UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549
FORM N-CSR
Investment Company Act file number | 811-04760 |
DWS Advisor Funds
(Exact Name of Registrant as Specified in Charter)
345 Park Avenue
New York, NY 10154-0004
(Address of principal executive offices) (Zip code)
Registrant’s Telephone Number, including Area Code: (212) 454-7190
Paul Schubert
345 Park Avenue
New York, NY 10154-0004
(Name and Address of Agent for Service)
Date of fiscal year end: | 3/31 |
Date of reporting period: | 3/31/09 |
ITEM 1. REPORT TO STOCKHOLDERS
MARCH 31, 2009 Annual Report |
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DWS Lifecycle Long Range Fund |
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Contents
4 Performance Summary 10 Information About Your Fund's Expenses 12 Portfolio Management Review 20 Portfolio Summary 22 Investment Portfolio 61 Financial Statements 65 Financial Highlights 67 Notes to Financial Statements 77 Report of Independent Registered Public Accounting Firm 78 Tax Information 79 Summary of Management Fee Evaluation by Independent Fee Consultant 84 Summary of Administrative Fee Evaluation by Independent Fee Consultant 85 Board Members and Officers 89 Account Management Resources |
This report must be preceded or accompanied by a prospectus. To obtain a prospectus for any of our funds, refer to the Account Management Resources information provided in the back of this booklet. We advise you to consider the fund's objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other important information about the fund. Please read the prospectus carefully before you invest.
Investments in mutual funds involve risk. Some funds have more risk than others. Although asset allocation among different asset classes generally limits risk and exposure to any one class, the risk remains that the investment advisor may favor an asset class that performs poorly relative to the other asset classes. The fund is subject to stock market risk, meaning stocks of companies the fund holds may decline in value for extended periods of time due to the activities and financial prospects of individual companies, or due to general market and economic conditions. Bond investments are subject to interest-rate risk such that when interest rates rise, the prices of the bonds, and thus the value of the fund, can decline and the investor can lose principal value. Investing in foreign securities presents certain risks, such as currency fluctuation, political and economic changes and market risks. Additionally, derivatives may be more volatile and less liquid than traditional securities, and the fund could suffer losses on its derivatives positions. Please read this fund's prospectus for specific details regarding its investments and risk profile.
DWS 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 March 31, 2009
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 March 31, 2009.
Returns and rankings during all periods shown reflect a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns and rankings would have been lower.
Performance figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Returns and rankings may differ by share class.
Average Annual Total Returns as of 3/31/09 | ||||
DWS Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year |
Institutional Class | -32.84% | -9.65% | -3.22% | -.42% |
Russell 1000® Index+ | -38.27% | -13.24% | -4.54% | -2.57% |
MSCI EAFE Index+ | -46.51% | -14.47% | -2.18% | -.84% |
Barclays Capital US Aggregate Bond Index+ | 3.13% | 5.78% | 4.13% | 5.70% |
Blended Index through 3/31/09+ | -24.99% | -6.41% | -1.64% | .45% |
Blended Index effective 4/1/09+ | -26.30% | -6.51% | -.53% | 1.78% |
Sources: Lipper Inc. and Deutsche Investment Management Americas Inc.
Net Asset Value and Distribution Information | |
| Institutional Class |
Net Asset Value: 3/31/09 | $ 6.51 |
3/31/08 | $ 10.22 |
Distribution Information: Twelve Months as of 3/31/09:Income Dividends | $ .23 |
Capital Gain Distributions | $ .13 |
Return of Capital | $ .09 |
Growth of an Assumed $1,000,000 Investment |
[] DWS Lifecycle Long Range Fund — Institutional Class [] Russell 1000 Index+ [] MSCI EAFE Index+ [] Barclays Capital US Aggregate Bond Index+ [] Blended Index through 3/31/09+ [] Blended Index effective 4/1/09+ |
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Yearly periods ended March 31 |
Comparative Results as of 3/31/09 | |||||
DWS Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Institutional Class | Growth of $1,000,000 | $671,600 | $737,600 | $849,100 | $958,900 |
Average annual total return | -32.84% | -9.65% | -3.22% | -.42% | |
Russell 1000 Index+ | Growth of $1,000,000 | $617,300 | $653,100 | $792,800 | $770,800 |
Average annual total return | -38.27% | -13.24% | -4.54% | -2.57% | |
MSCI EAFE Index+ | Growth of $1,000,000 | $534,900 | $625,600 | $895,500 | $919,100 |
Average annual total return | -46.51% | -14.47% | -2.18% | -.84% | |
Barclays Capital US Aggregate Bond Index+ | Growth of $1,000,000 | $1,031,300 | $1,183,500 | $1,224,100 | $1,740,400 |
Average annual total return | 3.13% | 5.78% | 4.13% | 5.70% | |
Blended Index through 3/31/09+ | Growth of $1,000,000 | $750,100 | $819,700 | $920,500 | $1,045,500 |
Average annual total return | -24.99% | -6.41% | -1.64% | .45% | |
Blended Index effective 4/1/09+ | Growth of $1,000,000 | $737,000 | $817,100 | $973,700 | $1,193,000 |
Average annual total return | -26.30% | -6.51% | -.53% | 1.78% |
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 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 Barclays Capital US Aggregate Bond 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 Blended Index through 3/31/09 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 Bond 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. Effective April 1, 2009, the Fund changed its blended index because the Advisor believes that the new blended index better reflects the Fund's investment strategy.
The Blended Index, effective April 1, 2009 consists of the Barclays Capital US Aggregate Bond Index (27%), Russell 1000 Growth Index (20%), Russell 1000 Value Index (20%), MSCI EAFE Index (8%), MSCI EAFE Small Cap Index (3%), Russell 2000 Index (6%), Barclays Capital Global TIPS (5%), MSCI Emerging Markets Free Index (3%), Credit Suisse High Yield Index (3%) and Merrill Lynch 3-month US Treasury Bill Index (5%).
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.
Institutional Class Lipper Rankings — Mixed-Asset Target Allocation Moderate Funds Category as of 3/31/09 | ||||
Period | Rank |
| Number of Funds Tracked | Percentile Ranking (%) |
1-Year | 485 | of | 522 | 93 |
3-Year | 312 | of | 391 | 80 |
5-Year | 232 | of | 289 | 80 |
10-Year | 101 | of | 153 | 66 |
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.
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 March 31, 2009.
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 3/31/09 | ||||
DWS Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year |
Class S | -33.05% | -9.88% | -3.54% | -.80% |
Russell 1000 Index+ | -38.27% | -13.24% | -4.54% | -2.57% |
MSCI EAFE Index+ | -46.51% | -14.47% | -2.18% | -.84% |
Barclays Capital US Aggregate Bond Index+ | 3.13% | 5.78% | 4.13% | 5.70% |
Blended Index through 3/31/09+ | -24.99% | -6.41% | -1.64% | .45% |
Blended Index effective 4/1/09+ | -26.30% | -6.51% | -.53% | 1.78% |
Sources: Lipper Inc. and Deutsche Investment Management Americas Inc.
Net Asset Value and Distribution Information | |
| Class S |
Net Asset Value: 3/31/09 | $ 6.23 |
3/31/08 | $ 9.79 |
Distribution Information: Twelve Months as of 3/31/09:Income Dividends | $ .20 |
Capital Gain Distributions | $ .13 |
Return of Capital | $ .09 |
Growth of an Assumed $10,000 Investment |
[] DWS Lifecycle Long Range Fund — Class S [] Russell 1000 Index+ [] MSCI EAFE Index+ [] Barclays Capital US Aggregate Bond Index+ [] Blended Index through 3/31/09+ [] Blended Index effective 4/1/09+ |
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Yearly periods ended March 31 |
Comparative Results as of 3/31/09 | |||||
DWS Lifecycle Long Range Fund | 1-Year | 3-Year | 5-Year | 10-Year | |
Class S | Growth of $10,000 | $6,695 | $7,320 | $8,353 | $9,231 |
Average annual total return | -33.05% | -9.88% | -3.54% | -.80% | |
Russell 1000 Index+ | Growth of $10,000 | $6,173 | $6,531 | $7,928 | $7,708 |
Average annual total return | -38.27% | -13.24% | -4.54% | -2.57% | |
MSCI EAFE Index+ | Growth of $10,000 | $5,349 | $6,256 | $8,955 | $9,191 |
Average annual total return | -46.51% | -14.47% | -2.18% | -.84% | |
Barclays Capital US Aggregate Bond Index+ | Growth of $10,000 | $10,313 | $11,835 | $12,241 | $17,404 |
Average annual total return | 3.13% | 5.78% | 4.13% | 5.70% | |
Blended Index through 3/31/09+ | Growth of $10,000 | $7,501 | $8,197 | $9,205 | $10,455 |
Average annual total return | -24.99% | -6.41% | -1.64% | .45% | |
Blended Index effective 4/1/09+ | Growth of $10,000 | $7,370 | $8,171 | $9,737 | $11,930 |
Average annual total return | -26.30% | -6.51% | -.53% | 1.78% |
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 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 Barclays Capital US Aggregate Bond 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 Blended Index through 3/31/09 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 Bond 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. Effective April 1, 2009, the Fund changed its blended index because the Advisor believes that it better reflects the Fund's investment strategy.
The Blended Index, effective April 1, 2009 consists of the Barclays Capital US Aggregate Bond Index (27%), Russell 1000 Growth Index (20%), Russell 1000 Value Index (20%), MSCI EAFE Index (8%), MSCI EAFE Small Cap Index (3%), Russell 2000 Index (6%), Barclays Capital Global TIPS (5%), MSCI Emerging Markets Free Index (3%), Credit Suisse High Yield Index (3%) and Merrill Lynch 3-month US Treasury Bill Index (5%).
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 Lipper Rankings — Mixed-Asset Target Allocation Moderate Funds Category as of 3/31/09 | ||||
Period | Rank |
| Number of Funds Tracked | Percentile Ranking (%) |
1-Year | 488 | of | 522 | 94 |
3-Year | 319 | of | 391 | 82 |
5-Year | 241 | of | 289 | 84 |
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.
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 (October 1, 2008 to March 31, 2009).
The tables illustrate your Fund's expenses in two ways:
• Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses (but not transaction costs) paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line under the share class you hold.
• Hypothetical 5% Fund Return. This helps you to compare your Fund's ongoing expenses (but not transaction costs) with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expense of owning different funds. An account maintenance fee of $6.25 per quarter for Class S shares may apply for certain accounts whose balances do not meet the applicable minimum initial investment. This fee is not included in these tables. If it was, the estimate of expenses paid for Class S shares during the period would be higher, and account value during the period would be lower, by this amount.
Expenses and Value of a $1,000 Investment for the six months ended March 31, 2009 | ||
Actual Fund Return | Class S | Institutional Class |
Beginning Account Value 10/1/08 | $ 1,000.00 | $ 1,000.00 |
Ending Account Value 3/31/09 | $ 757.80 | $ 758.20 |
Expenses Paid per $1,000* | $ 3.90 | $ 2.59 |
Hypothetical 5% Fund Return | Class S | Institutional Class |
Beginning Account Value 10/1/08 | $ 1,000.00 | $ 1,000.00 |
Ending Account Value 3/31/09 | $ 1,020.49 | $ 1,021.99 |
Expenses Paid per $1,000* | $ 4.48 | $ 2.97 |
Annualized Expense Ratios | Class S | Institutional Class |
DWS Lifecycle Long Range Fund | .89% | .59% |
For more information, please refer to the Fund's prospectus.
DWS Lifecycle Long Range Fund: A Team Approach to Investing
Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), which is part of Deutsche Asset Management, is the investment advisor for DWS Lifecycle Long Range Fund. DIMA and its predecessors have more than 80 years of experience managing mutual funds and DIMA provides a full range of investment advisory services to institutional and retail clients.
Deutsche Asset Management is a global asset management organization that offers a wide range of investing expertise and resources. This well-resourced global investment platform brings together a wide variety of experience and investment insight across industries, regions, asset classes and investing styles.
DIMA is an indirect, wholly owned subsidiary of Deutsche Bank AG. Deutsche Bank AG is a major global banking institution that is engaged in a wide range of financial services, including investment management, mutual funds, retail, private and commercial banking, investment banking and insurance.
Aberdeen Asset Management Inc. ("AAMI"), a US registered investment advisor, is a subadvisor for the fund. With respect to the core bond and active fixed income portions of the fund only, AAMI makes the investment decisions, buys and sells securities, and conducts the research that leads to these purchase and sale decisions. AAMI is also responsible for selecting brokers and dealers and for negotiating brokerage commissions and dealer charges. AAMI provides a full range of international investment advisory services to institutional and retail clients. AAMI is a direct, wholly owned subsidiary of Aberdeen Asset Management PLC, the parent company of an asset management group formed in 1983.
Portfolio Management Team
The following portfolio managers are responsible for the day-to-day management of the fund's investments, except for the passive equity, core bond and active fixed-income portions of the fund.
Thomas Picciochi
Director of Deutsche Asset Management and Portfolio Manager of the fund.
• Joined Deutsche Asset Management in 1999, formerly serving as portfolio manager for Absolute Return Strategies, after 13 years of experience in various research and analysis positions at State Street Global Advisors, FPL Energy, Barnett Bank, Trade Finance Corporation and Reserve Financial Management.
• Senior portfolio manager for Quantitative Strategies Portfolio Management: New York.
• BA and MBA from University of Miami.
• Joined the fund in 2005.
Robert Wang
Managing Director of Deutsche Asset Management and Portfolio Manager of the fund.
• Joined Deutsche Asset Management in 1995 as a portfolio manager for asset allocation after 13 years of experience in trading fixed income, foreign exchange and derivative products at JPMorgan.
• Global Head of Quantitative Strategies Portfolio Management: New York.
• Joined the fund in 2000.
• BS, The Wharton School, University of Pennsylvania.
Inna Okounkova
Director of Deutsche Asset Management and Portfolio Manager of the fund.
• Global Asset Allocation portfolio manager: New York.
• Joined Deutsche Asset Management in 1999 as a quantitative analyst, becoming an associate portfolio manager in 2001.
• Joined the fund in 2007.
• BS, MS, Moscow State University; MBA, University of Chicago.
James B. Francis, CFA
Director of Deutsche Asset Management and Portfolio Manager of the fund.
• Head of Active Quantitative Equity Portfolio Management: New York.
• Joined Deutsche Asset Management in 2008 after 20 years of experience as senior quantitative global equity portfolio manager at State Street Global Advisors, and most recently, Northern Trust Global Investments.
• Joined the fund in 2008.
• BS in Applied Mathematics from University of Massachusetts, Amherst.
The following AAMI portfolio manager is responsible for the day-to-day management of the fixed-income (not including high-yield) portion of the fund.
J. Christopher Gagnier
Head of Core Plus Fixed Income product and senior portfolio manager for corporate and commercial mortgages: Philadelphia.
• Joined Aberdeen Asset Management Inc. and the fund in 2005.
• Formerly, Managing Director of Deutsche Asset Management; joined Deutsche Asset Management in 1997 after 17 years of experience in fixed income investments at PaineWebber and Continental Bank.
• BS from Wharton School of Business; MBA from University of Chicago.
In the following interview, the portfolio management team discusses DWS Lifecycle Long Range Fund's performance, strategy and the market environment during the fund's fiscal year ended March 31, 2009.
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 the market environment over the last year?
A: In the semiannual report for this fund, published six months ago, we described the preceding period as a time of economic uncertainty and turmoil in capital markets. In the ensuing months, there was pronounced deterioration in the economy and financial markets, not only in the US but throughout the world. In December 2008, the National Bureau of Economic Research (NBER) officially declared that the US economy had fallen into a recession that began in December 2007. With the economy and financial markets closely interrelated, the limited availability of credit and a lack of investor confidence hit asset prices, and the resulting loss of wealth contributed further to an economic slowdown. There was a pronounced decline in the equity market and in essentially all asset classes that carry risk in the final months of 2008. Although the economy and markets remained weak into early 2009, the condition of credit markets has improved. Bonds that carry credit risk began to recover in the first quarter of 2009, and the equity market moved up in March.
In this very difficult environment, essentially all US equity indices posted negative returns for the 12 months ended March 31, 2009. The Russell 3000® Index, which is generally regarded as a good indicator of the broad stock market, posted a negative return of - -38.20% for the period.1 The difference between performance of large-cap and small-cap stocks was not great: the Russell 1000® Index, which measures performance of large-cap stocks, returned - -38.27%, while the small-cap Russell 2000® Index returned - -37.50%.2 Growth stocks performed better than value stocks: the Russell 3000® Growth Index returned -34.42%, while the Russell 3000® Value Index returned -42.14%.3 Most international markets were even weaker than the US market: return of the Morgan Stanley Capital International (MSCI) Europe, Australasia and Far East (EAFE) Index, which measures performance of a broad range of international markets, was -46.51%.4 Emerging markets generally performed in line with developed markets: return of the MSCI Emerging Markets Index was -46.90%.5
1 The Russell 3000 Index is an unmanaged index that measures the performance of the 3,000 largest US companies based on total market capitalization, which represents approximately 98% of the investable US equity market.2 The Russell 1000 Index is an unmanaged index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index. The Russell 2000 Index is an unmanaged index that measures the performance of the 2,000 smallest companies in the Russell 3000 Index, which represents approximately 8% of the total market capitalization of the Russell 3000 Index.
3 The Russell 3000 Growth Index is an unmanaged index that measures the performance of those Russell 3000 companies with higher price-to-book ratios and higher forecasted growth values, 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.
4 The Morgan Stanley Capital International (MSCI) Europe, Australasia and Far East (EAFE) Index is an unmanaged, capitalization-weighted index that tracks international stock performance in the 21 developed markets of Europe, Australasia and the Far East.
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.
The major theme in the bond market over the past year was discomfort with credit risk. Accordingly, bonds with the highest credit ratings, especially US Treasury bonds, which are assumed to carry no credit risk, and investment-grade bonds, generated positive returns, while returns of high-yield bonds were sharply negative. The Barclays Capital US Treasury Index, which measures performance of US Treasury notes with a variety of maturities, returned 7.48% for the 12-month period ended March 31, 2009.6 The Barclays Capital US Aggregate Bond Index, which measures performance of the US bond market as a whole, returned 3.13% for the period. Bonds with below-investment-grade credit ratings performed poorly: the return of the Barclays Capital US Corporate High Yield Index, which measures performance of high-yield bonds, was -19.31%.7
6 The Barclays Capital US Treasury Index (name changed from Lehman Brothers US Treasury Index, effective November 3, 2008) is an unmanaged index of public obligations of the US Treasury.7 The Barclays Capital US Aggregate Bond 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 Barclays Capital US Corporate High Yield Index (name changed from Lehman Brothers US Corporate High Yield Index, effective November 3, 2008) is an unmanaged, market-value-weighted measure of high-yield bonds.
Index returns, unlike fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
Q: How is DWS Lifecycle Long Range Fund managed?
A: The fund seeks high total return with reduced risk over the long term. The fund's assets are allocated among various equity and fixed-income asset categories. We generally allocate the largest portion of its assets to equity securities, with smaller allocations to fixed-income securities. We review the fund's allocation among the various asset categories periodically and may adjust the allocation based on current or expected market conditions or to manage risk as is consistent with the fund's investment objective.
We use one or more strategies within each asset category for selecting equity and fixed-income securities for the fund's portfolio. Each strategy is managed by a team of portfolio managers that specializes in its respective category, using a variety of quantitative and qualitative techniques.
In addition to the fund's main investment strategy, we seek to enhance returns by employing a global tactical asset allocation overlay strategy. This strategy, which DWS Investments calls iGAP (integrated Global Alpha Platform), attempts to take advantage of short- and medium-term mispricings within global bond, equity and currency markets.8 The iGAP strategy is implemented through the use of derivatives, which are contracts or other instruments whose value is based on, for example, indices, currencies or securities. The iGAP strategy primarily uses exchange-traded futures contracts on global bonds and equity indices and over-the-counter forward currency contracts, and is expected to have a low correlation to the fund's other securities holdings.9 This strategy makes it possible 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.10
8 The iGAP strategy may use instruments including but not limited to futures, options and currency forwards. Derivatives may be more volatile and less liquid than traditional securities, and the strategy could suffer losses on its derivatives positions.9 Correlation is a measure of how closely two variables move together over time. A 1.0 equals perfect correlation. A -1.0 equals total negative correlation.
10 Futures and options are used as a low-cost method for gaining exposure to a particular securities market without investing directly in those securities. Forward currency transactions are the purchase or sale of a foreign currency at an exchange rate established now, but with payment and delivery at a specified future time. Forward currency transactions are used as hedges and, where possible, to add to investment returns.
A long position is the buying of a security such as a stock, commodity or currency with the expectation that the asset will rise in value. A short position is the sale of a borrowed security, commodity or currency with the expectation that the asset will fall in value.
Q: How is the fund positioned with regard to allocation of assets among asset classes?
A: We review strategic asset allocation at least annually or more frequently if market conditions warrant. The target allocation in place for most of the last year was 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.
On February 27, 2009, we began the first stage of transitioning the fund to its new strategic asset allocation. One change was the establishment of a new 3% allocation to emerging markets. This change contributed to performance, as emerging markets were quite strong during the month of March.
As a part of the transition to the fund's new strategic asset allocation, we plan to establish a 3% allocation to global small-cap equities and a 5% allocation to global inflation-protected Treasury securities. These changes will be balanced by a reduction in the exposure to several equity categories as well as investment-grade bonds.
Q: How did the fund perform during the period?
A: We find that an effective 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.11 For the 12 months ended March 31, 2009, the DWS Lifecycle Long Range Fund had a return of -32.84% (Institutional Class). The fund underperformed its Lipper peer group of Mixed-Asset Target Allocation Moderate Funds, which had an average return of -25.56%. (Past performance is no guarantee of future results. Please see pages 3 through 8 for the performance of other share classes and more complete performance information.)
11 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: Over this 12-month period, the underlying strategies as a group detracted from performance. In particular the core fixed-income strategy, the quantitative equity strategy and the fundamental international equity strategy detracted from performance.
Within the quantative equity strategy, major detractors at the industry level were health care equipment & supplies, transportation, and energy. Equity holdings in this portion of the portfolio that detracted from performance included General Dynamics Corp., Mariner Energy, Inc. and W&T Offshore, Inc.
The fundamental international equity sleeve also detracted from performance during the last 12 months, mainly because of stock selection in the consumer discretionary and industrials sectors and a position in the Russian market.
Within the core fixed-income strategy, exposure to mortgage- backed securities was the main cause of underperformance, followed by exposure to corporate bonds.
The quantitative international equity strategy added value over this period. An underweight in the United Kingdom financials sector, a group that was down significantly for the year, was the largest positive contributor to performance.12 Positions in the defensive Asian utilities sector also contributed to performance.
12 "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 iGAP strategy detracted from performance over this 12-month period, mainly because of its positioning in equity and currency markets. The severe downturn in global equity markets made the predominantly long equity position disadvantageous. In currencies, the bias toward the Norwegian krone and Singapore dollar detracted from value. Investor fear and aversion to risk led to an unwinding of the carry trade, a strategy where high-yielding currencies are funded with low-yielding currencies. This, along with the fall in energy prices, negatively impacted the Norwegian economy, depressing the Norwegian krone. A long position in the Singapore dollar also detracted as investors rushed towards liquidity and the perceived safety of the US dollar. The predominantly net long-bond positions added value, as bonds rallied and central banks cut interest rates in response to the financial crisis. However, these gains were not enough to offset the losses in the currency and equity positions.
In the last two months of the fiscal year, however, the iGAP strategy contributed to performance. This performance was driven predominantly by fixed-income positioning, with currency positioning of secondary importance. A long position in UK government bonds was a major contributor, especially following the surprise purchase of these bonds by the Bank of England in March. A short-dollar position added to performance, with long positions in Australian, Swedish and New Zealand currencies especially positive, as these currencies appreciated significantly relative to the dollar.
Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral) | 3/31/09 | 3/31/08 |
|
|
|
Common Stocks | 57% | 58% |
Corporate Bonds | 9% | 8% |
Government & Agency Obligations | 9% | 5% |
Collateralized Mortgage Obligations | 6% | 9% |
Mortgage-Backed Securities Pass-Throughs | 6% | 6% |
Cash Equivalents | 5% | 7% |
Exchange Traded Funds | 4% | — |
Commercial Mortgage-Backed Securities | 2% | 5% |
Municipal Bonds & Notes | 1% | 1% |
Asset Backed | 1% | — |
Preferred Securities | — | 1% |
| 100% | 100% |
Sector Diversification (As a % of Equities and Corporate Bonds) | 3/31/09 | 3/31/08 |
|
|
|
Information Technology | 14% | 13% |
Financials | 14% | 18% |
Health Care | 13% | 10% |
Energy | 12% | 13% |
Industrials | 11% | 11% |
Consumer Discretionary | 10% | 10% |
Consumer Staples | 10% | 8% |
Utilities | 6% | 6% |
Telecommunication Services | 5% | 6% |
Materials | 5% | 5% |
| 100% | 100% |
Geographical Diversification (As a % of Equity Securities) | 3/31/09 | 3/31/08 |
|
|
|
United States | 84% | 78% |
Europe (excluding United Kingdom) | 9% | 9% |
Japan | 2% | 2% |
Pacific Basin | 2% | 3% |
United Kingdom | 1% | 2% |
Other | 2% | 6% |
| 100% | 100% |
Asset allocation, sector and geographical diversifications are subject to change.
Ten Largest Equity Holdings at March 31, 2009 (10.7% of Net Assets) | |
1. ExxonMobil Corp. Explorer and producer of oil and gas | 1.8% |
2. Microsoft Corp. Developer of computer software | 1.4% |
3. Chevron Corp. Operator of petroleum exploration, delivery and refining facilities | 1.2% |
4. International Business Machines Corp. Manufacturer of computers and provider of information processing services | 1.1% |
5. Verizon Communications, Inc. Provider of advanced communication and information technology services | 1.0% |
6. Abbott Laboratories Developer of health care products | 0.9% |
7. JPMorgan Chase & Co. Provider of global financial services | 0.9% |
8. Apple, Inc. Manufacturer of personal computers and personal computing and communication solutions | 0.8% |
9. Eli Lilly & Co. Producer of pharmaceuticals | 0.8% |
10. QUALCOMM, Inc. Developer and manufacturer of communication systems | 0.8% |
Portfolio holdings are subject to change.
For more complete details about the Fund's investment portfolio, see page 22. 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. Please see the Account Management Resources section for contact information.
Following the Fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. This form will be available on the SEC's Web site at www.sec.gov, and it also may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the SEC's Public Reference Room may be obtained by calling (800) SEC-0330.
Investment Portfolio as of March 31, 2009
|
| Value ($) |
|
| |
Common Stocks 56.6% | ||
Consumer Discretionary 5.1% | ||
Auto Components 0.2% | ||
Aisin Seiki Co., Ltd. | 100 | 1,600 |
Bridgestone Corp. | 400 | 5,776 |
Compagnie Generale des Etablissements Michelin "B" | 157 | 5,813 |
Denso Corp. | 300 | 6,061 |
Magna International, Inc. "A" | 500 | 13,301 |
Nokian Renkaat Oyj | 135 | 1,588 |
Stoneridge, Inc.* | 9,200 | 19,412 |
Toyota Industries Corp. | 200 | 4,312 |
WABCO Holdings, Inc. | 52,282 | 643,592 |
| 701,455 | |
Automobiles 0.1% | ||
Bayerische Motoren Werke (BMW) AG | 657 | 19,064 |
Daimler AG (Registered) | 823 | 20,920 |
Fiat SpA | 9,037 | 63,209 |
Honda Motor Co., Ltd. | 1,100 | 26,319 |
Isuzu Motors Ltd. | 1,000 | 1,232 |
Mitsubishi Motors Corp.* | 3,000 | 3,839 |
Nissan Motor Co., Ltd. | 1,400 | 5,058 |
PSA Peugeot Citroen | 169 | 3,188 |
Renault SA | 194 | 4,007 |
Suzuki Motor Corp. | 200 | 3,347 |
Toyota Motor Corp. | 14,800 | 474,677 |
Volkswagen AG | 98 | 30,172 |
| 655,032 | |
Distributors 0.0% | ||
Li & Fung Ltd. | 18,000 | 42,466 |
Diversified Consumer Services 0.1% | ||
Lincoln Educational Services Corp.* | 11,000 | 201,520 |
Steiner Leisure Ltd.* | 8,100 | 197,721 |
| 399,241 | |
Hotels Restaurants & Leisure 1.0% | ||
Accor SA | 229 | 7,959 |
Buffalo Wild Wings, Inc.* | 3,000 | 109,740 |
California Pizza Kitchen, Inc.* | 5,800 | 75,864 |
Carnival PLC | 221 | 5,007 |
CEC Entertainment, Inc.* | 8,700 | 225,156 |
Compass Group PLC | 2,937 | 13,421 |
Crown Ltd. | 8,941 | 39,285 |
InterContinental Hotel Group PLC | 373 | 2,836 |
Lottomatica SpA | 479 | 7,886 |
McDonald's Corp. | 46,722 | 2,549,620 |
Shangri-La Asia Ltd. | 12,000 | 13,770 |
Sodexo | 129 | 5,874 |
TABCORP Holdings Ltd. | 9,702 | 43,912 |
Tatts Group Ltd. | 19,933 | 38,406 |
TUI AG | 232 | 1,241 |
Whitbread PLC | 338 | 3,814 |
Yum! Brands, Inc. | 27,600 | 758,448 |
| 3,902,239 | |
Household Durables 0.4% | ||
D.R. Horton, Inc. | 33,900 | 328,830 |
Electrolux AB "B" | 1,200 | 9,398 |
Garmin Ltd. | 35,600 | 755,076 |
Husqvarna AB "B" | 1,300 | 5,255 |
NVR, Inc.* | 700 | 299,425 |
Panasonic Corp. | 1,000 | 10,989 |
Persimmon PLC | 383 | 1,904 |
Ryland Group, Inc. | 5,200 | 86,632 |
Sekisui House Ltd. | 1,000 | 7,652 |
Sharp Corp. | 1,000 | 7,993 |
Sony Corp. | 600 | 12,302 |
| 1,525,456 | |
Internet & Catalog Retail 0.4% | ||
Amazon.com, Inc.* | 14,200 | 1,042,848 |
Home Retail Group PLC | 1,046 | 3,348 |
Liberty Media Corp. — Interactive "A"* | 114,900 | 333,210 |
Netflix, Inc.* | 2,200 | 94,424 |
| 1,473,830 | |
Media 1.4% | ||
British Sky Broadcasting Group PLC | 1,807 | 11,217 |
Comcast Corp. "A" | 168,400 | 2,296,976 |
DISH Network Corp. "A"* | 88,700 | 985,457 |
Fairfax Media Ltd. | 24,491 | 17,158 |
Gestevision Telecinco SA | 500 | 3,461 |
ITV PLC | 4,753 | 1,288 |
Lagardere SCA | 166 | 4,652 |
Marvel Entertainment, Inc.* | 8,600 | 228,330 |
Mediacom Communications Corp. "A"* | 35,800 | 144,274 |
Mediaset SpA | 6,937 | 30,990 |
Modern Times Group MTG AB "B" | 250 | 4,270 |
National CineMedia, Inc. | 5,100 | 67,218 |
Pearson PLC | 966 | 9,699 |
Publicis Groupe | 212 | 5,428 |
Reed Elsevier NV | 4,876 | 52,143 |
Reed Elsevier PLC | 2,143 | 15,378 |
Seat Pagine Gialle SpA* | 137 | 129 |
SES "A" (FDR) | 261 | 4,980 |
Shaw Communications, Inc. "B" | 2,000 | 30,489 |
Singapore Press Holdings Ltd. | 106,000 | 177,403 |
Thomson Reuters Corp. | 2,400 | 61,675 |
Thomson Reuters PLC | 202 | 4,526 |
Time Warner Cable, Inc. | 15,537 | 385,318 |
Time Warner, Inc. | 61,900 | 1,194,670 |
United Business Media Ltd. | 550 | 3,362 |
Vivendi | 1,187 | 31,364 |
Wolters Kluwer NV | 2,435 | 39,532 |
WPP PLC | 1,283 | 7,214 |
Yellow Pages Income Fund (Units) | 600 | 2,837 |
| 5,821,438 | |
Multiline Retail 0.2% | ||
Canadian Tire Corp., Ltd. "A" | 200 | 6,948 |
Macy's, Inc. | 99,600 | 886,440 |
Marks & Spencer Group PLC | 1,707 | 7,202 |
Next PLC | 252 | 4,752 |
PPR | 86 | 5,503 |
| 910,845 | |
Specialty Retail 1.1% | ||
Aeropostale, Inc.* | 9,600 | 254,976 |
Barnes & Noble, Inc. | 47,900 | 1,024,102 |
Cato Corp. "A" | 12,100 | 221,188 |
Children's Place Retail Stores, Inc.* | 8,700 | 190,443 |
Esprit Holdings Ltd. | 8,800 | 45,428 |
Foot Locker, Inc. | 34,400 | 360,512 |
Hennes & Mauritz AB "B" | 8,150 | 305,914 |
Hot Topic, Inc.* | 11,500 | 128,685 |
Industria de Diseno Textil SA | 2,606 | 101,362 |
Kingfisher PLC | 2,909 | 6,234 |
Rent-A-Center, Inc.* | 11,700 | 226,629 |
Signet Jewelers Ltd. | 18,900 | 216,405 |
The Buckle, Inc. | 7,550 | 241,072 |
The Gap, Inc. | 64,000 | 831,360 |
TJX Companies, Inc. | 13,900 | 356,396 |
Yamada Denki Co., Ltd. | 70 | 2,723 |
| 4,513,429 | |
Textiles, Apparel & Luxury Goods 0.2% | ||
Adidas AG | 193 | 6,437 |
Billabong International Ltd. | 200 | 1,185 |
Burberry Group PLC | 630 | 2,525 |
Carter's, Inc.* | 12,000 | 225,720 |
Christian Dior SA | 168 | 9,235 |
Compagnie Financiere Richemont SA "A" | 4,018 | 62,575 |
FGX International Holdings Ltd.* | 2,000 | 23,240 |
Fuqi International, Inc.* | 5,000 | 23,500 |
Gildan Activewear, Inc.* | 600 | 4,883 |
Hermes International | 82 | 9,526 |
Luxottica Group SpA | 740 | 11,488 |
LVMH Moet Hennessy Louis Vuitton SA | 250 | 15,672 |
Steven Madden Ltd.* | 8,400 | 157,752 |
Swatch Group AG (Bearer) | 226 | 27,237 |
Swatch Group AG (Registered) | 506 | 12,336 |
The Warnaco Group, Inc.* | 4,800 | 115,200 |
| 708,511 | |
Consumer Staples 5.8% | ||
Beverages 0.2% | ||
Anheuser-Busch InBev NV | 2,032 | 56,110 |
Asahi Breweries Ltd. | 700 | 8,415 |
Carlsberg AS "B" | 10,568 | 436,639 |
Coca-Cola Amatil Ltd. | 1,082 | 6,527 |
Diageo PLC | 2,872 | 32,429 |
Foster's Group Ltd. | 6,329 | 22,291 |
Heineken NV | 556 | 15,834 |
Kirin Holdings Co., Ltd. | 1,000 | 10,669 |
Pernod Ricard SA | 372 | 20,792 |
SABMiller PLC | 1,041 | 15,522 |
| 625,228 | |
Food & Staples Retailing 1.6% | ||
Aeon Co., Ltd. | 1,700 | 11,118 |
Carrefour SA | 1,176 | 45,831 |
Casino Guichard-Perrachon SA | 123 | 7,989 |
Colruyt SA | 122 | 27,997 |
Delhaize Group | 424 | 27,499 |
George Weston Ltd. | 300 | 13,920 |
J Sainsbury PLC | 1,965 | 8,812 |
Kesko Oyj "B" | 199 | 4,125 |
Koninklijke Ahold NV | 3,447 | 37,737 |
Lawson, Inc. | 100 | 4,124 |
Loblaw Companies Ltd. | 700 | 17,406 |
Metro AG | 1,069 | 35,333 |
Metro, Inc. "A" | 600 | 18,036 |
Pantry, Inc.* | 7,700 | 135,597 |
Safeway, Inc. | 43,800 | 884,322 |
Seven & I Holdings Co., Ltd. | 9,500 | 209,748 |
Shoppers Drug Mart Corp. | 1,400 | 48,125 |
SUPERVALU, Inc. | 36,600 | 522,648 |
Sysco Corp. | 68,333 | 1,557,992 |
Tesco PLC | 8,774 | 41,992 |
Village Super Market, Inc. "A" | 1,000 | 31,170 |
Wal-Mart Stores, Inc. | 52,214 | 2,720,349 |
Wesfarmers Ltd. | 1,881 | 24,590 |
Wesfarmers Ltd. (PPS) | 246 | 3,243 |
William Morrison Supermarkets PLC | 2,064 | 7,556 |
Woolworths Ltd. | 3,147 | 54,937 |
| 6,502,196 | |
Food Products 1.6% | ||
Ajinomoto Co., Inc. | 1,000 | 7,055 |
Archer-Daniels-Midland Co. | 98,400 | 2,733,552 |
Aryzta AG* | 119 | 2,783 |
Bunge Ltd. | 38,600 | 2,186,690 |
Cadbury PLC | 1,536 | 11,601 |
Danisco AS | 850 | 25,476 |
Darling International, Inc.* | 42,800 | 158,788 |
Diamond Foods, Inc. | 6,800 | 189,924 |
Golden Agri-Resources Ltd. | 11,440 | 2,093 |
Groupe DANONE | 675 | 32,949 |
J & J Snack Foods Corp. | 5,700 | 197,163 |
Kerry Group PLC "A" | 4,686 | 95,340 |
Lance, Inc. | 300 | 6,246 |
Nestle SA (Registered) | 17,779 | 601,810 |
Nissin Foods Holdings Co., Ltd. | 200 | 5,873 |
Parmalat SpA | 4,471 | 9,218 |
Saputo, Inc. | 1,300 | 21,591 |
Tate & Lyle PLC | 684 | 2,553 |
Unilever NV (CVA) | 3,555 | 70,280 |
Unilever PLC | 1,440 | 27,293 |
Wilmar International Ltd. | 2,000 | 4,173 |
| 6,392,451 | |
Household Products 0.9% | ||
Central Garden & Pet Co. "A"* | 22,800 | 171,456 |
Colgate-Palmolive Co. | 34,000 | 2,005,320 |
Henkel AG & Co. KGaA | 797 | 20,157 |
Kao Corp. | 1,000 | 19,607 |
Kimberly-Clark Corp. | 16,600 | 765,426 |
Procter & Gamble Co. | 14,841 | 698,863 |
Reckitt Benckiser Group PLC | 433 | 16,296 |
Unicharm Corp. | 100 | 6,093 |
| 3,703,218 | |
Personal Products 0.2% | ||
Beiersdorf AG | 812 | 36,514 |
China Sky One Medical, Inc.* | 12,500 | 143,750 |
Herbalife Ltd. | 48,700 | 729,526 |
L'Oreal SA | 411 | 28,341 |
Nu Skin Enterprises, Inc. "A" | 1,500 | 15,735 |
Shiseido Co., Ltd. | 1,000 | 14,650 |
| 968,516 | |
Tobacco 1.3% | ||
Altria Group, Inc. | 56,864 | 910,961 |
British American Tobacco PLC | 2,332 | 53,998 |
Imperial Tobacco Group PLC | 14,583 | 327,512 |
Japan Tobacco, Inc. | 90 | 240,356 |
Lorillard, Inc. | 42,300 | 2,611,602 |
Philip Morris International, Inc. | 23,800 | 846,804 |
Swedish Match AB | 10,105 | 146,084 |
| 5,137,317 | |
Energy 6.2% | ||
Energy Equipment & Services 1.0% | ||
Aker Solutions ASA | 1,050 | 6,792 |
AMEC PLC | 23,138 | 175,955 |
Cameron International Corp.* | 24,500 | 537,285 |
CARBO Ceramics, Inc. | 900 | 25,596 |
Compagnie Generale de Geophysique-Veritas* | 126 | 1,459 |
Diamond Offshore Drilling, Inc. | 35,600 | 2,237,816 |
Fugro NV (CVA) | 1,590 | 50,490 |
Matrix Service Co.* | 21,700 | 178,374 |
Oil States International, Inc.* | 18,300 | 245,586 |
Petroleum Geo-Services ASA* | 950 | 3,994 |
Prosafe SE* | 500 | 1,801 |
Saipem SpA | 17,798 | 317,536 |
SBM Offshore NV | 3,735 | 49,668 |
Seadrill Ltd. | 700 | 6,877 |
Technip SA | 115 | 4,053 |
Tenaris SA | 591 | 5,981 |
Tidewater, Inc. | 5,700 | 211,641 |
WorleyParsons Ltd. | 411 | 5,170 |
| 4,066,074 | |
Oil, Gas & Consumable Fuels 5.2% | ||
Alpha Natural Resources, Inc.* | 19,100 | 339,025 |
BG Group PLC | 34,220 | 518,679 |
Bill Barrett Corp.* | 4,600 | 102,304 |
BP PLC | 5,924 | 39,646 |
Cameco Corp. | 200 | 3,418 |
Canadian Natural Resources Ltd. | 200 | 7,759 |
Canadian Oil Sands Trust (Units) | 200 | 3,847 |
Chevron Corp. | 69,573 | 4,678,089 |
Clayton Williams Energy, Inc.* | 4,800 | 140,352 |
Comstock Resources, Inc.* | 600 | 17,880 |
ConocoPhillips | 60,600 | 2,373,096 |
Enbridge, Inc. | 200 | 5,766 |
EnCana Corp. | 300 | 12,278 |
Eni SpA | 3,640 | 70,083 |
EXCO Resources, Inc.* | 24,500 | 245,000 |
ExxonMobil Corp. | 104,466 | 7,114,135 |
Frontline Ltd. | 140 | 2,512 |
Gazprom (ADR) | 22,750 | 334,213 |
Husky Energy, Inc. | 200 | 4,243 |
Imperial Oil Ltd. | 400 | 14,531 |
INPEX Corp. | 4 | 27,538 |
James River Coal Co.* | 7,600 | 93,784 |
Mariner Energy, Inc.* | 81,245 | 629,649 |
McMoRan Exploration Co.* | 31,800 | 149,460 |
Murphy Oil Corp. | 34,200 | 1,531,134 |
Nexen, Inc. | 300 | 5,087 |
Nippon Mining Holdings, Inc. | 5,000 | 20,174 |
Nippon Oil Corp. | 8,000 | 39,987 |
Occidental Petroleum Corp. | 6,902 | 384,096 |
OMV AG | 3,491 | 116,059 |
Origin Energy Ltd. | 2,856 | 29,542 |
Petro-Canada | 300 | 8,059 |
Petroleo Brasileiro SA (ADR) | 9,500 | 289,465 |
Repsol YPF SA | 9,944 | 171,773 |
Royal Dutch Shell PLC "A" | 1,131 | 25,431 |
Royal Dutch Shell PLC "B" | 862 | 18,894 |
Santos Ltd. | 1,760 | 20,496 |
Showa Shell Sekiyu KK | 700 | 6,441 |
StatoilHydro ASA | 23,600 | 412,504 |
Suncor Energy, Inc. | 400 | 8,928 |
Talisman Energy, Inc. | 400 | 4,235 |
Teekay Tankers Ltd. "A" | 10,300 | 97,953 |
TonenGeneral Sekiyu KK | 1,000 | 9,720 |
Total SA | 7,667 | 380,252 |
Tullow Oil PLC | 330 | 3,793 |
W&T Offshore, Inc. | 44,500 | 273,675 |
Woodside Petroleum Ltd. | 1,595 | 41,990 |
World Fuel Services Corp. | 7,100 | 224,573 |
| 21,051,548 | |
Financials 6.3% | ||
Capital Markets 0.4% | ||
Bank of New York Mellon Corp. | 17,500 | 494,375 |
Credit Suisse Group AG (Registered) | 11,783 | 357,390 |
Daiwa Securities Group, Inc. | 1,000 | 4,426 |
IGM Financial, Inc. | 200 | 4,824 |
Julius Baer Holding AG (Registered) | 167 | 4,097 |
Knight Capital Group, Inc. "A"* | 13,500 | 198,990 |
LaBranche & Co., Inc.* | 32,700 | 122,298 |
Macquarie Group Ltd. | 253 | 4,782 |
Man Group PLC | 587 | 1,843 |
Mediobanca SpA | 1,048 | 8,907 |
Nomura Holdings, Inc. | 1,300 | 6,547 |
Northern Trust Corp. | 4,500 | 269,190 |
Prospect Capital Corp. | 14,080 | 119,962 |
Reinet Investments SCA* | 303 | 2,801 |
UBS AG (Registered)* | 4,249 | 40,365 |
| 1,640,797 | |
Commercial Banks 1.7% | ||
Allied Irish Banks PLC | 5,838 | 4,614 |
Anglo Irish Bank Corp. PLC | 18,150 | 5,233 |
Australia & New Zealand Banking Group Ltd. | 1,305 | 14,338 |
Banca Carige SpA | 1,264 | 4,146 |
Banca Monte dei Paschi di Siena SpA | 5,930 | 8,220 |
Banca Popolare di Milano Scarl | 2,506 | 12,478 |
Banco Bilbao Vizcaya Argentaria SA | 3,763 | 30,583 |
Banco Comercial Portugues SA (Registered)* | 114,730 | 94,077 |
Banco de Sabadell SA | 831 | 4,169 |
Banco Espirito Santo SA (Registered) | 10,996 | 42,824 |
Banco Latinoamericano de Exportaciones SA "E" | 19,600 | 183,652 |
Banco Popolare Societa Cooperativa | 2,075 | 9,543 |
Banco Popular Espanol SA | 820 | 5,185 |
Banco Santander SA | 48,975 | 336,736 |
Bank of East Asia Ltd. | 2,640 | 5,105 |
Bank of Montreal | 400 | 10,466 |
Bank of Nova Scotia | 800 | 19,715 |
Barclays PLC | 4,991 | 10,647 |
BNP Paribas | 6,957 | 286,744 |
BOC Hong Kong (Holdings) Ltd. | 6,500 | 6,670 |
Canadian Imperial Bank of Commerce | 300 | 10,917 |
Chuo Mitsui Trust Holdings, Inc. | 2,000 | 6,225 |
Commerzbank AG | 2,327 | 12,469 |
Commonwealth Bank of Australia | 903 | 21,873 |
Credit Agricole SA | 1,279 | 14,076 |
CVB Financial Corp. | 28,900 | 191,607 |
Danske Bank AS* | 5,602 | 47,232 |
DBS Group Holdings Ltd. | 5,000 | 28,036 |
Deutsche Postbank AG | 401 | 6,383 |
Dexia SA | 4,326 | 14,965 |
DnB NOR ASA | 78,300 | 354,425 |
Erste Group Bank AG | 7,561 | 129,318 |
Governor and Co. of the Bank of Ireland | 12,500 | 8,552 |
Hang Seng Bank Ltd. | 1,900 | 19,377 |
HSBC Holdings PLC | 56,352 | 319,009 |
Industrial & Commercial Bank of China Ltd. "H" | 687,000 | 355,587 |
Intesa Sanpaolo | 14,436 | 39,700 |
Intesa Sanpaolo (RSP) | 4,104 | 7,747 |
Jyske Bank AS (Registered)* | 500 | 11,426 |
KBC Groep NV | 1,226 | 19,802 |
Lloyds Banking Group PLC | 4,617 | 4,733 |
Marshall & Ilsley Corp. | 247,900 | 1,395,677 |
Mitsubishi UFJ Financial Group, Inc. | 7,400 | 36,354 |
Mizuho Financial Group, Inc. | 7,992 | 15,558 |
Mizuho Trust & Banking Co., Ltd. | 6,000 | 5,609 |
National Australia Bank Ltd. | 1,170 | 16,402 |
National Bank of Canada | 200 | 6,386 |
Natixis | 5,482 | 9,330 |
NBT Bancorp., Inc. | 11,100 | 240,204 |
Nordea Bank AB | 6,810 | 34,004 |
Oversea-Chinese Banking Corp., Ltd. | 10,000 | 31,852 |
Park National Corp. | 4,000 | 223,000 |
Prosperity Bancshares, Inc. | 8,900 | 243,415 |
Raiffeisen International Bank-Holding AG | 2,184 | 61,650 |
Resona Holdings, Inc. | 400 | 5,374 |
Royal Bank of Canada | 1,000 | 29,172 |
Royal Bank of Scotland Group PLC | 12,082 | 4,298 |
S&T Bancorp., Inc. | 3,700 | 78,477 |
Santander BanCorp. | 15,400 | 121,352 |
Shinsei Bank Ltd.* | 2,000 | 2,045 |
Signature Bank* | 9,000 | 254,070 |
Skandinaviska Enskilda Banken AB* | 2,175 | 6,721 |
Skandinaviska Enskilda Banken AB "A" | 2,289 | 7,181 |
Societe Generale | 780 | 30,629 |
Southside Bancshares, Inc. | 5,100 | 96,390 |
Standard Chartered PLC | 289 | 3,585 |
Suffolk Bancorp. | 500 | 12,995 |
Sumitomo Mitsui Financial Group, Inc. | 600 | 21,165 |
Sumitomo Trust & Banking Co., Ltd. | 1,000 | 3,877 |
SunTrust Banks, Inc. | 51,100 | 599,914 |
Svenska Handelsbanken AB "A" | 1,300 | 18,381 |
Swedbank AB "A" | 2,281 | 7,602 |
Sydbank AS* | 550 | 7,022 |
The Bank of Yokohama Ltd. | 1,000 | 4,296 |
The Shizuoka Bank Ltd. | 1,000 | 9,082 |
Tompkins Financial Corp. | 1,600 | 68,800 |
Toronto-Dominion Bank | 500 | 17,235 |
UMB Financial Corp. | 700 | 29,743 |
UniCredit SpA | 32,048 | 53,065 |
Unione di Banche Italiane ScpA | 562 | 6,189 |
United Overseas Bank Ltd. | 4,000 | 25,588 |
WesBanco, Inc. | 3,200 | 73,056 |
Westpac Banking Corp. | 1,773 | 23,601 |
Zions Bancorp. | 30,200 | 296,866 |
| 6,955,816 | |
Consumer Finance 0.2% | ||
AmeriCredit Corp.* | 60,000 | 351,600 |
EZCORP, Inc. "A"* | 3,600 | 41,652 |
Nelnet, Inc. "A"* | 34,100 | 301,444 |
ORIX Corp. | 70 | 2,307 |
| 697,003 | |
Diversified Financial Services 1.9% | ||
ASX Ltd. | 175 | 3,579 |
Bank of America Corp. | 245,300 | 1,672,946 |
Citigroup, Inc. | 265,000 | 670,450 |
CME Group, Inc. | 5,800 | 1,429,062 |
Compagnie Nationale a Portefeuille | 455 | 21,130 |
Criteria Caixacorp SA | 1,188 | 3,837 |
Deutsche Boerse AG | 263 | 15,889 |
Eurazeo | 265 | 7,093 |
Fortis | 21,901 | 40,287 |
Groupe Bruxelles Lambert SA | 616 | 41,813 |
Hong Kong Exchanges & Clearing Ltd. | 1,400 | 13,201 |
ING Groep NV (CVA) | 9,917 | 55,391 |
Investor AB "B" | 1,942 | 24,585 |
JPMorgan Chase & Co. | 132,100 | 3,511,218 |
Singapore Exchange Ltd. | 3,000 | 10,071 |
| 7,520,552 | |
Insurance 1.4% | ||
Aegon NV | 7,064 | 27,788 |
Alleanza Assicurazioni SpA | 1,192 | 6,719 |
Allianz SE (Registered) | 4,260 | 358,876 |
Allstate Corp. | 35,800 | 685,570 |
American Equity Investment Life Holding Co. | 50,900 | 211,744 |
American Physicians Capital, Inc. | 4,000 | 163,680 |
AMP Ltd. | 1,450 | 4,752 |
AmTrust Financial Services, Inc. | 13,000 | 124,150 |
Aon Corp. | 6,000 | 244,920 |
Arch Capital Group Ltd.* | 4,800 | 258,528 |
Argo Group International Holdings Ltd.* | 800 | 24,104 |
Assicurazioni Generali SpA | 2,056 | 35,302 |
Aviva PLC | 909 | 2,810 |
AXA SA | 22,759 | 276,345 |
Baloise Holding AG (Registered) | 110 | 7,023 |
China Life Insurance Co., Ltd. "H" | 155,100 | 510,281 |
CNA Financial Corp. | 20,400 | 186,864 |
CNA Surety Corp.* | 1,900 | 35,036 |
CNP Assurances | 61 | 3,861 |
First American Corp. | 25,700 | 681,307 |
Great-West Lifeco, Inc. | 200 | 2,809 |
Hannover Rueckversicherung AG (Registered) | 106 | 3,381 |
Hartford Financial Services Group, Inc. | 23,900 | 187,615 |
Infinity Property & Casualty Corp. | 5,600 | 190,008 |
Insurance Australia Group Ltd. | 1,711 | 4,168 |
Irish Life & Permanent PLC | 2,340 | 3,438 |
Legal & General Group PLC | 3,476 | 2,162 |
Maiden Holdings Ltd. | 19,100 | 85,377 |
Manulife Financial Corp. | 1,200 | 13,515 |
Mapfre SA | 874 | 1,917 |
Mitsui Sumitomo Insurance Group Holdings, Inc. | 300 | 7,041 |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 3,292 | 402,093 |
NIPPONKOA Insurance Co., Ltd. | 1,000 | 5,766 |
Old Mutual PLC | 2,119 | 1,581 |
Power Corp. of Canada | 300 | 4,676 |
Power Financial Corp. | 200 | 3,265 |
Prudential PLC | 874 | 4,211 |
QBE Insurance Group Ltd. | 612 | 8,229 |
Sampo Oyj "A" | 7,195 | 106,414 |
SCOR SE | 312 | 6,427 |
Sompo Japan Insurance, Inc. | 1,000 | 5,236 |
Sun Life Financial, Inc. | 400 | 7,246 |
Suncorp-Metway Ltd. | 731 | 3,061 |
Swiss Life Holding AG (Registered)* | 29 | 2,015 |
Swiss Re (Registered) | 287 | 4,683 |
T&D Holdings, Inc. | 150 | 3,593 |
Tokio Marine Holdings, Inc. | 500 | 12,344 |
Topdanmark AS* | 150 | 14,812 |
Tower Group, Inc. | 1,500 | 36,945 |
Trygvesta AS | 356 | 18,070 |
Validus Holdings Ltd. | 2,700 | 63,936 |
Vienna Insurance Group | 1,473 | 42,365 |
White Mountains Insurance Group Ltd. | 1,900 | 326,629 |
Zurich Financial Services AG (Registered) | 147 | 23,198 |
| 5,457,886 | |
Real Estate Investment Trusts 0.7% | ||
AMB Property Corp. (REIT) | 3,100 | 44,640 |
American Campus Communities, Inc. (REIT) | 500 | 8,680 |
AvalonBay Communities, Inc. (REIT) | 2,461 | 115,815 |
BioMed Realty Trust, Inc. (REIT) | 6,400 | 43,328 |
CapitaMall Trust (REIT) | 4,000 | 3,478 |
Colonial Properties Trust (REIT) | 7,900 | 30,099 |
Corio NV (REIT) | 101 | 4,171 |
Corporate Office Properties Trust (REIT) | 3,700 | 91,871 |
Cousins Properties, Inc. (REIT) | 3,000 | 19,320 |
EastGroup Properties, Inc. (REIT) | 2,700 | 75,789 |
Entertainment Properties Trust (REIT) | 3,900 | 61,464 |
Equity Lifestyle Properties, Inc. (REIT) | 2,500 | 95,250 |
Equity One, Inc. (REIT) | 5,600 | 68,264 |
Equity Residential (REIT) | 11,800 | 216,530 |
First Industrial Realty Trust, Inc. (REIT) | 10,100 | 24,745 |
Glimcher Realty Trust (REIT) | 5,900 | 8,260 |
HCP, Inc. (REIT) | 8,500 | 151,725 |
Healthcare Realty Trust, Inc. (REIT) | 4,800 | 71,952 |
Home Properties, Inc. (REIT) | 2,800 | 85,820 |
Host Hotels & Resorts, Inc. (REIT) | 24,800 | 97,216 |
Land Securities Group PLC (REIT) | 252 | 1,578 |
LaSalle Hotel Properties (REIT) | 7,000 | 40,880 |
Lexington Realty Trust (REIT) | 5,900 | 14,042 |
Link (REIT) | 3,500 | 6,920 |
Maguire Properties, Inc. (REIT)* | 10,000 | 7,200 |
National Retail Properties, Inc. (REIT) | 6,300 | 99,792 |
Pennsylvania Real Estate Investment Trust (REIT) | 7,800 | 27,690 |
Potlatch Corp. (REIT) | 1,300 | 30,147 |
ProLogis (REIT) | 7,500 | 48,750 |
Public Storage (REIT) | 6,480 | 358,020 |
Realty Income Corp. (REIT) | 6,500 | 122,330 |
Redwood Trust, Inc. (REIT) | 5,800 | 89,030 |
Simon Property Group, Inc. (REIT) | 10,129 | 350,868 |
Sovran Self Storage, Inc. (REIT) | 2,400 | 48,192 |
Stockland (REIT) | 1,308 | 2,830 |
Strategic Hotels & Resorts, Inc. (REIT) | 4,500 | 3,105 |
Sunstone Hotel Investors, Inc. (REIT) | 6,109 | 16,067 |
Tanger Factory Outlet Centers, Inc. (REIT) | 1,700 | 52,462 |
The Macerich Co. (REIT) | 1,900 | 11,894 |
Unibail-Rodamco (REIT) | 85 | 12,094 |
Vornado Realty Trust (REIT) | 2,440 | 81,105 |
Washington Real Estate Investment Trust (REIT) | 3,600 | 62,280 |
Wereldhave NV (REIT) | 67 | 4,697 |
Westfield Group (REIT) | 1,301 | 9,078 |
| 2,819,468 | |
Real Estate Management & Development 0.0% | ||
Atrium European Real Estate Ltd.* | 2,411 | 7,311 |
Brookfield Asset Management, Inc. "A" | 400 | 5,574 |
CapitaLand Ltd. | 5,000 | 7,686 |
Cheung Kong (Holdings) Ltd. | 2,000 | 17,231 |
City Developments Ltd. | 1,000 | 3,357 |
Daiwa House Industry Co., Ltd. | 1,000 | 8,146 |
Hang Lung Properties Ltd. | 3,000 | 7,086 |
Henderson Land Development Co., Ltd. | 2,000 | 7,641 |
Hopewell Holdings Ltd. | 2,000 | 5,214 |
Immoeast AG* | 3,604 | 5,106 |
Kerry Properties Ltd. | 1,000 | 2,414 |
Lend Lease Corp., Ltd. | 408 | 1,855 |
Mitsubishi Estate Co., Ltd. | 1,000 | 11,415 |
New World Development Co., Ltd. | 3,000 | 2,993 |
Sino Land Co., Ltd. | 2,000 | 2,003 |
Sun Hung Kai Properties Ltd. | 3,000 | 26,931 |
Swire Pacific Ltd. "A" | 1,000 | 6,679 |
Wharf Holdings Ltd. | 2,000 | 5,080 |
| 133,722 | |
Thrifts & Mortgage Finance 0.0% | ||
Doral Financial Corp.* | 27,400 | 49,320 |
OceanFirst Financial Corp. | 1,600 | 16,352 |
Ocwen Financial Corp.* | 10,600 | 121,158 |
| 186,830 | |
Health Care 8.6% | ||
Biotechnology 1.5% | ||
Actelion Ltd. (Registered)* | 117 | 5,342 |
Alexion Pharmaceuticals, Inc.* | 8,200 | 308,812 |
Alnylam Pharmaceuticals, Inc.* | 2,600 | 49,504 |
Amgen, Inc.* | 31,000 | 1,535,120 |
CSL Ltd. | 3,695 | 83,606 |
Cubist Pharmaceuticals, Inc.* | 13,200 | 215,952 |
CV Therapeutics, Inc.* | 12,600 | 250,488 |
Enzon Pharmaceuticals, Inc.* | 28,500 | 172,995 |
Gilead Sciences, Inc.* | 42,700 | 1,977,864 |
Grifols SA | 482 | 6,953 |
Intercell AG* | 14,879 | 460,053 |
Isis Pharmaceuticals, Inc.* | 17,600 | 264,176 |
Myriad Genetics, Inc.* | 7,800 | 354,666 |
PDL BioPharma, Inc. | 30,700 | 217,356 |
| 5,902,887 | |
Health Care Equipment & Supplies 0.5% | ||
Baxter International, Inc. | 4,972 | 254,666 |
Becton, Dickinson & Co. | 15,200 | 1,022,048 |
C.R. Bard, Inc. | 6,000 | 478,320 |
Cochlear Ltd. | 455 | 15,880 |
Essilor International SA | 752 | 29,078 |
Getinge AB "B" | 400 | 3,874 |
Olympus Corp. | 1,000 | 16,354 |
Smith & Nephew PLC | 1,160 | 7,171 |
Sonova Holding AG (Registered) | 88 | 5,322 |
STERIS Corp. | 10,200 | 237,456 |
Synthes, Inc. | 57 | 6,342 |
Terumo Corp. | 600 | 22,298 |
| 2,098,809 | |
Health Care Providers & Services 2.0% | ||
Aetna, Inc. | 56,827 | 1,382,601 |
Alliance Imaging, Inc.* | 4,700 | 31,960 |
Celesio AG | 378 | 6,967 |
Centene Corp.* | 12,600 | 227,052 |
CorVel Corp.* | 4,200 | 84,924 |
Coventry Health Care, Inc.* | 24,000 | 310,560 |
Emergency Medical Services Corp. "A"* | 6,100 | 191,479 |
Express Scripts, Inc.* | 34,455 | 1,590,787 |
Fresenius Medical Care AG & Co. KGaA | 11,205 | 435,685 |
Genoptix, Inc.* | 4,700 | 128,216 |
Gentiva Health Services, Inc.* | 12,000 | 182,400 |
Healthspring, Inc.* | 30,100 | 251,937 |
LHC Group, Inc.* | 7,900 | 176,012 |
Magellan Health Services, Inc.* | 6,600 | 240,504 |
McKesson Corp. | 54,600 | 1,913,184 |
Mediceo Paltac Holdings Co., Ltd. | 600 | 6,403 |
RehabCare Group, Inc.* | 6,900 | 120,336 |
Sonic Healthcare Ltd. | 2,742 | 21,173 |
Suzuken Co., Ltd. | 300 | 7,826 |
Universal Health Services, Inc. "B" | 18,600 | 713,124 |
| 8,023,130 | |
Health Care Technology 0.0% | ||
Computer Programs & Systems, Inc. | 5,100 | 169,677 |
Life Sciences Tools & Services 0.3% | ||
Lonza Group AG (Registered) | 2,170 | 214,532 |
Pharmaceutical Product Development, Inc. | 38,300 | 908,476 |
QIAGEN NV* | 129 | 2,067 |
Waters Corp.* | 5,000 | 184,750 |
| 1,309,825 | |
Pharmaceuticals 4.3% | ||
Abbott Laboratories | 74,800 | 3,567,960 |
Astellas Pharma, Inc. | 7,900 | 243,308 |
AstraZeneca PLC | 2,194 | 77,823 |
Auxilium Pharmaceuticals, Inc.* | 3,700 | 102,564 |
Bayer AG | 9,344 | 447,637 |
Caraco Pharmaceutical Laboratories Ltd.* | 8,100 | 28,512 |
Chugai Pharmaceutical Co., Ltd. | 900 | 15,293 |
Daiichi Sankyo Co., Ltd. | 2,200 | 37,182 |
Eisai Co., Ltd. | 900 | 26,524 |
Elan Corp. PLC* | 33,424 | 230,457 |
Eli Lilly & Co. | 98,701 | 3,297,600 |
GlaxoSmithKline PLC | 7,668 | 119,395 |
Hisamitsu Pharmaceutical Co., Inc. | 200 | 6,177 |
Johnson & Johnson | 49,034 | 2,579,188 |
Merck & Co., Inc. | 52,746 | 1,410,956 |
Merck KGaA* | 303 | 26,743 |
Mitsubishi Tanabe Pharma Corp. | 1,000 | 9,855 |
Novartis AG (Registered) | 9,135 | 344,790 |
Novo Nordisk AS "B" | 7,374 | 353,691 |
Ono Pharmaceutical Co., Ltd. | 400 | 17,527 |
Pfizer, Inc. | 218,144 | 2,971,121 |
Roche Holding AG (Genusschein) | 2,245 | 308,226 |
Sanofi-Aventis | 3,218 | 180,587 |
Shionogi & Co., Ltd. | 1,000 | 17,193 |
Shire PLC | 873 | 10,649 |
Takeda Pharmaceutical Co., Ltd. | 2,500 | 86,697 |
UCB SA | 4,573 | 134,883 |
Watson Pharmaceuticals, Inc.* | 17,400 | 541,314 |
| 17,193,852 | |
Industrials 7.1% | ||
Aerospace & Defense 2.7% | ||
Axsys Technologies, Inc.* | 1,000 | 42,040 |
BAE Systems PLC | 39,347 | 188,793 |
Bombardier, Inc. "B" | 4,900 | 11,426 |
CAE, Inc. | 1,000 | 6,052 |
Cobham PLC | 1,695 | 4,177 |
Cubic Corp. | 7,700 | 195,041 |
DynCorp International, Inc. "A"* | 14,000 | 186,620 |
European Aeronautic Defence & Space Co. | 334 | 3,886 |
Finmeccanica SpA | 314 | 3,907 |
General Dynamics Corp. | 49,400 | 2,054,546 |
Goodrich Corp. | 21,000 | 795,690 |
Honeywell International, Inc. | 26,000 | 724,360 |
L-3 Communications Holdings, Inc. | 8,100 | 549,180 |
Lockheed Martin Corp. | 34,700 | 2,395,341 |
Meggitt PLC | 1,213 | 2,232 |
Northrop Grumman Corp. | 61,200 | 2,670,768 |
Rolls-Royce Group PLC* | 2,741 | 11,558 |
Singapore Technologies Engineering Ltd. | 13,000 | 21,043 |
TransDigm Group, Inc.* | 5,500 | 180,620 |
Triumph Group, Inc. | 5,400 | 206,280 |
United Technologies Corp. | 21,100 | 906,878 |
Zodiac SA | 128 | 3,245 |
| 11,163,683 | |
Air Freight & Logistics 0.4% | ||
Deutsche Post AG (Registered) | 1,201 | 12,931 |
FedEx Corp. | 5,700 | 253,593 |
TNT NV | 1,385 | 23,693 |
Toll Holdings Ltd. | 4,018 | 17,460 |
United Parcel Service, Inc. "B" | 26,700 | 1,314,174 |
| 1,621,851 | |
Airlines 0.1% | ||
Air France-KLM | 155 | 1,381 |
Alaska Air Group, Inc.* | 12,100 | 212,597 |
Allegiant Travel Co.* | 1,900 | 86,374 |
Deutsche Lufthansa AG (Registered) | 303 | 3,295 |
Iberia Lineas Aereas de Espana SA | 1,322 | 2,766 |
Qantas Airways Ltd. | 4,271 | 5,196 |
Singapore Airlines Ltd. | 4,000 | 26,320 |
| 337,929 | |
Building Products 0.2% | ||
AAON, Inc. | 11,200 | 202,944 |
Apogee Enterprises, Inc. | 19,600 | 215,208 |
Armstrong World Industries, Inc.* | 20,600 | 226,806 |
Asahi Glass Co., Ltd. | 1,000 | 5,348 |
Assa Abloy AB "B" | 600 | 5,614 |
Compagnie de Saint-Gobain | 9,297 | 260,179 |
Daikin Industries Ltd. | 200 | 5,544 |
Geberit AG (Registered) | 86 | 7,717 |
Wienerberger AG | 121 | 955 |
| 930,315 | |
Commercial Services & Supplies 0.7% | ||
Babcock International Group PLC | 15,029 | 92,599 |
Brambles Ltd. | 7,607 | 25,461 |
Comfort Systems USA, Inc. | 19,200 | 199,104 |
Courier Corp. | 2,100 | 31,857 |
G4S PLC | 3,999 | 11,068 |
Knoll, Inc. | 5,400 | 33,102 |
Loomis AB "B"* | 120 | 925 |
PRG-Schultz International, Inc.* | 13,600 | 38,624 |
R.R. Donnelley & Sons Co. | 57,600 | 422,208 |
Rentokil Initial PLC | 3,402 | 2,171 |
Ritchie Bros. Auctioneers, Inc. | 400 | 7,541 |
Secom Co., Ltd. | 100 | 3,702 |
Securitas AB "B" | 1,265 | 9,220 |
Serco Group PLC | 749 | 3,930 |
Standard Register Co. | 7,700 | 35,266 |
Tetra Tech, Inc.* | 4,000 | 81,520 |
The Brink's Co. | 74,347 | 1,967,222 |
Toppan Printing Co., Ltd. | 1,000 | 6,863 |
| 2,972,383 | |
Construction & Engineering 0.5% | ||
ACS, Actividades de Construccion y Servicios SA | 1,606 | 66,542 |
Balfour Beatty PLC | 659 | 3,096 |
Bouygues SA | 261 | 9,312 |
FLSmidth & Co. AS | 440 | 11,243 |
Fluor Corp. | 21,100 | 729,005 |
Fomento de Construcciones y Contratas SA | 299 | 9,141 |
Granite Construction, Inc. | 5,900 | 221,132 |
Grupo Ferrovial SA | 444 | 9,483 |
Hochtief AG | 49 | 1,860 |
Jacobs Engineering Group, Inc.* | 4,900 | 189,434 |
Koninklijke Boskalis Westminster NV | 256 | 5,137 |
Leighton Holdings Ltd. | 851 | 11,456 |
MasTec, Inc.* | 12,500 | 151,125 |
Michael Baker Corp.* | 5,400 | 140,400 |
Perini Corp.* | 16,000 | 196,800 |
Shaw Group, Inc.* | 6,100 | 167,201 |
Skanska AB "B" | 1,404 | 12,101 |
SNC-Lavalin Group, Inc. | 500 | 12,710 |
Vinci SA | 385 | 14,260 |
YIT Oyj | 1,109 | 7,426 |
| 1,968,864 | |
Electrical Equipment 0.3% | ||
ABB Ltd. (Registered)* | 30,333 | 423,220 |
Alstom SA | 4,046 | 209,468 |
Energy Conversion Devices, Inc.* | 2,500 | 33,175 |
Gamesa Corp. Tecnologica SA | 1,774 | 22,759 |
GrafTech International Ltd.* | 33,900 | 208,824 |
GT Solar International, Inc.* | 41,800 | 277,552 |
Q-Cells SE* | 292 | 5,717 |
Schneider Electric SA | 127 | 8,432 |
Solarworld AG | 89 | 1,827 |
Sumitomo Electric Industries Ltd. | 600 | 5,081 |
Vestas Wind Systems AS* | 1,142 | 50,433 |
| 1,246,488 | |
Industrial Conglomerates 0.2% | ||
CSR Ltd. | 13,539 | 11,338 |
Fraser & Neave Ltd. | 7,000 | 11,656 |
Hutchison Whampoa Ltd. | 16,000 | 78,782 |
Keppel Corp., Ltd. | 11,000 | 36,641 |
Koninklijke (Royal) Philips Electronics NV | 24,782 | 365,791 |
Orkla ASA | 900 | 6,223 |
SembCorp Industries Ltd. | 10,000 | 15,631 |
Siemens AG (Registered) | 1,179 | 67,518 |
Smiths Group PLC | 609 | 5,833 |
Tredegar Corp. | 4,500 | 73,485 |
Wendel | 136 | 3,586 |
| 676,484 | |
Machinery 1.0% | ||
AGCO Corp.* | 33,400 | 654,640 |
Alfa Laval AB | 700 | 5,307 |
Atlas Copco AB "A" | 1,336 | 10,033 |
Atlas Copco AB "B" | 800 | 5,434 |
Blount International, Inc.* | 32,900 | 151,998 |
Chart Industries, Inc.* | 18,200 | 143,416 |
CIRCOR International, Inc. | 3,600 | 81,072 |
Columbus McKinnon Corp.* | 6,100 | 53,192 |
FANUC Ltd. | 100 | 6,854 |
Flowserve Corp. | 13,000 | 729,560 |
Force Protection, Inc.* | 36,300 | 174,240 |
GEA Group AG | 327 | 3,486 |
Hitachi Construction Machinery Co., Ltd. | 400 | 5,274 |
Invensys PLC* | 1,137 | 2,716 |
Joy Global, Inc. | 44,100 | 939,330 |
KCI Konecranes Oyj | 115 | 1,920 |
Komatsu Ltd. | 600 | 6,655 |
Kone Oyj "B" | 2,173 | 45,025 |
Kubota Corp. | 1,000 | 5,494 |
MAN AG | 200 | 8,725 |
Metso Oyj | 1,962 | 23,145 |
Mitsubishi Heavy Industries Ltd. | 2,000 | 6,054 |
Sandvik AB | 1,600 | 9,165 |
Scania AB "B" | 1,072 | 8,746 |
Schindler Holding AG | 121 | 5,712 |
SembCorp Marine Ltd. | 10,000 | 11,916 |
SKF AB "B" | 800 | 6,920 |
SMC Corp. | 100 | 9,595 |
Sulzer AG (Registered) | 60 | 3,088 |
Timken Co. | 54,300 | 758,028 |
Vallourec SA | 49 | 4,543 |
Volvo AB "A" | 300 | 1,594 |
Volvo AB "B" | 2,999 | 15,896 |
Wartsila Corp. | 1,349 | 28,469 |
Zardoya Otis SA | 769 | 14,075 |
| 3,941,317 | |
Marine 0.0% | ||
A P Moller-Maersk AS "A" | 3 | 13,018 |
A P Moller-Maersk AS "B" | 7 | 30,748 |
American Commercial Lines, Inc.* | 13,300 | 42,161 |
Kuehne & Nagel International AG (Registered) | 117 | 6,835 |
Mitsui OSK Lines Ltd. | 1,000 | 4,962 |
Nippon Yusen Kabushiki Kaisha | 1,000 | 3,887 |
Pacific Basin Shipping Ltd. | 9,000 | 4,143 |
| 105,754 | |
Professional Services 0.4% | ||
Adecco SA (Registered) | 270 | 8,447 |
Capita Group PLC | 504 | 4,899 |
COMSYS IT Partners, Inc.* | 7,600 | 16,796 |
Experian PLC | 1,147 | 7,185 |
Manpower, Inc. | 46,300 | 1,459,839 |
Randstad Holding NV | 471 | 7,995 |
SGS SA (Registered) | 10 | 10,496 |
| 1,515,657 | |
Road & Rail 0.4% | ||
Canadian National Railway Co. | 1,800 | 64,531 |
Canadian Pacific Railway Ltd. | 500 | 14,879 |
Central Japan Railway Co. | 1 | 5,623 |
ComfortDelGro Corp., Ltd. | 11,000 | 9,843 |
DSV AS | 1,584 | 11,668 |
East Japan Railway Co. | 4,019 | 209,101 |
FirstGroup PLC | 629 | 2,410 |
Kintetsu Corp. | 1,000 | 4,154 |
Marten Transport Ltd.* | 10,800 | 201,744 |
MTR Corp., Ltd. | 12,000 | 28,958 |
Ryder System, Inc. | 33,761 | 955,774 |
Tokyu Corp. | 1,000 | 4,193 |
West Japan Railway Co. | 2 | 6,319 |
| 1,519,197 | |
Trading Companies & Distributors 0.1% | ||
Bunzl PLC | 1,151 | 9,023 |
Finning International, Inc. | 200 | 1,999 |
Itochu Corp. | 1,000 | 4,932 |
Marubeni Corp. | 1,000 | 3,104 |
Mitsubishi Corp. | 21,400 | 284,735 |
Mitsui & Co., Ltd. | 28,000 | 285,056 |
Noble Group Ltd. | 12,000 | 9,402 |
Sumitomo Corp. | 800 | 6,955 |
Wolseley PLC* | 828 | 2,740 |
| 607,946 | |
Transportation Infrastructure 0.1% | ||
Abertis Infraestructuras SA | 2,270 | 35,488 |
Atlantia SpA | 277 | 4,189 |
Brisa | 18,756 | 129,339 |
Cintra Concesiones de Infraestructuras de Transporte SA | 2,241 | 10,031 |
Hopewell Highway Infrastructure Ltd. | 200 | 112 |
Macquarie Infrastructure Group (Units) | 17,000 | 17,435 |
Transurban Group (Units) | 6,506 | 21,185 |
| 217,779 | |
Information Technology 9.0% | ||
Communications Equipment 1.8% | ||
ADC Telecommunications, Inc.* | 187,900 | 824,881 |
Alcatel-Lucent* | 11,644 | 21,893 |
BigBand Networks, Inc.* | 18,100 | 118,555 |
Black Box Corp. | 2,400 | 56,664 |
Cisco Systems, Inc.* | 127,100 | 2,131,467 |
DG Fastchannel, Inc.* | 500 | 9,385 |
Nokia Oyj | 41,984 | 491,516 |
QUALCOMM, Inc. | 81,000 | 3,151,710 |
Research In Motion Ltd.* | 2,100 | 90,759 |
Riverbed Technology, Inc.* | 2,500 | 32,700 |
Starent Networks Corp.* | 10,600 | 167,586 |
Symmetricom, Inc.* | 13,700 | 47,950 |
Tekelec* | 16,100 | 213,003 |
Telefonaktiebolaget LM Ericsson "B" | 12,445 | 101,131 |
| 7,459,200 | |
Computers & Peripherals 2.6% | ||
Apple, Inc.* | 32,652 | 3,432,378 |
Data Domain, Inc.* | 5,500 | 69,135 |
Dell, Inc.* | 48,700 | 461,676 |
EMC Corp.* | 48,900 | 557,460 |
Fujitsu Ltd. | 2,000 | 7,524 |
International Business Machines Corp. | 46,727 | 4,527,379 |
Logitech International SA (Registered)* | 22,883 | 236,504 |
NCR Corp.* | 58,300 | 463,485 |
Synaptics, Inc.* | 8,550 | 228,798 |
Toshiba Corp. | 3,000 | 7,834 |
Western Digital Corp.* | 27,528 | 532,391 |
Wincor Nixdorf AG | 127 | 5,764 |
| 10,530,328 | |
Electronic Equipment, Instruments & Components 0.6% | ||
Arrow Electronics, Inc.* | 36,300 | 691,878 |
Avnet, Inc.* | 29,300 | 513,043 |
Benchmark Electronics, Inc.* | 2,900 | 32,480 |
Cogent, Inc.* | 4,500 | 53,550 |
Daktronics, Inc. | 3,900 | 25,545 |
Electrocomponents PLC | 2,551 | 4,577 |
Fujifilm Holdings Corp. | 300 | 6,566 |
Hitachi Ltd. | 3,000 | 8,239 |
Hoya Corp. | 300 | 5,938 |
IBIDEN Co., Ltd. | 100 | 2,448 |
Jabil Circuit, Inc. | 122,038 | 678,531 |
Kyocera Corp. | 100 | 6,689 |
Multi-Fineline Electronix, Inc.* | 10,900 | 183,556 |
Murata Manufacturing Co., Ltd. | 200 | 7,732 |
Nidec Corp. | 100 | 4,536 |
Omron Corp. | 200 | 2,374 |
RadiSys Corp.* | 13,100 | 79,386 |
TDK Corp. | 100 | 3,776 |
| 2,310,844 | |
Internet Software & Services 0.8% | ||
Earthlink, Inc.* | 2,100 | 13,797 |
Google, Inc. "A"* | 4,365 | 1,519,282 |
S1 Corp.* | 32,100 | 165,315 |
SAVVIS, Inc.* | 21,300 | 131,847 |
Sohu.com, Inc.* | 11,400 | 470,934 |
United Internet AG (Registered) | 308 | 2,572 |
VeriSign, Inc.* | 42,200 | 796,314 |
Yahoo! Japan Corp. | 13 | 3,436 |
| 3,103,497 | |
IT Services 0.9% | ||
Accenture Ltd. "A" | 15,000 | 412,350 |
Acxiom Corp. | 24,700 | 182,780 |
Atos Origin SA | 266 | 6,820 |
Automatic Data Processing, Inc. | 25,300 | 889,548 |
Broadridge Financial Solutions, Inc. | 29,000 | 539,690 |
Cap Gemini SA | 744 | 23,966 |
CGI Group, Inc. "A"* | 900 | 7,267 |
CIBER, Inc.* | 48,600 | 132,678 |
Computershare Ltd. | 1,487 | 9,091 |
CSG Systems International, Inc.* | 13,300 | 189,924 |
iGATE Corp. | 24,800 | 80,352 |
Indra Sistemas SA | 11,041 | 212,848 |
Logica PLC | 34,093 | 31,156 |
ManTech International Corp. "A"* | 4,500 | 188,550 |
NTT Data Corp. | 1 | 2,742 |
SAIC, Inc.* | 30,400 | 567,568 |
Syntel, Inc. | 3,600 | 74,088 |
TNS, Inc.* | 16,700 | 136,606 |
| 3,688,024 | |
Office Electronics 0.1% | ||
Canon, Inc. | 12,100 | 352,953 |
Konica Minolta Holdings, Inc. | 500 | 4,336 |
Neopost SA | 135 | 10,461 |
Ricoh Co., Ltd. | 1,000 | 12,035 |
| 379,785 | |
Semiconductors & Semiconductor Equipment 0.3% | ||
ARM Holdings PLC | 2,245 | 3,298 |
ASML Holding NV | 6,327 | 111,997 |
IXYS Corp. | 3,200 | 25,792 |
ROHM Co., Ltd. | 100 | 5,010 |
Semtech Corp.* | 11,000 | 146,850 |
Skyworks Solutions, Inc.* | 29,500 | 237,770 |
STMicroelectronics NV | 3,784 | 19,002 |
Texas Instruments, Inc. | 18,400 | 303,784 |
Tokyo Electron Ltd. | 200 | 7,534 |
Ultratech, Inc.* | 16,800 | 209,832 |
Volterra Semiconductor Corp.* | 20,900 | 176,396 |
| 1,247,265 | |
Software 1.9% | ||
ACI Worldwide, Inc.* | 7,100 | 133,125 |
Advent Software, Inc.* | 3,700 | 123,247 |
Commvault Systems, Inc.* | 2,800 | 30,716 |
Dassault Systemes SA | 407 | 15,826 |
i2 Technologies, Inc.* | 4,600 | 36,340 |
Microsoft Corp. | 318,640 | 5,853,417 |
Misys PLC | 1,521 | 2,751 |
Nintendo Co., Ltd. | 700 | 205,334 |
Renaissance Learning, Inc. | 2,600 | 23,322 |
SAP AG | 2,926 | 103,910 |
Symantec Corp.* | 24,260 | 362,444 |
The Sage Group PLC | 29,867 | 72,377 |
Tyler Technologies, Inc.* | 13,900 | 203,357 |
VMware, Inc. "A"* | 16,100 | 380,282 |
Wind River Systems, Inc.* | 8,900 | 56,960 |
| 7,603,408 | |
Materials 2.9% | ||
Chemicals 1.5% | ||
Agrium, Inc. | 100 | 3,624 |
Air Liquide SA | 373 | 30,303 |
Akzo Nobel NV | 1,717 | 65,061 |
Asahi Kasei Corp. | 2,000 | 7,225 |
Ashland, Inc. | 94,200 | 973,086 |
BASF SE | 9,416 | 285,838 |
Calgon Carbon Corp.* | 2,400 | 34,008 |
CF Industries Holdings, Inc. | 10,400 | 739,752 |
Cytec Industries, Inc. | 20,400 | 306,408 |
Dow Chemical Co. | 82,900 | 698,847 |
Givaudan SA (Registered) | 20 | 10,360 |
Incitec Pivot Ltd. | 740 | 1,095 |
Innophos Holdings, Inc. | 20,600 | 232,368 |
JSR Corp. | 300 | 3,537 |
K+S AG | 195 | 9,068 |
Koninklijke DSM NV | 1,135 | 29,827 |
Kuraray Co., Ltd. | 500 | 4,295 |
Linde AG | 3,624 | 246,257 |
Mitsubishi Chemical Holdings Corp. | 1,500 | 5,170 |
Mitsubishi Gas Chemical Co., Inc. | 1,000 | 4,318 |
Mitsui Chemicals, Inc. | 1,000 | 2,455 |
Nitto Denko Corp. | 200 | 4,107 |
Novozymes AS "B" | 1,832 | 132,437 |
Orica Ltd. | 303 | 3,122 |
Potash Corp. of Saskatchewan, Inc. | 2,501 | 202,255 |
Shin-Etsu Chemical Co., Ltd. | 700 | 34,357 |
Showa Denko KK | 2,000 | 2,492 |
Solvay SA | 1,735 | 121,475 |
Sumitomo Chemical Co., Ltd. | 2,000 | 6,871 |
Syngenta AG (Registered) | 264 | 53,074 |
Teijin Ltd. | 2,000 | 4,362 |
Terra Industries, Inc. | 37,351 | 1,049,190 |
The Mosaic Co. | 17,800 | 747,244 |
Toray Industries, Inc. | 2,000 | 8,107 |
Ube Industries Ltd. | 2,000 | 3,624 |
Umicore | 4,208 | 77,564 |
Yara International ASA | 6,460 | 142,278 |
| 6,285,461 | |
Construction Materials 0.2% | ||
CRH PLC | 27,831 | 598,616 |
Fletcher Building Ltd. | 2,851 | 9,783 |
Holcim Ltd. (Registered) | 596 | 21,192 |
Imerys SA | 70 | 2,558 |
Lafarge SA | 186 | 8,350 |
| 640,499 | |
Containers & Packaging 0.1% | ||
Bway Holding Co.* | 4,700 | 37,083 |
Rock-Tenn Co. "A" | 8,100 | 219,105 |
Silgan Holdings, Inc. | 4,300 | 225,922 |
Toyo Seikan Kaisha Ltd. | 500 | 7,382 |
| 489,492 | |
Metals & Mining 0.7% | ||
Acerinox SA | 7,867 | 91,289 |
Agnico-Eagle Mines Ltd. | 100 | 5,748 |
Allegheny Technologies, Inc. | 21,300 | 467,109 |
Anglo American PLC | 1,291 | 21,888 |
ArcelorMittal | 16,821 | 340,445 |
Barrick Gold Corp. | 700 | 22,658 |
BHP Billiton Ltd. | 24,324 | 542,153 |
BHP Billiton PLC | 2,435 | 48,211 |
BlueScope Steel Ltd. | 707 | 1,268 |
Cliffs Natural Resources, Inc. | 31,700 | 575,672 |
Eramet | 7 | 1,535 |
First Quantum Minerals Ltd. | 100 | 2,816 |
Fortescue Metals Group Ltd.* | 1,040 | 1,855 |
Goldcorp, Inc. | 500 | 16,831 |
JFE Holdings, Inc. | 800 | 17,677 |
Kinross Gold Corp. | 500 | 9,085 |
Kobe Steel Ltd. | 4,000 | 5,181 |
Lonmin PLC | 148 | 3,014 |
Mitsubishi Materials Corp. | 2,000 | 5,393 |
Newcrest Mining Ltd. | 392 | 8,890 |
Nippon Steel Corp. | 7,000 | 18,939 |
Nisshin Steel Co., Ltd. | 2,000 | 3,397 |
Norsk Hydro ASA | 23,900 | 90,902 |
Outokumpu Oyj | 2,744 | 29,678 |
OZ Minerals Ltd. | 1,529 | 590 |
Rautaruukki Oyj | 1,998 | 31,937 |
Rio Tinto Ltd. | 278 | 10,908 |
Rio Tinto PLC | 1,068 | 35,761 |
Salzgitter AG | 47 | 2,635 |
Sherritt International Corp. | 2,600 | 6,119 |
SSAB Svenskt Stal AB "A"* | 2,890 | 24,542 |
Sumitomo Metal Industries Ltd. | 8,000 | 16,265 |
Sumitomo Metal Mining Co., Ltd. | 1,000 | 9,680 |
Teck Cominco Ltd. "B" | 324 | 1,812 |
ThyssenKrupp AG | 563 | 9,862 |
Vedanta Resources PLC | 306 | 2,958 |
voestalpine AG | 162 | 2,123 |
Xstrata PLC | 31,718 | 211,627 |
Yamana Gold, Inc. | 400 | 3,734 |
| 2,702,187 | |
Paper & Forest Products 0.4% | ||
Clearwater Paper Corp.* | 771 | 6,191 |
International Paper Co. | 197,900 | 1,393,216 |
Oji Paper Co., Ltd. | 2,000 | 8,169 |
Stora Enso Oyj "R"* | 12,918 | 45,739 |
Svenska Cellulosa AB "B" | 10,245 | 77,779 |
UPM-Kymmene Oyj | 11,597 | 66,896 |
| 1,597,990 | |
Telecommunication Services 3.0% | ||
Diversified Telecommunication Services 2.4% | ||
AT&T, Inc. | 91,941 | 2,316,913 |
Atlantic Tele-Network, Inc. | 5,900 | 113,162 |
BCE, Inc. | 2,200 | 43,833 |
Belgacom SA | 732 | 22,927 |
BT Group PLC | 13,010 | 14,557 |
Cable & Wireless PLC | 4,236 | 8,466 |
Deutsche Telekom AG (Registered) | 42,147 | 524,323 |
Elisa Oyj | 666 | 9,695 |
France Telecom SA | 7,056 | 160,460 |
Koninklijke (Royal) KPN NV | 9,557 | 127,809 |
Nippon Telegraph & Telephone Corp. | 6,919 | 262,793 |
NTELOS Holdings Corp. | 1,900 | 34,466 |
Portugal Telecom SGPS SA (Registered) | 16,163 | 125,270 |
Singapore Telecommunications Ltd. | 145,000 | 241,365 |
Swisscom AG (Registered) | 412 | 115,593 |
Tele2 AB "B" | 2,100 | 17,721 |
Telecom Corp. of New Zealand Ltd. | 208,369 | 271,680 |
Telecom Italia SpA | 60,758 | 77,988 |
Telecom Italia SpA (RSP) | 37,874 | 38,619 |
Telefonica SA | 32,240 | 643,898 |
Telekom Austria AG | 8,824 | 133,349 |
Telenor ASA | 37,900 | 217,370 |
TeliaSonera AB | 16,839 | 81,171 |
Telstra Corp., Ltd. | 47,039 | 105,019 |
Telus Corp. | 300 | 8,252 |
Telus Corp. (Non-Voting Shares) | 600 | 15,709 |
Verizon Communications, Inc. | 139,366 | 4,208,853 |
| 9,941,261 | |
Wireless Telecommunication Services 0.6% | ||
China Mobile Ltd. | 48,000 | 418,783 |
iPCS, Inc.* | 3,700 | 35,927 |
KDDI Corp. | 13 | 61,344 |
Millicom International Cellular SA (SDR) | 550 | 20,641 |
Mobistar SA | 78 | 4,931 |
NTT DoCoMo, Inc. | 69 | 94,144 |
Rogers Communications, Inc. "B" | 1,900 | 43,778 |
Softbank Corp. | 3,300 | 42,147 |
United States Cellular Corp.* | 28,100 | 936,854 |
USA Mobility, Inc. | 16,900 | 155,649 |
Vodafone Group PLC | 315,532 | 551,235 |
| 2,365,433 | |
Utilities 2.6% | ||
Electric Utilities 1.4% | ||
Acciona SA | 140 | 14,377 |
American Electric Power Co., Inc. | 26,600 | 671,916 |
Cheung Kong Infrastructure Holdings Ltd. | 2,000 | 7,988 |
Chubu Electric Power Co., Inc. | 1,800 | 39,605 |
Chugoku Electric Power Co., Inc. | 1,000 | 21,708 |
Cleco Corp. | 10,300 | 223,407 |
CLP Holdings Ltd. | 16,000 | 108,287 |
Duke Energy Corp. | 64,900 | 929,368 |
E.ON AG | 14,282 | 397,544 |
Edison International | 55,564 | 1,600,799 |
EDP — Energias de Portugal SA | 34,129 | 118,548 |
Electricite de France | 563 | 22,110 |
Empire District Electric Co. | 14,300 | 206,492 |
Enel SpA | 26,639 | 127,768 |
FirstEnergy Corp. | 4,300 | 165,980 |
Fortis, Inc. | 2,400 | 42,145 |
Fortum Oyj | 20,708 | 394,170 |
Hokkaido Electric Power Co., Inc. | 900 | 18,062 |
Hokuriku Electric Power Co. | 700 | 16,809 |
HongKong Electric Holdings Ltd. | 11,000 | 65,715 |
Iberdrola SA | 11,710 | 82,227 |
Kansai Electric Power Co., Inc. | 2,100 | 45,637 |
Kyushu Electric Power Co., Inc. | 1,100 | 24,623 |
Oesterreichische Elektrizitaetswirtschafts AG (Verbund) "A" | 104 | 3,953 |
Red Electrica Corporacion SA | 340 | 13,272 |
Scottish & Southern Energy PLC | 2,778 | 44,120 |
Shikoku Electric Power Co., Inc. | 700 | 18,699 |
Terna — Rete Elettrica Nationale SpA | 9,810 | 30,560 |
Tohoku Electric Power Co., Inc. | 1,400 | 30,749 |
Tokyo Electric Power Co., Inc. | 3,300 | 82,377 |
Union Fenosa SA | 872 | 20,855 |
| 5,589,870 | |
Gas Utilities 0.2% | ||
Chesapeake Utilities Corp. | 1,800 | 54,864 |
Enagas | 468 | 6,638 |
Gas Natural SDG SA | 529 | 7,234 |
Hong Kong & China Gas Co., Ltd. | 31,900 | 50,468 |
Osaka Gas Co., Ltd. | 7,000 | 21,835 |
Snam Rete Gas SpA | 5,100 | 27,376 |
South Jersey Industries, Inc. | 2,000 | 70,000 |
Tokyo Gas Co., Ltd. | 7,000 | 24,447 |
UGI Corp. | 25,200 | 594,972 |
WGL Holdings, Inc. | 6,000 | 196,800 |
| 1,054,634 | |
Independent Power Producers & Energy Traders 0.2% | ||
AES Corp.* | 32,000 | 185,920 |
Electric Power Development Co., Ltd. | 500 | 14,852 |
Iberdrola Renovables* | 2,330 | 9,666 |
International Power PLC | 5,837 | 17,494 |
Mirant Corp.* | 53,900 | 614,460 |
TransAlta Corp. | 3,100 | 45,364 |
| 887,756 | |
Multi-Utilities 0.7% | ||
A2A SpA | 6,205 | 9,417 |
AGL Energy Ltd. | 28,611 | 298,128 |
Avista Corp. | 6,500 | 89,570 |
Canadian Utilities Ltd. "A" | 700 | 20,404 |
Centrica PLC | 13,500 | 44,145 |
Consolidated Edison, Inc. | 21,500 | 851,615 |
Dominion Resources, Inc. | 12,700 | 393,573 |
DTE Energy Co. | 10,100 | 279,770 |
GDF Suez | 3,080 | 105,897 |
National Grid PLC | 7,320 | 56,278 |
PG&E Corp. | 4,200 | 160,524 |
RWE AG | 903 | 63,486 |
Sempra Energy | 6,800 | 314,432 |
Suez Environnement SA* | 371 | 5,458 |
United Utilities Group PLC | 1,989 | 13,780 |
Veolia Environnement | 1,072 | 22,339 |
| 2,728,816 | |
Water Utilities 0.1% | ||
American Water Works Co., Inc. | 8,100 | 155,844 |
California Water Service Group | 3,300 | 138,138 |
Severn Trent PLC | 708 | 10,040 |
| 304,022 | |
Total Common Stocks (Cost $274,392,686) | 228,946,163 | |
| ||
Preferred Stocks 0.0% | ||
Consumer Discretionary 0.0% | ||
Porsche Automobil Holding SE | 80 | 3,767 |
Volkswagen AG | 92 | 5,305 |
| 9,072 | |
Consumer Staples 0.0% | ||
Henkel AG & Co. KGaA | 1,331 | 36,185 |
Health Care 0.0% | ||
Fresenius SE | 309 | 14,200 |
Total Preferred Stocks (Cost $131,259) | 59,457 | |
| ||
Rights 0.0% | ||
Consumer Discretionary 0.0% | ||
Seat Pagine Gialle SpA, Expiration Date 4/17/2009* | 137 | 855 |
Financials 0.0% | ||
Banco Espirito Santo SA, Expiration Date 4/7/2009* | 10,996 | 17,531 |
Fortis, Expiration Date 7/4/2014* | 9,978 | 0 |
HSBC Holdings PLC, Expiration Date 4/3/2009* | 23,479 | 47,501 |
Royal Bank of Scotland Group PLC, Expiration Date 4/6/2009* | 5,178 | 0 |
| 65,032 | |
Materials 0.0% | ||
CRH PLC, Expiration Date 4/6/2009* | 3,657 | 79,683 |
Total Rights (Cost $196,726) | 145,570 | |
| ||
Exchange Traded Funds 3.6% | ||
iShares MSCI Japan Index Fund | 87,131 | 689,206 |
Vanguard Emerging Markets ETF | 583,048 | 13,759,933 |
Total Exchange Traded Funds (Cost $12,830,228) | 14,449,139 | |
|
| Principal Amount ($)(a) | Value ($) |
|
| |
Corporate Bonds 9.4% | ||
Consumer Discretionary 1.7% | ||
AMC Entertainment, Inc., 8.0%, 3/1/2014 | 70,000 | 57,400 |
American Achievement Corp., 144A, 8.25%, 4/1/2012 | 20,000 | 14,500 |
American Achievement Group Holding Corp., 16.75%, 10/1/2012 (PIK) | 30,425 | 4,564 |
Asbury Automotive Group, Inc.: |
|
|
7.625%, 3/15/2017 | 45,000 | 21,150 |
8.0%, 3/15/2014 | 20,000 | 9,700 |
Ashtead Holdings PLC, 144A, 8.625%, 8/1/2015 | 135,000 | 76,950 |
CanWest MediaWorks LP, 144A, 9.25%, 8/1/2015** | 35,000 | 2,450 |
Carrols Corp., 9.0%, 1/15/2013 | 25,000 | 21,500 |
Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/2022 | 95,000 | 104,359 |
Cox Communications, Inc., 144A, 8.375%, 3/1/2039 | 560,000 | 525,420 |
CSC Holdings, Inc.: |
|
|
6.75%, 4/15/2012 | 30,000 | 28,875 |
Series B, 7.625%, 4/1/2011 | 40,000 | 39,700 |
DIRECTV Holdings LLC, 7.625%, 5/15/2016 | 100,000 | 98,000 |
DISH DBS Corp.: |
|
|
6.375%, 10/1/2011 | 70,000 | 67,550 |
6.625%, 10/1/2014 | 65,000 | 58,175 |
7.125%, 2/1/2016 | 50,000 | 44,750 |
Fontainebleau Las Vegas Holdings LLC, 144A, 11.0%, 6/15/2015 | 40,000 | 1,200 |
Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015 | 40,000 | 28,800 |
Group 1 Automotive, Inc., 8.25%, 8/15/2013 | 20,000 | 15,400 |
Hertz Corp., 8.875%, 1/1/2014 | 80,000 | 48,500 |
Idearc, Inc., 8.0%, 11/15/2016** | 85,000 | 2,231 |
Indianapolis Downs LLC, 144A, 11.0%, 11/1/2012 | 25,000 | 13,375 |
Isle of Capri Casinos, Inc., 7.0%, 3/1/2014 | 25,000 | 14,750 |
Kabel Deutschland GmbH, 10.625%, 7/1/2014 | 75,000 | 75,750 |
Lamar Media Corp., Series C, 6.625%, 8/15/2015 | 25,000 | 18,000 |
MTR Gaming Group, Inc., Series B, 9.75%, 4/1/2010 | 60,000 | 45,000 |
News America, Inc., 144A, 7.85%, 3/1/2039 | 615,000 | 526,845 |
Norcraft Holdings LP, 9.75%, 9/1/2012 | 125,000 | 98,750 |
Penske Automotive Group, Inc., 7.75%, 12/15/2016 | 75,000 | 37,500 |
Pinnacle Entertainment, Inc., 8.75%, 10/1/2013 | 25,000 | 22,000 |
Quebecor Media, Inc., 7.75%, 3/15/2016 | 25,000 | 19,000 |
Reader's Digest Association, Inc., 9.0%, 2/15/2017 | 25,000 | 1,438 |
Sabre Holdings Corp., 8.35%, 3/15/2016 | 40,000 | 15,200 |
Seminole Hard Rock Entertainment, Inc., 144A, 3.82%***, 3/15/2014 | 50,000 | 26,000 |
Shingle Springs Tribal Gaming Authority, 144A, 9.375%, 6/15/2015 | 35,000 | 14,525 |
Simmons Co., Step-up Coupon, 0% to 12/15/2009, 10.0% to 12/15/2014 | 125,000 | 1,250 |
Sonic Automotive, Inc., Series B, 8.625%, 8/15/2013 | 45,000 | 13,275 |
TCI Communications, Inc., 8.75%, 8/1/2015 | 1,085,000 | 1,170,560 |
Time Warner Cable, Inc.: |
|
|
5.4%, 7/2/2012 | 631,000 | 609,512 |
6.75%, 7/1/2018 (b) | 490,000 | 459,965 |
Time Warner, Inc.: |
|
|
5.5%, 11/15/2011 | 425,000 | 419,309 |
7.7%, 5/1/2032 | 235,000 | 211,320 |
9.125%, 1/15/2013 | 535,000 | 562,034 |
Travelport LLC, 5.886%***, 9/1/2014 | 35,000 | 11,200 |
Trump Entertainment Resorts, Inc., 8.5%, 6/1/2015** | 10,000 | 800 |
United Components, Inc., 9.375%, 6/15/2013 | 5,000 | 1,950 |
Unity Media GmbH, 144A, 8.75%, 2/15/2015 EUR | 110,000 | 128,609 |
UPC Holding BV: |
|
|
144A, 7.75%, 1/15/2014 EUR | 50,000 | 55,469 |
144A, 8.0%, 11/1/2016 EUR | 50,000 | 50,819 |
Viacom, Inc.: |
|
|
5.75%, 4/30/2011 | 678,000 | 660,480 |
6.75%, 10/5/2037 | 360,000 | 254,771 |
Videotron Ltd., 144A, 9.125%, 4/15/2018 | 15,000 | 15,244 |
| 6,825,874 | |
Consumer Staples 0.5% | ||
Alliance One International, Inc., 8.5%, 5/15/2012 | 20,000 | 17,000 |
Altria Group, Inc.: |
|
|
8.5%, 11/10/2013 | 30,000 | 32,537 |
9.7%, 11/10/2018 | 15,000 | 16,328 |
CVS Caremark Corp., 6.302%, 6/1/2037 | 1,336,000 | 801,600 |
Delhaize America, Inc., 9.0%, 4/15/2031 | 85,000 | 90,342 |
Miller Brewing Co., 144A, 5.5%, 8/15/2013 | 835,000 | 804,234 |
PepsiAmericas, Inc., 4.375%, 2/15/2014 | 350,000 | 349,961 |
| 2,112,002 | |
Energy 1.5% | ||
Atlas Energy Resources LLC, 144A, 10.75%, 2/1/2018 | 80,000 | 58,400 |
Belden & Blake Corp., 8.75%, 7/15/2012 | 205,000 | 142,475 |
Bristow Group, Inc., 7.5%, 9/15/2017 | 35,000 | 26,250 |
Chaparral Energy, Inc., 8.5%, 12/1/2015 | 45,000 | 15,525 |
Chesapeake Energy Corp.: |
|
|
6.25%, 1/15/2018 | 50,000 | 39,000 |
6.875%, 1/15/2016 | 145,000 | 121,800 |
7.25%, 12/15/2018 | 70,000 | 57,487 |
7.5%, 6/15/2014 | 15,000 | 13,538 |
Colorado Interstate Gas Co., 6.8%, 11/15/2015 | 20,000 | 18,748 |
Delta Petroleum Corp., 7.0%, 4/1/2015 | 65,000 | 20,800 |
Devon Energy Corp., 6.3%, 1/15/2019 | 15,000 | 14,635 |
Dynegy Holdings, Inc., 6.875%, 4/1/2011 | 15,000 | 13,350 |
El Paso Corp.: |
|
|
7.25%, 6/1/2018 | 90,000 | 76,500 |
7.75%, 6/15/2010 | 15,000 | 14,778 |
9.625%, 5/15/2012 | 34,000 | 32,634 |
EXCO Resources, Inc., 7.25%, 1/15/2011 | 60,000 | 46,500 |
Forest Oil Corp., 144A, 7.25%, 6/15/2019 | 20,000 | 15,800 |
Frontier Oil Corp.: |
|
|
6.625%, 10/1/2011 | 25,000 | 24,375 |
8.5%, 9/15/2016 | 50,000 | 49,250 |
KCS Energy, Inc., 7.125%, 4/1/2012 | 155,000 | 140,275 |
Marathon Oil Corp., 7.5%, 2/15/2019 | 470,000 | 473,520 |
Mariner Energy, Inc.: |
|
|
7.5%, 4/15/2013 | 35,000 | 25,900 |
8.0%, 5/15/2017 | 25,000 | 16,500 |
Newfield Exploration Co., 7.125%, 5/15/2018 | 60,000 | 53,100 |
OPTI Canada, Inc.: |
|
|
7.875%, 12/15/2014 | 60,000 | 26,250 |
8.25%, 12/15/2014 | 110,000 | 49,225 |
Petrohawk Energy Corp.: |
|
|
144A, 7.875%, 6/1/2015 | 20,000 | 17,600 |
9.125%, 7/15/2013 | 20,000 | 19,200 |
Plains Exploration & Production Co.: |
|
|
7.0%, 3/15/2017 | 40,000 | 31,800 |
7.625%, 6/1/2018 | 70,000 | 56,700 |
Quicksilver Resources, Inc., 7.125%, 4/1/2016 | 110,000 | 52,250 |
Rockies Express Pipeline LLC, 144A, 7.5%, 7/15/2038 | 375,000 | 353,049 |
Southwestern Energy Co., 144A, 7.5%, 2/1/2018 | 10,000 | 9,650 |
SPI Electricity Property Ltd., 144A, 7.25%, 12/1/2016 | 2,875,000 | 2,885,295 |
Stone Energy Corp.: |
|
|
6.75%, 12/15/2014 | 60,000 | 23,700 |
8.25%, 12/15/2011 | 110,000 | 57,750 |
Tennessee Gas Pipeline Co., 7.625%, 4/1/2037 | 15,000 | 12,944 |
TEPPCO Partners LP, 7.625%, 2/15/2012 | 35,000 | 34,635 |
Tesoro Corp., 6.5%, 6/1/2017 | 40,000 | 30,200 |
TransCanada PipeLines Ltd.: |
|
|
7.125%, 1/15/2019 | 20,000 | 20,868 |
7.625%, 1/15/2039 | 15,000 | 14,832 |
Transocean, Inc., Series B, 1.5%, 12/15/2037 | 410,000 | 351,575 |
Weatherford International Ltd., 9.875%, 3/1/2039 | 420,000 | 413,002 |
Whiting Petroleum Corp.: |
|
|
7.25%, 5/1/2012 | 45,000 | 37,013 |
7.25%, 5/1/2013 | 5,000 | 3,925 |
Williams Companies, Inc., 8.125%, 3/15/2012 | 135,000 | 137,025 |
| 6,149,628 | |
Financials 2.7% | ||
Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015 | 85,000 | 32,725 |
ANZ National International Ltd., 144A, 6.2%, 7/19/2013 | 400,000 | 385,707 |
Ashton Woods USA LLC, 144A, Step-up Coupon, 0% to 2/24/2012, 11.0% to 6/30/2015 | 52,000 | 18,970 |
Buffalo Thunder Development Authority, 144A, 9.375%, 12/15/2014 | 20,000 | 1,200 |
Citigroup, Inc.: |
|
|
4.125%, 2/22/2010 | 385,000 | 371,605 |
6.5%, 8/19/2013 | 520,000 | 477,836 |
Erac USA Finance Co.: |
|
|
144A, 5.8%, 10/15/2012 | 420,000 | 327,510 |
144A, 8.0%, 1/15/2011 | 1,180,000 | 1,068,794 |
Farmers Exchange Capital, 144A, 7.2%, 7/15/2048 | 760,000 | 380,337 |
Ford Motor Credit Co., LLC: |
|
|
7.25%, 10/25/2011 | 300,000 | 213,587 |
7.875%, 6/15/2010 | 10,000 | 8,264 |
FPL Group Capital, Inc., 6.65%, 6/15/2067 | 1,037,000 | 746,640 |
GMAC LLC, 144A, 6.875%, 9/15/2011 | 186,000 | 132,175 |
Hawker Beechcraft Acquisition Co., LLC, 8.875%, 4/1/2015 (PIK) | 70,000 | 7,875 |
HBOS PLC, 144A, 6.75%, 5/21/2018 | 185,000 | 142,709 |
Hexion US Finance Corp., 9.75%, 11/15/2014 | 10,000 | 2,200 |
Inmarsat Finance PLC, 10.375%, 11/15/2012 | 135,000 | 138,375 |
iPayment, Inc., 9.75%, 5/15/2014 | 40,000 | 20,800 |
Local TV Finance LLC, 144A, 9.25%, 6/15/2015 (PIK) | 40,000 | 4,000 |
Merrill Lynch & Co., Inc.: |
|
|
Series C, 5.45%, 7/15/2014 | 169,000 | 128,044 |
6.22%, 9/15/2026 | 100,000 | 49,363 |
MetLife, Inc., 7.717%, 2/15/2019 (b) | 760,000 | 681,462 |
Metropolitan Life Global Funding I, 144A, 5.125%, 4/10/2013 | 695,000 | 634,737 |
Morgan Stanley: |
|
|
5.05%, 1/21/2011 | 700,000 | 688,238 |
Series F, 6.0%, 4/28/2015 | 975,000 | 920,515 |
National City Corp., 4.0%, 2/1/2011 | 785,000 | 715,331 |
NiSource Finance Corp., 7.875%, 11/15/2010 | 65,000 | 63,872 |
Orascom Telecom Finance SCA, 144A, 7.875%, 2/8/2014 | 100,000 | 64,000 |
PPL Capital Funding, Inc., Series A, 6.7%, 3/30/2067 | 1,135,000 | 646,950 |
Qwest Capital Funding, Inc., 7.0%, 8/3/2009 | 30,000 | 29,925 |
Rainbow National Services LLC, 144A, 10.375%, 9/1/2014 | 5,000 | 5,100 |
Shell International Finance BV, 6.375%, 12/15/2038 | 510,000 | 537,042 |
Sprint Capital Corp.: |
|
|
7.625%, 1/30/2011 | 30,000 | 27,750 |
8.375%, 3/15/2012 | 15,000 | 13,500 |
StanCorp Financial Group, Inc., 6.9%, 6/1/2067 | 720,000 | 352,776 |
Symetra Financial Corp., 144A, 8.3%, 10/15/2037 | 340,000 | 110,500 |
Tropicana Entertainment LLC, 9.625%, 12/15/2014** | 105,000 | 263 |
UCI Holdco, Inc., 9.32%***, 12/15/2013 (PIK) | 55,309 | 4,425 |
UDR, Inc., Series E, (REIT), 3.9%, 3/15/2010 | 305,000 | 286,795 |
Universal City Development Partners Ltd., | 185,000 | 158,638 |
Williams Companies, Inc., Credit Linked Certificate Trust, 144A, 6.75%, 4/15/2009 | 10,000 | 9,975 |
Wind Acquisition Finance SA: |
|
|
144A, 9.75%, 12/1/2015 EUR | 50,000 | 58,126 |
144A, 10.75%, 12/1/2015 | 75,000 | 74,250 |
Xstrata Finance Canada Ltd., 144A, 5.8%, 11/15/2016 | 711,000 | 456,877 |
| 11,199,763 | |
Health Care 0.2% | ||
Boston Scientific Corp., 6.0%, 6/15/2011 | 50,000 | 48,500 |
Community Health Systems, Inc., 8.875%, 7/15/2015 | 180,000 | 170,100 |
HCA, Inc.: |
|
|
9.125%, 11/15/2014 | 60,000 | 56,400 |
9.25%, 11/15/2016 | 190,000 | 172,900 |
9.625%, 11/15/2016 (PIK) | 65,000 | 51,838 |
HEALTHSOUTH Corp., 10.75%, 6/15/2016 | 25,000 | 24,500 |
IASIS Healthcare LLC, 8.75%, 6/15/2014 | 70,000 | 65,800 |
Psychiatric Solutions, Inc., 7.75%, 7/15/2015 | 15,000 | 13,538 |
Surgical Care Affiliates, Inc., 144A, | 45,000 | 26,100 |
The Cooper Companies, Inc., 7.125%, 2/15/2015 | 75,000 | 67,687 |
Vanguard Health Holding Co. I, LLC, Step-up Coupon, 0% to 10/1/2009, 11.25% to 10/1/2015 | 15,000 | 12,450 |
Vanguard Health Holding Co. II, LLC, 9.0%, 10/1/2014 | 125,000 | 110,312 |
| 820,125 | |
Industrials 0.2% | ||
Actuant Corp., 6.875%, 6/15/2017 | 25,000 | 21,188 |
Allied Waste North America, Inc., 6.5%, 11/15/2010 | 25,000 | 24,875 |
ARAMARK Corp., 8.5%, 2/1/2015 | 15,000 | 13,800 |
BE Aerospace, Inc., 8.5%, 7/1/2018 | 70,000 | 58,362 |
Belden, Inc., 7.0%, 3/15/2017 | 30,000 | 24,600 |
Browning-Ferris Industries, Inc., 7.4%, 9/15/2035 | 90,000 | 78,958 |
Cenveo Corp., 144A, 10.5%, 8/15/2016 | 35,000 | 19,644 |
Esco Corp.: |
|
|
144A, 5.195%***, 12/15/2013 | 35,000 | 22,050 |
144A, 8.625%, 12/15/2013 | 40,000 | 30,400 |
Great Lakes Dredge & Dock Co., 7.75%, 12/15/2013 | 30,000 | 24,000 |
K. Hovnanian Enterprises, Inc., 8.875%, 4/1/2012 | 30,000 | 10,500 |
Kansas City Southern de Mexico SA de CV: |
|
|
7.375%, 6/1/2014 | 60,000 | 47,400 |
7.625%, 12/1/2013 | 110,000 | 89,100 |
9.375%, 5/1/2012 | 95,000 | 86,450 |
Kansas City Southern Railway Co., 8.0%, 6/1/2015 | 65,000 | 53,787 |
Mobile Mini, Inc., 9.75%, 8/1/2014 | 40,000 | 29,700 |
Moog, Inc., 144A, 7.25%, 6/15/2018 | 15,000 | 13,838 |
Navios Maritime Holdings, Inc., 9.5%, 12/15/2014 | 60,000 | 34,200 |
R.H. Donnelley Corp., Series A-4, 8.875%, 10/15/2017 | 110,000 | 6,050 |
RBS Global & Rexnord Corp., 9.5%, 8/1/2014 | 35,000 | 28,350 |
Titan International, Inc., 8.0%, 1/15/2012 | 130,000 | 101,400 |
TransDigm, Inc., 7.75%, 7/15/2014 | 20,000 | 18,650 |
United Rentals North America, Inc.: |
|
|
6.5%, 2/15/2012 | 80,000 | 64,000 |
7.0%, 2/15/2014 | 105,000 | 53,025 |
Vought Aircraft Industries, Inc., 8.0%, 7/15/2011 | 25,000 | 9,750 |
| 964,077 | |
Information Technology 0.3% | ||
Alcatel-Lucent USA, Inc., 6.45%, 3/15/2029 | 110,000 | 41,800 |
Alion Science & Technology Corp., 10.25%, 2/1/2015 | 25,000 | 3,750 |
Cisco Systems, Inc., 5.9%, 2/15/2039 | 670,000 | 615,607 |
L-3 Communications Corp.: |
|
|
5.875%, 1/15/2015 | 125,000 | 115,937 |
Series B, 6.375%, 10/15/2015 | 60,000 | 56,550 |
7.625%, 6/15/2012 | 120,000 | 120,450 |
MasTec, Inc., 7.625%, 2/1/2017 | 50,000 | 40,688 |
SunGard Data Systems, Inc., 10.25%, 8/15/2015 | 95,000 | 66,500 |
| 1,061,282 | |
Materials 0.4% | ||
Appleton Papers, Inc., Series B, 8.125%, 6/15/2011 | 20,000 | 12,050 |
ARCO Chemical Co., 9.8%, 2/1/2020** | 285,000 | 28,500 |
Cascades, Inc., 7.25%, 2/15/2013 | 35,000 | 19,513 |
Chemtura Corp., 6.875%, 6/1/2016** | 30,000 | 13,500 |
Clondalkin Acquisition BV, 144A, 3.32%***, 12/15/2013 | 75,000 | 47,062 |
CPG International I, Inc., 10.5%, 7/1/2013 | 60,000 | 28,200 |
Exopack Holding Corp., 11.25%, 2/1/2014 | 130,000 | 59,150 |
Freeport-McMoRan Copper & Gold, Inc.: |
|
|
6.875%, 2/1/2014 | 10,000 | 9,800 |
8.25%, 4/1/2015 | 90,000 | 86,175 |
8.375%, 4/1/2017 | 175,000 | 163,625 |
Georgia-Pacific LLC: |
|
|
144A, 7.125%, 1/15/2017 | 35,000 | 32,375 |
9.5%, 12/1/2011 | 30,000 | 29,962 |
Hexcel Corp., 6.75%, 2/1/2015 | 155,000 | 130,975 |
Innophos, Inc., 8.875%, 8/15/2014 | 15,000 | 12,300 |
Koppers Holdings, Inc., Step-up Coupon, 0% to 11/15/2009, 9.875% to 11/15/2014 | 100,000 | 81,500 |
Metals USA Holdings Corp., 7.435%***, 7/1/2012 (PIK) | 20,544 | 4,828 |
Millar Western Forest Products Ltd., | 15,000 | 5,025 |
NewMarket Corp., 7.125%, 12/15/2016 | 80,000 | 63,400 |
NewPage Corp., 10.0%, 5/1/2012 | 85,000 | 29,537 |
OI European Group BV, 144A, 6.875%, 3/31/2017 EUR | 50,000 | 57,130 |
Rhodia SA, 144A, 5.362%***, 10/15/2013 EUR | 50,000 | 34,544 |
Sappi Papier Holding AG, 144A, 6.75%, 6/15/2012 | 499,000 | 280,271 |
Terra Capital, Inc., Series B, 7.0%, 2/1/2017 | 80,000 | 73,600 |
The Mosaic Co., 144A, 7.375%, 12/1/2014 | 110,000 | 107,800 |
Witco Corp., 6.875%, 2/1/2026** | 15,000 | 3,900 |
Wolverine Tube, Inc., 10.5%, 4/1/2009 | 65,000 | 55,900 |
Xstrata Canada Corp., 6.0%, 10/15/2015 | 160,000 | 112,581 |
| 1,583,203 | |
Telecommunication Services 0.4% | ||
BCM Ireland Preferred Equity Ltd., 144A, 8.959%***, 2/15/2017 (PIK) EUR | 56,161 | 2,894 |
Centennial Communications Corp.: |
|
|
10.0%, 1/1/2013 | 25,000 | 26,563 |
10.125%, 6/15/2013 | 65,000 | 67,275 |
Cincinnati Bell, Inc.: |
|
|
7.25%, 7/15/2013 | 95,000 | 90,725 |
8.375%, 1/15/2014 | 40,000 | 37,600 |
Cricket Communications, Inc.: |
|
|
9.375%, 11/1/2014 | 85,000 | 80,963 |
144A, 10.0%, 7/15/2015 | 70,000 | 67,375 |
Frontier Communications Corp.: |
|
|
6.25%, 1/15/2013 | 40,000 | 36,250 |
9.25%, 5/15/2011 | 20,000 | 20,300 |
Hellas Telecommunications Luxembourg V, 144A, 6.112%***, 10/15/2012 EUR | 200,000 | 128,874 |
Intelsat Corp., 144A, 9.25%, 6/15/2016 | 165,000 | 152,625 |
iPCS, Inc., 3.295%***, 5/1/2013 | 15,000 | 11,250 |
MetroPCS Wireless, Inc., 9.25%, 11/1/2014 | 105,000 | 101,850 |
Millicom International Cellular SA, 10.0%, 12/1/2013 | 155,000 | 151,512 |
Qwest Corp.: |
|
|
7.25%, 9/15/2025 | 15,000 | 9,900 |
7.875%, 9/1/2011 | 90,000 | 88,650 |
8.875%, 3/15/2012 | 20,000 | 19,750 |
Sprint Nextel Corp., 6.0%, 12/1/2016 | 45,000 | 32,175 |
Stratos Global Corp., 9.875%, 2/15/2013 | 30,000 | 27,900 |
Telesat Canada, 144A, 11.0%, 11/1/2015 | 110,000 | 91,300 |
Virgin Media Finance PLC: |
|
|
8.75%, 4/15/2014 | 90,000 | 85,050 |
8.75%, 4/15/2014 EUR | 20,000 | 23,516 |
Windstream Corp.: |
|
|
7.0%, 3/15/2019 | 40,000 | 35,200 |
8.625%, 8/1/2016 | 10,000 | 9,825 |
| 1,399,322 | |
Utilities 1.5% | ||
AES Corp.: |
|
|
144A, 8.0%, 6/1/2020 | 70,000 | 56,700 |
144A, 8.75%, 5/15/2013 | 230,000 | 226,550 |
9.5%, 6/1/2009 | 50,000 | 49,937 |
Allegheny Energy Supply Co., LLC, 144A, 8.25%, 4/15/2012 | 300,000 | 303,426 |
CenterPoint Energy Houston Electric LLC, Series U, 7.0%, 3/1/2014 | 15,000 | 15,643 |
CMS Energy Corp., 8.5%, 4/15/2011 | 175,000 | 175,930 |
Dominion Resources, Inc., 7.5%, 6/30/2066 | 900,000 | 558,000 |
Edison Mission Energy, 7.0%, 5/15/2017 | 40,000 | 29,200 |
Electricite de France, 144A, 6.95%, 1/26/2039 | 305,000 | 302,305 |
Energy East Corp., 6.75%, 6/15/2012 | 970,000 | 952,773 |
Energy Future Holdings Corp., 10.875%, 11/1/2017 | 45,000 | 29,025 |
FirstEnergy Corp., Series B, 6.45%, 11/15/2011 | 490,000 | 490,444 |
Integrys Energy Group, Inc., 6.11%, 12/1/2066 | 795,000 | 421,350 |
IPALCO Enterprises, Inc., 144A, 7.25%, 4/1/2016 | 35,000 | 30,975 |
Jersey Central Power & Light Co., 6.15%, 6/1/2037 | 580,000 | 473,129 |
Knight, Inc., 6.5%, 9/1/2012 | 60,000 | 55,950 |
Mirant Americas Generation LLC, 8.3%, 5/1/2011 | 90,000 | 87,300 |
Mirant North America LLC, 7.375%, 12/31/2013 | 25,000 | 22,625 |
NRG Energy, Inc.: |
|
|
7.25%, 2/1/2014 | 80,000 | 75,200 |
7.375%, 1/15/2017 | 60,000 | 55,800 |
7.375%, 2/1/2016 | 70,000 | 65,100 |
NV Energy, Inc.: |
|
|
6.75%, 8/15/2017 | 85,000 | 67,459 |
8.625%, 3/15/2014 | 15,000 | 14,138 |
Oncor Electric Delivery Co., 7.0%, 9/1/2022 | 30,000 | 27,976 |
PacifiCorp, 5.5%, 1/15/2019 | 20,000 | 20,475 |
Pepco Holdings, Inc., 6.45%, 8/15/2012 | 640,000 | 640,356 |
Regency Energy Partners LP, 8.375%, 12/15/2013 | 50,000 | 42,500 |
Reliant Energy, Inc., 7.875%, 6/15/2017 | 55,000 | 43,450 |
Texas Competitive Electric Holdings Co., LLC, Series A, 10.25%, 11/1/2015 | 185,000 | 92,500 |
Union Electric Co., 6.4%, 6/15/2017 | 555,000 | 533,214 |
| 5,959,430 | |
Total Corporate Bonds (Cost $45,393,528) | 38,074,706 | |
| ||
Asset-Backed 0.5% | ||
Home Equity Loans | ||
Bayview Financial Acquisition Trust, "1A1", Series 2006-A, 5.614%, 2/28/2041 | 138,042 | 132,323 |
Countrywide Asset-Backed Certificates: |
|
|
"AF3", Series 2005-1, 4.575%, 7/25/2035 | 184,574 | 172,898 |
"A6", Series 2006-S6, 5.657%, 3/25/2034 | 1,319,411 | 500,064 |
"A6", Series 2006-15, 5.826%, 10/25/2046 | 450,000 | 202,742 |
"A1B", Series 2007-S1, 5.888%, 11/25/2036 | 405,175 | 257,373 |
"1AF6", Series 2006-11, 6.15%, 9/25/2046 | 1,295,000 | 603,260 |
Total Asset-Backed (Cost $3,784,885) | 1,868,660 | |
| ||
Commercial Mortgage-Backed Securities 1.8% | ||
Banc of America Commercial Mortgage, Inc.: |
|
|
"AM", Series 2007-2, 5.699%***, 4/10/2049 | 640,000 | 284,322 |
"AM", Series 2007-4, 5.812%***, 2/10/2051 | 375,000 | 151,149 |
"ASB", Series 2008-1, 6.173%, 2/10/2051 | 550,000 | 439,270 |
Bear Stearns Commercial Mortgage Securities, Inc., "A4", Series 2007-PW17, 5.694%, 6/11/2050 | 1,180,000 | 872,295 |
Citigroup/Deutsche Bank Commercial Mortgage Trust, "A2B", Series 2007-CD4, 5.205%, 12/11/2049 | 425,000 | 340,763 |
CW Capital Cobalt Ltd., "AAB", Series 2007-C2, 5.416%, 4/15/2047 | 125,000 | 97,344 |
GS Mortgage Securities Corp. II: |
|
|
"A2", Series 2007-GG10, 5.778%, 8/10/2045 | 2,130,000 | 1,796,411 |
"AM", Series 2007-GG10, 5.799%***, 8/10/2045 | 360,000 | 133,200 |
JPMorgan Chase Commercial Mortgage Securities Corp.: |
|
|
"ASB", Series 2007-CB20, 5.688%, 2/12/2051 | 350,000 | 275,039 |
"ASB", Series 2007-CB19, 5.73%***, 2/12/2049 | 1,280,000 | 1,018,151 |
"A2", Series 2007-LD11, 5.804%***, 6/15/2049 | 150,000 | 119,725 |
"A4", Series 2007-LD12, 5.882%, 2/15/2051 | 273,000 | 193,013 |
"AM", Series 2007-LD12, 6.062%***, 2/15/2051 | 825,000 | 333,546 |
JPMorgan Mortgage Trust, "1A1", Series 2008-R2, 144A, 5.74%***, 7/27/2037 | 641,415 | 320,708 |
Merrill Lynch/Countrywide Commercial Mortgage Trust: |
|
|
"ASB", Series 2007-9, 5.644%, 9/12/2049 | 450,000 | 349,663 |
"ASB", Series 2007-7, 5.745%, 6/12/2050 | 700,000 | 549,224 |
Total Commercial Mortgage-Backed Securities (Cost $8,772,057) | 7,273,823 | |
| ||
Collateralized Mortgage Obligations 6.1% | ||
Banc of America Mortgage Securities, "3A1", Series 2003-H, 4.526%***, 9/25/2033 | 852,240 | 729,751 |
Bear Stearns Adjustable Rate Mortgage Trust: |
|
|
"3A1", Series 2007-5, 5.977%***, 8/25/2047 | 1,125,248 | 601,737 |
"22A1", Series 2007-4, 5.993%***, 6/25/2047 | 882,747 | 455,815 |
Chase Mortgage Finance Corp., "3A1", Series 2005-A1, 5.285%***, 12/25/2035 | 975,285 | 628,623 |
Citigroup Mortgage Loan Trust, Inc., "1CB2", Series 2004-NCM2, 6.75%, 8/25/2034 | 1,016,972 | 878,409 |
Countrywide Alternative Loan Trust: |
|
|
"A2", Series 2003-21T1, 5.25%, 12/25/2033 | 635,567 | 523,884 |
"A6", Series 2004-14T2, 5.5%, 8/25/2034 | 561,556 | 495,644 |
"1A1", Series 2004-J1, 6.0%, 2/25/2034 | 115,598 | 106,856 |
Credit Suisse Mortgage Capital Certificates, Inc., "3A1", Series 2006-9, 6.0%, 11/25/2036 | 453,672 | 224,284 |
Federal Home Loan Mortgage Corp.: |
|
|
"LN", Series 3145, 4.5%, 10/15/2034 | 1,121,608 | 1,155,701 |
"BG", Series 2869, 5.0%, 7/15/2033 | 315,000 | 331,781 |
"NE", Series 2802, 5.0%, 2/15/2033 | 880,000 | 924,197 |
"PD", Series 2904, 5.5%, 3/15/2033 | 325,000 | 339,683 |
"XD", Series 2966, 5.5%, 9/15/2033 | 1,305,000 | 1,368,436 |
Federal National Mortgage Association: |
|
|
"YD", Series 2005-94, 4.5%, 8/25/2033 | 1,445,000 | 1,463,147 |
"EA", Series 2008-54, 5.0%, 7/25/2019 | 1,572,820 | 1,657,747 |
GMAC Mortgage Corp. Loan Trust, "4A1", Series 2005-AR6, 5.467%***, 11/19/2035 | 999,181 | 601,798 |
JPMorgan Mortgage Trust: |
|
|
"3A3", Series 2004-A3, 4.957%***, 7/25/2034 | 1,380,000 | 655,212 |
"2A4", Series 2006-A2, 5.754%***, 4/25/2036 | 2,000,000 | 976,454 |
"2A1" Series 2006-A5, 5.82%***, 8/25/2036 | 917,010 | 505,023 |
Lehman Mortgage Trust, "3A3", Series 2006-1, 5.5%, 2/25/2036 | 1,086,036 | 758,378 |
MASTR Adjustable Rate Mortgages Trust: |
|
|
"3A6",Series 2004-13, 3.788%***, 11/21/2034 | 1,185,000 | 798,516 |
"B1", Series 2004-13, 4.345%***, 12/21/2034 | 1,352,976 | 487,476 |
Merrill Lynch Mortgage Investors Trust, "A2", Series 2005-A5, 4.566%, 6/25/2035 | 175,000 | 97,143 |
New York Mortgage Trust, "2A3", Series 2006-1, 5.653%***, 5/25/2036 | 1,400,000 | 689,907 |
Residential Accredit Loans, Inc., "A3", Series 2004-QS11, 5.5%, 8/25/2034 | 395,121 | 323,135 |
Structured Adjustable Rate Mortgage Loan Trust, "6A3", Series 2005-21, 5.4%***, 11/25/2035 | 1,190,000 | 454,181 |
Structured Asset Securities Corp., "4A1", Series 2005-6, 5.0%, 5/25/2035 | 296,954 | 202,393 |
Washington Mutual Mortgage Pass-Through Certificates Trust: |
|
|
"1A3", Series 2005-AR16, 5.099%***, 12/25/2035 | 1,305,000 | 631,276 |
"1A3A", Series 2005-AR18, 5.244%***, 1/25/2036 | 1,625,000 | 851,891 |
"1A1", Series 2006-AR18, 5.307%***, 1/25/2037 | 1,113,606 | 538,461 |
"1A3", Series 2006-AR8, 5.844%***, 8/25/2046 | 1,395,000 | 629,347 |
Wells Fargo Mortgage Backed Securities Trust: |
|
|
"2A5", Series 2006-AR2, 5.077%***, 3/25/2036 | 3,237,548 | 1,853,087 |
"3A2", Series 2006-AR8, 5.237%***, 4/25/2036 | 2,070,000 | 938,789 |
"A6", Series 2006-AR11, 5.51%***, 8/25/2036 | 1,995,000 | 947,873 |
Total Collateralized Mortgage Obligations (Cost $37,806,362) | 24,826,035 | |
| ||
Mortgage-Backed Securities Pass-Throughs 6.0% | ||
Federal Home Loan Mortgage Corp.: |
|
|
4.5%, 11/1/2018 | 972,470 | 1,008,786 |
5.5%, 10/1/2023 | 737,290 | 768,221 |
5.518%***, 2/1/2038 | 24,504 | 25,197 |
6.0%, 3/1/2038 | 399,737 | 418,553 |
6.5%,with various maturities from 1/1/2035 until 8/1/2038 | 1,367,243 | 1,456,939 |
Federal National Mortgage Association: |
|
|
4.5%,with various maturities from 7/1/2020 until 10/1/2033 | 2,953,883 | 3,042,493 |
5.0%, 9/1/2033 | 1,222,346 | 1,265,797 |
5.5%,with various maturities from 1/1/2020 until 9/1/2036 | 8,925,145 | 9,313,914 |
6.0%,with various maturities from 1/1/2024 until 2/1/2037 | 1,843,706 | 1,935,838 |
6.5%,with various maturities from 5/1/2023 until 11/1/2037 | 3,164,302 | 3,357,527 |
7.0%, 4/1/2038 | 1,089,354 | 1,162,162 |
9.0%, 11/1/2030 | 53,056 | 58,459 |
Government National Mortgage Association, 5.5%, 1/15/2039 | 532,150 | 555,162 |
Total Mortgage-Backed Securities Pass-Throughs (Cost $23,286,756) | 24,369,048 | |
| ||
Preferred Security 0.1% | ||
Financials | ||
Stoneheath Re, 6.868%, 10/15/2011 (c) (Cost $1,464,849) | 1,460,000 | 350,400 |
| ||
Municipal Bonds and Notes 1.1% | ||
Arizona, Salt River Project, Agricultural Improvement & Power District, Electric Systems Revenue, Series A, 5.0%, 1/1/2038 | 480,000 | 476,342 |
Central Puget Sound, WA, Regional Transportation Authority, Sales & Use Tax Revenue, Series A, 5.0%, 11/1/2036 | 295,000 | 291,938 |
Florida, State Board of Education, Capital Outlay 2006, Series E, 5.0%, 6/1/2035 | 500,000 | 492,785 |
Hammond, IN, Redevelopment Authority Lease Rent Revenue, Hammond Marina Project, 5.57%, 2/1/2014 (d) | 610,000 | 585,631 |
Palm Beach County, FL, Public Improvement Revenue, 5.0%, 5/1/2038 | 390,000 | 377,220 |
Suffolk, VA, Multi-Family Housing Revenue, Redevelopment & Housing Authority, Windsor at Potomac, Series T, 6.6%, 7/1/2015 | 1,475,000 | 1,484,292 |
Whittier, CA, Redevelopment Agency, Tax Allocation, Housing Projects, Series B, 6.09%, 11/1/2038 (d) | 1,400,000 | 767,396 |
Total Municipal Bonds and Notes (Cost $5,138,368) | 4,475,604 | |
| ||
Government & Agency Obligations 9.2% | ||
US Treasury Obligations | ||
US Treasury Bills: |
|
|
0.04%****, 5/21/2009 (e) | 98,000 | 97,979 |
0.13%****, 6/11/2009 (e) | 3,358,000 | 3,356,795 |
0.23%****, 6/18/2009 (e) | 39,000 | 38,987 |
0.29%****, 6/18/2009 (e) | 1,804,000 | 1,803,374 |
US Treasury Bond, 4.5%, 5/15/2038 (b) | 3,048,000 | 3,558,540 |
US Treasury Notes: |
|
|
0.875%, 2/28/2011 (b) | 12,573,000 | 12,597,014 |
1.375%, 3/15/2012 (b) | 7,146,000 | 7,195,686 |
1.875%, 2/28/2014 (b) | 455,000 | 459,978 |
2.375%, 3/31/2016 | 3,545,000 | 3,567,986 |
2.75%, 2/15/2019 (b) | 4,169,000 | 4,191,804 |
4.875%, 5/31/2011 (b) (e) | 500,000 | 543,594 |
Total Government & Agency Obligations (Cost $37,193,693) | 37,411,737 |
|
| Value ($) |
|
| |
Securities Lending Collateral 7.0% | ||
Daily Assets Fund Institutional, 0.78% (f) (g) (Cost $28,246,581) | 28,246,581 | 28,246,581 |
| ||
Cash Equivalents 4.8% | ||
Cash Management QP Trust, 0.53% (f) (Cost $19,384,491) | 19,384,491 | 19,384,491 |
| % of Net Assets | Value ($) |
|
| |
Total Investment Portfolio (Cost $498,022,469)+ | 106.2 | 429,881,414 |
Other Assets and Liabilities, Net | (6.2) | (25,204,235) |
Net Assets | 100.0 | 404,677,179 |
** Non-income producing security. Issuer has defaulted on the payment of principal or interest or has filed for bankruptcy. The following table represents bonds that are in default:
Securities | Coupon | Maturity Date | Principal Amount | Acquisition Cost ($) | Value ($) | |
ARCO Chemical Co. | 9.8% | 2/1/2020 | 285,000 | USD | 253,650 | 28,500 |
CanWest MediaWorks LP | 9.25% | 8/1/2015 | 35,000 | USD | 32,944 | 2,450 |
Chemtura Corp. | 6.875% | 6/1/2016 | 30,000 | USD | 27,169 | 13,500 |
Idearc, Inc. | 8.0% | 11/15/2016 | 85,000 | USD | 64,213 | 2,231 |
Tropicana Entertainment LLC | 9.625% | 12/15/2014 | 105,000 | USD | 54,144 | 263 |
Trump Entertainment Resorts, Inc. | 8.5% | 6/1/2015 | 10,000 | USD | 7,225 | 800 |
Witco Corp. | 6.875% | 2/1/2026 | 15,000 | USD | 11,850 | 3,900 |
|
|
|
| | 451,195 | 51,644 |
**** Annualized yield at time of purchase; not a coupon rate
+ The cost for federal income tax purposes was $503,742,192. At March 31, 2009, net unrealized depreciation for all securities based on tax cost was $73,860,778. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $12,767,908 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $86,628,686.
(a) Principal amount stated in US dollars unless otherwise noted.
(b) All or a portion of these securities were on loan (see Notes to Financial Statements). The value of all securities loaned at March 31, 2009 amounted to $27,643,971, which is 6.8% of net assets.
(c) Date shown is call date; not a maturity date for the perpetual preferred securities.
(d) Bond is insured by one of these companies:
Insurance Coverage | As a % of Total Investment Portfolio |
Financial Guaranty Insurance Company | 0.2 |
National Public Finance Guarantee Corp. | 0.1 |
(f) Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.
(g) Represents collateral held in connection with securities lending. Income earned by the Fund is net of borrower rebates.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
ADR: American Depositary Receipt
CVA: Certificaten Van Aandelen
FDR: Fiduciary Depositary Receipt
MSCI: Morgan Stanley Capital International
PIK: Denotes that all or a portion of income is paid in kind.
PPS: Price Protected Shares
REIT: Real Estate Investment Trust
RSP: Risparmio (Convertible Savings Shares)
SDR: Swedish Depositary Receipt
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal Home Loan Mortgage Corp. and Federal National Mortgage Association issues which have similar coupon rates have been aggregated for presenation purposes in this investment portfolio.
At March 31, 2009, open futures contracts purchased were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation ($) |
5 Year US Treasury Note | 6/30/2009 | 167 | 19,518,584 | 19,833,859 | 315,275 |
ASX SPI 200 Index | 6/18/2009 | 3 | 175,078 | 185,971 | 10,893 |
DJ Euro Stoxx 50 Index | 6/19/2009 | 25 | 645,451 | 661,975 | 16,524 |
Federal Republic of Germany Euro-Bund | 6/8/2009 | 4 | 655,326 | 661,271 | 5,945 |
FTSE 100 Index | 6/19/2009 | 112 | 6,065,353 | 6,243,319 | 177,966 |
Nikkei 225 Index | 6/11/2009 | 4 | 140,917 | 167,300 | 26,383 |
Russell E Mini 2000 Index | 6/19/2009 | 42 | 1,644,609 | 1,769,460 | 124,851 |
S&P TSE 60 Index | 6/18/2009 | 1 | 79,634 | 83,439 | 3,805 |
United Kingdom Long Gilt Bond | 6/26/2009 | 76 | 13,217,446 | 13,435,877 | 218,431 |
Total unrealized appreciation | 900,073 |
At March 31, 2009, open futures contracts sold were as follows:
Futures | Expiration Date | Contracts | Aggregated Face Value ($) | Value ($) | Unrealized Depreciation ($) |
10 Year US Treasury Note | 6/16/2009 | 78 | 9,441,926 | 9,678,094 | (236,168) |
S&P E-Mini 500 Index | 6/19/2009 | 126 | 4,753,054 | 5,007,240 | (254,186) |
Total unrealized depreciation | (490,354) |
As of March 31, 2009, the Fund had the following open forward foreign currency exchange contracts:
Contracts to Deliver |
| In Exchange For |
| Settlement Date | Unrealized Appreciation ($) | ||
USD | 2,617,410 | | AUD | 4,058,000 | | 4/15/2009 | 200,947 |
USD | 77,360 | | CHF | 92,000 | | 4/15/2009 | 3,488 |
USD | 1,568,135 | | NZD | 3,059,000 | | 4/15/2009 | 175,095 |
USD | 1,732,172 | | SEK | 15,196,000 | | 4/15/2009 | 116,419 |
EUR | 2,800 | | USD | 3,809 | | 4/20/2009 | 96 |
JPY | 180,600,000 | | USD | 1,835,086 | | 5/29/2009 | 12,176 |
JPY | 75,116,600 | | USD | 768,236 | | 6/26/2009 | 9,595 |
Total unrealized appreciation | 517,816 | ||||||
Contracts to Deliver |
| In Exchange For |
| Settlement Date | Unrealized Depreciation ($) | ||
USD | 12,972,840 | | JPY | 1,260,759,000 | | 4/15/2009 | (233,255) |
EUR | 409,000 | | USD | 536,723 | | 4/20/2009 | (5,614) |
Total unrealized depreciation | (238,869) |
Currency Abbreviations |
AUD Australian Dollar CHF Swiss Franc EUR Euro JPY Japanese Yen NZD New Zealand Dollar SEK Swedish Krona USD United States Dollar |
Fair Value Measurements
Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, "Fair Value Measurements," establishes a three-tier hierarchy for measuring fair value 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 and credit risk). 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 following is a summary of the inputs used as of March 31, 2009 in valuing the Fund's investments. For information on the Fund's policy regarding the valuation of investments, 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 | $ 237,727,085 | $ 409,719 |
Level 2 | 191,460,768 | 278,947 |
Level 3 | 693,561 | — |
Total | $ 429,881,414 | $ 688,666 |
The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used in determining value at March 31, 2009:
| Investments in Securities | |
Balance as of March 31, 2008 | $ 1,164,496 | |
Total realized gains (loss) | 5,761 | |
Change in unrealized appreciation (depreciation) | (1,100,542) | |
Amortization premium/discount | 417 | |
Net purchases (sales) | 623,429 | |
Net transfers in (out) of Level 3 | — | |
Balance as of March 31, 2009 | $ 693,561 | |
Net change in unrealized appreciation (depreciation) from investments still held as of March 31, 2009 | $ (1,100,542) |
The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities as of March 31, 2009 | |
Assets | |
Investments: Investments in securities, at value (cost $450,391,397) — including $27,643,971 of securities loaned | $ 382,250,342 |
Investment in Daily Assets Fund Institutional (cost $28,246,581)* | 28,246,581 |
Investment in Cash Management QP Trust (cost $19,384,491) | 19,384,491 |
Total investments, at value (cost $498,022,469) | 429,881,414 |
Cash | 105,472 |
Foreign currency, at value (cost $709,058) | 713,735 |
Receivable for investments sold | 756,268 |
Dividends receivable | 421,471 |
Interest receivable | 1,490,816 |
Receivable for Fund shares sold | 1,400 |
Receivable for daily variation margin on open futures contracts | 153,098 |
Foreign taxes recoverable | 64,672 |
Unrealized appreciation on forward foreign currency exchange contracts | 517,816 |
Due from Advisor | 22,702 |
Other assets | 40,824 |
Total assets | 434,169,688 |
Liabilities | |
Payable for investments purchased | 60,434 |
Payable for Fund shares redeemed | 194,818 |
Payable upon return of securities loaned | 28,246,581 |
Unrealized depreciation on forward foreign currency exchange contracts | 238,869 |
Accrued management fee | 296,771 |
Other accrued expenses and payables | 455,036 |
Total liabilities | 29,492,509 |
Net assets, at value | $ 404,677,179 |
The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities as of March 31, 2009 (continued) | |
Net Assets consist of | |
Accumulated distributions in excess of net investment income | (529,474) |
Net unrealized appreciation (depreciation) on: Investments | (68,141,055) |
Futures | 409,719 |
Foreign currency | 279,443 |
Accumulated net realized gain (loss) | (223,197,398) |
Paid-in capital | 695,855,944 |
Net assets, at value | $ 404,677,179 |
Net Asset Value | |
Class S Net Asset Value offering and redemption price per share ($2,816,777 ÷ 451,781 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized) | $ 6.23 |
Institutional Class Net Asset Value offering and redemption price per share ($401,860,402 ÷ 61,711,745 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized) | $ 6.51 |
The accompanying notes are an integral part of the financial statements.
Statement of Operations for the year ended March 31, 2009 | |
Investment Income | |
Income: Dividends (net of foreign taxes withheld of $191,823) | $ 7,402,709 |
Interest (net of foreign taxes withheld of $16,022) | 12,370,950 |
Interest — Cash Management QP Trust | 626,097 |
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates | 211,567 |
Total Income | 20,611,323 |
Expenses: Management fee | 3,171,932 |
Administration fee | 540,771 |
Services to shareholders | 832,721 |
Professional fees | 104,928 |
Trustees' fees and expenses | 23,896 |
Custodian fee | 362,330 |
Reports to shareholders | 73,258 |
Registration fees | 37,017 |
Interest expense | 90,890 |
Other | 70,570 |
Total expenses before expense reductions | 5,308,313 |
Expense reductions | (2,233,422) |
Total expenses after expense reductions | 3,074,891 |
Net investment income | 17,536,432 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: Investments | (171,343,323) |
Futures | (2,863,131) |
Foreign currency | (12,803,668) |
Payments by affiliates (see Note H) | 22,702 |
| (186,987,420) |
Change in net unrealized appreciation (depreciation) on: Investments | (34,274,846) |
Futures | (382,104) |
Foreign currency | 2,172,740 |
| (32,484,210) |
Net gain (loss) | (219,471,630) |
Net increase (decrease) in net assets resulting from operations | $ (201,935,198) |
The accompanying notes are an integral part of the financial statements.
Statement of Changes in Net Assets | ||
Increase (Decrease) in Net Assets | Years Ended March 31, | |
2009 | 2008 | |
Operations: Net investment income | $ 17,536,432 | $ 22,190,391 |
Net realized gain (loss) | (186,987,420) | 25,684,604 |
Change in net unrealized appreciation (depreciation) | (32,484,210) | (50,387,549) |
Net increase (decrease) in net assets resulting from operations | (201,935,198) | (2,512,554) |
Distributions to shareholders from: Net investment income Class S | (96,361) | (186,707) |
Institutional Class | (14,118,247) | (31,654,117) |
Net realized gains Class S | (62,382) | (697,044) |
Institutional Class | (8,205,004) | (105,625,464) |
Return of capital: Class S | (40,733) | — |
Institutional Class | (5,967,926) | — |
Total distributions | (28,490,653) | (138,163,332) |
Fund share transactions: Proceeds from shares sold | 48,621,820 | 99,016,462 |
Reinvestment of distributions | 28,489,415 | 138,155,019 |
Cost of shares redeemed | (185,258,477) | (118,987,404) |
Redemption fees* | — | 89,752 |
Net increase (decrease) in net assets from Fund share transactions | (108,147,242) | 118,273,829 |
Increase (decrease) in net assets | (338,573,093) | (22,402,057) |
Net assets at beginning of period | 743,250,272 | 765,652,329 |
Net assets at end of period (including accumulated distributions in excess of net investment income and undistributed net investment income of $529,474 and $5,530,126, respectively) | $ 404,677,179 | $ 743,250,272 |
The accompanying notes are an integral part of the financial statements.
Class S+ Years Ended March 31, | 2009 | 2008 | 2007 | 2006 | 2005 |
Selected Per Share Data | |||||
Net asset value, beginning of period | $ 9.79 | $ 11.85 | $ 11.30 | $ 10.62 | $ 10.43 |
Income (loss) from investment operations: Net investment incomea | .26 | .29 | .33 | .22 | .21 |
Net realized and unrealized gain (loss) | (3.40) | (.30) | .80 | .70 | .30 |
Total from investment operations | (3.14) | (.01) | 1.13 | .92 | .51 |
Less distributions from: Net investment income | (.20) | (.42) | (.25) | (.24) | (.32) |
Net realized gains | (.13) | (1.63) | (.33) | — | — |
Return of capital | (.09) | — | — | — | — |
Total distributions | (.42) | (2.05) | (.58) | (.24) | (.32) |
Redemption fees | — | .00* | .00* | .00* | .00* |
Net asset value, end of period | $ 6.23 | $ 9.79 | $ 11.85 | $ 11.30 | $ 10.62 |
Total Return (%)b | (33.05) | (.75) | 10.16 | 8.77 | 4.92 |
Ratios to Average Net Assets and Supplemental Data | |||||
Net assets, end of period ($ millions) | 3 | 5 | 5 | 31 | 56 |
Ratio of expenses before expense reductions (%) | 1.08 | 1.05 | .93 | 1.41 | 1.33c |
Ratio of expenses after expense reductions (%) | .82 | .87 | .71 | 1.00 | 1.00c |
Ratio of net investment income (%) | 2.99 | 2.50 | 2.67 | 1.92 | 1.90 |
Portfolio turnover rate (%) | 242 | 264 | 175 | 108 | 122d |
+ On October 23, 2006, Investment Class was renamed Class S. a Based on average shares outstanding during the period. b Total return would have been lower had certain expenses not been reduced. c The ratio includes expenses allocated from the Asset Management Portfolio, the Fund's master portfolio through August 20, 2004. d This ratio includes the purchase and sales of portfolio securities of the DWS Lifecycle Long Range Fund as a stand-alone fund in addition to the Asset Management Portfolio. * Amount is less than $.005. |
The accompanying notes are an integral part of the financial statements.
Institutional Class Years Ended March 31, | 2009 | 2008 | 2007 | 2006 | 2005 |
Selected Per Share Data | |||||
Net asset value, beginning of period | $ 10.22 | $ 12.29 | $ 11.74 | $ 11.04 | $ 10.84 |
Income (loss) from investment operations: Net investment incomea | .28 | .32 | .34 | .27 | .25 |
Net realized and unrealized gain (loss) | (3.54) | (.29) | .85 | .74 | .33 |
Total from investment operations | (3.26) | .03 | 1.19 | 1.01 | .58 |
Less distributions from: Net investment income | (.23) | (.47) | (.31) | (.31) | (.38) |
Net realized gains | (.13) | (1.63) | (.33) | — | — |
Return of capital | (.09) | — | — | — | — |
Total distributions | (.45) | (2.10) | (.64) | (.31) | (.38) |
Redemption fees | — | .00* | .00* | .00* | .00* |
Net asset value, end of period | $ 6.51 | $ 10.22 | $ 12.29 | $ 11.74 | $ 11.04 |
Total Return (%)b | (32.84) | (.40) | 10.28 | 9.19 | 5.42 |
Ratios to Average Net Assets and Supplemental Data | |||||
Net assets, end of period ($ millions) | 402 | 738 | 761 | 726 | 719 |
Ratio of expenses before expense reductions (%) | .98 | .89 | .89 | .91 | .83c |
Ratio of expenses after expense reductions (%) | .57 | .55 | .55 | .55 | .55c |
Ratio of net investment income (%) | 3.24 | 2.82 | 2.83 | 2.37 | 2.35 |
Portfolio turnover rate (%) | 242 | 264 | 175 | 108 | 122d |
a Based on average shares outstanding during the period. b Total return would have been lower had certain expenses not been reduced. c The ratio includes expenses allocated from the Asset Management Portfolio, the Fund's master portfolio through August 20, 2004. d This ratio includes the purchase and sales of portfolio securities of the DWS Lifecycle Long Range Fund as a stand-alone fund in addition to the Asset Management Portfolio. * Amount is less than $.005. |
The accompanying notes are an integral part of the financial statements.
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 and exchange traded funds 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. In accordance with the Fund's valuation procedures, factors used in determining value may include, but are not limited to, the type of the security, the size of the holding, the initial cost of the security, the existence of any contractual restrictions on the security's disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies, quotations or evaluated prices from broker-dealers and/or pricing services, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company's financial statements, an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold and with respect to debt securities, the maturity, coupon, creditworthiness, currency denomination, and the movement of the market in which the security is normally traded. The value determined under these procedures may differ from published values for the same securities.
The Fund adopted Financial Accounting Standards Board ("FASB") Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"), effective at the beginning of the Fund's fiscal year. Disclosure about the classification of fair value measurements is included at the end of the Fund's Investment Portfolio.
New Accounting Pronouncements. 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.
In addition, in April 2009, FASB issued FASB Staff Position No. 157-4, "Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP 157-4"). FSP 157-4 provides additional guidance for estimating fair value in accordance with FAS 157, when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate a transaction is not orderly. FSP 157-4 is effective for fiscal years and interim periods ending after June 15, 2009. Management is currently reviewing the enhanced disclosure requirements for the adoption of FSP 157-4.
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 market 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 a 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 reinvestment 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. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities.
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.
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.
Additionally, based on the Fund's understanding of the tax rules and rates related to income, gains and transactions for the foreign jurisdictions in which it invests, the Fund will provide for foreign taxes, and where appropriate, deferred foreign taxes.
At March 31, 2009, the Fund had a net tax basis capital loss carryforward of approximately $108,377,000, which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until March 31, 2010 ($4,331,000), March 31, 2011 ($6,531,000), March 31, 2012 ($1,658,000), March 31, 2013 ($255,000) and March 31, 2017 ($95,602,000), 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, 2008 through March 31, 2009, the Fund incurred approximately $108,949,000 of net realized capital losses and currency losses of approximately $246,000. 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, 2010.
The Fund has reviewed the tax positions for the open tax years as of March 31, 2009 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 contracts and certain securities sold at a loss. As a result net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, the Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of the Fund.
At March 31, 2009, each Fund's components of distributable earnings (accumulated losses) on a tax-basis were as follows:
Capital loss carryforward | $ (108,377,000) |
Net unrealized appreciation (depreciation) on investments | $ (73,860,778) |
In addition, the tax character of distributions paid to shareholders by the Fund is summarized as follows:
| Years Ended March 31, | |
| 2009 | 2008 |
Distributions from ordinary income* | $ 14,401,959 | $ 70,993,246 |
Distributions from long-term capital gains* | $ 8,080,035 | $ 67,170,086 |
Return of capital | $ 6,008,659 | $ — |
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 return of capital for tax reporting purposes.
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 year ended March 31, 2009, purchases and sales of investment securities (excluding short-term investments and US Treasury obligations) aggregated $910,128,756 and $1,015,149,639, respectively. Purchases and sales of US Treasury obligations aggregated $301,206,157 and $293,685,807, 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% |
Effective October 1, 2008 through September 30, 2009, the Advisor has contractually agreed to waive all or a portion of its management fee and reimburse or pay certain operating expenses of the Fund (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) to the extent necessary to maintain the total operating expenses of Class S at 1.00%.
In addition, 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 year ended March 31, 2009, the Advisor waived a portion of its management fee pursuant to the Investment Management Agreement aggregating $1,404,379 ($10,137 and $1,394,242 for Class S and Institutional Class, respectively) and the amount charged aggregated $1,767,553, which was equivalent to an annual effective rate of 0.33% of the Fund's average daily net assets.
In addition, for the year ended March 31, 2009, the Advisor reimbursed $820,961 of sub-recordkeeping expenses for Institutional Class shares.
Administration Fee. Pursuant to an Administrative Services Agreement, DIMA provides most administrative services to the Fund. For all services provided under the Administrative Services Agreement, the Fund pays the Advisor an annual fee ("Administration Fee") of 0.10% of the Fund's average daily net assets, computed and accrued daily and payable monthly. For the year ended March 31, 2009, the Advisor received an Administration Fee of $540,771, of which $32,874 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 year ended March 31, 2009, the amounts charged to the Fund by DISC were as follows:
Services to Shareholders | Total Aggregated | Waived | Unpaid at March 31, 2009 |
Class S | $ 1,966 | $ — | $ 494 |
Institutional Class | 312 | 312 | — |
| $ 2,278 | $ 312 | $ 494 |
Typesetting and Filing Service Fees. Under an agreement with DIMA, DIMA is compensated for providing typesetting and certain regulatory filing services to the Fund. For the year ended March 31, 2009, the amount charged to the Fund by DIMA included in the Statement of Operations under "reports to shareholders" aggregated $46,347, of which $13,442 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.
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 March 31, 2009, 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 March 31, 2009, one or more shareholders individually held greater than 10% of the outstanding shares of the Fund. These shareholders held 70% 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 year ended March 31, 2009, the Fund's custodian fee was reduced by $2,820 and $1,051, respectively, 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:
| Year Ended March 31, 2009 | Year Ended March 31, 2008 | ||
| Shares | Dollars | Shares | Dollars |
Shares sold | ||||
Class S | 46,789 | $ 384,077 | 53,768 | $ 583,399 |
Institutional Class | 6,611,924 | 48,237,743 | 8,558,886 | 98,433,063 |
|
| $ 48,621,820 |
| $ 99,016,462 |
Shares issued to shareholders in reinvestment of distributions | ||||
Class S | 24,253 | $ 199,476 | 82,668 | $ 883,751 |
Institutional Class | 3,297,625 | 28,289,939 | 12,318,040 | 137,271,268 |
|
| $ 28,489,415 |
| $ 138,155,019 |
Shares redeemed | ||||
Class S | (104,736) | $ (805,893) | (84,282) | $ (1,031,482) |
Institutional Class | (20,460,940) | (184,452,584) | (10,507,314) | (117,955,922) |
|
| $ (185,258,477) |
| $ (118,987,404) |
Redemption fees | $ — |
| $ 89,752 | |
Net increase (decrease) | ||||
Class S | (33,694) | $ (222,340) | 52,154 | $ 525,420 |
Institutional Class | (10,551,391) | (107,924,902) | 10,369,612 | 117,748,409 |
|
| $ (108,147,242) |
| $ 118,273,829 |
H. Payments by Affiliates
The Advisor has agreed to fully reimburse the Fund for a loss incurred on a trade executed incorrectly. The amount of the loss was less than 0.01% of the Fund's average daily net assets, thus having no impact on the Fund's total return.
Report of Independent Registered Public Accounting Firm
To the Trustees of DWS Advisor Funds and Shareholders of DWS Lifecycle Long Range Fund:
In our opinion, the accompanying statement of assets and liabilities, including the investment portfolio, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DWS Lifecycle Long Range Fund (the "Fund") at March 31, 2009, and the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
Boston, Massachusetts | PricewaterhouseCoopers LLP |
The Fund paid distributions of $0.13 per share from net long-term capital gains during its year ended March 31, 2009, of which 100% represents 15% rate gains.
For corporate shareholders, 30% of the income dividends paid during the Fund's fiscal year ended March 31, 2009, qualified for the dividends received deduction.
For federal income tax purposes, the Fund designates $8,460,000, or the maximum amount allowable under tax law, as qualified dividend income.
Please consult a tax advisor if you have questions about federal or state income tax laws, or on how to prepare your tax returns. If you have specific questions about your account, please call (800) 621-1048.
Summary of Management Fee Evaluation by Independent Fee Consultant
October 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
Summary of Administrative Fee Evaluation by Independent Fee Consultant
September 29, 2008
Pursuant to an Order entered into by Deutsche Asset Management (DeAM) with the Attorney General of New York, I, Thomas H. Mack, have been appointed the Independent Fee Consultant for the DWS Funds and have as part of my duties evaluated the reasonableness of the proposed management fees to be charged by DeAM to the DWS Funds, taking onto account a proposal to pass through to the funds certain fund accounting-related charges in connection with new regulatory requirements. My evaluation considered the following:
• While the proposal would alter the services to be provided under the Administration Agreement, which I consider to be part of fund management under the Order, it is my opinion that the change in services is slight and that the scope of prospective services under the combination of the Advisory and Administration Agreements continues to be comparable with those typically provided to competitive funds under their management agreements.
• While the proposal would increase fund expenses, according to a pro forma analysis performed by management, the prospective effect is less than .01% for all but seven of the DeAM Funds' 438 active share classes, and in all cases the effect is less than .03% and overall expenses would remain reasonable in my opinion.
Based on the foregoing considerations, in my opinion the fees and expenses for all of the DWS Funds will remain reasonable if the Directors adopt this proposal.
Thomas H. Mack
The following table presents certain information regarding the Board Members and Officers of the Trust as of March 31, 2009. Each Board Member's year of birth is set forth in parentheses after his or her name. Unless otherwise noted, (i) each Board Member has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity; and (ii) the address of each Independent Board Member is c/o Dawn-Marie Driscoll, PO Box 100176, Cape Coral, FL 33904. Except as otherwise noted below, the term of office for each Board Member is until the election and qualification of a successor, or until such Board Member sooner dies, resigns, is removed or as otherwise provided in the governing documents of the fund. Because the fund does not hold an annual meeting of shareholders, each Board Member will hold office for an indeterminate period. The Board Members may also serve in similar capacities with other funds in the fund complex. The Length of Time Served represents the year in which the Board Member joined the board of one or more DWS funds now overseen by the Board.
Independent Board Members | ||
Name, Year of Birth, Position with the Fund and Length of Time Served1 | Business Experience and Directorships During the Past Five Years | Number of Funds in DWS Fund Complex Overseen |
Paul K. Freeman (1950) Chairperson since 20092 Board Member since 1993 | Consultant, World Bank/Inter-American Development Bank; Governing Council of the Independent Directors Council (governance, executive committees); formerly, Project Leader, International Institute for Applied Systems Analysis (1998-2001); Chief Executive Officer, The Eric Group, Inc. (environmental insurance) (1986-1998) | 133 |
John W. Ballantine (1946) Board Member since 1999 | Retired; formerly, Executive Vice President and Chief Risk Management Officer, First Chicago NBD Corporation/The First National Bank of Chicago (1996-1998); Executive Vice President and Head of International Banking (1995-1996). Directorships: Healthways, Inc. (provider of disease and care management services); Portland General Electric (utility company); Stockwell Capital Investments PLC (private equity). Former Directorships: First Oak Brook Bancshares, Inc. and Oak Brook Bank | 133 |
Henry P. Becton, Jr. (1943) Board Member since 1990 | Vice Chair, WGBH Educational Foundation. Directorships: Association of Public Television Stations; Becton Dickinson and Company3 (medical technology company); Belo Corporation3 (media company); Boston Museum of Science; Public Radio International; PRX, The Public Radio Exchange; The PBS Foundation. Former Directorships: American Public Television; Concord Academy; New England Aquarium; Mass. Corporation for Educational Telecommunications; Committee for Economic Development; Public Broadcasting Service | 133 |
Dawn-Marie Driscoll (1946) Board Member since 1987 | President, Driscoll Associates (consulting firm); Executive Fellow, Center for Business Ethics, Bentley University; formerly, Partner, Palmer & Dodge (1988-1990); Vice President of Corporate Affairs and General Counsel, Filene's (1978-1988). Directorships: Trustee of 20 open-end mutual funds managed by Sun Capital Advisers, Inc. (since 2007); Director of ICI Mutual Insurance Company (since 2007); Advisory Board, Center for Business Ethics, Bentley University; Trustee, Southwest Florida Community Foundation (charitable organization). Former Directorships: Investment Company Institute (audit, executive, nominating committees) and Independent Directors Council (governance, executive committees) | 133 |
Keith R. Fox (1954) Board Member since 1996 | Managing General Partner, Exeter Capital Partners (a series of private equity funds). Directorships: Progressive Holding Corporation (kitchen goods importer and distributor); Natural History, Inc. (magazine publisher); Box Top Media Inc. (advertising); The Kennel Shop (retailer) | 133 |
Kenneth C. Froewiss (1945) Board Member since 2001 | Clinical Professor of Finance, NYU Stern School of Business (1997-present); Member, Finance Committee, Association for Asian Studies (2002-present); Director, Mitsui Sumitomo Insurance Group (US) (2004-present); prior thereto, Managing Director, J.P. Morgan (investment banking firm) (until 1996) | 133 |
Richard J. Herring (1946) Board Member since 1990 | Jacob Safra Professor of International Banking and Professor, Finance Department, The Wharton School, University of Pennsylvania (since July 1972); Co-Director, Wharton Financial Institutions Center (since July 2000); Director, Japan Equity Fund, Inc. (since September 2007), Thai Capital Fund, Inc. (since September 2007), Singapore Fund, Inc. (since September 2007). Formerly, Vice Dean and Director, Wharton Undergraduate Division (July 1995-June 2000); Director, Lauder Institute of International Management Studies (July 2000-June 2006) | 133 |
William McClayton (1944) Board Member since 2004 | Managing Director, Diamond Management & Technology Consultants, Inc. (global management consulting firm) (2001-present); Directorship: Board of Managers, YMCA of Metropolitan Chicago; formerly: Senior Partner, Arthur Andersen LLP (accounting) (1966-2001); Trustee, Ravinia Festival | 133 |
Rebecca W. Rimel (1951) Board Member since 1995 | President and Chief Executive Officer, The Pew Charitable Trusts (charitable organization) (1994 to present); Trustee, Thomas Jefferson Foundation (charitable organization) (1994 to present); Trustee, Executive Committee, Philadelphia Chamber of Commerce (2001-2007); Trustee, Pro Publica (2007-present) (charitable organization). Formerly, Executive Vice President, The Glenmede Trust Company (investment trust and wealth management) (1983-2004); Board Member, Investor Education (charitable organization) (2004-2005); Director, Viasys Health Care3 (January 2007-June 2007) | 133 |
William N. Searcy, Jr. (1946) Board Member since 1993 | Private investor since October 2003; Trustee of 20 open-end mutual funds managed by Sun Capital Advisers, Inc. (since October 1998). Formerly, Pension & Savings Trust Officer, Sprint Corporation3 (telecommunications) (November 1989-September 2003) | 133 |
Jean Gleason Stromberg (1943) Board Member since 1997 | Retired. Formerly, Consultant (1997-2001); Director, US Government Accountability Office (1996-1997); Partner, Fulbright & Jaworski, L.L.P. (law firm) (1978-1996). Directorships: The William and Flora Hewlett Foundation; Business Leadership Council, Wellesley College. Former Directorships: Service Source, Inc., Mutual Fund Directors Forum (2002-2004), American Bar Retirement Association (funding vehicle for retirement plans) (1987-1990 and 1994-1996) | 133 |
Robert H. Wadsworth (1940) Board Member since 1999 | President, Robert H. Wadsworth & Associates, Inc. (consulting firm) (1983 to present); Director, The Phoenix Boys Choir Association | 136 |
Interested Board Member | ||
Name, Year of Birth, Position with the Fund and Length of Time Served1 | Business Experience and Directorships During the Past Five Years | Number of Funds in Fund Complex Overseen |
Axel Schwarzer4 (1958) Board Member since 2006 | Managing Director5, Deutsche Asset Management; Head of Deutsche Asset Management Americas; CEO of DWS Investments; formerly, board member of DWS Investments, Germany (1999-2005); formerly, Head of Sales and Product Management for the Retail and Private Banking Division of Deutsche Bank in Germany (1997-1999); formerly, various strategic and operational positions for Deutsche Bank Germany Retail and Private Banking Division in the field of investment funds, tax driven instruments and asset management for corporates (1989-1996) | 133 |
Officers6 | |
Name, Year of Birth, Position with the Fund and Length of Time Served7 | Principal Occupation(s) During Past 5 Years and Other Directorships Held |
Michael G. Clark8 (1965) President, 2006-present | Managing Director5, Deutsche Asset Management (2006-present); President of DWS family of funds; Director, ICI Mutual Insurance Company (since October 2007); formerly, Director of Fund Board Relations (2004-2006) and Director of Product Development (2000-2004), Merrill Lynch Investment Managers; Senior Vice President Operations, Merrill Lynch Asset Management (1999-2000) |
John Millette9 (1962) Vice President and Secretary, 1999-present | Director5, Deutsche Asset Management |
Paul H. Schubert8 (1963) Chief Financial Officer, 2004-present Treasurer, 2005-present | Managing Director5, Deutsche Asset Management (since July 2004); formerly, Executive Director, Head of Mutual Fund Services and Treasurer for UBS Family of Funds (1998-2004); Vice President and Director of Mutual Fund Finance at UBS Global Asset Management (1994-1998) |
Caroline Pearson9 (1962) Assistant Secretary, 1997-present | Managing Director5, Deutsche Asset Management |
Rita Rubin10 (1970) Assistant Secretary, 2009-present | Vice President and Counsel, Deutsche Asset Management (since October 2007); formerly, Vice President, Morgan Stanley Investment Management (2004-2007); Attorney, Shearman & Sterling LLP (2004); Vice President and Associate General Counsel, UBS Global Asset Management (2001-2004) |
Paul Antosca9 (1957) Assistant Treasurer, 2007-present | Director5, Deutsche Asset Management (since 2006); Vice President, The Manufacturers Life Insurance Company (U.S.A.) (1990-2006) |
Jack Clark9 (1967) Assistant Treasurer, 2007-present | Director5, Deutsche Asset Management (since 2007); formerly, Vice President, State Street Corporation (2002-2007) |
Diane Kenneally9 (1966) Assistant Treasurer, 2007-present | Director5, Deutsche Asset Management |
Jason Vazquez10 (1972) Anti-Money Laundering Compliance Officer, 2007-present | Vice President, Deutsche Asset Management (since 2006); formerly, AML Operations Manager for Bear Stearns (2004-2006), Supervising Compliance Principal and Operations Manager for AXA Financial (1999-2004) |
Robert Kloby10 (1962) Chief Compliance Officer, 2006-present | Managing Director5, Deutsche Asset Management (2004-present); formerly, Chief Compliance Officer/Chief Risk Officer, Robeco USA (2000-2004); Vice President, The Prudential Insurance Company of America (1988-2000); E.F. Hutton and Company (1984-1988) |
J. Christopher Jackson10 (1951) Chief Legal Officer, 2006-present | Director5, Deutsche Asset Management (2006-present); formerly, Director, Senior Vice President, General Counsel and Assistant Secretary, Hansberger Global Investors, Inc. (1996-2006); Director, National Society of Compliance Professionals (2002-2005) (2006-2009) |
2 Mr. Freeman assumed the Chairperson role as of January 1, 2009. Prior to that Ms. Driscoll served as Chairperson of certain DWS funds since 2004.
3 A publicly held company with securities registered pursuant to Section 12 of the Securities Exchange Act of 1934.
4 The mailing address of Axel Schwarzer is c/o Deutsche Investment Management Americas Inc., 345 Park Avenue, New York, New York 10154. Mr. Schwarzer is an interested Board Member by virtue of his positions with Deutsche Asset Management. As an interested person, Mr. Schwarzer receives no compensation from the fund.
5 Executive title, not a board directorship.
6 As a result of their respective positions held with the Advisor, these individuals are considered "interested persons" of the Advisor within the meaning of the 1940 Act. Interested persons receive no compensation from the fund.
7 The length of time served represents the year in which the officer was first elected in such capacity for one or more DWS funds.
8 Address: 345 Park Avenue, New York, New York 10154.
9 Address: One Beacon Street, Boston, MA 02108.
10 Address: 280 Park Avenue, New York, New York 10017.
The fund's Statement of Additional Information ("SAI") includes additional information about the Board Members. The SAI is available, without charge, upon request. If you would like to request a copy of the SAI, you may do so by calling the following toll-free number: (800) 621-1048.
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For More Information | The automated telephone system allows you to access personalized account information and obtain information on other DWS funds using either your voice or your telephone keypad. Certain account types within Class S also 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 30 are 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 |
Notes
Notes
Notes
ITEM 2. | CODE OF ETHICS |
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| As of the end of the period, March 31, 2009, DWS Lifecycle Long Range Fund has a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its Principal Executive Officer and Principal Financial Officer.
There have been no amendments to, or waivers from, a provision of the code of ethics during the period covered by this report that would require disclosure under Item 2.
A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
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ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT |
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| The Funds’ audit committee is comprised solely of trustees who are “independent” (as such term has been defined by the Securities and Exchange Commission (“SEC”) in regulations implementing Section 407 of the Sarbanes-Oxley Act (the “Regulations”)). The Funds’ Board of Trustees has determined that there are several “audit committee financial experts” (as such term has been defined by the Regulations) serving on the Funds’ audit committee including Mr. William McClayton, the chair of the Funds’ audit committee. The SEC has stated that an audit committee financial expert is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933 and the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. |
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ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES |
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DWS LIFECYCLE LONG RANGE FUND
FORM N-CSR DISCLOSURE RE: AUDIT FEES
The following table shows the amount of fees that PricewaterhouseCoopers, LLP (“PWC”), the Fund’s independent registered public accounting firm, billed to the Fund during the Fund’s last two fiscal years. The Audit Committee approved in advance all audit services and non-audit services that PWC provided to the Fund.
Services that the Fund’s Independent Registered Public Accounting Firm Billed to the Fund
Fiscal Year | Audit Fees Billed to Fund | Audit-Related | Tax Fees Billed to Fund | All |
2009 | $77,525 | $0 | $0 | $0 |
2008 | $68,025 | $0 | $0 | $0 |
Services that the Fund’s Independent Registered Public Accounting Firm Billed to the Adviser and Affiliated Fund Service Providers
The following table shows the amount of fees billed by PWC to Deutsche Investment Management Americas, Inc. (“DeIM” or the “Adviser”), and any entity controlling, controlled by or under common control with DeIM (“Control Affiliate”) that provides ongoing services to the Fund (“Affiliated Fund Service Provider”), for engagements directly related to the Fund’s operations and financial reporting, during the Fund’s last two fiscal years.
Fiscal Year | Audit-Related | Tax Fees Billed to Adviser and Affiliated Fund Service Providers | All |
2009 | $0 | $19,000 | $0 |
2008 | $21,500 | $25,000 | $0 |
The “Audit-Related Fees” were billed for services in connection with the agreed-upon procedures related to fund mergers and the above “Tax Fees” were billed in connection with tax consultation and agreed-upon procedures.
Non-Audit Services
The following table shows the amount of fees that PWC billed during the Fund’s last two fiscal years for non-audit services. The Audit Committee pre-approved all non-audit services that PWC provided to the Adviser and any Affiliated Fund Service Provider that related directly to the Fund’s operations and financial reporting. The Audit Committee requested and received information from PWC about any non-audit services that PWC rendered during the Fund’s last fiscal year to the Adviser and any Affiliated Fund Service Provider. The Committee considered this information in evaluating PWC’s independence.
Fiscal Year | Total (A) | Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (engagements related directly to the operations and financial reporting of the Fund) (B) | Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (all other engagements) (C) | Total of (A), (B) |
2009 | $0 | $19,000 | $0 | $19,000 |
2008 | $0 | $25,000 | $600,000 | $625,000 |
All other engagement fees were billed for services provided by PWC for services related to consulting on an IT project.
Audit Committee Pre-Approval Policies and Procedures. Generally, each Fund’s Audit Committee must pre approve (i) all services to be performed for a Fund by a Fund’s Independent Registered Public Accounting Firm and (ii) all non-audit services to be performed by a Fund’s Independent Registered Public Accounting Firm for the DIMA Entities with respect to operations and financial reporting of the Fund, except that the Chairperson or Vice Chairperson of each Fund’s Audit Committee may grant the pre-approval for non-audit services described in items (i) and (ii) above for non-prohibited services for engagements of less than $100,000. All such delegated pre approvals shall be presented to each Fund’s Audit Committee no later than the next Audit Committee meeting.
There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception under Rule 2-01 of Regulation S-X.
According to the registrant’s principal Independent Registered Public Accounting Firm, all of the principal Independent Registered Public Accounting Firm's hours spent on auditing the registrant's financial statements were attributed to work performed by full-time permanent employees of the principal Independent Registered Public Accounting Firm.
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PwC advised the Fund's Audit Committee that PwC has identified two matters that it determined to be inconsistent with the SEC's auditor independence rules. In the first instance, an employee of PwC had power of attorney over an account which included DWS funds. The employee did not perform any audit services for the DWS Funds, but did work on a non audit project for Deutsche Bank AG. In the second instance, an employee of PwC served as a nominee shareholder (effectively equivalent to a Trustee) of various companies/trusts since 2001. Some of these companies held shares of Aberdeen, a sub advisor to certain DWS Funds, and of certain funds sponsored by subsidiaries of Deutsche Bank AG. The trustee relationship has ceased. PwC informed the Audit Committee that these matters could have constituted an investment in an affiliate of an audit client in violation of the Rule 2-01(c)(1) of Regulation S-X. PwC advised the Audit Committee that PwC believes its independence had not been impacted as it related to the audits of the Fund. In reaching this conclusion, PwC noted that during the time of its audit, the engagement team was not aware of the investment and that PwC does not believe these situations affected PwC's ability to act objectively and impartially and to issue a report on financial statements as the funds' independent auditor.
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ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS |
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| Not Applicable |
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ITEM 6. | SCHEDULE OF INVESTMENTS |
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| Not Applicable |
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ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
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| Not applicable. |
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ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
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| Not applicable. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
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| Not Applicable. |
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS |
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| The primary function of the Nominating and Governance Committee is to identify and recommend individuals for membership on the Board and oversee the administration of the Board Governance Guidelines. Shareholders may recommend candidates for Board positions by forwarding their correspondence by U.S. mail or courier service to Chairman of the Board, P.O. Box 100176, Cape Coral, FL 33910. |
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ITEM 11. | CONTROLS AND PROCEDURES |
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| (a) The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. |
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| (b) There have been no changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting. |
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ITEM 12. | EXHIBITS |
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| (a)(1) Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
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| (a)(2) Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
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| (b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
Form N-CSR Item F
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | DWS Lifecycle Long Range Fund, a series of DWS Advisor Funds |
By: | /s/Michael G. Clark |
| Michael G. Clark |
President
Date: | May 29, 2009 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Registrant: | DWS Lifecycle Long Range Fund, a series of DWS Advisor Funds |
By: | /s/Michael G. Clark |
| Michael G. Clark |
President
Date: | May 29, 2009 |
By: | /s/Paul Schubert |
| Paul Schubert |
Chief Financial Officer and Treasurer
Date: May 29, 2009