700 | 68,541 |
Vocus, Inc.* | 6,600 | 224,136 |
Websense, Inc.* | 1,500 | 33,525 |
Yahoo! Japan Corp. | 13 | 4,174 |
| 4,210,881 | |
IT Services 1.0% | ||
Atos Origin SA | 266 | 11,666 |
Cap Gemini SA | 536 | 25,501 |
CGI Group, Inc. "A"* | 900 | 7,873 |
CIBER, Inc.* | 4,300 | 30,057 |
CSG Systems International, Inc.* | 2,700 | 47,331 |
Gartner, Inc.* | 11,100 | 251,748 |
Global Cash Access Holdings, Inc.* | 2,600 | 13,156 |
iGATE Corp.* | 16,700 | 144,789 |
Indra Sistemas SA | 13,833 | 329,860 |
Integral Systems, Inc.* | 1,400 | 29,078 |
Logica PLC | 27,892 | 54,162 |
MasterCard, Inc. "A" | 3,800 | 673,854 |
NTT Data Corp. | 1 | 3,912 |
TNS, Inc.* | 7,900 | 153,023 |
Visa, Inc. "A" | 65,700 | 4,033,323 |
| 5,809,333 | |
Office Electronics 0.1% | ||
Canon, Inc. | 19,500 | 729,048 |
Konica Minolta Holdings, Inc. | 500 | 5,763 |
Neopost SA | 135 | 12,710 |
Ricoh Co., Ltd. | 1,000 | 13,904 |
| 761,425 | |
Semiconductors & Semiconductor Equipment 0.6% | ||
ARM Holdings PLC | 2,245 | 3,823 |
ASML Holding NV | 7,655 | 136,683 |
Broadcom Corp. "A"* | 92,828 | 1,729,386 |
Elpida Memory, Inc.* | 200 | 3,691 |
Fairchild Semiconductor International, Inc.* | 58,500 | 520,065 |
Infineon Technologies AG* | 2,595 | 14,665 |
Monolithic Power Systems, Inc.* | 7,300 | 126,801 |
PMC-Sierra, Inc.* | 30,500 | 226,310 |
ROHM Co., Ltd. | 100 | 5,488 |
Skyworks Solutions, Inc.* | 26,400 | 220,704 |
STMicroelectronics NV | 2,765 | 28,095 |
Tokyo Electron Ltd. | 200 | 8,910 |
TriQuint Semiconductor, Inc.* | 38,300 | 183,457 |
Ultratech, Inc.* | 13,800 | 166,980 |
Volterra Semiconductor Corp.* | 12,500 | 159,125 |
| 3,534,183 | |
Software 1.8% | ||
Advent Software, Inc.* | 5,600 | 197,288 |
Dassault Systemes SA | 246 | 13,162 |
JDA Software Group, Inc.* | 4,400 | 66,924 |
Mentor Graphics Corp.* | 17,000 | 192,950 |
Microsoft Corp. | 276,840 | 7,388,859 |
Misys PLC | 1,521 | 3,325 |
NetScout Systems, Inc.* | 6,900 | 73,416 |
Nintendo Co., Ltd. | 1,600 | 666,056 |
Parametric Technology Corp.* | 7,100 | 130,640 |
Renaissance Learning, Inc. | 2,700 | 35,073 |
SAP AG | 2,604 | 139,830 |
Secure Computing Corp.* | 6,600 | 36,168 |
Sybase, Inc.* | 2,800 | 85,736 |
Symantec Corp.* | 22,560 | 441,725 |
Taleo Corp. "A"* | 6,700 | 133,263 |
The Sage Group PLC | 24,696 | 85,973 |
Tyler Technologies, Inc.* | 2,900 | 43,993 |
| 9,734,381 | |
Materials 3.1% | ||
Chemicals 1.9% | ||
Agrium, Inc. | 100 | 5,591 |
Air Liquide SA | 201 | 22,116 |
Akzo Nobel NV | 1,362 | 65,480 |
Asahi Kasei Corp. | 2,000 | 8,465 |
Ashland, Inc. | 17,300 | 505,852 |
BASF SE | 960 | 46,009 |
Calgon Carbon Corp.* | 13,000 | 264,680 |
CF Industries Holdings, Inc. | 39,600 | 3,621,816 |
Ciba Holding AG | 254 | 10,903 |
Ferro Corp. | 12,300 | 247,230 |
Givaudan SA (Registered) | 20 | 16,585 |
Incitec Pivot Ltd. | 740 | 3,057 |
Innophos Holdings, Inc. | 6,300 | 153,594 |
JSR Corp. | 300 | 3,942 |
K+S AG | 88 | 6,159 |
Koninklijke DSM NV | 824 | 38,800 |
Kuraray Co., Ltd. | 500 | 4,929 |
Linde AG | 3,025 | 324,404 |
LSB Industries, Inc.* | 2,000 | 27,700 |
Mitsubishi Chemical Holdings Corp. | 1,500 | 7,942 |
Mitsubishi Gas Chemical Co., Inc. | 1,000 | 4,822 |
Mitsui Chemicals, Inc. | 1,000 | 4,411 |
NewMarket Corp. | 3,500 | 183,960 |
Nitto Denko Corp. | 200 | 5,079 |
Novozymes AS "B" | 2,350 | 209,176 |
Orica Ltd. | 303 | 5,162 |
Potash Corp. of Saskatchewan, Inc. | 2,001 | 259,444 |
Shin-Etsu Chemical Co., Ltd. | 700 | 33,327 |
Showa Denko KK | 2,000 | 4,216 |
Solvay SA | 1,163 | 142,892 |
Stepan Co. | 400 | 21,828 |
Sumitomo Chemical Co., Ltd. | 2,000 | 8,716 |
Syngenta AG (Registered) | 264 | 56,055 |
Teijin Ltd. | 2,000 | 6,013 |
Terra Industries, Inc. | 117,851 | 3,464,819 |
The Mosaic Co. | 8,900 | 605,378 |
Toray Industries, Inc. | 2,000 | 9,386 |
Ube Industries Ltd. | 2,000 | 5,343 |
Umicore | 2,747 | 85,278 |
Yara International ASA | 4,010 | 140,770 |
| 10,641,329 | |
Construction Materials 0.1% | ||
CRH PLC (b) | 7,493 | 163,068 |
CRH PLC (b) | 5,878 | 126,802 |
Fletcher Building Ltd. | 468 | 2,113 |
Holcim Ltd. (Registered) | 596 | 43,610 |
Imerys SA | 70 | 4,049 |
Lafarge SA | 186 | 19,627 |
| 359,269 | |
Containers & Packaging 0.1% | ||
Rock-Tenn Co. "A" | 7,800 | 311,844 |
Metals & Mining 0.9% | ||
Acerinox SA | 9,567 | 171,422 |
Agnico-Eagle Mines Ltd. | 100 | 5,459 |
AK Steel Holding Corp. | 67,100 | 1,739,232 |
Alumina Ltd. | 1,124 | 2,825 |
Anglo American PLC | 815 | 27,247 |
ArcelorMittal | 7,125 | 356,669 |
Barrick Gold Corp. | 600 | 21,970 |
BHP Billiton Ltd. | 2,804 | 72,046 |
BHP Billiton PLC | 1,249 | 28,253 |
BlueScope Steel Ltd. | 707 | 4,168 |
Boliden AB | 4,270 | 18,137 |
Companhia Vale do Rio Doce (ADR) | 9,000 | 172,350 |
Compass Minerals International, Inc. | 4,400 | 230,516 |
Eramet | 7 | 2,667 |
First Quantum Minerals Ltd. | 100 | 3,759 |
Fording Canadian Coal Trust (Unit) | 100 | 8,200 |
Fortescue Metals Group Ltd.* | 1,040 | 3,973 |
Goldcorp, Inc. | 500 | 15,725 |
JFE Holdings, Inc. | 800 | 24,885 |
Kinross Gold Corp. | 400 | 6,423 |
Kobe Steel Ltd. | 4,000 | 8,081 |
Lonmin PLC | 148 | 5,994 |
Mitsubishi Materials Corp. | 2,000 | 6,291 |
Newcrest Mining Ltd. | 392 | 8,604 |
Nippon Steel Corp. | 10,000 | 37,861 |
Nisshin Steel Co., Ltd. | 2,000 | 3,842 |
Norsk Hydro ASA | 14,700 | 99,282 |
Olympic Steel, Inc. | 4,100 | 120,909 |
Outokumpu Oyj | 2,065 | 33,130 |
OZ Minerals Ltd. | 1,529 | 1,997 |
Rautaruukki Oyj | 1,489 | 29,862 |
Rio Tinto Ltd. | 278 | 19,134 |
Rio Tinto PLC | 576 | 35,839 |
Salzgitter AG | 47 | 4,748 |
SSAB Svenskt Stal AB "A" | 2,100 | 33,487 |
Sumitomo Metal Industries Ltd. | 8,000 | 24,368 |
Sumitomo Metal Mining Co., Ltd. | 1,000 | 9,949 |
Teck Cominco Ltd. "B" | 300 | 8,519 |
ThyssenKrupp AG | 372 | 11,198 |
United States Steel Corp. | 19,520 | 1,514,947 |
Universal Stainless & Alloy Products, Inc.* | 5,000 | 127,750 |
Vedanta Resources PLC | 306 | 6,353 |
voestalpine AG | 162 | 5,067 |
Xstrata PLC | 7,175 | 222,099 |
Yamana Gold, Inc. | 400 | 3,289 |
| 5,298,526 | |
Paper & Forest Products 0.1% | ||
Buckeye Technologies, Inc.* | 7,300 | 59,787 |
Oji Paper Co., Ltd. | 2,000 | 9,973 |
Schweitzer-Mauduit International, Inc. | 6,200 | 117,738 |
Stora Enso Oyj "R" | 11,910 | 117,457 |
Svenska Cellulosa AB "B" | 6,200 | 65,698 |
UPM-Kymmene Oyj | 8,616 | 135,510 |
| 506,163 | |
Telecommunication Services 2.9% | ||
Diversified Telecommunication Services 2.5% | ||
AT&T, Inc. | 34,341 | 958,801 |
Atlantic Tele-Network, Inc. | 6,000 | 168,000 |
BCE, Inc. | 2,200 | 75,866 |
Belgacom SA | 732 | 27,717 |
BT Group PLC | 13,010 | 37,577 |
Cable & Wireless PLC | 4,236 | 12,547 |
Cincinnati Bell, Inc.* | 38,100 | 117,729 |
Deutsche Telekom AG (Registered) | 12,407 | 190,398 |
Elisa Oyj | 666 | 13,130 |
Embarq Corp. | 67,055 | 2,719,080 |
France Telecom SA | 10,042 | 281,216 |
Global Crossing Ltd.* | 11,800 | 178,888 |
Koninklijke (Royal) KPN NV | 12,523 | 180,499 |
Nippon Telegraph & Telephone Corp. | 40 | 178,167 |
NTELOS Holdings Corp. | 1,200 | 32,268 |
Portugal Telecom SGPS SA (Registered) | 17,333 | 175,372 |
Premiere Global Services, Inc.* | 7,100 | 99,826 |
Singapore Telecommunications Ltd. | 176,000 | 402,808 |
Swisscom AG (Registered) | 660 | 197,112 |
Tele2 AB "B" | 2,100 | 23,919 |
Telecom Corp. of New Zealand Ltd. | 201,357 | 370,293 |
Telecom Italia SpA | 76,898 | 114,742 |
Telecom Italia SpA (RNC) | 45,323 | 51,269 |
Telefonica SA | 39,797 | 951,363 |
Telekom Austria AG | 9,599 | 169,164 |
Telenor ASA | 22,900 | 281,543 |
TeliaSonera AB | 15,500 | 88,497 |
Telstra Corp., Ltd. | 61,621 | 206,673 |
Telus Corp. | 400 | 14,609 |
Telus Corp. (Non-Voting Shares) | 900 | 32,228 |
Verizon Communications, Inc. | 170,366 | 5,467,045 |
| 13,818,346 | |
Wireless Telecommunication Services 0.4% | ||
America Movil SAB de CV "L" (ADR) | 3,800 | 176,168 |
Centennial Communications Corp.* | 27,300 | 170,352 |
China Mobile Ltd. | 40,000 | 400,498 |
iPCS, Inc.* | 3,900 | 86,853 |
KDDI Corp. | 23 | 128,824 |
Millicom International Cellular SA (SDR) | 550 | 37,615 |
Mobistar SA | 78 | 5,460 |
NTT DoCoMo, Inc. | 124 | 199,963 |
Rogers Communications, Inc. "B" | 2,200 | 71,359 |
Softbank Corp. | 5,900 | 76,265 |
Syniverse Holdings, Inc.* | 4,700 | 78,067 |
USA Mobility, Inc.* | 18,400 | 202,400 |
Vodafone Group PLC | 326,712 | 721,771 |
| 2,355,595 | |
Utilities 2.3% | ||
Electric Utilities 1.4% | ||
Acciona SA | 206 | 31,327 |
American Electric Power Co., Inc. | 24,600 | 910,938 |
British Energy Group PLC | 3,778 | 51,187 |
Chubu Electric Power Co., Inc. | 3,100 | 73,202 |
Chugoku Electric Power Co., Inc. | 1,300 | 26,652 |
CLP Holdings Ltd. | 25,500 | 205,931 |
E.ON AG | 14,333 | 725,870 |
Edison International | 83,264 | 3,322,234 |
EDP — Energias de Portugal SA | 34,896 | 146,869 |
Electricite de France | 563 | 40,794 |
Enel SpA | 29,562 | 246,432 |
Fortis, Inc. | 3,200 | 72,284 |
Fortum Oyj | 17,208 | 580,594 |
Hokkaido Electric Power Co., Inc. | 1,100 | 22,966 |
Hokuriku Electric Power Co. | 900 | 21,633 |
HongKong Electric Holdings Ltd. | 15,000 | 94,414 |
Iberdrola SA | 64,444 | 658,708 |
Kansai Electric Power Co., Inc. | 3,800 | 84,334 |
Kyushu Electric Power Co., Inc. | 2,100 | 43,959 |
Oesterreichische Elektrizitaetswirtschafts AG "A" | 104 | 6,418 |
Portland General Electric Co. | 5,700 | 134,862 |
Red Electrica Corporacion SA | 340 | 17,259 |
RWE AG | 829 | 79,708 |
Scottish & Southern Energy PLC | 3,150 | 80,077 |
Shikoku Electric Power Co., Inc. | 900 | 22,681 |
Terna — Rate Elettrica Nationale SpA | 9,810 | 35,943 |
Tohoku Electric Power Co., Inc. | 2,000 | 42,940 |
Tokyo Electric Power Co., Inc. | 5,700 | 140,474 |
Union Fenosa SA | 872 | 21,355 |
| 7,942,045 | |
Gas Utilities 0.2% | ||
Centrica PLC | 13,500 | 75,549 |
Enagas | 468 | 10,081 |
Gas Natural SDG SA | 729 | 27,110 |
Gaz de France | 2,996 | 156,767 |
Hong Kong & China Gas Co., Ltd. | 48,900 | 111,420 |
Osaka Gas Co., Ltd. | 11,000 | 37,663 |
Piedmont Natural Gas Co., Inc. | 700 | 22,372 |
Snam Rete Gas SpA | 6,997 | 42,119 |
South Jersey Industries, Inc. | 2,400 | 85,680 |
The Laclede Group, Inc. | 7,800 | 378,222 |
Tokyo Gas Co., Ltd. | 13,000 | 53,757 |
WGL Holdings, Inc. | 1,400 | 45,430 |
| 1,046,170 | |
Independent Power Producers & Energy Traders 0.0% | ||
Electric Power Development Co., Ltd. | 900 | 29,086 |
Iberdrola Renovables* | 2,330 | 10,141 |
International Power PLC | 5,837 | 37,639 |
TransAlta Corp. | 4,100 | 110,181 |
| 187,047 | |
Multi-Utilities 0.7% | ||
A2A SpA | 6,205 | 15,742 |
AGL Energy Ltd. | 35,387 | 390,551 |
Avista Corp. | 6,600 | 143,286 |
National Grid PLC | 8,996 | 114,293 |
NorthWestern Corp. | 9,400 | 236,222 |
PG&E Corp. | 26,400 | 988,680 |
Sempra Energy | 34,400 | 1,736,168 |
United Utilities Group PLC | 1,989 | 24,608 |
Veolia Environnement | 1,072 | 44,208 |
| 3,693,758 | |
Water Utilities 0.0% | ||
Severn Trent PLC | 708 | 17,096 |
Total Common Stocks (Cost $356,901,087) | 315,035,768 | |
| ||
Preferred Stocks 0.0% | ||
Consumer Discretionary 0.0% | ||
Porsche Automobil Holding SE | 80 | 8,558 |
Volkswagen AG | 92 | 11,469 |
| 20,027 | |
Consumer Staples 0.0% | ||
Henkel AG & Co. KGaA | 1,591 | 58,444 |
Health Care 0.0% | ||
Fresenius SE | 902 | 65,109 |
Total Preferred Stocks (Cost $200,018) | 143,580 | |
| ||
Exchange Traded Fund 0.2% | ||
iShares MSCI Japan Index Fund (Cost $1,555,643) | 127,014 | 1,353,969 |
| ||
Participatory Note 0.0% | ||
Union Bank of Nigeria PLC (issuer Merrill Lynch International & Co.) Expiration Date 10/4/2010* (Cost $2,802) | 7,860 | 2,802 |
| Principal Amount ($)(a) | Value ($) |
|
| |
Corporate Bonds 9.3% | ||
Consumer Discretionary 1.2% | ||
AMC Entertainment, Inc., 8.0%, 3/1/2014 | 120,000 | 103,200 |
American Achievement Corp., 144A, 8.25%, 4/1/2012 | 20,000 | 19,950 |
American Achievement Group Holding Corp., 14.75%, 10/1/2012 (PIK) | 40,425 | 38,403 |
Asbury Automotive Group, Inc.: |
|
|
7.625%, 3/15/2017 | 45,000 | 28,800 |
8.0%, 3/15/2014 | 20,000 | 14,050 |
Ashtead Holdings PLC, 144A, 8.625%, 8/1/2015 | 135,000 | 116,100 |
Cablevision Systems Corp., Series B, 7.133%***, 4/1/2009 | 25,000 | 24,688 |
CanWest MediaWorks LP, 144A, 9.25%, 8/1/2015 | 35,000 | 25,200 |
Carrols Corp., 9.0%, 1/15/2013 | 25,000 | 18,000 |
Charter Communications Operating LLC, 144A, 10.875%, 9/15/2014 | 105,000 | 101,850 |
CSC Holdings, Inc.: |
|
|
6.75%, 4/15/2012 | 30,000 | 27,488 |
Series B, 7.625%, 4/1/2011 | 40,000 | 38,400 |
Series B, 8.125%, 7/15/2009 | 45,000 | 44,550 |
Series B, 8.125%, 8/15/2009 | 85,000 | 84,150 |
Denny's Holdings, Inc., 10.0%, 10/1/2012 | 10,000 | 9,100 |
DIRECTV Holdings LLC, 144A, 7.625%, 5/15/2016 | 100,000 | 90,500 |
EchoStar DBS Corp.: |
|
|
6.375%, 10/1/2011 | 70,000 | 64,400 |
6.625%, 10/1/2014 | 65,000 | 52,162 |
7.125%, 2/1/2016 | 50,000 | 40,125 |
Fontainebleau Las Vegas Holdings LLC, 144A, 10.25%, 6/15/2015 | 40,000 | 11,200 |
General Motors Corp.: |
|
|
7.4%, 9/1/2025 | 35,000 | 12,600 |
8.375%, 7/15/2033 | 55,000 | 22,000 |
Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015 | 40,000 | 36,000 |
Group 1 Automotive, Inc., 8.25%, 8/15/2013 | 20,000 | 18,200 |
Grupo Televisa SA, 6.0%, 5/15/2018 | 600,000 | 566,263 |
Hertz Corp., 8.875%, 1/1/2014 | 130,000 | 112,125 |
Idearc, Inc., 8.0%, 11/15/2016 | 85,000 | 23,163 |
Indianapolis Downs LLC, 144A, 11.0%, 11/1/2012 | 25,000 | 17,000 |
Isle of Capri Casinos, Inc., 7.0%, 3/1/2014 | 45,000 | 30,150 |
Kabel Deutschland GmbH, 10.625%, 7/1/2014 | 75,000 | 73,500 |
Lamar Media Corp., Series C, 6.625%, 8/15/2015 | 25,000 | 20,688 |
Liberty Media LLC: |
|
|
5.7%, 5/15/2013 | 10,000 | 8,317 |
8.25%, 2/1/2030 | 55,000 | 37,113 |
8.5%, 7/15/2029 | 70,000 | 49,465 |
MediMedia USA, Inc., 144A, 11.375%, 11/15/2014 | 20,000 | 19,600 |
MGM MIRAGE: |
|
|
6.625%, 7/15/2015 | 20,000 | 13,900 |
6.75%, 9/1/2012 | 70,000 | 54,775 |
8.375%, 2/1/2011 | 35,000 | 28,612 |
MTR Gaming Group, Inc., Series B, 9.75%, 4/1/2010 | 60,000 | 57,000 |
Norcraft Holdings LP, 9.75%, 9/1/2012 | 125,000 | 112,500 |
Penske Automotive Group, Inc., 7.75%, 12/15/2016 | 75,000 | 53,625 |
Pinnacle Entertainment, Inc., 8.75%, 10/1/2013 | 40,000 | 38,300 |
Quebecor Media, Inc., 7.75%, 3/15/2016 | 25,000 | 21,875 |
Quiksilver, Inc., 6.875%, 4/15/2015 | 100,000 | 69,000 |
Reader's Digest Association, Inc., 9.0%, 2/15/2017 | 25,000 | 14,125 |
Sabre Holdings Corp., 8.35%, 3/15/2016 | 40,000 | 25,600 |
Seminole Hard Rock Entertainment, Inc., 144A, 5.319%***, 3/15/2014 | 50,000 | 37,500 |
Shingle Springs Tribal Gaming Authority, 144A, 9.375%, 6/15/2015 | 35,000 | 25,200 |
Simmons Co.: |
|
|
Step-up Coupon, 0% to 12/15/2009, 10.0% to 12/15/2014, | 125,000 | 70,000 |
7.875% to 1/15/2014 | 10,000 | 7,500 |
Sinclair Television Group, Inc., 8.0%, 3/15/2012 | 35,000 | 33,775 |
Sirius XM Radio, Inc., 9.625%, 8/1/2013 | 80,000 | 42,400 |
Sonic Automotive, Inc., Series B, 8.625%, 8/15/2013 | 45,000 | 30,600 |
TCI Communications, Inc., 8.75%, 8/1/2015 | 1,085,000 | 1,152,287 |
Time Warner Cable, Inc.: |
|
|
5.4%, 7/2/2012 | 631,000 | 600,217 |
6.75%, 7/1/2018 | 490,000 | 457,626 |
Time Warner, Inc., 7.7%, 5/1/2032 | 235,000 | 205,329 |
Travelport LLC, 7.436%***, 9/1/2014 | 35,000 | 26,950 |
Trump Entertainment Resorts, Inc., 8.5%, 6/1/2015 | 10,000 | 4,100 |
United Components, Inc., 9.375%, 6/15/2013 | 5,000 | 4,150 |
Unity Media GmbH, 144A, 8.75%, 2/15/2015 EUR | 110,000 | 133,178 |
UPC Holding BV: |
|
|
144A, 7.75%, 1/15/2014 EUR | 50,000 | 57,016 |
144A, 8.0%, 11/1/2016 EUR | 50,000 | 54,200 |
Viacom, Inc.: |
|
|
5.75%, 4/30/2011 | 678,000 | 658,670 |
6.75%, 10/5/2037 | 360,000 | 309,243 |
Videotron Ltd., 144A, 9.125%, 4/15/2018 | 15,000 | 15,150 |
Vitro SAB de CV: |
|
|
9.125%, 2/1/2017 | 140,000 | 91,000 |
11.75%, 11/1/2013 | 15,000 | 12,900 |
| 6,516,803 | |
Consumer Staples 0.6% | ||
Alliance One International, Inc., 8.5%, 5/15/2012 | 20,000 | 18,500 |
CVS Caremark Corp., 6.302%, 6/1/2037 | 1,336,000 | 1,066,804 |
Delhaize America, Inc., 9.0%, 4/15/2031 | 565,000 | 593,109 |
Kroger Co., 6.8%, 4/1/2011 | 590,000 | 607,512 |
Miller Brewing Co., 144A, 5.5%, 8/15/2013 | 835,000 | 823,752 |
SABMiller PLC, 144A, 5.7%, 1/15/2014 | 475,000 | 463,608 |
Smithfield Foods, Inc., 7.75%, 7/1/2017 | 25,000 | 19,625 |
| 3,592,910 | |
Energy 1.6% | ||
Apache Corp., 6.9%, 9/15/2018 | 775,000 | 776,135 |
Atlas Energy Resources LLC, 144A, 10.75%, 2/1/2018 | 80,000 | 72,000 |
Belden & Blake Corp., 8.75%, 7/15/2012 | 205,000 | 186,550 |
Bristow Group, Inc., 7.5%, 9/15/2017 | 35,000 | 31,150 |
Chaparral Energy, Inc., 8.5%, 12/1/2015 | 45,000 | 35,550 |
Chesapeake Energy Corp.: |
|
|
6.25%, 1/15/2018 | 25,000 | 21,375 |
6.875%, 1/15/2016 | 145,000 | 132,312 |
7.25%, 12/15/2018 | 70,000 | 64,400 |
7.5%, 6/15/2014 | 15,000 | 14,362 |
Cimarex Energy Co., 7.125%, 5/1/2017 | 30,000 | 27,600 |
Delta Petroleum Corp., 7.0%, 4/1/2015 | 65,000 | 45,175 |
Dynegy Holdings, Inc.: |
|
|
6.875%, 4/1/2011 | 15,000 | 13,650 |
8.375%, 5/1/2016 | 85,000 | 73,950 |
El Paso Corp.: |
|
|
7.25%, 6/1/2018 | 55,000 | 51,150 |
9.625%, 5/15/2012 | 34,000 | 35,296 |
Enterprise Products Operating LP, Series B, 5.6%, 10/15/2014 | 740,000 | 697,297 |
EXCO Resources, Inc., 7.25%, 1/15/2011 | 60,000 | 56,700 |
Forest Oil Corp., 144A, 7.25%, 6/15/2019 | 20,000 | 17,100 |
Frontier Oil Corp.: |
|
|
6.625%, 10/1/2011 | 25,000 | 23,625 |
8.5%, 9/15/2016 | 50,000 | 48,125 |
KCS Energy, Inc., 7.125%, 4/1/2012 | 155,000 | 136,400 |
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038 | 635,000 | 544,208 |
Mariner Energy, Inc.: |
|
|
7.5%, 4/15/2013 | 35,000 | 30,975 |
8.0%, 5/15/2017 | 25,000 | 21,125 |
Newfield Exploration Co., 7.125%, 5/15/2018 | 60,000 | 52,200 |
OPTI Canada, Inc.: |
|
|
7.875%, 12/15/2014 | 60,000 | 53,100 |
8.25%, 12/15/2014 | 110,000 | 98,450 |
Petro-Canada, 6.8%, 5/15/2038 (c) | 665,000 | 526,832 |
Petrohawk Energy Corp.: |
|
|
144A, 7.875%, 6/1/2015 | 40,000 | 34,800 |
9.125%, 7/15/2013 | 20,000 | 18,800 |
Plains Exploration & Production Co.: |
|
|
7.0%, 3/15/2017 | 40,000 | 34,800 |
7.625%, 6/1/2018 | 70,000 | 61,950 |
Quicksilver Resources, Inc., 7.125%, 4/1/2016 | 110,000 | 89,650 |
Range Resources Corp., 7.25%, 5/1/2018 | 10,000 | 9,450 |
SandRidge Energy, Inc., 144A, 8.0%, 6/1/2018 | 30,000 | 25,800 |
Southwestern Energy Co., 144A, 7.5%, 2/1/2018 | 10,000 | 9,700 |
SPI Electricity Property Ltd., 144A, 7.25%, 12/1/2016 | 2,875,000 | 2,905,397 |
Stone Energy Corp.: |
|
|
6.75%, 12/15/2014 | 60,000 | 46,500 |
8.25%, 12/15/2011 | 110,000 | 102,300 |
Tennessee Gas Pipeline Co., 7.625%, 4/1/2037 | 35,000 | 31,064 |
Tesoro Corp., 6.5%, 6/1/2017 | 20,000 | 16,000 |
TransCanada PipeLines Ltd., 6.35%, 5/15/2067 | 745,000 | 589,356 |
Transocean, Inc., 6.8%, 3/15/2038 | 310,000 | 284,427 |
Whiting Petroleum Corp.: |
|
|
7.0%, 2/1/2014 | 45,000 | 38,250 |
7.25%, 5/1/2012 | 45,000 | 41,737 |
7.25%, 5/1/2013 | 5,000 | 4,638 |
Williams Companies, Inc.: |
|
|
8.125%, 3/15/2012 | 135,000 | 136,393 |
8.75%, 3/15/2032 | 180,000 | 184,565 |
Williams Partners LP, 7.25%, 2/1/2017 | 35,000 | 32,550 |
| 8,584,919 | |
Financials 2.3% | ||
Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015 | 85,000 | 76,606 |
American General Finance Corp.: |
|
|
Series H, 4.625%, 9/1/2010 | 1,305,000 | 789,874 |
Series J, 5.625%, 8/17/2011 | 895,000 | 440,533 |
American International Group, Inc., 144A, 8.175%, 5/15/2058 | 185,000 | 29,636 |
ANZ National International Ltd., 144A, 6.2%, 7/19/2013 | 400,000 | 397,084 |
Ashton Woods USA LLC, 9.5%, 10/1/2015 | 100,000 | 45,000 |
Bank of America NA, 5.3%, 3/15/2017 (c) | 645,000 | 535,801 |
Buffalo Thunder Development Authority, 144A, 9.375%, 12/15/2014 | 20,000 | 8,400 |
Citigroup, Inc., 6.5%, 8/19/2013 | 45,000 | 39,995 |
Corp. Andina de Fomento, 6.875%, 3/15/2012 | 210,000 | 219,114 |
Erac USA Finance Co.: |
|
|
144A, 5.8%, 10/15/2012 | 420,000 | 381,726 |
144A, 7.0%, 10/15/2037 | 995,000 | 700,791 |
144A, 8.0%, 1/15/2011 | 1,180,000 | 1,207,192 |
Farmers Exchange Capital, 144A, 7.2%, 7/15/2048 | 760,000 | 586,162 |
Ford Motor Credit Co., LLC: |
|
|
7.25%, 10/25/2011 | 300,000 | 190,768 |
7.375%, 10/28/2009 | 175,000 | 140,694 |
7.875%, 6/15/2010 | 145,000 | 110,682 |
FPL Group Capital, Inc., 6.65%, 6/15/2067 | 1,037,000 | 823,948 |
GMAC LLC, 6.875%, 9/15/2011 | 560,000 | 249,865 |
Hawker Beechcraft Acquisition Co., LLC: |
|
|
8.5%, 4/1/2015 | 80,000 | 73,200 |
8.875%, 4/1/2015 (PIK) | 70,000 | 63,350 |
9.75%, 4/1/2017 | 85,000 | 76,075 |
HBOS PLC, 144A, 6.75%, 5/21/2018 | 185,000 | 155,118 |
Hexion US Finance Corp., 9.75%, 11/15/2014 | 10,000 | 7,900 |
Inmarsat Finance PLC, Step-up Coupon, 0% to 11/15/2008, 10.375% to 11/15/2012 | 135,000 | 132,975 |
iPayment, Inc., 9.75%, 5/15/2014 | 40,000 | 32,000 |
KeyCorp., Series H, 6.5%, 5/14/2013 | 261,000 | 187,885 |
Local TV Finance LLC, 144A, 9.25%, 6/15/2015 (PIK) | 40,000 | 26,000 |
Merrill Lynch & Co., Inc.: |
|
|
6.875%, 4/25/2018 | 350,000 | 309,663 |
7.75%, 5/14/2038 | 385,000 | 323,584 |
Metropolitan Life Global Funding I, 144A, 5.125%, 4/10/2013 | 695,000 | 675,176 |
Morgan Stanley, Series F, 6.0%, 4/28/2015 | 975,000 | 663,221 |
Orascom Telecom Finance, 144A, 7.875%, 2/8/2014 | 100,000 | 87,500 |
Qwest Capital Funding, Inc., 7.0%, 8/3/2009 | 30,000 | 29,475 |
Rainbow National Services LLC, 144A, | 5,000 | 5,100 |
Rio Tinto Finance (USA) Ltd., 6.5%, 7/15/2018 (c) | 310,000 | 293,139 |
Sprint Capital Corp.: |
|
|
7.625%, 1/30/2011 | 30,000 | 27,300 |
8.375%, 3/15/2012 | 15,000 | 13,500 |
StanCorp Financial Group, Inc., 6.9%, 5/29/2067 | 720,000 | 606,330 |
Symetra Financial Corp., 144A, 8.3%, 10/15/2037 | 340,000 | 221,000 |
TNK-BP Finance SA, Series 5, 144A, 7.5%, 3/13/2013 | 215,000 | 169,850 |
Tropicana Entertainment LLC, 9.625%, 12/15/2014** | 105,000 | 14,700 |
UCI Holdco, Inc., 10.319%***, 12/15/2013 (PIK) | 52,604 | 39,979 |
UDR, Inc., Series E, (REIT), 3.9%, 3/15/2010 | 305,000 | 295,896 |
Universal City Development Partners, | 185,000 | 178,756 |
Wells Fargo & Co., 5.25%, 10/23/2012 | 260,000 | 249,561 |
Williams Companies, Inc., Credit Linked Certificate Trust, 144A, 6.75%, 4/15/2009 | 10,000 | 9,967 |
Wind Acquisition Finance SA, 144A, 9.75%, 12/1/2015 EUR | 50,000 | 63,703 |
Xstrata Finance Canada Ltd., 144A, 5.8%, 11/15/2016 | 711,000 | 640,630 |
| 12,646,404 | |
Health Care 0.3% | ||
Advanced Medical Optics, Inc., 7.5%, 5/1/2017 | 80,000 | 69,600 |
Boston Scientific Corp., 6.0%, 6/15/2011 | 50,000 | 47,250 |
Community Health Systems, Inc., 8.875%, 7/15/2015 | 290,000 | 275,500 |
GlaxoSmithKline Capital, Inc., 6.375%, 5/15/2038 | 520,000 | 488,172 |
HCA, Inc.: |
|
|
9.125%, 11/15/2014 | 60,000 | 58,350 |
9.25%, 11/15/2016 | 190,000 | 184,775 |
9.625%, 11/15/2016 (PIK) | 55,000 | 52,250 |
HEALTHSOUTH Corp., 10.75%, 6/15/2016 | 25,000 | 25,250 |
IASIS Healthcare LLC, 8.75%, 6/15/2014 | 50,000 | 47,250 |
Psychiatric Solutions, Inc., 7.75%, 7/15/2015 | 40,000 | 37,200 |
Surgical Care Affiliates, Inc., 144A, | 45,000 | 39,150 |
The Cooper Companies, Inc., 7.125%, 2/15/2015 | 75,000 | 73,500 |
Vanguard Health Holding Co. I, LLC, Step-up Coupon, 0% to 10/1/2009, 11.25% to 10/1/2015 | 15,000 | 12,975 |
Vanguard Health Holding Co. II, LLC, 9.0%, 10/1/2014 | 125,000 | 120,625 |
| 1,531,847 | |
Industrials 0.3% | ||
Actuant Corp., 6.875%, 6/15/2017 | 25,000 | 23,875 |
Allied Waste North America, Inc., 6.5%, 11/15/2010 | 25,000 | 24,438 |
ARAMARK Corp.: |
|
|
6.301%***, 2/1/2015 | 45,000 | 39,375 |
8.5%, 2/1/2015 | 15,000 | 14,100 |
Baldor Electric Co., 8.625%, 2/15/2017 | 30,000 | 28,650 |
BE Aerospace, Inc., 8.5%, 7/1/2018 | 70,000 | 67,900 |
Belden, Inc., 7.0%, 3/15/2017 | 30,000 | 26,700 |
Browning-Ferris Industries, Inc., 7.4%, 9/15/2035 | 105,000 | 92,400 |
Building Materials Corp. of America, 7.75%, 8/1/2014 | 50,000 | 39,500 |
Cenveo Corp., 144A, 10.5%, 8/15/2016 | 35,000 | 32,375 |
DRS Technologies, Inc.: |
|
|
6.625%, 2/1/2016 | 90,000 | 90,900 |
6.875%, 11/1/2013 | 105,000 | 103,950 |
7.625%, 2/1/2018 | 130,000 | 135,850 |
Education Management LLC, 8.75%, 6/1/2014 | 5,000 | 4,175 |
Esco Corp.: |
|
|
144A, 6.694%***, 12/15/2013 | 35,000 | 32,200 |
144A, 8.625%, 12/15/2013 | 65,000 | 63,700 |
General Cable Corp., 7.125%, 4/1/2017 | 95,000 | 85,500 |
Gibraltar Industries, Inc., Series B, 8.0%, 12/1/2015 | 10,000 | 8,350 |
Great Lakes Dredge & Dock Co., 7.75%, 12/15/2013 | 30,000 | 27,450 |
Harland Clarke Holdings Corp., 9.5%, 5/15/2015 | 10,000 | 7,100 |
K. Hovnanian Enterprises, Inc., 8.875%, 4/1/2012 | 145,000 | 92,075 |
Kansas City Southern de Mexico SA de CV: |
|
|
7.375%, 6/1/2014 | 60,000 | 57,300 |
7.625%, 12/1/2013 | 110,000 | 105,050 |
9.375%, 5/1/2012 | 95,000 | 96,900 |
Kansas City Southern Railway Co.: |
|
|
7.5%, 6/15/2009 | 20,000 | 20,000 |
8.0%, 6/1/2015 | 65,000 | 64,025 |
Mobile Services Group, Inc., 9.75%, 8/1/2014 | 40,000 | 37,200 |
Moog, Inc., 144A, 7.25%, 6/15/2018 | 15,000 | 14,400 |
Navios Maritime Holdings, Inc., 9.5%, 12/15/2014 | 60,000 | 55,200 |
Ply Gem Industries, Inc., 144A, 11.75%, 6/15/2013 | 25,000 | 21,500 |
R.H. Donnelley Corp., Series A-4, 8.875%, 10/15/2017 | 110,000 | 37,400 |
RBS Global & Rexnord Corp., 9.5%, 8/1/2014 | 35,000 | 32,900 |
Seitel, Inc., 9.75%, 2/15/2014 | 20,000 | 16,300 |
Titan International, Inc., 8.0%, 1/15/2012 | 130,000 | 126,100 |
TransDigm, Inc., 7.75%, 7/15/2014 | 20,000 | 18,800 |
United Rentals North America, Inc.: |
|
|
6.5%, 2/15/2012 | 80,000 | 66,800 |
7.0%, 2/15/2014 | 105,000 | 73,500 |
Vought Aircraft Industries, Inc., 8.0%, 7/15/2011 | 25,000 | 21,750 |
| 1,905,688 | |
Information Technology 0.5% | ||
Alion Science & Technology Corp., 10.25%, 2/1/2015 | 25,000 | 15,750 |
Broadridge Financial Solutions, Inc., 6.125%, 6/1/2017 | 145,000 | 124,033 |
Dun & Bradstreet Corp., 6.0%, 4/1/2013 | 725,000 | 719,942 |
Freescale Semiconductor, Inc., 8.875%, 12/15/2014 | 130,000 | 89,700 |
L-3 Communications Corp.: |
|
|
5.875%, 1/15/2015 | 125,000 | 113,125 |
Series B, 6.375%, 10/15/2015 | 60,000 | 55,200 |
7.625%, 6/15/2012 | 120,000 | 118,200 |
Lucent Technologies, Inc., 6.45%, 3/15/2029 | 110,000 | 67,100 |
MasTec, Inc., 7.625%, 2/1/2017 | 50,000 | 42,250 |
NXP BV/NXP Funding LLC, 7.713%***, 10/15/2013 EUR | 50,000 | 42,938 |
Sanmina-SCI Corp., 144A, 5.569%***, 6/15/2010 | 20,000 | 18,800 |
Seagate Technology HDD Holdings, 6.8%, 10/1/2016 | 70,000 | 61,250 |
SunGard Data Systems, Inc., 10.25%, 8/15/2015 | 95,000 | 82,413 |
Tyco Electronics Group SA, 6.0%, 10/1/2012 | 930,000 | 916,552 |
Xerox Corp., 6.35%, 5/15/2018 | 475,000 | 434,198 |
| 2,901,451 | |
Materials 0.7% | ||
Appleton Papers, Inc., Series B, 8.125%, 6/15/2011 | 20,000 | 17,550 |
ARCO Chemical Co., 9.8%, 2/1/2020 | 285,000 | 171,000 |
Cascades, Inc., 7.25%, 2/15/2013 | 110,000 | 85,800 |
Celulosa Arauco y Constitucion SA, | 1,042,000 | 992,632 |
Chemtura Corp., 6.875%, 6/1/2016 | 75,000 | 60,000 |
Clondalkin Acquisition BV, 144A, | 75,000 | 60,938 |
CPG International I, Inc., 10.5%, 7/1/2013 | 60,000 | 40,800 |
Exopack Holding Corp., 11.25%, 2/1/2014 | 130,000 | 109,200 |
Freeport-McMoRan Copper & Gold, Inc.: |
|
|
8.25%, 4/1/2015 | 90,000 | 88,425 |
8.375%, 4/1/2017 | 175,000 | 172,375 |
Georgia-Pacific LLC: |
|
|
144A, 7.125%, 1/15/2017 | 25,000 | 22,313 |
9.5%, 12/1/2011 | 30,000 | 29,700 |
Hexcel Corp., 6.75%, 2/1/2015 | 155,000 | 148,800 |
Innophos, Inc., 8.875%, 8/15/2014 | 15,000 | 15,000 |
Jefferson Smurfit Corp., 8.25%, 10/1/2012 | 60,000 | 50,100 |
Koppers Holdings, Inc., Step-up Coupon, 0% to 11/15/2009, 9.875% to 11/15/2014 | 100,000 | 89,500 |
Metals USA Holdings Corp., | 20,000 | 16,000 |
Millar Western Forest Products Ltd., | 15,000 | 8,550 |
Momentive Performance Materials, Inc., | 70,000 | 55,300 |
NewMarket Corp., 7.125%, 12/15/2016 | 80,000 | 76,800 |
NewPage Corp., 10.0%, 5/1/2012 | 85,000 | 76,075 |
Nucor Corp., 6.4%, 12/1/2037 | 530,000 | 484,513 |
OI European Group BV, 144A, 6.875%, 3/31/2017 EUR | 50,000 | 60,183 |
Rhodia SA, 144A, 7.713%***, 10/15/2013 EUR | 50,000 | 58,072 |
Sappi Papier Holding AG, 144A, 6.75%, 6/15/2012 | 499,000 | 394,215 |
Smurfit-Stone Container Enterprises, Inc.: |
|
|
8.0%, 3/15/2017 | 50,000 | 39,000 |
8.375%, 7/1/2012 | 30,000 | 25,200 |
Steel Dynamics, Inc.: |
|
|
6.75%, 4/1/2015 | 25,000 | 21,500 |
7.375%, 11/1/2012 | 25,000 | 22,875 |
Terra Capital, Inc., Series B, 7.0%, 2/1/2017 | 80,000 | 76,000 |
The Mosaic Co., 144A, 7.375%, 12/1/2014 | 110,000 | 113,880 |
Witco Corp., 6.875%, 2/1/2026 | 25,000 | 15,875 |
Wolverine Tube, Inc., 10.5%, 4/1/2009 | 65,000 | 63,050 |
Xstrata Canada Corp., 6.0%, 10/15/2015 | 160,000 | 144,989 |
| 3,906,210 | |
Telecommunication Services 0.5% | ||
BCM Ireland Preferred Equity Ltd., 144A, 11.964%***, 2/15/2017 (PIK) EUR | 52,974 | 36,543 |
Centennial Communications Corp.: |
|
|
10.0%, 1/1/2013 | 25,000 | 23,937 |
10.125%, 6/15/2013 | 55,000 | 54,450 |
Cincinnati Bell, Inc.: |
|
|
7.25%, 7/15/2013 | 75,000 | 67,500 |
8.375%, 1/15/2014 | 40,000 | 34,800 |
Cricket Communications, Inc.: |
|
|
9.375%, 11/1/2014 | 85,000 | 79,050 |
144A, 10.0%, 7/15/2015 | 70,000 | 66,850 |
Embratel, Series B, 11.0%, 12/15/2008 | 15,000 | 15,019 |
Hellas Telecommunications Luxembourg V, 144A, 8.463%***, 10/15/2012 EUR | 200,000 | 215,393 |
Intelsat Corp., 144A, 9.25%, 6/15/2016 | 155,000 | 142,600 |
iPCS, Inc., 4.926%***, 5/1/2013 | 15,000 | 12,225 |
MetroPCS Wireless, Inc., 9.25%, 11/1/2014 | 105,000 | 98,175 |
Millicom International Cellular SA, 10.0%, 12/1/2013 | 155,000 | 153,450 |
Nortel Networks Ltd.: |
|
|
7.041%***, 7/15/2011 | 30,000 | 20,025 |
144A, 10.75%, 7/15/2016 | 50,000 | 30,625 |
Qwest Corp.: |
|
|
7.25%, 9/15/2025 | 15,000 | 11,175 |
7.625%, 6/15/2015 | 913,000 | 794,310 |
7.875%, 9/1/2011 | 90,000 | 86,400 |
8.875%, 3/15/2012 | 20,000 | 19,600 |
Sprint Nextel Corp., 6.0%, 12/1/2016 | 35,000 | 26,950 |
Stratos Global Corp., 9.875%, 2/15/2013 | 30,000 | 29,250 |
Telecom Italia Capital, 7.721%, 6/4/2038 | 430,000 | 356,393 |
Verizon Communications, Inc., 6.9%, 4/15/2038 (c) | 345,000 | 305,815 |
Virgin Media Finance PLC, 8.75%, 4/15/2014 | 90,000 | 75,600 |
West Corp., 9.5%, 10/15/2014 | 25,000 | 19,125 |
Windstream Corp., 7.0%, 3/15/2019 | 40,000 | 32,000 |
| 2,807,260 | |
Utilities 1.3% | ||
AES Corp.: |
|
|
8.0%, 10/15/2017 | 75,000 | 67,687 |
144A, 8.0%, 6/1/2020 | 70,000 | 61,250 |
144A, 8.75%, 5/15/2013 | 230,000 | 231,150 |
9.5%, 6/1/2009 | 40,000 | 39,600 |
Allegheny Energy Supply Co., LLC, 144A, | 300,000 | 303,000 |
Arizona Public Service Co., 6.875%, 8/1/2036 | 490,000 | 414,640 |
CMS Energy Corp., 8.5%, 4/15/2011 | 175,000 | 179,059 |
Commonwealth Edison Co., Series 104, 5.95%, 8/15/2016 | 680,000 | 642,199 |
Dominion Resources, Inc.: |
|
|
Series 06-B, 6.3%, 9/30/2066 | 400,000 | 352,080 |
7.5%, 6/30/2066 | 900,000 | 768,627 |
Edison Mission Energy, 7.0%, 5/15/2017 | 75,000 | 67,500 |
Energy East Corp., 6.75%, 6/15/2012 | 970,000 | 985,491 |
Energy Future Holdings Corp., 144A, 10.875%, 11/1/2017 | 110,000 | 99,275 |
Integrys Energy Group, Inc., 6.11%, 12/1/2066 | 795,000 | 609,384 |
IPALCO Enterprises, Inc., 144A, 7.25%, 4/1/2016 | 35,000 | 33,425 |
Knight, Inc., 6.5%, 9/1/2012 | 20,000 | 18,850 |
Mirant Americas Generation LLC, 8.3%, 5/1/2011 | 90,000 | 86,625 |
Mirant North America LLC, 7.375%, 12/31/2013 | 25,000 | 23,500 |
NRG Energy, Inc.: |
|
|
7.25%, 2/1/2014 | 80,000 | 74,200 |
7.375%, 2/1/2016 | 60,000 | 54,000 |
Oncor Electric Delivery Co., 7.0%, 9/1/2022 | 30,000 | 25,189 |
Pedernales Electric Cooperative, Series 2002-A, 144A, 6.202%, 11/15/2032 | 730,000 | 668,293 |
PPL Capital Funding, Inc., Series A, 6.7%, 3/30/2067 | 1,135,000 | 919,789 |
Regency Energy Partners LP, 8.375%, 12/15/2013 | 50,000 | 45,000 |
Reliant Energy, Inc., 7.875%, 6/15/2017 | 85,000 | 62,900 |
Sierra Pacific Resources: |
|
|
6.75%, 8/15/2017 | 85,000 | 77,704 |
8.625%, 3/15/2014 | 15,000 | 15,363 |
Texas Competitive Electric Holdings Co., LLC, 144A, 10.25%, 11/1/2015 | 165,000 | 148,912 |
| 7,074,692 | |
Total Corporate Bonds (Cost $58,465,896) | 51,468,184 | |
| ||
Asset-Backed 0.5% | ||
Home Equity Loans | ||
Bayview Financial Acquisition Trust,"1A1", Series 2006-A, 5.614%, 2/28/2041 | 208,261 | 205,274 |
Countrywide Asset-Backed Certificates: |
|
|
"AF3", Series 2005-1, 4.575%, 7/25/2035 | 300,005 | 293,755 |
"A6", Series 2006-S6, 5.657%, 3/25/2034 | 1,320,000 | 703,690 |
"A6", Series 2006-15, 5.826%, 10/25/2046 | 450,000 | 327,398 |
"A1B", Series 2007-S1, 5.888%, 11/25/2036 | 493,524 | 428,976 |
"1AF6", Series 2006-11, 6.15%, 9/25/2046 | 1,295,000 | 689,327 |
Total Asset-Backed (Cost $4,058,209) | 2,648,420 | |
| ||
Commercial and Non-Agency Mortgage-Backed Securities 14.2% | ||
Adjustable Rate Mortgage Trust,"1A4", Series 2006-2, 5.752%***, 5/25/2036 | 1,345,000 | 1,012,235 |
Banc of America Commercial Mortgage, Inc.: |
|
|
"A2", Series 2007-3, 5.838%***, 6/10/2049 | 940,000 | 882,832 |
"A4", Series 2007-3, 5.838%***, 6/10/2049 | 1,575,000 | 1,338,503 |
"AJ", Series 2007-3, 5.838%***, 6/10/2049 | 1,700,000 | 1,113,514 |
"ASB", Series 2008-1, 6.173%, 2/10/2051 | 550,000 | 498,936 |
Banc of America Mortgage Securities,"3A1", Series 2003-H, 4.536%***, 9/25/2033 | 1,003,354 | 983,940 |
Bear Stearns Adjustable Rate Mortgage Trust: |
|
|
"2A1", Series 2006-4, 5.788%***, 10/25/2036 | 960,005 | 695,093 |
"3A1", Series 2007-5, 5.981%***, 8/25/2047 | 1,160,040 | 955,133 |
"22A1", Series 2007-4, 5.998%***, 6/25/2047 | 903,108 | 674,972 |
Bear Stearns Commercial Mortgage Securities, Inc.,"AAB", Series 2007-PW16, 5.902%***, 6/11/2040 | 1,550,000 | 1,383,560 |
Chase Mortgage Finance Corp.,"3A1", Series 2005-A1, 5.285%***, 12/25/2035 | 1,017,129 | 897,765 |
Citicorp Mortgage Securities, Inc.,"1A1", Series 2004-8, 5.5%, 10/25/2034 | 783,845 | 756,380 |
Citigroup Commercial Mortgage Trust,"A4", Series 2007-C6, 5.889%***, 12/10/2049 | 435,000 | 371,803 |
Citigroup Mortgage Loan Trust, Inc.: |
|
|
"2A1A", Series 2007-AR8, 5.914%***, 7/25/2037 | 2,529,272 | 2,062,810 |
"1CB2", Series 2004-NCM2, 6.75%, 8/25/2034 | 1,049,133 | 970,776 |
Citigroup/Deutsche Bank Commercial Mortgage Trust,"F", Series 2007-CD4, 5.555%***, 12/11/2049 | 690,000 | 307,417 |
Countrywide Alternative Loan Trust: |
|
|
"A2", Series 2003-21T1, 5.25%, 12/25/2033 | 697,475 | 632,433 |
"A6", Series 2004-14T2, 5.5%, 8/25/2034 | 626,860 | 596,603 |
"1A1", Series 2004-J1, 6.0%, 2/25/2034 | 136,118 | 117,317 |
Countrywide Home Loans,"1A1", Series 2007-HY1, 5.696%***, 4/25/2037 | 1,614,758 | 1,240,465 |
Credit Suisse Mortgage Capital Certificates, Inc.: |
|
|
"10A2", Series 2007-5, 6.0%, 4/25/2029 | 979,495 | 844,203 |
"3A1", Series 2006-9, 6.0%, 11/25/2036 | 466,886 | 402,397 |
"3A19", Series 2007-5, 6.0%, 8/25/2037 | 1,335,531 | 1,084,284 |
"5A14", Series 2007-1, 6.0%, 2/25/2037 | 1,174,445 | 1,106,308 |
First Horizon Mortgage Pass-Through Trust,"1A2", Series 2006-AR4, 5.483%***, 1/25/2037 | 1,669,039 | 1,390,046 |
GE Capital Commercial Mortgage Corp., "AJ", Series 2007-C1, 5.677%, 12/10/2049 | 1,640,000 | 1,079,221 |
GMAC Mortgage Corp. Loan Trust: |
|
|
"A2", Series 2004-J1, 5.25%, 4/25/2034 | 629,632 | 621,662 |
"4A1", Series 2005-AR6, 5.467%***, 11/19/2035 | 1,016,209 | 874,148 |
Greenwich Capital Commercial Funding Corp.: |
|
|
"A2", Series 2007-GG9, 5.381%, 3/10/2039 | 2,150,000 | 2,005,290 |
"A4", Series 2007-GG11, 5.736%, 12/10/2049 | 600,000 | 509,245 |
GS Mortgage Securities Corp. II: |
|
|
"A2", Series 2007-GG10, 5.778%, 8/10/2045 | 2,130,000 | 1,997,111 |
"A4", Series 2007-GG10, 5.993%***, 8/10/2045 | 675,000 | 576,279 |
"J", Series 2007-GG10, 144A, 5.993%***, 8/10/2045 | 1,419,000 | 424,272 |
"K", Series 2007-GG10, 144A, 5.993%***, 8/10/2045 | 394,000 | 96,320 |
GSR Mortgage Loan Trust: |
|
|
"2A1", Series 2007-AR2, 5.511%***, 5/25/2047 | 1,803,026 | 1,459,847 |
"1A1", Series 2007-AR2, 5.779%***, 5/25/2047 | 1,969,280 | 1,462,877 |
"2A1", Series 2007-AR1, 5.998%***, 3/25/2047 | 2,148,261 | 1,725,953 |
IndyMac Inda Mortgage Loan Trust,"1A1", Series 2006-AR3, 5.334%***, 12/25/2036 | 1,249,977 | 974,279 |
JPMorgan Chase Commercial Mortgage Securities Corp.: |
|
|
"A4", Series 2007-LD12, 5.882%, 2/15/2051 | 525,000 | 447,491 |
"ASB", Series 2007-CB19, 5.92%***, 2/12/2049 | 1,280,000 | 1,146,927 |
"A4", Series 2007-LD11, 6.007%***, 6/15/2049 | 1,320,000 | 1,129,446 |
"ASB", Series 2007-LD11, 6.007%***, 6/15/2049 | 2,140,000 | 1,924,019 |
"F", Series 2007-LD11, 6.007%***, 6/15/2049 | 650,000 | 291,958 |
"AM", Series 2007-LD12, 6.261%***, 2/15/2051 | 825,000 | 653,695 |
JPMorgan Mortgage Trust: |
|
|
"3A3", Series 2004-A3, 4.963%***, 7/25/2034 | 1,380,000 | 1,015,454 |
"2A1R", Series 2006-A7, 5.429%***, 1/25/2037 | 1,496,469 | 1,150,203 |
"2A4", Series 2006-A2, 5.755%***, 4/25/2036 | 2,000,000 | 1,435,606 |
"1A1", Series 2008-R2, 144A, 5.772%***, 7/27/2037 | 679,821 | 571,049 |
"2A1" Series 2006-A5, 5.819%***, 8/25/2036 | 999,159 | 805,562 |
Lehman Mortgage Trust,"3A3", Series 2006-1, 5.5%, 2/25/2036 | 1,157,369 | 1,062,817 |
MASTR Adjustable Rate Mortgages Trust: |
|
|
"3A6",Series 2004-13, 3.788%***, 11/21/2034 | 1,185,000 | 1,076,098 |
"B1", Series 2004-13, 4.067%***, 12/21/2034 | 1,363,208 | 879,668 |
MASTR Alternative Loans Trust,"8A1", Series 2004-3, 7.0%, 4/25/2034 | 36,367 | 32,583 |
MASTR Asset Securitization Trust,"2A7", Series 2003-9, 5.5%, 10/25/2033 | 946,625 | 868,233 |
Merrill Lynch Mortgage Investors Trust,"A2", Series 2005-A5, 4.566%, 6/25/2035 | 175,000 | 157,764 |
Merrill Lynch Mortgage Trust,"ASB", Series 2007-C1, 6.023%***, 6/12/2050 | 535,000 | 478,186 |
Merrill Lynch/Countrywide Commercial Mortgage Trust,"ASB", Series 2007-7, 5.745%, 6/12/2050 | 700,000 | 622,422 |
Morgan Stanley Capital I: |
|
|
"A2", Series 2007-HQ11, 5.359%, 2/12/2044 | 2,200,000 | 2,051,892 |
"AAB", Series 2007-IQ14, 5.654%, 4/15/2049 | 1,410,000 | 1,248,610 |
New York Mortgage Trust, "2A3", Series 2006-1, 5.653%***, 5/25/2036 | 1,400,000 | 1,118,256 |
Residential Accredit Loans, Inc.: |
|
|
"A3", Series 2004-QS11, 5.5%, 8/25/2034 | 448,969 | 366,892 |
"CB", Series 2004-QS2, 5.75%, 2/25/2034 | 607,566 | 525,014 |
Residential Funding Mortgage Securities I, "2A2", Series 2007-SA1, 5.622%***, 2/25/2037 | 563,825 | 436,252 |
Structured Adjustable Rate Mortgage Loan Trust, "6A3", Series 2005-21, 5.4%***, 11/25/2035 | 1,190,000 | 878,256 |
Structured Asset Securities Corp., "4A1", Series 2005-6, 5.0%, 5/25/2035 | 320,395 | 280,146 |
SunTrust Adjustable Rate Mortgage Loan Trust,"3A1", Series 2007-3, 6.021%***, 6/25/2037 | 1,864,557 | 1,590,026 |
Wachovia Bank Commercial Mortgage Trust: |
|
|
"A3", Series 2007-C30, 5.246%, 12/15/2043 | 1,000,000 | 923,475 |
"AJ", Series 2007-C30, 5.413%, 12/15/2043 | 675,000 | 436,986 |
"A2", Series 2007-C32, 5.924%***, 6/15/2049 | 1,420,000 | 1,329,736 |
"H", Series 2007-C32, 144A, 5.929%***, 6/15/2049 | 990,000 | 320,478 |
Washington Mutual Mortgage Pass-Through Certificates Trust: |
|
|
"1A3", Series 2005-AR14, 5.051%***, 12/25/2035 | 1,325,000 | 1,132,528 |
"1A3", Series 2005-AR16, 5.101%***, 12/25/2035 | 1,305,000 | 1,094,316 |
"1A3A", Series 2005-AR18, 5.255%***, 1/25/2036 | 1,625,000 | 1,427,124 |
"1A1", Series 2006-AR18, 5.342%***, 1/25/2037 | 1,147,626 | 909,273 |
"2A2", Series 2006-AR18, 5.493%***, 1/25/2037 | 1,385,000 | 953,677 |
"1A1", Series 2007-HY5, 5.521%***, 5/25/2037 | 1,211,413 | 833,188 |
"1A1", Series 2006-AR16, 5.609%***, 12/25/2036 | 1,436,888 | 1,025,639 |
"1A3", Series 2006-AR8, 5.877%***, 8/25/2046 | 1,395,000 | 1,114,322 |
"3A1", Series 2007-HY7, 5.907%***, 7/25/2037 | 595,397 | 440,378 |
Wells Fargo Mortgage Backed Securities Trust: |
|
|
"2A5", Series 2006-AR2, 5.106%***, 3/25/2036 | 3,435,980 | 3,051,933 |
"3A2", Series 2006-AR8, 5.237%***, 4/25/2036 | 2,070,000 | 1,769,440 |
"A6", Series 2006-AR11, 5.511%***, 8/25/2036 | 1,995,000 | 1,477,926 |
Total Commercial and Non-Agency Mortgage-Backed Securities (Cost $94,595,520) | 78,611,173 | |
| ||
Collateralized Mortgage Obligations 2.2% | ||
Federal Home Loan Mortgage Corp.: |
|
|
"LN", Series 3145, 4.5%, 10/15/2034 | 1,188,040 | 1,163,634 |
"BE" Series 3128, 5.0%, 5/15/2033 | 1,400,000 | 1,366,023 |
"BG", Series 2869, 5.0%, 7/15/2033 | 315,000 | 311,584 |
"NE", Series 2802, 5.0%, 2/15/2033 | 880,000 | 868,090 |
"PE", Series 2864, 5.0%, 6/15/2033 | 2,080,000 | 2,053,369 |
"XD", Series 2941, 5.0%, 5/15/2033 | 2,010,000 | 1,971,243 |
Federal National Mortgage Association: |
|
|
"YD", Series 2005-94, 4.5%, 8/25/2033 | 1,445,000 | 1,365,020 |
"EA", Series 2008-54, 5.0%, 7/25/2019 | 1,640,868 | 1,637,528 |
"HE", Series 2005-22, 5.0%, 10/25/2033 | 1,290,000 | 1,264,161 |
Total Collateralized Mortgage Obligations (Cost $11,776,917) | 12,000,652 | |
| ||
Mortgage-Backed Securities Pass-Throughs 5.7% | ||
Federal Home Loan Mortgage Corp.: |
|
|
4.5%, 11/1/2018 | 1,044,657 | 1,028,049 |
5.5%, 10/1/2023 | 788,244 | 787,844 |
5.518%***, 2/1/2038 | 712,801 | 693,263 |
6.5%, with various maturities from 1/1/2035 until 8/1/2038 | 1,468,684 | 1,517,410 |
Federal National Mortgage Association: |
|
|
4.5%, with various maturities from 7/1/2020 until 10/1/2033 | 3,135,057 | 3,018,430 |
5.0%, with various maturities from 2/1/2021 until 9/1/2033 | 2,386,746 | 2,351,559 |
5.5%, with various maturities from 1/1/2020 until 7/1/2037 | 14,768,122 | 14,745,194 |
6.0%, with various maturities from 1/1/2024 until 4/1/2024 | 1,610,766 | 1,640,927 |
6.5%, with various maturities from 5/1/2023 until 8/1/2036 | 4,543,615 | 4,676,919 |
7.0%, 4/1/2038 | 1,189,305 | 1,242,360 |
9.0%, 11/1/2030 | 58,615 | 64,782 |
Total Mortgage-Backed Securities Pass-Throughs (Cost $31,587,078) | 31,766,737 | |
| ||
Preferred Securities 0.6% | ||
Financials | ||
Bank of America Corp., Series M, 8.125%, 5/15/2018 (f) | 595,000 | 480,724 |
Citigroup, Inc., Series E, 8.4%, 4/30/2018 (f) | 340,000 | 231,425 |
Oil Insurance Ltd., 144A, 7.558%, 6/30/2011 (f) | 1,594,000 | 1,211,472 |
Royal Bank of Scotland Group PLC, Series U, 7.64%, 9/29/2017 (f) | 900,000 | 670,516 |
Stoneheath Re, 6.868%, 10/15/2011 (f) | 1,460,000 | 804,460 |
Total Preferred Securities (Cost $4,848,164) | 3,398,597 | |
| ||
Municipal Bonds and Notes 1.6% | ||
Arizona, Salt River Project, Agricultural Improvement & Power District, Electric Systems Revenue, Series A, 5.0%, 1/1/2038 | 480,000 | 452,558 |
Central Puget Sound, WA, Regional Transportation Authority, Sales & Use Tax Revenue, Series A, 5.0%, 11/1/2036 | 295,000 | 276,008 |
Chicago, IL, Transit Authority, Transfer Tax Receipts Revenue, Series A, 6.899%, 12/1/2040 | 685,000 | 724,963 |
Florida, State Board of Education, Capital Outlay 2006, Series E, 5.0%, 6/1/2035 | 500,000 | 462,575 |
Hammond, IN, Redevelopment Authority Lease Rent Revenue, Hammond Marina Project, 5.57%, 2/1/2014 (d) | 610,000 | 595,677 |
Palm Beach County, FL, Public Improvement Revenue, 5.0%, 5/1/2038 | 390,000 | 353,227 |
Rhode Island, Convention Center Authority Revenue, Civic Center, Series A, 6.03%, 5/15/2028 (d) | 835,000 | 843,091 |
San Diego, CA, Redevelopment Agency, Taxable Housing Allocation, 5.81%, 9/1/2019 (d) | 2,300,000 | 2,229,275 |
Suffolk, VA, Multi-Family Housing Revenue, Redevelopment & Housing Authority, Windsor at Potomac, Series T, 6.6%, 7/1/2015 | 1,565,000 | 1,592,904 |
Whittier, CA, Redevelopment Agency, Tax Allocation, Housing Projects, Series B, 6.09%, 11/1/2038 (d) | 1,400,000 | 1,190,210 |
Total Municipal Bonds and Notes (Cost $9,050,338) | 8,720,488 | |
| ||
Government & Agency Obligations 4.6% | ||
US Government Sponsored Agencies 0.3% | ||
Federal National Mortgage Association, 6.625%, 11/15/2030 (c) | 1,635,000 | 1,973,149 |
US Treasury Obligations 4.3% | ||
US Treasury Bill, 1.35%****, 10/16/2008 (e) | 12,451,000 | 12,444,874 |
US Treasury Bonds: |
|
|
4.5%, 5/15/2038 (c) | 290,000 | 299,380 |
5.5%, 8/15/2028 (c) | 3,879,000 | 4,418,119 |
US Treasury Notes: |
|
|
2.0%, 9/30/2010 | 132,000 | 132,041 |
4.0%, 8/15/2018 (c) | 6,080,000 | 6,166,452 |
4.875%, 5/31/2011 (c) | 500,000 | 535,937 |
| 23,996,803 | |
Total Government & Agency Obligations (Cost $25,901,638) | 25,969,952 |
|
| Value ($) |
|
| |
Securities Lending Collateral 2.5% | ||
Daily Assets Fund Institutional, 2.79% (g) (h) (Cost $14,013,096) | 14,013,096 | 14,013,096 |
| ||
Cash Equivalents 3.0% | ||
Cash Management QP Trust, 2.38% (g) (Cost $16,451,989) | 16,451,989 | 16,451,989 |
| % of Net Assets | Value ($) |
|
| |
Total Investment Portfolio (Cost $629,408,395)+ | 101.2 | 561,585,407 |
Other Assets and Liabilities, Net | (1.2) | (6,542,813) |
Net Assets | 100.0 | 555,042,594 |
** Non-income producing security. Issuer has defaulted on the payment of principal or interest or has filed for bankruptcy. The following table represents bonds that are in default:
Securities | Coupon | Maturity Date | Principal Amount | Acquisition Cost ($) | Value ($) | |
Tropicana Entertainment LLC | 9.625% | 12/15/2014 | 105,000 | USD | 54,144 | 14,700 |
**** Annualized yield at time of purchase; not a coupon rate
+ The cost for federal income tax purposes was $632,856,783. At September 30, 2008, net unrealized depreciation for all securities based on tax cost was $71,271,376. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $7,315,402 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $78,586,778.
(a) Principal amount stated in US dollars unless otherwise noted.
(b) Securities with the same description are the same corporate entity but trade on different stock exchanges.
(c) All or a portion of these securities were on loan (see Notes to Financial Statements). The value of all securities loaned at September 30, 2008 amounted to $13,337,035, which is 2.4% of net assets.
(d) Bond is insured by one of these companies:
Insurance Coverage | As a % of Total Investment Portfolio |
Financial Guaranty Insurance Company | 0.2 |
Financial Security Assurance, Inc. | 0.2 |
MBIA Corp. | 0.1 |
XL Capital Insurance | 0.4 |
(f) Date shown is a call date; not a maturity date for the perpetual preferred securities.
(g) Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
(h) Represents collateral held in connection with securities lending. Income earned by the Fund is net of borrower rebates.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
ADR: American Depositary Receipt
CVA: Certificaten Van Aandelen
FDR: Fiduciary Depositary Receipt
GDR: Global Depositary Receipt
MSCI: Morgan Stanley Capital International
PIK: Denotes that all or a portion of income is paid in kind.
PPS: Price Protected Shares
REIT: Real Estate Investment Trust
RNC: Riparmio Non-Convertible (Non-Convertible Savings Shares)
SDR: Swedish Depository Receipt
At September 30, 2008, open futures contracts purchased were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation/ |
10 Year US Treasury Note | 12/19/2008 | 247 | 28,742,458 | 28,312,375 | (430,083) |
5 Year US Treasury Note | 12/31/2008 | 177 | 19,815,393 | 19,865,484 | 50,091 |
DJ Euro Stoxx 50 Index | 12/19/2008 | 9 | 402,691 | 387,962 | (14,729) |
FTSE 100 Index | 12/19/2008 | 1 | 94,586 | 88,413 | (6,173) |
Hang Seng Stock Index | 10/30/2008 | 107 | 13,044,356 | 12,458,540 | (585,816) |
Nekkei 225 Index | 12/11/2008 | 2 | 125,458 | 116,550 | (8,908) |
Russell E mini 2000 Index | 12/19/2008 | 4 | 287,872 | 271,360 | (16,512) |
S&P Mini 500 Index | 12/19/2008 | 161 | 9,553,368 | 9,410,450 | (142,918) |
SPI 200 Index | 12/18/2008 | 1 | 95,800 | 92,558 | (3,242) |
United Kingdom Treasury Bond | 12/29/2008 | 27 | 5,369,590 | 5,383,420 | 13,830 |
Total net unrealized depreciation | (1,144,460) |
At September 30, 2008, open futures contracts sold were as follows:
Futures | Expiration Date | Contracts | Aggregated Face Value ($) | Value ($) | Unrealized Appreciation |
10 Year US Treasury Note | 12/19/2008 | 62 | 7,169,548 | 7,106,750 | 62,798 |
S&P Mini 500 Index | 12/19/2008 | 269 | 16,088,930 | 15,723,049 | 365,881 |
Total unrealized appreciation | 428,679 |
As of September 30, 2008, the Fund had the following open forward foreign currency exchange contracts:
Contracts to Deliver |
| In Exchange For |
| Settlement Date | Unrealized Appreciation ($) | ||
EUR | 558,900 | | USD | 792,562 | | 10/16/2008 | 4,767 |
USD | 28,104,730 | | HKD | 218,815,000 | | 12/15/2008 | 108,985 |
USD | 18,135,139 | | JPY | 1,921,953,000 | | 12/15/2008 | 137,233 |
USD | 19,178,880 | | NZD | 29,967,000 | | 12/15/2008 | 692,157 |
Total unrealized appreciation | 943,142 |
Contracts to Deliver |
| In Exchange For |
| Settlement Date | Unrealized Depreciation ($) | ||
USD | 41,797 | | EUR | 28,700 | | 10/16/2008 | (1,343) |
USD | 28,913,953 | | NOK | 169,709,000 | | 12/15/2008 | (163,360) |
USD | 31,082,990 | | SGD | 44,272,000 | | 12/15/2008 | (158,367) |
Total unrealized depreciation | (323,070) |
Currency Abbreviations |
EUR Euro HKD Hong Kong Dollar JPY Japanese Yen NOK Norwegian Krone NZD New Zealand Dollar SGD Singapore Dollar USD United States Dollar |
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 Home Loan Mortgage Corp. and Federal National Mortgage Association issues which have similar coupon rates have been aggregated for presenation purposes in this investment portfolio.
Fair Value Measurements
The following is a summary of the inputs used as of September 30, 2008 in valuing the Fund's investments. For information on the Fund's policy regarding the valuation of investments and of the valuation inputs, and the aggregate levels used in the tables below, please refer to the Security Valuation section of Note A in the accompanying Notes to the Financial Statements.
Valuation Inputs | Investments in Securities | Other Financial Instruments++ |
Level 1 | $ 300,069,658 | $ (715,781) |
Level 2 | 258,941,674 | 620,072 |
Level 3 | 2,574,075 | — |
| $ 561,585,407 | $ (95,709) |
The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used in determining value at September 30, 2008:
| Investments in Securities | |
Balance as of April 1, 2008 | $ 2,534,410 | |
Total realized gains (loss) | 7,133 | |
Change in unrealized appreciation (depreciation) | (632,115) | |
Amortization premium/discount | 182 | |
Net purchases (sales) | 655,696 | |
Net transfers in (out) of Level 3 | 8,769 | |
Balance as of September 30, 2008 | $ 2,574,075 |
The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities as of September 30, 2008 (Unaudited) | |
Assets | |
Investments: Investments in securities, at value (cost $598,943,310) — including $13,337,035 of securities loaned | $ 531,120,322 |
Investment in Daily Assets Fund Institutional (cost $14,013,096)* | 14,013,096 |
Investment in Cash Management QP Trust (cost $16,451,989) | 16,451,989 |
Total investments, at value (cost $629,408,395) | 561,585,407 |
Foreign currency, at value (cost $482,875) | 475,862 |
Receivable for investments sold | 76,793,229 |
Dividends receivable | 393,410 |
Interest receivable | 2,305,185 |
Receivable for Fund shares sold | 10,911 |
Foreign taxes recoverable | 65,612 |
Net receivable on closed forward foreign currency exchange contracts | 348,313 |
Unrealized appreciation on forward foreign currency exchange contracts | 943,142 |
Due from Advisor | 37,750 |
Other assets | 36,265 |
Total assets | 642,995,086 |
Liabilities | |
Cash overdraft | 181,170 |
Payable for investments purchased | 70,233,981 |
Payable for Fund shares redeemed | 1,482,039 |
Payable upon return of securities loaned | 14,013,096 |
Payable for daily variation margin on open futures contracts | 1,169,931 |
Unrealized depreciation on forward foreign currency exchange contracts | 323,070 |
Accrued management fee | 95,501 |
Other accrued expenses and payables | 453,704 |
Total liabilities | 87,952,492 |
Net assets, at value | $ 555,042,594 |
Statement of Assets and Liabilities as of September 30, 2008 (Unaudited) (continued) | |
Net Assets consist of | |
Undistributed net investment income | 2,154,824 |
Net unrealized appreciation (depreciation) on: Investments | (67,822,988) |
Futures | (715,781) |
Foreign currency | 956,402 |
Accumulated net realized gain (loss) | (89,631,521) |
Paid-in capital | 710,101,658 |
Net assets, at value | $ 555,042,594 |
Net Asset Value | |
Class S Net Asset Value offering and redemption price per share ($4,041,780 ÷ 483,530 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized) | $ 8.36 |
Institutional Class Net Asset Value offering and redemption price per share ($551,000,814 ÷ 63,128,853 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized) | $ 8.73 |
The accompanying notes are an integral part of the financial statements.
Statement of Operations for the six months ended September 30, 2008 (Unaudited) | |
Investment Income | |
Income: Dividends (net of foreign taxes withheld of $152,407) | $ 4,178,691 |
Interest (net of foreign taxes withheld of $8,846) | 7,106,112 |
Interest — Cash Management QP Trust | 437,446 |
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates | 93,284 |
Total Income | 11,815,533 |
Expenses: Management fee | 1,934,259 |
Administration fee | 330,943 |
Services to shareholders | 528,949 |
Professional fees | 49,396 |
Trustees' fees and expenses | 16,905 |
Custodian fee | 238,746 |
Reports to shareholders | 30,013 |
Registration fees | 16,544 |
Other | 38,910 |
Total expenses before expense reductions | 3,184,665 |
Expense reductions | (1,359,361) |
Total expenses after expense reductions | 1,825,304 |
Net investment income | 9,990,229 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: Investments | (39,288,907) |
Futures | 581,986 |
Foreign currency | (8,609,473) |
| (47,316,394) |
Change in net unrealized appreciation (depreciation) on: Investments | (33,956,779) |
Futures | (1,507,604) |
Foreign currency | 2,849,699 |
| (32,614,684) |
Net gain (loss) | (79,931,078) |
Net increase (decrease) in net assets resulting from operations | $ (69,940,849) |
The accompanying notes are an integral part of the financial statements.
Statement of Changes in Net Assets | ||
Increase (Decrease) in Net Assets | Six Months Ended September 30, 2008 (Unaudited) | Year Ended March 31, 2008 |
Operations: Net investment income | $ 9,990,229 | $ 22,190,391 |
Net realized gain (loss) | (47,316,394) | 25,684,604 |
Change in net unrealized appreciation (depreciation) | (32,614,684) | (50,387,549) |
Net increase (decrease) in net assets resulting from operations | (69,940,849) | (2,512,554) |
Distributions to shareholders from: Net investment income Class S | (90,095) | (186,707) |
Institutional Class | (13,275,436) | (31,654,117) |
Net realized gains Class S | (62,382) | (697,044) |
Institutional Class | (8,205,004) | (105,625,464) |
Total distributions | (21,632,917) | (138,163,332) |
Fund share transactions: Proceeds from shares sold | 15,310,636 | 99,016,462 |
Reinvestment of distributions | 21,631,908 | 138,155,019 |
Cost of shares redeemed | (133,576,456) | (118,987,404) |
Redemption fees | — | 89,752 |
Net increase (decrease) in net assets from Fund share transactions | (96,633,912) | 118,273,829 |
Increase (decrease) in net assets | (188,207,678) | (22,402,057) |
Net assets at beginning of period | 743,250,272 | 765,652,329 |
Net assets at end of period (including undistributed net investment income of $2,154,824 and $5,530,126, respectively) | $ 555,042,594 | $ 743,250,272 |
The accompanying notes are an integral part of the financial statements.
Class S+ Years Ended March 31, | 2008a | 2008 | 2007 | 2006 | 2005 | 2004b |
Selected Per Share Data | ||||||
Net asset value, beginning of period | $ 9.79 | $ 11.85 | $ 11.30 | $ 10.62 | $ 10.43 | $ 9.75 |
Income (loss) from investment operations: Net investment incomec | .14 | .29 | .33 | .22 | .21 | .11 |
Net realized and unrealized gain (loss) | (1.25) | (.30) | .80 | .70 | .30 | .93 |
Total from investment operations | (1.11) | (.01) | 1.13 | .92 | .51 | 1.04 |
Less distributions from: Net investment income | (.19) | (.42) | (.25) | (.24) | (.32) | (.36) |
Net realized gains | (.13) | (1.63) | (.33) | — | — | — |
Total distributions | (.32) | (2.05) | (.58) | (.24) | (.32) | (.36) |
Redemption fees | — | .00*** | .00*** | .00*** | .00*** | — |
Net asset value, end of period | $ 8.36 | $ 9.79 | $ 11.85 | $ 11.30 | $ 10.62 | $ 10.43 |
Total Return (%)d | (11.65)** | (.75) | 10.16 | 8.77 | 4.92 | 10.79** |
Ratios to Average Net Assets and Supplemental Data | ||||||
Net assets, end of period ($ millions) | 4 | 5 | 5 | 31 | 56 | 69 |
Ratio of expenses before expense reductions (%) | 1.02* | 1.05 | .93 | 1.41 | 1.33e | 1.41e* |
Ratio of expenses after expense reductions (%) | .77* | .87 | .71 | 1.00 | 1.00e | 1.00e* |
Ratio of net investment income (%) | 2.80* | 2.50 | 2.67 | 1.92 | 1.90 | 1.65* |
Portfolio turnover rate (%) | 119** | 264 | 175 | 108 | 122f | 124f** |
+ On October 23, 2006, Investment Class was renamed Class S. a For the six months ended September 30, 2008 (Unaudited). b For the period from July 25, 2003 (commencement of operations of Investment Class shares) to March 31, 2004. c Based on average shares outstanding during the period. d Total return would have been lower had certain expenses not been reduced. e The ratio includes expenses allocated from the Asset Management Portfolio, the Fund's master portfolio through August 20, 2004. f 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. * Annualized ** Not annualized *** Amount is less than $.005. |
Institutional Class Years Ended March 31, | 2008a | 2008 | 2007 | 2006 | 2005 | 2004 |
Selected Per Share Data | ||||||
Net asset value, beginning of period | $ 10.22 | $ 12.29 | $ 11.74 | $ 11.04 | $ 10.84 | $ 9.17 |
Income (loss) from investment operations: Net investment incomeb | .15 | .32 | .34 | .27 | .25 | .21 |
Net realized and unrealized gain (loss) | (1.30) | (.29) | .85 | .74 | .33 | 1.94 |
Total from investment operations | (1.15) | .03 | 1.19 | 1.01 | .58 | 2.15 |
Less distributions from: Net investment income | (.21) | (.47) | (.31) | (.31) | (.38) | (.48) |
Net realized gains | (.13) | (1.63) | (.33) | — | — | — |
Total distributions | (.34) | (2.10) | (.64) | (.31) | (.38) | (.48) |
Redemption fees | — | .00*** | .00*** | .00*** | .00*** | — |
Net asset value, end of period | $ 8.73 | $ 10.22 | $ 12.29 | $ 11.74 | $ 11.04 | $ 10.84 |
Total Return (%)c | (11.43)** | (.40) | 10.28 | 9.19 | 5.42 | 23.71 |
Ratios to Average Net Assets and Supplemental Data | ||||||
Net assets, end of period ($ millions) | 551 | 738 | 761 | 726 | 719 | 702 |
Ratio of expenses before expense reductions (%) | .96* | .89 | .89 | .91 | .83d | .91d |
Ratio of expenses after expense reductions (%) | .55* | .55 | .55 | .55 | .55d | .55d |
Ratio of net investment income (%) | 3.02* | 2.82 | 2.83 | 2.37 | 2.35 | 2.08 |
Portfolio turnover rate (%) | 119** | 264 | 175 | 108 | 122e | 124e |
a For the six months ended September 30, 2008 (Unaudited). 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. * Annualized ** Not annualized *** Amount is less than $.005. |
Notes to Financial Statements (Unaudited)
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: Institutional Class and Class S. 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 one or more broker-dealers. 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.
The Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"), effective at the beginning of the Fund's fiscal year. FAS 157 establishes a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and requires additional disclosure about the classification of fair value measurements.
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The aggregate value by input level, as of September 30, 2008, for the Fund's investments, as well as a reconciliation of Level 3 assets for which significant unobservable inputs were used in determining value, is included at the end of the Fund's Investment Portfolio.
New Accounting Pronouncement. In March 2008, the FASB issued Statement of Financial Accounting Standards No. 161 ("FAS 161"), "Disclosures about Derivative Instruments and Hedging Activities". FAS 161 requires enhanced disclosure about an entity's derivative and hedging activities including qualitative disclosures about the objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. Management is currently reviewing the enhanced disclosure requirements for the adoption of FAS 161.
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.
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. The Fund may also enter into forward currency contracts as part of its global tactical asset allocation overlay strategy.
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.
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. When the collateral falls below specified amounts, the lending agents will use their best efforts to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. 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. There may be risks of delay and costs in recovery of securities or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund is also 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.
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 utilize futures contracts as an efficient means of managing allocations between assets or to keep cash on hand to meet shareholder redemptions or other needs while maintaining exposure to the market. The Fund may also utilize futures as part of its global tactical asset allocation overlay strategy.
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.
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.
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 the 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.
The tax character of current year distributions will be determined at the end of the current fiscal year.
Real Estate Investment Trusts. The Fund periodically recharacterizes distributions received from a Real Estate Investment Trust ("REIT") investment based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available timely from a REIT, the recharacterization will be estimated and a recharacterization will be made in the following year when such information becomes available. Distributions received from REITs in excess of income are recorded as either a reduction of cost of investments or realized gains. The Fund distinguishes between dividends on a tax basis and a financial reporting basis and only distributions in excess of tax basis earnings and profits are reported in the financial statements as a tax return of capital.
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, with the exception of securities in default of principal.
B. Purchases and Sales of Securities
During the six months ended September 30, 2008, purchases and sales of investment securities (excluding short-term investments and US Treasury obligations) aggregated $576,351,175 and $652,847,522, respectively. Purchases and sales of US Treasury obligations aggregated $141,075,124 and $152,813,350, 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% |
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) 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 six months ended September 30, 2008, the Advisor waived a portion of its management fee pursuant to the Investment Management Agreement aggregating $828,223 ($5,891 and $822,332 for Class S and Institutional Class, respectively) and the amount charged aggregated $1,106,036, which was equivalent to an annualized effective rate of 0.33% of the Fund's average daily net assets.
In addition, for the six months ended September 30, 2008, the Advisor reimbursed $523,386 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 six months ended September 30, 2008, the Advisor received an Administration Fee of $330,943, of which $48,460 is unpaid.
Service Provider Fees. DWS Investments Service Company ("DISC"), 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 DISC and DST Systems, Inc. ("DST"), DISC has delegated certain transfer agent, dividend-paying agent and shareholder service agent functions to DST. DISC compensates DST out of the shareholder servicing fee it receives from the Fund. For the six months ended September 30, 2008 the amounts charged to the Fund by DISC were as follows:
Services to Shareholders | Total Aggregated | Waived | Unpaid at September 30, 2008 |
Class S | $ 982 | $ — | $ 538 |
Institutional Class | 60 | 60 | — |
| $ 1,042 | $ 60 | $ 538 |
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 six months ended September 30, 2008, the amount charged to the Fund by DIMA included in the Statement of Operations under "reports to shareholders" aggregated $19,944, of which $1,277 is unpaid.
Trustees' Fees and Expenses. The Fund paid each Trustee not affiliated with the Advisor retainer fees plus specified amounts for various committee services and for the Board Chairperson and Vice Chairperson.
In connection with the board consolidation on April 1, 2008, of the two DWS Funds Boards of Trustees, certain Independent Board Members retired prior to their normal retirement date, and received a one-time retirement benefit. DIMA has agreed to reimburse the Funds for the cost of this benefit. During the period ended September 30, 2008, the Fund paid its allocated portion of the retirement benefit of $3,899 to the non-continuing Independent Board Members, and the Fund was reimbursed by DIMA for this payment.
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 September 30, 2008, one or more shareholders individually held greater than 10% of the outstanding shares of the Fund. These shareholders held 71% and 23%, 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 six months ended September 30, 2008, the Fund's custodian fee was reduced by $2,753 and $1,040 for custody and transfer agent credits earned.
F. Line of Credit
The Fund and other affiliated funds (the "Participants") share in a $490 million revolving credit facility provided by a syndication of banks. The Fund may borrow 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 on 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:
| Six Months Ended | Year Ended | ||
| Shares | Dollars | Shares | Dollars |
Shares sold | ||||
Class S | 21,716 | $ 213,295 | 53,768 | $ 583,399 |
Institutional Class | 1,484,688 | 15,097,341 | 8,558,886 | 98,433,063 |
|
| $ 15,310,636 |
| $ 99,016,462 |
Shares issued to shareholders in reinvestment of distributions | ||||
Class S | 16,947 | $ 152,477 | 82,668 | $ 883,751 |
Institutional Class | 2,282,492 | 21,479,431 | 12,318,040 | 137,271,268 |
|
| $ 21,631,908 |
| $ 138,155,019 |
Shares redeemed | ||||
Class S | (40,608) | $ (387,743) | (84,282) | $ (1,031,482) |
Institutional Class | (12,901,463) | (133,188,713) | (10,507,314) | (117,955,922) |
|
| $ (133,576,456) |
| $ (118,987,404) |
Redemption fees | $ — |
| $ 89,752 | |
Net increase (decrease) | ||||
Class S | (1,945) | $ (21,971) | 52,154 | $ 525,420 |
Institutional Class | (9,134,283) | (96,611,941) | 10,369,612 | 117,748,409 |
|
| $ (96,633,912) |
| $ 118,273,829 |
Investment Management Agreement Approval
The Board of Trustees, including the Independent Trustees, approved the renewal of your Fund's investment management agreement (the "Agreement") with Deutsche Investment Management Americas Inc. ("DIMA") and sub-advisory agreement (the "Sub-Advisory Agreement" and together with the Agreement, the "Agreements") between DIMA and Aberdeen Asset Management, Inc. ("AAMI") in September 2008.
In terms of the process that the Board followed prior to approving the Agreements, shareholders should know that:
• At the present time, all but one of your Fund's Trustees are independent of DIMA and its affiliates.
• The Trustees meet frequently to discuss fund matters. Each year, the Trustees dedicate part or all of several meetings to contract review matters. Over the course of several months, the Board's Contract Committee, in coordination with the Board's Fixed Income and Quant Oversight Committee, reviewed comprehensive materials received from DIMA, independent third parties and independent counsel. These materials included an analysis of the Fund's performance, fees and expenses, and profitability compiled by the Fund's independent fee consultant. The Board also received extensive information throughout the year regarding performance of the Fund.
• The Trustees regularly meet privately with their independent counsel (and, as needed, other advisors) to discuss contract review and other matters. In addition, the Trustees were also advised by the Fund's independent fee consultant in the course of their review of the Fund's contractual arrangements and considered a comprehensive report prepared by the independent fee consultant in connection with their deliberations (the "IFC Report").
• In connection with reviewing the Agreements, the Board also reviewed the terms of the Fund's Rule 12b-1 plan, distribution agreement, administrative services agreement, transfer agency agreement and other material service agreements.
• Based on its evaluation of the information provided, the Contract Committee presented its findings and recommendations to the Independent Trustees as a group. The Independent Trustees reviewed the Contract Committee's findings and recommendations and presented their recommendations to the full Board.
In connection with the contract review process, the Contract Committee and the Board considered the factors discussed below, among others. The Board also considered that DIMA and its predecessors have managed the Fund since its inception, and the Board believes that a long-term relationship with a capable, conscientious advisor is in the best interests of the Fund. The Board considered, generally, that shareholders chose to invest or remain invested in the Fund knowing that DIMA managed the Fund, and that the Agreement was approved by the Fund's shareholders at a special meeting held in 2006. DIMA is part of Deutsche Bank, a major global banking institution that is engaged in a wide range of financial services. The Board believes that there are significant advantages to being part of a global asset management business that offers a wide range of investing expertise and resources, including hundreds of portfolio managers and analysts with research capabilities in many countries throughout the world.
While shareholders may focus primarily on fund performance and fees, the Fund's Board considers these and many other factors, including the quality and integrity of DIMA's and AAMI's personnel and such other issues as back-office operations, fund valuations, and compliance policies and procedures.
Nature, Quality and Extent of Services. The Board considered the terms of the Agreement, including the scope of advisory services provided under the Agreement. The Board noted that, under the Agreement, DIMA and AAMI provide portfolio management services to the Fund and that, pursuant to a separate administrative services agreement, DIMA provides administrative services to the Fund. The Board considered the experience and skills of senior management and investment personnel, the resources made available to such personnel, the ability of DIMA and AAMI to attract and retain high-quality personnel, and the organizational depth and stability of DIMA. The Board reviewed the Fund's performance over short-term and long-term periods and compared those returns to various agreed-upon performance measures, including market indices and a peer universe compiled by the independent fee consultant using information supplied by Lipper Inc. ("Lipper"). The Board also noted that it has put a process into place of identifying "Focus Funds" (e.g., funds performing poorly relative to their benchmark or a peer group compiled by Lipper), and receives more frequent reporting and information from DIMA regarding such funds, along with DIMA's remedial plans to address underperformance. The Board believes this process is an effective manner of identifying and addressing underperforming funds. Based on the information provided, the Board noted that for each of the one-, three- and five-year periods ended December 31, 2007, the Fund's performance (Institutional Class shares) was in the 2nd quartile of the applicable Lipper universe (the 1st quartile being the best performers and the 4th quartile being the worst performers). The Board also observed that the Fund has outperformed its benchmark in each of the one-, three- and five-year periods ended December 31, 2007. The Board recognized that DIMA has made significant changes in its investment personnel and processes in recent years in an effort to improve long-term performance.
On the basis of this evaluation and the ongoing review of investment results by the Board, the Board concluded that the nature, quality and extent of services provided by DIMA and AAMI historically have been and continue to be satisfactory.
Fees and Expenses. The Board considered the Fund's investment management fee schedule, operating expenses and total expense ratios, and comparative information provided by Lipper and the independent fee consultant regarding investment management fee rates paid to other investment advisors by similar funds (1st quartile being the most favorable and 4th quartile being the least favorable). With respect to management fees paid to other investment advisors by similar funds, the Board noted that the contractual fee rates paid by the Fund, which include a 0.10% fee paid to DIMA under the Fund's administrative services agreement, were higher than the median (3rd quartile) of the applicable Lipper peer group (based on Lipper data provided as of December 31, 2007). With respect to the sub-advisory fee paid to Aberdeen Asset Management Inc., the Board noted that the fee is paid by DIMA out of its fee and not directly by the Fund. The Board noted that the Fund's Class S shares' total (net) operating expenses were expected to be lower than the median (3rd quartile) of the applicable Lipper expense universe (based on Lipper data provided as of December 31, 2007) ("Lipper Universe Expenses"). The Board also reviewed each other share class's total (net) operating expenses relative to the Lipper Universe Expenses. The Board considered the Fund's management fee rate as compared to fees charged by DIMA and certain of its affiliates for comparable mutual funds and considered differences in fund and fee structures between the DWS Funds. The Board also considered how the Fund's total (net) operating expenses compared to the total (net) operating expenses of a more customized peer group selected by Lipper (based on such factors as asset size). The Board also noted that the expense limitations agreed to by DIMA helped to ensure that the Fund's total (net) operating expenses would be competitive relative to the applicable Lipper universe.
On the basis of the information provided, the Board concluded that management fees were reasonable and appropriate in light of the nature, quality and extent of services provided by DIMA.
Profitability. The Board reviewed detailed information regarding revenues received by DIMA under the Agreement. The Board considered the estimated costs and pre-tax profits realized by DIMA from advising the DWS Funds, as well as estimates of the pre-tax profits attributable to managing the Fund in particular. The Board also received information regarding the estimated enterprise-wide profitability of the DWS Investments organization with respect to all fund services in totality and by fund. The Board reviewed DIMA's methodology in allocating its costs to the management of the Fund. Based on the information provided, the Board concluded that the pre-tax profits realized by DIMA in connection with the management of the Fund were not unreasonable. The Board also reviewed information regarding the profitability of certain similar investment management firms. The Board noted that while information regarding the profitability of such firms is limited (and in some cases is not necessarily prepared on a comparable basis), DIMA and its affiliates' overall profitability with respect to the DWS Investments fund complex (after taking into account distribution and other services provided to the funds by DIMA and its affiliates) was lower than the overall profitability levels of many comparable firms for which such data was available.
Economies of Scale. The Board considered whether there are economies of scale with respect to the management of the Fund and whether the Fund benefits from any economies of scale. The Board noted that the Fund's management fee schedule includes fee breakpoints. The Board concluded that the Fund's fee schedule represents an appropriate sharing between the Fund and DIMA of such economies of scale as may exist in the management of the Fund at current asset levels.
Other Benefits to DIMA and Its Affiliates. The Board also considered the character and amount of other incidental benefits received by DIMA and its affiliates, including any fees received by DIMA for administrative services provided to the Fund and any fees received by an affiliate of DIMA for distribution services. The Board also considered benefits to DIMA related to brokerage and soft-dollar allocations, including allocating brokerage to pay for research generated by parties other than the executing broker dealers, which pertain primarily to funds investing in equity securities, along with the incidental public relations benefits to DIMA related to DWS Funds advertising and cross-selling opportunities among DWS Investments products and services. The Board concluded that management fees were reasonable in light of these fallout benefits.
Compliance. The Board considered the significant attention and resources dedicated by DIMA to documenting and enhancing its compliance processes in recent years. The Board noted in particular (i) the experience and seniority of DIMA's chief compliance officer; (ii) the large number of compliance personnel who report to DIMA's chief compliance officer; and (iii) the substantial commitment of resources by DIMA and its affiliates to compliance matters.
Based on all of the information considered and the conclusions reached, the Board (including a majority of the Independent Trustees) determined that the continuation of the Agreements is in the best interests of the Fund. In making this determination the Board did not give particular weight to any single factor identified above. The Board considered these factors over the course of numerous meetings, certain of which were in executive session with only the Independent Trustees and their counsel present. It is possible that individual Trustees may have weighed these factors differently in reaching their individual decisions to approve the continuation of the Agreements.
Summary of Management Fee Evaluation by Independent Fee Consultant
October 24, 2008
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 Funds (formerly 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 2008, including my qualifications, the evaluation process for each of the DWS Funds, consideration of certain complex-level factors, and my conclusions. I served in substantially the same capacity in 2007.
Qualifications
For more than 35 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 ten 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 Fund
My work focused primarily on evaluating, fund-by-fund, the fees charged to each of the 129 Fund portfolios in the DWS 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 Fund. These similar products included the other DWS 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 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 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 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 Funds are reasonable.
Thomas H. Mack
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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 has 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 Investments 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-investments.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 Investments PO Box 219151Kansas City, MO 64121-9151 |
Proxy Voting | 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 30are available on our Web site — www.dws-investments.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 Investments 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 |
Dear Valued Client:
We want to make sure you know our policy regarding the way in which our clients' private information is handled at DWS Investments. The following information is issued by DWS Investments Distributors, Inc., Deutsche Investment Management Americas Inc., DeAM Investor Services, Inc., DWS Trust Company and the DWS Funds.
We consider privacy fundamental to our client relationships and adhere to the policies and practices described below to protect current and former clients' information. We never sell customer lists or individual client information. Internal policies are in place to protect confidentiality, while allowing client needs to be served. Only individuals who need to do so in carrying out their job responsibilities may access client information. We maintain physical, electronic and procedural safeguards that comply with federal and state standards to protect confidentiality. These safeguards extend to all forms of interaction with us, including the Internet.
In the normal course of business, clients give us nonpublic personal information on applications and other forms, on our Web sites, and through transactions with us or our affiliates. Examples of the nonpublic personal information collected are name, address, Social Security number, and transaction and balance information. To be able to serve our clients, certain of this client information is shared with affiliated and nonaffiliated third party service providers such as transfer agents, custodians and broker-dealers to assist us in processing transactions and servicing your account.
In addition, we may disclose the information we collect to companies that perform marketing services on our behalf or to other financial institutions with which we have joint marketing agreements. These organizations may only use client information for the purpose designated by the companies listed above, and additional requirements beyond federal law may be imposed by certain states. To the extent that these state laws apply, we will comply with them before we share information about you.
We may also disclose nonpublic personal information about you to other parties as required or permitted by law. For example, we are required to or may provide information to government entities or regulatory bodies in response to requests for information or subpoenas, to private litigants in certain circumstances, to law enforcement authorities, or any time we believe it necessary to protect the firm.
At any time, if you have questions about our policy, please write to us at:
DWS Investments
Attention: Correspondence — Chicago
P.O. Box 219415
Kansas City, MO 64121-9415 September 2008
Notes
Notes
Notes
Notes
ITEM 2. | CODE OF ETHICS |
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| Not applicable. |
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ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT |
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| Not applicable. |
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ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES |
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| Not applicable. |
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) 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-CSRS 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.
DWS Lifecycle Long Range Fund, a series of DWS Advisor Funds
DWS Alternative Asset Allocation Plus Fund, a series of DWS Equity Trust
DWS Massachusetts Tax-Free Fund, a series of DWS State Tax Free Trust
DWS Value Builder Fund, Inc.
Treasury Portfolio (Institutional Shares), a series of Investors Cash Trust
Treasury Portfolio (Premier Money Market Shares), a series of Investors Cash Trust
Treasury Portfolio (Investment Class), a series of Investors Cash Trust
Treasury Portfolio (DWS U.S. Treasury Money Fund Class S), a series of Investors Cash Trust
By: /s/Michael G. Clark
Michael G. Clark
President
Date: December 2, 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.
By: /s/Michael G. Clark
Michael G. Clark
President
Date: December 2, 2008
By: /s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
Date: December 2, 2008