UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549
FORM N-CSRS
Investment Company Act file number | 811-04760 |
DWS Advisor Funds
(Exact Name of Registrant as Specified in Charter)
345 Park Avenue
New York, NY 10154-0004
(Address of Principal Executive Offices) (Zip Code)
Registrant’s Telephone Number, including Area Code: (212) 454-7190
Paul Schubert
345 Park Avenue
New York, NY 10154-0004
(Name and Address of Agent for Service)
Date of fiscal year end: | 3/31 |
Date of reporting period: | 09/30/09 |
ITEM 1. REPORT TO STOCKHOLDERS
SEPTEMBER 30, 2009 Semiannual Report |
|
DWS Lifecycle Long Range Fund |
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Contents
4 Performance Summary 6 Information About Your Fund's Expenses 8 Portfolio Summary 10 Investment Portfolio 57 Financial Statements 61 Financial Highlights 63 Notes to Financial Statements 74 Investment Management Agreement Approval 79 Summary of Management Fee Evaluation by Independent Fee Consultant 84 Account Management Resources 85 Privacy Statement |
This report must be preceded or accompanied by a prospectus. To obtain a prospectus for any of our funds, refer to the Account Management Resources information provided in the back of this booklet. We advise you to consider the fund's objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other important information about the fund. Please read the prospectus carefully before you invest.
Investments in mutual funds involve risk. Some funds have more risk than others. Although asset allocation among different asset classes generally limits risk and exposure to any one class, the risk remains that the investment advisor may favor an asset class that performs poorly relative to the other asset classes. The fund is subject to stock market risk, meaning stocks of companies the fund holds may decline in value for extended periods of time due to the activities and financial prospects of individual companies, or due to general market and economic conditions. Bond investments are subject to interest-rate risk such that when interest rates rise, the prices of the bonds, and thus the value of the fund, can decline and the investor can lose principal value. Investing in foreign securities presents certain risks, such as currency fluctuation, political and economic changes and market risks. Additionally, derivatives may be more volatile and less liquid than traditional securities, and the fund could suffer losses on its derivatives positions. Please read this fund's prospectus for specific details regarding its investments and risk profile.
DWS Investments is part of Deutsche Bank's Asset Management division and, within the US, represents the retail asset management activities of Deutsche Bank AG, Deutsche Bank Trust Company Americas, Deutsche Investment Management Americas Inc. and DWS Trust Company.
NOT FDIC/NCUA INSURED NO BANK GUARANTEE MAY LOSE VALUE NOT A DEPOSIT NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY
Performance Summary September 30, 2009
Average Annual Total Returns as of 9/30/09 | |||||
No Sales Charges | 6-Month‡ | 1-Year | 3-Year | 5-Year | 10-Year |
Class S | 28.75% | -2.43% | -3.26% | 1.52% | 1.70% |
Institutional Class | 28.97% | -2.21% | -3.00% | 1.85% | 2.09% |
Barclays Capital US Aggregate Bond Index+ | 5.59% | 10.56% | 6.41% | 5.13% | 6.30% |
Russell 1000® Index+ | 35.22% | -6.14% | -5.10% | 1.49% | 0.41% |
Blended Index+ | 26.80% | 3.00% | 0.03% | 3.09% | 2.81% |
Sources: Lipper Inc. and Deutsche Investment Management Americas Inc.
‡ Total returns shown for periods less than one year are not annualized.Performance in the Average Annual Total Returns table above and the Growth of an Assumed $10,000 Investment line graph that follows is historical and does not guarantee future results. Investment return and principal fluctuate, so your shares may be worth more or less when redeemed. Current performance may differ from performance data shown. Please visit www.dws-investments.com for the Fund's most recent month-end performance. Performance includes reinvestment of all distributions.
The gross expense ratios of the Fund, as stated in the fee table of the prospectus dated February 1, 2009 are 1.08% and 0.98% for Class S and Institutional Class shares, respectively, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report.
Equity index returns assume reinvestment of dividends and, unlike Fund returns, do not reflect any fees or expenses. Fixed income index returns, unlike Fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
Performance figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
Growth of an Assumed $1,000,000 Investment |
[] DWS Lifecycle Long Range Fund — Institutional Class [] Barclays Capital US Aggregate Bond Index+ [] Russell 1000 Index+ [] Blended Index+ |
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Yearly periods ended September 30 |
The growth of $1,000,000 is cumulative.
The minimum initial investment for the Institutional Class is $1,000,000.
Performance of other share classes will vary based on the sales charges and the fee structure of those classes.
+ The Barclays Capital US Aggregate Bond Index is an unmanaged, market-value-weighted measure of Treasury issues, corporate bond issues and mortgage securities.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 Blended Index 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%).
Net Asset Value and Distribution Information | ||
| Class S | Institutional Class |
Net Asset Value: 9/30/09 | $ 7.93 | $ 8.29 |
3/31/09 | $ 6.23 | $ 6.51 |
Distribution Information: Six Months as of 9/30/09:Income Dividends | $ .08 | $ .10 |
Lipper Rankings — Mixed-Asset Target Allocation Moderate Funds Category as of 9/30/09 | ||||
Period | Rank |
| Number of Fund Classes Tracked | Percentile Ranking (%) |
Class S 1-Year | 461 | of | 505 | 92 |
3-Year | 333 | of | 390 | 86 |
5-Year | 245 | of | 300 | 82 |
Institutional Class 1-Year | 457 | of | 505 | 91 |
3-Year | 327 | of | 390 | 84 |
5-Year | 222 | of | 300 | 74 |
10-Year | 95 | of | 147 | 65 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total return unadjusted for sales charges with distributions reinvested.
Information About Your Fund's Expenses
As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees and other Fund expenses. Examples of transaction costs include account maintenance fees, which are not shown in this section. The following tables are intended to help you understand your ongoing expenses (in dollars) of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. In the most recent six-month period, the Fund limited these expenses; had it not done so, expenses would have been higher. The example in the table is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period (April 1, 2009 to September 30, 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 September 30, 2009 | ||
Actual Fund Return | Class S | Institutional Class |
Beginning Account Value 4/1/09 | $ 1,000.00 | $ 1,000.00 |
Ending Account Value 9/30/09 | $ 1,287.50 | $ 1,289.70 |
Expenses Paid per $1,000* | $ 4.93 | $ 3.21 |
Hypothetical 5% Fund Return | Class S | Institutional Class |
Beginning Account Value 4/1/09 | $ 1,000.00 | $ 1,000.00 |
Ending Account Value 9/30/09 | $ 1,020.76 | $ 1,022.26 |
Expenses Paid per $1,000* | $ 4.36 | $ 2.84 |
Annualized Expense Ratios | Class S | Institutional Class |
DWS Lifecycle Long Range Fund | .86% | .56% |
For more information, please refer to the Fund's prospectus.
Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral) | 9/30/09 | 3/31/09 |
|
|
|
Common Stocks | 56% | 57% |
Corporate Bonds | 10% | 9% |
Government & Agency Obligations | 9% | 9% |
Exchange-Traded Funds | 7% | 4% |
Cash Equivalents | 6% | 5% |
Collateralized Mortgage Obligations | 5% | 6% |
Mortgage-Backed Securities Pass-Throughs | 4% | 6% |
Commercial Mortgage-Backed Securities | 2% | 2% |
Municipal Bonds and Notes | 1% | 1% |
Asset-Backed | — | 1% |
| 100% | 100% |
Sector Diversification (As a % of Equities and Corporate Bonds) | 9/30/09 | 3/31/09 |
|
|
|
Financials | 20% | 14% |
Information Technology | 14% | 14% |
Health Care | 12% | 13% |
Consumer Discretionary | 11% | 10% |
Industrials | 10% | 11% |
Energy | 10% | 12% |
Consumer Staples | 8% | 10% |
Materials | 6% | 5% |
Utilities | 5% | 6% |
Telecommunication Services | 4% | 5% |
| 100% | 100% |
Geographical Diversification (As a % of Equity Securities) | 9/30/09 | 3/31/09 |
|
|
|
United States | 80% | 84% |
Europe (excluding United Kingdom) | 11% | 9% |
Japan | 3% | 2% |
Pacific Basin | 2% | 2% |
United Kingdom | 2% | 1% |
Other | 2% | 2% |
| 100% | 100% |
Asset allocation, sector and geographical diversifications are subject to change.
Ten Largest Equity Holdings at September 30, 2009 (6.7% of Net Assets) | |
1. AT&T, Inc. Provider of communications services | 0.9% |
2. Apple, Inc. Manufacturer of personal computers and communication solutions | 0.9% |
3. ExxonMobil Corp. Explorer and producer of oil and gas | 0.8% |
4. Microsoft Corp. Developer of computer software | 0.8% |
5. Pfizer, Inc. Manufacturer of prescription pharmaceuticals and nonprescription self-medications | 0.7% |
6. Intel Corp. Designer, manufacturer and seller of computer components and related products | 0.6% |
7. ConocoPhillips Producer of petroleum and other natural gases | 0.5% |
8. Bank of America Corp. Provider of commercial financial services | 0.5% |
9. Eli Lilly & Co. Producer of pharmaceuticals | 0.5% |
10. Northrop Grumman Corp. Provides products, services and solutions in defense and commercial electronics | 0.5% |
Portfolio holdings are subject to change.
For more complete details about the Fund's investment portfolio, see page 10. 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 September 30, 2009 (Unaudited)
|
| Value ($) | ||
|
| |||
Common Stocks 55.7% | ||||
Consumer Discretionary 5.7% | ||||
Auto Components 0.1% | ||||
Bridgestone Corp. | 400 | 7,123 | ||
Compagnie Generale des Etablissements Michelin "B" | 157 | 12,353 | ||
Cooper Tire & Rubber Co. | 14,500 | 254,910 | ||
Denso Corp. | 300 | 8,720 | ||
Magna International, Inc. "A" | 300 | 12,786 | ||
Minth Group Ltd. | 235,600 | 211,163 | ||
Modine Manufacturing Co. | 700 | 6,489 | ||
S&T Dynamics Co., Ltd. | 7,020 | 86,740 | ||
Standard Motor Products, Inc. | 900 | 13,680 | ||
Tenneco, Inc.* | 2,900 | 37,816 | ||
Tianneng Power International Ltd. | 228,000 | 117,566 | ||
Toyota Industries Corp. | 200 | 5,449 | ||
| 774,795 | |||
Automobiles 0.2% | ||||
Bayerische Motoren Werke (BMW) AG | 276 | 13,323 | ||
Daimler AG (Registered) | 10,116 | 509,393 | ||
Fiat SpA* | 4,275 | 55,139 | ||
Honda Motor Co., Ltd. | 1,300 | 39,419 | ||
Mitsubishi Motors Corp.* | 3,000 | 4,916 | ||
Nissan Motor Co., Ltd.* | 1,400 | 9,402 | ||
Renault SA* | 194 | 9,074 | ||
Suzuki Motor Corp. | 200 | 4,647 | ||
Toyota Motor Corp. | 11,760 | 462,826 | ||
Volkswagen AG | 98 | 16,094 | ||
| 1,124,233 | |||
Distributors 0.1% | ||||
Genuine Parts Co. | 6,800 | 258,808 | ||
Jardine Cycle & Carriage Ltd. | 1,000 | 17,145 | ||
Li & Fung Ltd. | 16,000 | 65,261 | ||
| 341,214 | |||
Diversified Consumer Services 0.3% | ||||
Apollo Group, Inc. "A"* | 11,900 | 876,673 | ||
Brink's Home Security Holdings, Inc.* | 1,200 | 36,948 | ||
Capella Education Co.* | 2,300 | 154,882 | ||
Grand Canyon Education, Inc.* | 1,200 | 21,396 | ||
Lincoln Educational Services Corp.* | 7,600 | 173,888 | ||
Steiner Leisure Ltd.* | 1,100 | 39,336 | ||
Stewart Enterprises, Inc. "A" | 2,400 | 12,552 | ||
Universal Technical Institute, Inc.* | 600 | 11,820 | ||
| 1,327,495 | |||
Hotels Restaurants & Leisure 0.7% | ||||
Accor SA | 63 | 3,509 | ||
Ambassadors Group, Inc. | 1,800 | 28,170 | ||
Aristocrat Leisure Ltd. | 2,777 | 12,791 | ||
Bob Evans Farms, Inc. | 6,200 | 180,172 | ||
Carnival PLC | 221 | 7,537 | ||
Carrols Restaurant Group, Inc.* | 1,200 | 9,072 | ||
Compass Group PLC | 1,638 | 10,020 | ||
Cracker Barrel Old Country Store, Inc. | 1,600 | 55,040 | ||
Crown Ltd. | 2,319 | 18,194 | ||
Darden Restaurants, Inc. | 13,750 | 469,287 | ||
Genting Singapore PLC* | 48,000 | 37,823 | ||
Hiday Hidaka Corp. | 4,400 | 53,631 | ||
Isle of Capri Casinos, Inc.* | 1,400 | 16,506 | ||
Lottomatica SpA | 479 | 10,737 | ||
Marriott International, Inc. "A" | 20,349 | 561,429 | ||
McDonald's Corp. | 25,850 | 1,475,259 | ||
OPAP SA | 4,729 | 122,288 | ||
P.F. Chang's China Bistro, Inc.* | 5,900 | 200,423 | ||
Paddy Power PLC | 7,011 | 213,477 | ||
PartyGaming PLC* | 21,868 | 94,794 | ||
REXLot Holdings Ltd.* | 2,575,000 | 228,917 | ||
Shangri-La Asia Ltd. | 8,000 | 15,072 | ||
Sodexo | 129 | 7,754 | ||
TABCORP Holdings Ltd. | 3,228 | 20,328 | ||
Tatts Group Ltd. | 9,284 | 20,762 | ||
Whitbread PLC | 338 | 6,569 | ||
| 3,879,561 | |||
Household Durables 0.4% | ||||
Advanced Digital Broadcast Holdings SA (Registered)* | 1,761 | 94,999 | ||
Electrolux AB "B"* | 658 | 15,094 | ||
Garmin Ltd. | 21,500 | 811,410 | ||
Husqvarna AB "B"* | 1,300 | 9,041 | ||
La-Z-Boy, Inc. | 7,600 | 65,740 | ||
NVR, Inc.* | 500 | 318,685 | ||
Panasonic Corp. | 1,800 | 26,337 | ||
Rational AG | 1,000 | 140,220 | ||
Ryland Group, Inc. | 3,700 | 77,959 | ||
Sekisui House Ltd. | 1,000 | 8,956 | ||
Sharp Corp. | 1,000 | 11,030 | ||
Sony Corp. | 600 | 17,549 | ||
Tupperware Brands Corp. | 6,300 | 251,496 | ||
| 1,848,516 | |||
Internet & Catalog Retail 0.1% | ||||
Amazon.com, Inc.* | 6,100 | 569,496 | ||
Liberty Media Corp. — Interactive "A"* | 11,200 | 122,864 | ||
| 692,360 | |||
Leisure Equipment & Products 0.1% | ||||
Aruze Corp.* | 9,400 | 152,559 | ||
RC2 Corp.* | 400 | 5,700 | ||
Smith & Wesson Holding Corp.* | 29,900 | 156,377 | ||
Sturm, Ruger & Co., Inc. | 13,300 | 172,102 | ||
| 486,738 | |||
Media 1.6% | ||||
Aegis Group PLC | 51,436 | 92,321 | ||
British Sky Broadcasting Group PLC | 1,807 | 16,521 | ||
Carmike Cinemas, Inc.* | 2,200 | 22,242 | ||
Comcast Corp. "A" | 103,400 | 1,746,426 | ||
DISH Network Corp. "A"* | 31,500 | 606,690 | ||
Fairfax Media Ltd. | 9,922 | 15,034 | ||
Gestevision Telecinco SA | 500 | 6,314 | ||
JC Decaux SA* | 8,443 | 183,068 | ||
Journal Communications, Inc. "A" | 8,900 | 32,752 | ||
Lagardere SCA | 166 | 7,746 | ||
Mediacom Communications Corp. "A"* | 33,100 | 190,656 | ||
Mediaset SpA | 4,536 | 31,806 | ||
Pearson PLC | 966 | 11,903 | ||
Publicis Groupe | 212 | 8,517 | ||
Reed Elsevier NV | 20,464 | 231,124 | ||
Reed Elsevier PLC | 2,143 | 16,050 | ||
Scripps Networks Interactive "A" | 38,600 | 1,426,270 | ||
SES "A" (FDR) | 261 | 5,924 | ||
Shaw Communications, Inc. "B" | 1,100 | 19,911 | ||
Singapore Press Holdings Ltd. | 25,000 | 68,132 | ||
Television Broadcasts Ltd. | 2,000 | 8,664 | ||
Thomson Reuters Corp. | 2,302 | 77,196 | ||
Time Warner Cable, Inc. | 43,900 | 1,891,651 | ||
Time Warner, Inc. | 54,800 | 1,577,144 | ||
Vivendi | 372 | 11,536 | ||
Wolters Kluwer NV | 7,365 | 157,614 | ||
WPP PLC | 1,283 | 11,028 | ||
| 8,474,240 | |||
Multiline Retail 0.3% | ||||
Canadian Tire Corp., Ltd. "A" | 200 | 10,790 | ||
Harvey Norman Holdings Ltd. | 3,399 | 12,837 | ||
Kohl's Corp.* | 12,750 | 727,387 | ||
Macy's, Inc. | 40,300 | 737,087 | ||
Marks & Spencer Group PLC | 1,707 | 9,893 | ||
Next PLC | 252 | 7,241 | ||
PPR | 86 | 11,038 | ||
| 1,516,273 | |||
Specialty Retail 1.3% | ||||
Advance Auto Parts, Inc. | 4,200 | 164,976 | ||
Aeropostale, Inc.* | 4,700 | 204,309 | ||
American Eagle Outfitters, Inc. | 8,500 | 143,310 | ||
Asbury Automotive Group, Inc.* | 4,866 | 61,701 | ||
AutoNation, Inc.* | 7,000 | 126,560 | ||
Barnes & Noble, Inc. | 35,700 | 793,254 | ||
Big 5 Sporting Goods Corp. | 8,300 | 125,330 | ||
Cato Corp. "A" | 9,300 | 188,697 | ||
Children's Place Retail Stores, Inc.* | 600 | 17,976 | ||
Dress Barn, Inc.* | 700 | 12,551 | ||
Esprit Holdings Ltd. | 7,600 | 50,969 | ||
Foot Locker, Inc. | 17,600 | 210,320 | ||
Gymboree Corp.* | 3,400 | 164,492 | ||
Hennes & Mauritz AB "B" | 4,825 | 271,140 | ||
Home Depot, Inc. | 23,400 | 623,376 | ||
Industria de Diseno Textil SA | 1,293 | 74,260 | ||
J. Crew Group, Inc.* | 1,700 | 60,894 | ||
Jos. A. Bank Clothiers, Inc.* | 4,500 | 201,465 | ||
Jumbo SA | 8,125 | 107,334 | ||
Kingfisher PLC | 2,909 | 9,904 | ||
Kirkland's, Inc.* | 1,000 | 14,250 | ||
Limited Brands, Inc. | 43,300 | 735,667 | ||
Lithia Motors, Inc. "A" | 2,800 | 43,652 | ||
Nitori Co., Ltd. | 1,750 | 148,794 | ||
Ross Stores, Inc. | 6,000 | 286,620 | ||
Sonic Automotive, Inc. "A" | 400 | 4,200 | ||
Stage Stores, Inc. | 2,700 | 34,992 | ||
The Buckle, Inc. | 6,350 | 216,789 | ||
The Finish Line, Inc. "A" | 6,100 | 61,976 | ||
The Gap, Inc. | 39,900 | 853,860 | ||
TJX Companies, Inc. | 17,750 | 659,412 | ||
Tractor Supply Co.* | 4,700 | 227,574 | ||
Urban Outfitters, Inc.* | 5,700 | 171,969 | ||
| 7,072,573 | |||
Textiles, Apparel & Luxury Goods 0.5% | ||||
Adidas AG | 193 | 10,217 | ||
Billabong International Ltd. | 200 | 2,107 | ||
Carter's, Inc.* | 7,500 | 200,250 | ||
Coach, Inc. | 3,400 | 111,928 | ||
Compagnie Financiere Richemont SA "A" | 9,966 | 282,192 | ||
Deckers Outdoor Corp.* | 2,200 | 186,670 | ||
G-III Apparel Group Ltd.* | 4,900 | 69,335 | ||
Gildan Activewear, Inc.* | 600 | 11,858 | ||
Hermes International | 29 | 4,283 | ||
Jones Apparel Group, Inc. | 2,900 | 51,997 | ||
Luxottica Group SpA* | 740 | 19,188 | ||
LVMH Moet Hennessy Louis Vuitton SA | 86 | 8,661 | ||
Maidenform Brands, Inc.* | 2,400 | 38,544 | ||
NIKE, Inc. "B" | 21,100 | 1,365,170 | ||
Steven Madden Ltd.* | 6,100 | 224,541 | ||
Swatch Group AG (Bearer) | 123 | 29,033 | ||
Swatch Group AG (Registered) | 299 | 13,615 | ||
Timberland Co. "A"* | 1,300 | 18,096 | ||
VF Corp. | 1,100 | 79,673 | ||
Yue Yuen Industrial (Holdings) Ltd. | 5,000 | 14,014 | ||
| 2,741,372 | |||
Consumer Staples 4.8% | ||||
Beverages 0.6% | ||||
Anheuser-Busch InBev NV | 1,806 | 82,581 | ||
Asahi Breweries Ltd. | 2,000 | 36,503 | ||
C&C Group PLC | 61,157 | 260,067 | ||
Carlsberg AS "B" | 5,736 | 417,586 | ||
Central European Distribution Corp.* | 4,600 | 150,696 | ||
Coca-Cola Amatil Ltd. | 1,082 | 9,351 | ||
Coca-Cola Bottling Co. Consolidated | 1,100 | 53,273 | ||
Coca-Cola Co. | 2,600 | 139,620 | ||
Diageo PLC | 1,080 | 16,590 | ||
Foster's Group Ltd. | 3,848 | 18,787 | ||
Heineken Holding NV | 239 | 9,746 | ||
Heineken NV | 1,084 | 50,011 | ||
Kirin Holdings Co., Ltd. | 4,000 | 61,142 | ||
National Beverage Corp.* | 1,100 | 12,661 | ||
PepsiCo, Inc. | 30,200 | 1,771,532 | ||
Pernod Ricard SA | 701 | 55,755 | ||
SABMiller PLC | 640 | 15,448 | ||
Sapporo Holdings Ltd. | 3,000 | 15,244 | ||
| 3,176,593 | |||
Food & Staples Retailing 1.3% | ||||
Aeon Co., Ltd. | 4,000 | 38,071 | ||
Alimentation Couche-Tard, Inc. "B" | 700 | 12,259 | ||
Carrefour SA | 2,512 | 114,045 | ||
Casino Guichard-Perrachon SA | 123 | 9,794 | ||
Colruyt SA | 54 | 12,695 | ||
Delhaize Group | 280 | 19,436 | ||
FamilyMart Co., Ltd. | 400 | 12,869 | ||
George Weston Ltd. | 300 | 15,619 | ||
Koninklijke Ahold NV | 6,240 | 75,084 | ||
Kroger Co. | 38,200 | 788,448 | ||
Lawson, Inc. | 400 | 18,592 | ||
Loblaw Companies Ltd. | 500 | 14,757 | ||
Metro AG | 2,015 | 113,990 | ||
Metro, Inc. "A" | 600 | 19,609 | ||
Seven & I Holdings Co., Ltd. | 11,257 | 268,327 | ||
Shoppers Drug Mart Corp. | 1,000 | 41,040 | ||
SUPERVALU, Inc. | 51,400 | 774,084 | ||
Sysco Corp. | 58,400 | 1,451,240 | ||
Tesco PLC | 4,446 | 28,449 | ||
The Andersons, Inc. | 5,900 | 207,680 | ||
UNY Co., Ltd. | 1,800 | 13,402 | ||
Village Super Market, Inc. "A" | 100 | 2,947 | ||
Wal-Mart Stores, Inc. | 48,600 | 2,385,774 | ||
Walgreen Co. | 12,500 | 468,375 | ||
Weis Markets, Inc. | 600 | 19,170 | ||
Wesfarmers Ltd. | 1,881 | 43,801 | ||
William Morrison Supermarkets PLC | 2,064 | 9,168 | ||
Winn-Dixie Stores, Inc.* | 300 | 3,936 | ||
Woolworths Ltd. | 2,188 | 56,375 | ||
| 7,039,036 | |||
Food Products 1.3% | ||||
Ajinomoto Co., Inc. | 3,000 | 29,982 | ||
Archer-Daniels-Midland Co. | 89,000 | 2,600,580 | ||
Aryzta AG* | 243 | 9,868 | ||
Bunge Ltd. | 6,500 | 406,965 | ||
Cadbury PLC | 710 | 9,111 | ||
Campbell Soup Co. | 20,600 | 671,972 | ||
DANONE SA | 2,027 | 122,626 | ||
Darling International, Inc.* | 12,400 | 91,140 | ||
Diamond Foods, Inc. | 5,200 | 164,944 | ||
Green Mountain Coffee Roasters, Inc.* | 2,250 | 166,140 | ||
J & J Snack Foods Corp. | 4,400 | 190,036 | ||
Kikkoman Corp. | 1,000 | 12,375 | ||
Lancaster Colony Corp. | 3,500 | 179,445 | ||
MEIJI Holdings Co., Ltd.* | 400 | 17,014 | ||
Nestle SA (Registered) | 18,671 | 796,500 | ||
Nippon Meat Packers, Inc. | 1,000 | 12,791 | ||
Nisshin Seifun Group, Inc. | 1,000 | 13,916 | ||
Nissin Foods Holdings Co., Ltd. | 400 | 15,338 | ||
Saputo, Inc. | 600 | 14,083 | ||
Sara Lee Corp. | 30,600 | 340,884 | ||
Suedzucker AG | 1,156 | 23,455 | ||
SunOpta, Inc.* | 42,700 | 172,935 | ||
Toyo Suisan Kaisha Ltd. | 1,000 | 27,096 | ||
Tyson Foods, Inc. "A" | 23,600 | 298,068 | ||
Unilever NV (CVA) | 8,200 | 236,710 | ||
Unilever PLC | 740 | 21,138 | ||
Viterra, Inc.* | 1,300 | 12,968 | ||
Yakult Honsha Co., Ltd. | 600 | 15,925 | ||
Yamazaki Baking Co., Ltd. | 1,000 | 13,497 | ||
| 6,687,502 | |||
Household Products 1.1% | ||||
Central Garden & Pet Co. "A"* | 400 | 4,372 | ||
Church & Dwight Co., Inc. | 4,400 | 249,656 | ||
Colgate-Palmolive Co. | 11,750 | 896,290 | ||
Energizer Holdings, Inc.* | 11,350 | 752,959 | ||
Henkel AG & Co. KGaA | 2,183 | 79,322 | ||
Kao Corp. | 2,000 | 49,304 | ||
Kimberly-Clark Corp. | 45,300 | 2,671,794 | ||
Procter & Gamble Co. | 14,300 | 828,256 | ||
Reckitt Benckiser Group PLC | 266 | 13,000 | ||
Unicharm Corp. | 200 | 18,966 | ||
| 5,563,919 | |||
Personal Products 0.1% | ||||
Beiersdorf AG | 1,438 | 84,505 | ||
Chattem, Inc.* | 1,700 | 112,897 | ||
China Sky One Medical, Inc.* | 8,800 | 116,072 | ||
L'Oreal SA | 932 | 93,161 | ||
Shiseido Co., Ltd. | 2,000 | 34,834 | ||
| 441,469 | |||
Tobacco 0.4% | ||||
British American Tobacco PLC | 1,068 | 33,565 | ||
Imperial Tobacco Group PLC | 475 | 13,725 | ||
Japan Tobacco, Inc. | 21 | 71,511 | ||
Lorillard, Inc. | 10,300 | 765,290 | ||
Philip Morris International, Inc. | 17,100 | 833,454 | ||
Reynolds American, Inc. | 12,500 | 556,500 | ||
| 2,274,045 | |||
Energy 5.6% | ||||
Energy Equipment & Services 1.4% | ||||
Cal Dive International, Inc.* | 14,700 | 145,383 | ||
Cameron International Corp.* | 22,900 | 866,078 | ||
Dawson Geophysical Co.* | 2,700 | 73,926 | ||
Dresser-Rand Group, Inc.* | 4,900 | 152,243 | ||
ENSCO International, Inc. | 1,100 | 46,794 | ||
Exterran Holdings, Inc.* | 3,100 | 73,594 | ||
Geokinetics, Inc.* | 8,400 | 178,080 | ||
Helix Energy Solutions Group, Inc.* | 8,700 | 130,326 | ||
John Wood Group PLC | 22,017 | 107,229 | ||
Lamprell PLC | 42,304 | 117,344 | ||
National-Oilwell Varco, Inc.* | 7,100 | 306,223 | ||
Oil States International, Inc.* | 7,900 | 277,527 | ||
Parker Drilling Co.* | 40,500 | 221,130 | ||
Patterson-UTI Energy, Inc. | 5,900 | 89,090 | ||
Pride International, Inc.* | 600 | 18,264 | ||
Prosafe Production Public Ltd.* | 26,600 | 63,317 | ||
Prosafe SE | 17,320 | 89,177 | ||
Rowan Companies, Inc. | 49,400 | 1,139,658 | ||
Saipem SpA | 11,232 | 338,078 | ||
SBM Offshore NV | 12,708 | 270,729 | ||
Schlumberger Ltd. | 31,150 | 1,856,540 | ||
Seadrill Ltd.* | 1,500 | 31,280 | ||
Shinko Plantech Co., Ltd. | 20,500 | 199,469 | ||
Technip SA | 115 | 7,361 | ||
Tecnicas Reunidas SA | 2,253 | 123,081 | ||
Tenaris SA | 913 | 16,265 | ||
Transocean Ltd.* | 6,400 | 547,392 | ||
Union Drilling, Inc.* | 3,200 | 24,448 | ||
Willbros Group, Inc.* | 13,500 | 205,605 | ||
WorleyParsons Ltd. | 411 | 10,753 | ||
| 7,726,384 | |||
Oil, Gas & Consumable Fuels 4.2% | ||||
Alpha Natural Resources, Inc.* | 12,500 | 438,750 | ||
Anadarko Petroleum Corp. | 32,750 | 2,054,408 | ||
Arrow Energy Ltd.* | 1,913 | 7,192 | ||
BG Group PLC | 20,080 | 349,460 | ||
BP PLC | 5,465 | 48,403 | ||
Cameco Corp. | 200 | 5,550 | ||
Canadian Natural Resources Ltd. | 400 | 27,012 | ||
Canadian Oil Sands Trust (Units) | 200 | 5,744 | ||
Chevron Corp. | 18,300 | 1,288,869 | ||
ConocoPhillips | 62,800 | 2,836,048 | ||
Cosmo Oil Co., Ltd. | 5,000 | 13,816 | ||
Devon Energy Corp. | 30,700 | 2,067,031 | ||
Enbridge, Inc. | 200 | 7,765 | ||
EnCana Corp. | 500 | 28,954 | ||
Encore Acquisition Co.* | 18,300 | 684,420 | ||
Eni SpA | 4,148 | 103,853 | ||
EXCO Resources, Inc.* | 8,800 | 164,472 | ||
ExxonMobil Corp. | 62,350 | 4,277,834 | ||
Forest Oil Corp.* | 14,800 | 289,636 | ||
Gazprom (ADR) | 16,200 | 378,632 | ||
Gazprom OAO (ADR) | 2,549 | 59,264 | ||
Hess Corp. | 11,300 | 604,098 | ||
Husky Energy, Inc. | 200 | 5,630 | ||
Idemitsu Kosan Co., Ltd. | 200 | 16,385 | ||
Imperial Oil Ltd. | 400 | 15,224 | ||
INPEX Corp. | 4 | 33,920 | ||
Japan Petroleum Exploration Co., Ltd. | 300 | 15,209 | ||
LUKOIL (ADR) | 3,473 | 189,201 | ||
Marathon Oil Corp. | 34,600 | 1,103,740 | ||
Mariner Energy, Inc.* | 17,200 | 243,896 | ||
Murphy Oil Corp. | 19,200 | 1,105,344 | ||
Nexen, Inc. | 300 | 6,820 | ||
Nippon Mining Holdings, Inc. | 5,000 | 24,361 | ||
Nippon Oil Corp. | 7,000 | 39,010 | ||
Occidental Petroleum Corp. | 7,950 | 623,280 | ||
OMV AG | 3,304 | 133,217 | ||
Origin Energy Ltd. | 2,078 | 29,779 | ||
Paladin Energy Ltd.* | 1,779 | 7,006 | ||
PetroChina Co., Ltd. "H" | 218,105 | 248,449 | ||
Petroleum Development Corp.* | 10,900 | 203,394 | ||
Repsol YPF SA | 4,983 | 135,764 | ||
Royal Dutch Shell PLC "A" | 1,131 | 32,221 | ||
Royal Dutch Shell PLC "B" | 862 | 23,948 | ||
Santos Ltd. | 1,760 | 23,473 | ||
Showa Shell Sekiyu KK | 2,400 | 26,133 | ||
St. Mary Land & Exploration Co. | 2,900 | 94,134 | ||
StatoilHydro ASA | 4,800 | 107,875 | ||
Suncor Energy, Inc. | 784 | 27,387 | ||
Talisman Energy, Inc. | 400 | 6,960 | ||
Teekay Corp. | 7,500 | 164,025 | ||
Tesoro Corp. | 10,100 | 151,298 | ||
TonenGeneral Sekiyu KK | 2,000 | 19,477 | ||
Total SA | 1,919 | 114,241 | ||
Tullow Oil PLC | 330 | 5,961 | ||
Ultra Petroleum Corp.* | 8,100 | 396,576 | ||
Venoco, Inc.* | 19,900 | 229,049 | ||
Williams Companies, Inc. | 21,200 | 378,844 | ||
Woodside Petroleum Ltd. | 8,192 | 374,938 | ||
World Fuel Services Corp. | 1,800 | 86,526 | ||
| 22,183,906 | |||
Financials 9.0% | ||||
Capital Markets 2.1% | ||||
Affiliated Managers Group, Inc.* | 1,500 | 97,515 | ||
Ashmore Group PLC | 54,237 | 217,446 | ||
Bank of New York Mellon Corp. | 73,850 | 2,140,912 | ||
BGC Partners, Inc. "A" | 16,900 | 72,332 | ||
BlackRock, Inc. | 4,700 | 1,019,054 | ||
Calamos Asset Management, Inc. "A" | 500 | 6,530 | ||
Credit Suisse Group AG (Registered) | 8,572 | 477,120 | ||
Daiwa Securities Group, Inc. | 1,000 | 5,144 | ||
Duff & Phelps Corp. "A" | 4,700 | 90,052 | ||
Franklin Resources, Inc. | 16,300 | 1,639,780 | ||
ICAP PLC | 11,910 | 80,500 | ||
Jefferies Group, Inc.* | 6,500 | 176,995 | ||
Julius Baer Holding AG (Registered) | 167 | 8,361 | ||
KBW, Inc.* | 7,100 | 228,762 | ||
Knight Capital Group, Inc. "A"* | 11,800 | 256,650 | ||
Lazard Ltd. "A" | 7,400 | 305,694 | ||
Marfin Investment Group SA* | 2,080 | 8,998 | ||
Mediobanca SpA | 473 | 6,474 | ||
Morgan Stanley | 5,700 | 176,016 | ||
Nomura Holdings, Inc. | 1,300 | 7,942 | ||
Partners Group Holding AG | 1,600 | 195,343 | ||
Piper Jaffray Companies, Inc.* | 1,500 | 71,580 | ||
T. Rowe Price Group, Inc. | 20,500 | 936,850 | ||
The Goldman Sachs Group, Inc. | 10,900 | 2,009,415 | ||
UBS AG (Registered)* | 29,427 | 539,349 | ||
Waddell & Reed Financial, Inc. "A" | 5,900 | 167,855 | ||
| 10,942,669 | |||
Commercial Banks 2.2% | ||||
1st Source Corp. | 900 | 14,670 | ||
Alpha Bank AE* | 12,755 | 236,196 | ||
Anglo Irish Bank Corp. PLC* | 18,150 | 0 | ||
Australia & New Zealand Banking Group Ltd. | 764 | 16,378 | ||
Banca Monte dei Paschi di Siena SpA | 1,647 | 3,530 | ||
Banco Bilbao Vizcaya Argentaria SA | 1,420 | 25,270 | ||
Banco de Sabadell SA | 831 | 6,148 | ||
Banco Latinoamericano de Comercio Exterior SA "E" | 6,500 | 92,430 | ||
Banco Popular Espanol SA | 645 | 6,470 | ||
Banco Santander SA | 35,578 | 574,791 | ||
Bank of Cyprus Public Co., Ltd. | 1,605 | 12,303 | ||
Bank of East Asia Ltd. | 2,640 | 9,463 | ||
Bank of Montreal | 200 | 10,119 | ||
Barclays PLC* | 3,017 | 17,830 | ||
BNP Paribas | 6,160 | 492,691 | ||
BOC Hong Kong (Holdings) Ltd. | 2,500 | 5,466 | ||
Bryn Mawr Bank Corp. | 300 | 5,241 | ||
Canadian Imperial Bank of Commerce | 200 | 12,196 | ||
Cardinal Financial Corp. | 4,300 | 35,389 | ||
Chuo Mitsui Trust Holdings, Inc. | 2,000 | 7,343 | ||
Commerce Bancshares, Inc. | 4,100 | 152,684 | ||
Commonwealth Bank of Australia | 655 | 29,783 | ||
Credit Agricole SA | 800 | 16,731 | ||
Danske Bank AS* | 3,084 | 80,969 | ||
DBS Group Holdings Ltd. | 3,000 | 28,077 | ||
Dexia SA* | 1,754 | 16,183 | ||
DnB NOR ASA* | 8,600 | 99,818 | ||
EFG Eurobank Ergasias* | 1,169 | 18,525 | ||
Erste Group Bank AG | 1,495 | 66,894 | ||
Hang Seng Bank Ltd. | 600 | 8,587 | ||
Home Bancshares, Inc. | 700 | 15,344 | ||
HSBC Holdings PLC | 44,805 | 512,918 | ||
Intesa Sanpaolo* | 5,038 | 22,302 | ||
KBC Groep NV* | 565 | 28,446 | ||
KeyCorp | 116,800 | 759,200 | ||
Lloyds Banking Group PLC | 312,091 | 518,249 | ||
Marshall & Ilsley Corp. | 73,700 | 594,759 | ||
Mitsubishi UFJ Financial Group, Inc. | 8,300 | 44,399 | ||
Mizuho Financial Group, Inc. | 7,992 | 15,797 | ||
Mizuho Trust & Banking Co., Ltd.* | 6,000 | 6,292 | ||
National Australia Bank Ltd. | 760 | 20,542 | ||
National Bank of Greece SA* | 7,725 | 279,344 | ||
NBT Bancorp., Inc. | 2,600 | 58,604 | ||
Nordea Bank AB | 4,187 | 42,189 | ||
Oriental Financial Group, Inc. | 13,800 | 175,260 | ||
Oversea-Chinese Banking Corp., Ltd. | 1,000 | 5,538 | ||
Park National Corp. | 2,900 | 169,186 | ||
Peoples Bancorp., Inc. | 400 | 5,220 | ||
Piraeus Bank SA | 983 | 18,331 | ||
Prosperity Bancshares, Inc. | 6,700 | 233,093 | ||
Raiffeisen International Bank-Holding AG | 491 | 32,052 | ||
Regions Financial Corp. | 188,600 | 1,171,206 | ||
Resona Holdings, Inc. | 400 | 5,140 | ||
Royal Bank of Canada | 500 | 26,876 | ||
Santander BanCorp.* | 7,300 | 71,175 | ||
Skandinaviska Enskilda Banken AB "A"* | 2,289 | 15,446 | ||
Societe Generale | 202 | 16,277 | ||
Southside Bancshares, Inc. | 7,540 | 169,801 | ||
Standard Chartered PLC | 289 | 7,126 | ||
Sumitomo Mitsui Financial Group, Inc. | 800 | 27,694 | ||
Sumitomo Trust & Banking Co., Ltd. | 1,000 | 5,257 | ||
SunTrust Banks, Inc. | 36,000 | 811,800 | ||
Svenska Handelsbanken AB "A" | 664 | 16,971 | ||
The Bank of Yokohama Ltd. | 1,000 | 4,865 | ||
The Shizuoka Bank Ltd. | 1,000 | 10,506 | ||
Tompkins Financial Corp. | 3,600 | 157,320 | ||
Toronto-Dominion Bank | 400 | 25,872 | ||
Trustmark Corp. | 7,600 | 144,780 | ||
UBI Banca — Unione di Banche Italiane ScpA | 562 | 8,642 | ||
Umpqua Holdings Corp. | 19,100 | 202,460 | ||
UniCredit SpA* | 131,633 | 515,889 | ||
United Overseas Bank Ltd. | 2,000 | 23,657 | ||
US Bancorp. | 29,000 | 633,940 | ||
Webster Financial Corp. | 500 | 6,235 | ||
Wells Fargo & Co. | 49,600 | 1,397,728 | ||
Westamerica Bancorp. | 1,400 | 72,800 | ||
Westpac Banking Corp. | 1,148 | 26,449 | ||
Wing Hang Bank Ltd. | 26,000 | 255,605 | ||
Wintrust Financial Corp. | 7,000 | 195,720 | ||
| 11,686,477 | |||
Consumer Finance 0.4% | ||||
AmeriCredit Corp.* | 5,900 | 93,161 | ||
Capital One Financial Corp. | 38,900 | 1,389,897 | ||
Discover Financial Services | 36,900 | 598,887 | ||
Nelnet, Inc. "A"* | 12,500 | 155,500 | ||
ORIX Corp. | 110 | 6,688 | ||
World Acceptance Corp.* | 800 | 20,168 | ||
| 2,264,301 | |||
Diversified Financial Services 1.5% | ||||
Bank of America Corp. | 163,600 | 2,768,112 | ||
Citigroup, Inc. | 253,400 | 1,226,456 | ||
Compagnie Nationale a Portefeuille | 311 | 16,922 | ||
Deutsche Boerse AG | 80 | 6,538 | ||
Encore Capital Group, Inc.* | 4,400 | 59,180 | ||
Financiere Marc de Lacharriere SA | 2,536 | 133,705 | ||
Groupe Bruxelles Lambert SA | 234 | 21,630 | ||
Hellenic Exchanges SA | 9,200 | 117,400 | ||
Hong Kong Exchanges & Clearing Ltd. | 1,000 | 17,962 | ||
ING Groep NV (CVA)* | 23,475 | 419,458 | ||
IntercontinentalExchange, Inc.* | 6,350 | 617,156 | ||
Investor AB "B" | 491 | 8,976 | ||
JPMorgan Chase & Co. | 50,650 | 2,219,483 | ||
Medallion Financial Corp. | 1,100 | 9,196 | ||
MSCI, Inc. "A"* | 3,847 | 113,948 | ||
PHH Corp.* | 9,700 | 192,448 | ||
Pohjola Bank PLC "A" | 1,664 | 19,011 | ||
Singapore Exchange Ltd. | 2,000 | 11,882 | ||
| 7,979,463 | |||
Insurance 1.7% | ||||
Aegon NV* | 3,925 | 33,439 | ||
Allianz SE (Registered) | 2,526 | 315,620 | ||
Allied World Assurance Co. Holdings Ltd. | 5,800 | 277,994 | ||
Allstate Corp. | 54,100 | 1,656,542 | ||
American Equity Investment Life Holding Co. | 22,600 | 158,652 | ||
AMP Ltd. | 1,450 | 8,302 | ||
Aon Corp. | 7,300 | 297,037 | ||
Assicurazioni Generali SpA | 804 | 22,049 | ||
Assurant, Inc. | 9,900 | 317,394 | ||
Assured Guaranty Ltd. | 10,200 | 198,084 | ||
AXA SA | 11,816 | 319,726 | ||
China Life Insurance Co., Ltd. "H" | 97,924 | 428,203 | ||
Chubb Corp. | 11,900 | 599,879 | ||
Crawford & Co. "B"* | 600 | 2,646 | ||
EMC Insurance Group, Inc. | 300 | 6,339 | ||
Endurance Specialty Holdings Ltd. | 11,100 | 404,817 | ||
Fortis* | 108,454 | 509,143 | ||
Greenlight Capital Re Ltd. "A"* | 2,100 | 39,480 | ||
Hallmark Financial Services, Inc.* | 2,200 | 17,710 | ||
Hartford Financial Services Group, Inc. | 28,200 | 747,300 | ||
Loews Corp. | 31,700 | 1,085,725 | ||
Maiden Holdings Ltd. | 5,000 | 36,350 | ||
Manulife Financial Corp. | 300 | 6,305 | ||
Meadowbrook Insurance Group, Inc. | 12,300 | 91,020 | ||
MetLife, Inc. | 9,000 | 342,630 | ||
Mitsui Sumitomo Insurance Group Holdings, Inc. | 300 | 8,262 | ||
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 158 | 25,209 | ||
NIPPONKOA Insurance Co., Ltd. | 1,000 | 6,216 | ||
NYMAGIC, Inc. | 800 | 13,808 | ||
Odyssey Re Holdings Corp. | 3,700 | 239,797 | ||
Platinum Underwriters Holdings Ltd. | 2,000 | 71,680 | ||
Power Corp. of Canada | 300 | 8,204 | ||
Protective Life Corp. | 3,500 | 74,970 | ||
Prudential Financial, Inc. | 2,800 | 139,748 | ||
Prudential PLC | 874 | 8,411 | ||
QBE Insurance Group Ltd. | 612 | 12,945 | ||
Sampo Oyj "A" | 3,495 | 88,065 | ||
Sompo Japan Insurance, Inc. | 1,000 | 6,670 | ||
Sun Life Financial, Inc. | 100 | 3,134 | ||
Swiss Reinsurance Co., Ltd. (Registered) | 212 | 9,581 | ||
Tokio Marine Holdings, Inc. | 500 | 14,453 | ||
Topdanmark AS* | 150 | 22,690 | ||
Trygvesta AS | 177 | 13,562 | ||
Vienna Insurance Group | 402 | 22,969 | ||
Zurich Financial Services AG (Registered) | 76 | 18,112 | ||
| 8,730,872 | |||
Real Estate Investment Trusts 0.9% | ||||
AMB Property Corp. (REIT) | 3,600 | 82,620 | ||
American Campus Communities, Inc. (REIT) | 100 | 2,685 | ||
Annaly Capital Management, Inc. (REIT) | 26,700 | 484,338 | ||
Apartment Investment & Management Co. "A" (REIT) | 5,000 | 73,750 | ||
AvalonBay Communities, Inc. (REIT) | 3,300 | 240,009 | ||
BioMed Realty Trust, Inc. (REIT) | 7,700 | 106,260 | ||
Boston Properties, Inc. (REIT) | 4,200 | 275,310 | ||
Cogdell Spencer, Inc. (REIT) | 6,000 | 28,800 | ||
Colonial Properties Trust (REIT) | 3,200 | 31,136 | ||
Corio NV (REIT) | 101 | 6,968 | ||
Cousins Properties, Inc. (REIT) | 2,812 | 23,286 | ||
Developers Diversified Realty Corp. (REIT) | 8,900 | 82,236 | ||
Digital Realty Trust, Inc. (REIT) | 1,700 | 77,707 | ||
EastGroup Properties, Inc. (REIT) | 800 | 30,576 | ||
Entertainment Properties Trust (REIT) | 2,500 | 85,350 | ||
Equity Residential (REIT) | 7,100 | 217,970 | ||
First Industrial Realty Trust, Inc. (REIT) | 11,565 | 60,716 | ||
Glimcher Realty Trust (REIT) | 5,100 | 18,717 | ||
HCP, Inc. (REIT) | 6,000 | 172,440 | ||
Healthcare Realty Trust, Inc. (REIT) | 3,800 | 80,294 | ||
Home Properties, Inc. (REIT) | 2,400 | 103,416 | ||
Hospitality Properties Trust (REIT) | 5,900 | 120,183 | ||
Host Hotels & Resorts, Inc. (REIT) | 21,300 | 250,701 | ||
iStar Financial, Inc. (REIT)* | 3,200 | 9,728 | ||
Kilroy Realty Corp. (REIT) | 3,500 | 97,090 | ||
Kimco Realty Corp. (REIT) | 8,200 | 106,928 | ||
LaSalle Hotel Properties (REIT) | 4,800 | 94,368 | ||
Lexington Realty Trust (REIT) | 4,704 | 23,990 | ||
Mid-America Apartment Communities, Inc. (REIT) | 1,600 | 72,208 | ||
National Retail Properties, Inc. (REIT) | 3,700 | 79,439 | ||
Parkway Properties, Inc. (REIT) | 2,400 | 47,280 | ||
Pennsylvania Real Estate Investment Trust (REIT) | 8,800 | 66,968 | ||
Potlatch Corp. (REIT) | 400 | 11,380 | ||
ProLogis (REIT) | 5,800 | 69,136 | ||
Public Storage (REIT) | 1,800 | 135,432 | ||
Rayonier, Inc. (REIT) | 7,100 | 290,461 | ||
Realty Income Corp. (REIT) | 1,600 | 41,040 | ||
Redwood Trust, Inc. (REIT) | 5,600 | 86,800 | ||
Sunstone Hotel Investors, Inc. (REIT) | 9 | 64 | ||
Unibail-Rodamco (REIT) | 39 | 8,113 | ||
Vornado Realty Trust (REIT) | 8,194 | 527,776 | ||
Washington Real Estate Investment Trust (REIT) | 3,900 | 112,320 | ||
Westfield Group (REIT) (Units) | 1,301 | 15,842 | ||
| 4,551,831 | |||
Real Estate Management & Development 0.2% | ||||
AEON Mall Co., Ltd. | 7,000 | 144,386 | ||
Brookfield Asset Management, Inc. "A" | 400 | 9,105 | ||
CapitaLand Ltd. | 5,000 | 13,088 | ||
Cheung Kong (Holdings) Ltd. | 1,000 | 12,598 | ||
City Developments Ltd. | 1,000 | 7,259 | ||
Daiwa House Industry Co., Ltd. | 1,000 | 10,480 | ||
Hang Lung Properties Ltd. | 3,000 | 10,998 | ||
Henderson Land Development Co., Ltd. | 1,000 | 6,399 | ||
Immoeast AG* | 80,066 | 495,467 | ||
Midland Holdings Ltd. | 214,000 | 178,175 | ||
Mitsubishi Estate Co., Ltd. | 1,000 | 15,631 | ||
Mitsui Fudosan Co., Ltd. | 1,000 | 16,762 | ||
New World Development Co., Ltd. | 3,000 | 6,340 | ||
Sumitomo Realty & Development Co., Ltd. | 8,000 | 144,906 | ||
Sun Hung Kai Properties Ltd. | 1,000 | 14,682 | ||
Swire Pacific Ltd. "A" | 1,000 | 11,735 | ||
The St. Joe Co.* | 1,100 | 32,032 | ||
Wharf Holdings Ltd. | 2,000 | 10,551 | ||
| 1,140,594 | |||
Thrifts & Mortgage Finance 0.0% | ||||
Bank Mutual Corp. | 2,400 | 21,216 | ||
First Financial Holdings, Inc. | 3,200 | 51,104 | ||
NASB Financial, Inc. | 500 | 13,150 | ||
| 85,470 | |||
Health Care 7.5% | ||||
Biotechnology 1.5% | ||||
Actelion Ltd. (Registered)* | 257 | 15,977 | ||
Amgen, Inc.* | 24,250 | 1,460,577 | ||
BioMarin Pharmaceutical, Inc.* | 3,800 | 68,704 | ||
Celgene Corp.* | 30,700 | 1,716,130 | ||
CSL Ltd. | 2,963 | 87,221 | ||
Cubist Pharmaceuticals, Inc.* | 9,100 | 183,820 | ||
Enzon Pharmaceuticals, Inc.* | 20,000 | 165,000 | ||
Gilead Sciences, Inc.* | 56,200 | 2,617,796 | ||
Grifols SA | 22,119 | 421,552 | ||
Intercell AG* | 11,127 | 472,491 | ||
Medivation, Inc.* | 3,900 | 105,846 | ||
Metabolix, Inc.* | 4,900 | 50,372 | ||
Myriad Genetics, Inc.* | 6,750 | 184,950 | ||
NPS Pharmaceuticals, Inc.* | 7,100 | 28,542 | ||
PDL BioPharma, Inc. | 23,000 | 181,240 | ||
Talecris Biotherapeutics Holdings Corp.* | 800 | 15,200 | ||
| 7,775,418 | |||
Health Care Equipment & Supplies 0.5% | ||||
American Medical Systems Holdings, Inc.* | 12,400 | 209,808 | ||
Baxter International, Inc. | 2,300 | 131,123 | ||
bioMerieux | 84 | 9,238 | ||
Cochlear Ltd. | 295 | 17,355 | ||
Coloplast AS "B" | 348 | 29,217 | ||
Edwards Lifesciences Corp.* | 10,150 | 709,587 | ||
Essilor International SA | 1,025 | 58,433 | ||
ev3, Inc.* | 2,000 | 24,620 | ||
Hill-Rom Holdings, Inc. | 4,100 | 89,298 | ||
Nobel Biocare Holding AG (Registered) | 7,072 | 234,419 | ||
NxStage Medical, Inc.* | 15,000 | 100,350 | ||
Olympus Corp. | 1,000 | 26,324 | ||
Smith & Nephew PLC | 2,697 | 24,159 | ||
Somanetics Corp.* | 9,700 | 156,364 | ||
Sonova Holding AG (Registered) | 88 | 8,884 | ||
St. Jude Medical, Inc.* | 17,900 | 698,279 | ||
Synthes, Inc. | 129 | 15,560 | ||
Terumo Corp. | 800 | 43,814 | ||
Thoratec Corp.* | 9,800 | 296,646 | ||
William Demant Holding AS* | 383 | 28,534 | ||
| 2,912,012 | |||
Health Care Providers & Services 2.4% | ||||
Aetna, Inc. | 32,400 | 901,692 | ||
Alfresa Holdings Corp. | 200 | 8,141 | ||
Amedisys, Inc.* | 4,800 | 209,424 | ||
American Dental Partners, Inc.* | 1,100 | 15,400 | ||
AMERIGROUP Corp.* | 7,800 | 172,926 | ||
AmerisourceBergen Corp. | 39,700 | 888,486 | ||
Centene Corp.* | 11,700 | 221,598 | ||
CorVel Corp.* | 1,700 | 48,280 | ||
Coventry Health Care, Inc.* | 95,500 | 1,906,180 | ||
Diagnosticos da America* | 6,400 | 165,527 | ||
Emergency Medical Services Corp. "A"* | 4,200 | 195,300 | ||
Express Scripts, Inc.* | 16,700 | 1,295,586 | ||
Fresenius Medical Care AG & Co. KGaA | 18,501 | 921,630 | ||
Gentiva Health Services, Inc.* | 6,600 | 165,066 | ||
Healthspring, Inc.* | 14,600 | 178,850 | ||
Humana, Inc.* | 4,800 | 179,040 | ||
Laboratory Corp. of America Holdings* | 8,050 | 528,885 | ||
LHC Group, Inc.* | 7,100 | 212,503 | ||
Magellan Health Services, Inc.* | 6,700 | 208,102 | ||
McKesson Corp. | 42,800 | 2,548,740 | ||
Medco Health Solutions, Inc.* | 18,200 | 1,006,642 | ||
Mediceo Paltac Holdings Co., Ltd. | 600 | 8,416 | ||
Owens & Minor, Inc. | 3,700 | 167,425 | ||
Providence Service Corp.* | 5,300 | 61,798 | ||
RehabCare Group, Inc.* | 7,900 | 171,351 | ||
Sonic Healthcare Ltd. | 1,970 | 24,583 | ||
Suzuken Co., Ltd. | 300 | 10,340 | ||
Triple-S Management Corp. "B"* | 2,200 | 36,894 | ||
WellPoint, Inc.* | 400 | 18,944 | ||
| 12,477,749 | |||
Health Care Technology 0.0% | ||||
So-net M3, Inc. | 37 | 129,591 | ||
Life Sciences Tools & Services 0.2% | ||||
Accelrys, Inc.* | 8,900 | 51,620 | ||
Albany Molecular Research, Inc.* | 12,200 | 105,652 | ||
Cambrex Corp.* | 12,600 | 79,380 | ||
ICON PLC (ADR)* | 10,300 | 252,247 | ||
Life Technologies Corp.* | 4,400 | 204,820 | ||
Lonza Group AG (Registered) | 90 | 9,811 | ||
QIAGEN NV* | 10,800 | 229,271 | ||
| 932,801 | |||
Pharmaceuticals 2.9% | ||||
Abbott Laboratories | 42,150 | 2,085,161 | ||
Astellas Pharma, Inc. | 1,900 | 78,075 | ||
AstraZeneca PLC | 4,025 | 180,467 | ||
Bayer AG | 5,349 | 370,470 | ||
Caraco Pharmaceutical Laboratories Ltd.* | 11,900 | 60,571 | ||
Chugai Pharmaceutical Co., Ltd. | 900 | 18,589 | ||
Daiichi Sankyo Co., Ltd. | 3,000 | 61,889 | ||
Dainippon Sumitomo Pharma Co., Ltd. | 1,000 | 10,854 | ||
Eisai Co., Ltd. | 1,200 | 44,974 | ||
Eli Lilly & Co. | 83,200 | 2,748,096 | ||
Flamel Technologies SA (ADR)* | 22,061 | 193,034 | ||
GlaxoSmithKline PLC | 14,217 | 279,763 | ||
H. Lundbeck AS | 902 | 18,790 | ||
Hi-Tech Pharmacal Co., Inc.* | 10,300 | 231,132 | ||
Hisamitsu Pharmaceutical Co., Inc. | 200 | 8,085 | ||
Johnson & Johnson | 38,800 | 2,362,532 | ||
Kyowa Hakko Kirin Co., Ltd. | 2,000 | 25,226 | ||
Matrixx Initiatives, Inc.* | 6,900 | 39,192 | ||
Medicis Pharmaceutical Corp. "A" | 3,300 | 70,455 | ||
Merck KGaA | 117 | 11,636 | ||
MiddleBrook Pharmaceuticals, Inc.* | 60,000 | 69,000 | ||
Mitsubishi Tanabe Pharma Corp. | 1,000 | 13,303 | ||
Mylan, Inc.* | 6,600 | 105,666 | ||
Novartis AG (Registered) | 10,292 | 516,663 | ||
Novo Nordisk AS "B" | 6,821 | 428,422 | ||
Ono Pharmaceutical Co., Ltd. | 400 | 20,740 | ||
Par Pharmaceutical Companies, Inc.* | 9,600 | 206,496 | ||
Pfizer, Inc. | 237,200 | 3,925,660 | ||
Questcor Pharmaceuticals, Inc.* | 28,400 | 156,768 | ||
Roche Holding AG (Genusschein) | 1,433 | 231,970 | ||
Sanofi-Aventis | 5,748 | 421,994 | ||
Santen Pharmaceutical Co., Ltd. | 400 | 14,700 | ||
Shionogi & Co., Ltd. | 1,000 | 23,617 | ||
Shire PLC | 1,642 | 28,521 | ||
Taisho Pharmaceutical Co., Ltd. | 1,000 | 20,210 | ||
Takeda Pharmaceutical Co., Ltd. | 3,100 | 129,134 | ||
Tsumura & Co. | 400 | 14,400 | ||
| 15,226,255 | |||
Industrials 6.6% | ||||
Aerospace & Defense 2.3% | ||||
American Science & Engineering, Inc. | 2,700 | 183,708 | ||
BAE Systems PLC | 5,006 | 27,937 | ||
BE Aerospace, Inc.* | 7,900 | 159,106 | ||
Bombardier, Inc. "B" | 2,600 | 12,069 | ||
CAE, Inc. | 22,000 | 185,962 | ||
Cobham PLC | 1,695 | 5,933 | ||
Cubic Corp. | 4,900 | 193,403 | ||
DynCorp International, Inc. "A"* | 9,500 | 171,000 | ||
European Aeronautic Defence & Space Co. | 334 | 7,505 | ||
Finmeccanica SpA | 2,265 | 40,076 | ||
GenCorp, Inc.* | 7,100 | 38,056 | ||
General Dynamics Corp. | 25,600 | 1,653,760 | ||
ITT Corp. | 20,400 | 1,063,860 | ||
Lockheed Martin Corp. | 17,750 | 1,385,920 | ||
Northrop Grumman Corp. | 52,100 | 2,696,175 | ||
Raytheon Co. | 46,900 | 2,249,793 | ||
Rockwell Collins, Inc. | 19,500 | 990,600 | ||
Rolls-Royce Group PLC* | 2,741 | 20,637 | ||
Singapore Technologies Engineering Ltd. | 6,000 | 11,668 | ||
United Technologies Corp. | 21,150 | 1,288,669 | ||
| 12,385,837 | |||
Air Freight & Logistics 0.1% | ||||
Deutsche Post AG (Registered) | 696 | 13,041 | ||
TNT NV | 1,419 | 38,149 | ||
Toll Holdings Ltd. | 2,709 | 20,281 | ||
United Parcel Service, Inc. "B" | 6,500 | 367,055 | ||
| 438,526 | |||
Airlines 0.1% | ||||
Allegiant Travel Co.* | 1,600 | 60,944 | ||
Hawaiian Holdings, Inc.* | 25,700 | 212,282 | ||
Korean Air Lines Co., Ltd.* | 4,000 | 162,482 | ||
Qantas Airways Ltd. | 4,271 | 10,753 | ||
Ryanair Holdings PLC (ADR)* | 5,400 | 156,816 | ||
Singapore Airlines Ltd. | 1,000 | 9,779 | ||
SkyWest, Inc. | 800 | 13,264 | ||
| 626,320 | |||
Building Products 0.2% | ||||
AAON, Inc. | 6,900 | 138,552 | ||
Apogee Enterprises, Inc. | 5,900 | 88,618 | ||
Armstrong World Industries, Inc.* | 1,700 | 58,582 | ||
Asahi Glass Co., Ltd. | 1,000 | 8,010 | ||
Assa Abloy AB "B" | 600 | 9,739 | ||
Compagnie de Saint-Gobain | 7,136 | 371,154 | ||
Daikin Industries Ltd. | 200 | 7,154 | ||
Geberit AG (Registered)* | 86 | 13,221 | ||
Wienerberger AG* | 10,671 | 220,511 | ||
| 915,541 | |||
Commercial Services & Supplies 0.8% | ||||
Babcock International Group PLC | 26,988 | 245,562 | ||
Brambles Ltd. | 4,754 | 33,728 | ||
Consolidated Graphics, Inc.* | 7,600 | 189,620 | ||
Daiseki Co., Ltd. | 6,900 | 135,884 | ||
Deluxe Corp. | 11,900 | 203,490 | ||
G4S PLC | 1,879 | 6,632 | ||
Healthcare Services Group, Inc. | 3,000 | 55,080 | ||
R.R. Donnelley & Sons Co. | 95,800 | 2,036,708 | ||
Ritchie Bros. Auctioneers, Inc. | 400 | 9,901 | ||
Rollins, Inc. | 2,400 | 45,240 | ||
Schawk, Inc. | 5,300 | 61,851 | ||
Secom Co., Ltd. | 100 | 5,012 | ||
Securitas AB "B" | 381 | 3,681 | ||
Serco Group PLC | 27,537 | 222,327 | ||
Standard Register Co. | 7,000 | 41,160 | ||
Stericycle, Inc.* | 14,150 | 685,567 | ||
Tetra Tech, Inc.* | 2,400 | 63,672 | ||
Toppan Printing Co., Ltd. | 1,000 | 9,412 | ||
| 4,054,527 | |||
Construction & Engineering 0.2% | ||||
ACS, Actividades de Construccion y Servicios SA | 722 | 37,681 | ||
Aecom Technology Corp.* | 6,900 | 187,266 | ||
Bouygues SA | 261 | 13,302 | ||
Chicago Bridge & Iron Co. NV (NY Registered Shares) | 7,800 | 145,704 | ||
Dycom Industries, Inc.* | 14,400 | 177,120 | ||
EMCOR Group, Inc.* | 6,400 | 162,048 | ||
Fomento de Construcciones y Contratas SA | 117 | 5,482 | ||
Great Lakes Dredge & Dock Co. | 5,600 | 39,088 | ||
Grupo Ferrovial SA | 227 | 10,882 | ||
Koninklijke Boskalis Westminster NV | 256 | 8,760 | ||
Leighton Holdings Ltd. | 482 | 15,325 | ||
Michael Baker Corp.* | 600 | 21,804 | ||
Shaw Group, Inc.* | 5,200 | 166,868 | ||
Skanska AB "B" | 731 | 10,718 | ||
SNC-Lavalin Group, Inc. | 300 | 13,548 | ||
URS Corp.* | 6,300 | 274,995 | ||
Vinci SA | 385 | 21,820 | ||
| 1,312,411 | |||
Electrical Equipment 0.6% | ||||
ABB Ltd. (Registered)* | 18,576 | 373,298 | ||
Alstom SA | 3,078 | 225,099 | ||
AMETEK, Inc. | 36,050 | 1,258,506 | ||
EnerSys* | 4,200 | 92,904 | ||
Gamesa Corp. Tecnologica SA | 791 | 17,743 | ||
Mitsubishi Electric Corp.* | 3,000 | 22,533 | ||
Powell Industries, Inc.* | 200 | 7,678 | ||
Prysmian SpA | 692 | 13,007 | ||
Renewable Energy Corp. AS* | 3,200 | 28,327 | ||
Roper Industries, Inc. | 16,700 | 851,366 | ||
Schneider Electric SA | 127 | 12,884 | ||
SGL Carbon SE* | 4,200 | 171,827 | ||
Sumitomo Electric Industries Ltd. | 600 | 7,783 | ||
Vestas Wind Systems AS* | 809 | 58,768 | ||
| 3,141,723 | |||
Industrial Conglomerates 0.6% | ||||
3M Co. | 4,100 | 302,580 | ||
Carlisle Companies, Inc. | 15,400 | 522,214 | ||
CSR Ltd. | 6,907 | 11,403 | ||
Fraser & Neave Ltd. | 4,000 | 11,192 | ||
General Electric Co. | 129,300 | 2,123,106 | ||
Hutchison Whampoa Ltd. | 9,000 | 64,470 | ||
Keppel Corp., Ltd. | 5,000 | 28,562 | ||
Koninklijke (Royal) Philips Electronics NV | 2,982 | 72,688 | ||
NWS Holdings Ltd. | 5,000 | 9,693 | ||
Orkla ASA | 6,100 | 57,619 | ||
SembCorp Industries Ltd. | 4,000 | 9,555 | ||
Siemens AG (Registered) | 637 | 59,047 | ||
Smiths Group PLC | 609 | 8,654 | ||
| 3,280,783 | |||
Machinery 0.6% | ||||
AB SKF "B" | 800 | 12,582 | ||
Alfa Laval AB | 700 | 8,228 | ||
Ampco-Pittsburgh Corp. | 2,800 | 74,452 | ||
Atlas Copco AB "A" | 547 | 7,065 | ||
Atlas Copco AB "B" | 800 | 9,147 | ||
Austal Ltd. | 66,876 | 152,896 | ||
Chart Industries, Inc.* | 4,200 | 90,678 | ||
FANUC Ltd. | 3,200 | 285,902 | ||
Gardner Denver, Inc.* | 9,400 | 327,872 | ||
Joy Global, Inc. | 5,400 | 264,276 | ||
Komatsu Ltd. | 25,194 | 467,836 | ||
Kone Oyj "B" | 1,658 | 61,031 | ||
Kubota Corp. | 1,000 | 8,282 | ||
MAN SE | 87 | 7,182 | ||
Metso Oyj | 1,443 | 40,721 | ||
Mitsubishi Heavy Industries Ltd. | 2,000 | 7,523 | ||
Parker Hannifin Corp. | 11,450 | 593,568 | ||
Sandvik AB | 1,600 | 17,708 | ||
Scania AB "B" | 341 | 4,239 | ||
Schindler Holding AG | 121 | 8,310 | ||
SembCorp Marine Ltd. | 4,000 | 8,951 | ||
Tennant Co. | 4,400 | 127,864 | ||
Timken Co. | 21,200 | 496,716 | ||
Vallourec SA | 49 | 8,311 | ||
Volvo AB "B" | 1,530 | 14,189 | ||
Wartsila Corp. | 766 | 30,756 | ||
Watts Water Technologies, Inc. "A" | 3,000 | 90,750 | ||
Zardoya Otis SA | 445 | 9,661 | ||
| 3,236,696 | |||
Marine 0.1% | ||||
A P Moller-Maersk AS "A" | 2 | 13,451 | ||
A P Moller-Maersk AS "B" | 40 | 276,831 | ||
International Shipholding Corp. | 1,800 | 55,458 | ||
Kirby Corp.* | 1,500 | 55,230 | ||
Kuehne & Nagel International AG (Registered) | 117 | 10,186 | ||
Mitsui OSK Lines Ltd. | 1,000 | 5,888 | ||
Nippon Yusen Kabushiki Kaisha | 1,000 | 3,850 | ||
Orient Overseas International Ltd. | 2,000 | 10,163 | ||
| 431,057 | |||
Professional Services 0.2% | ||||
Adecco SA (Registered) | 104 | 5,538 | ||
Capita Group PLC | 504 | 5,822 | ||
COMSYS IT Partners, Inc.* | 5,500 | 35,200 | ||
Experian PLC | 1,147 | 9,651 | ||
FTI Consulting, Inc.* | 5,600 | 238,616 | ||
Manpower, Inc. | 8,200 | 465,022 | ||
Michael Page International PLC | 42,367 | 226,920 | ||
Randstad Holding NV* | 471 | 20,391 | ||
SGS SA (Registered)* | 10 | 13,470 | ||
TrueBlue, Inc.* | 1,100 | 15,477 | ||
VSE Corp. | 100 | 3,901 | ||
| 1,040,008 | |||
Road & Rail 0.5% | ||||
Burlington Northern Santa Fe Corp. | 8,650 | 690,529 | ||
Canadian National Railway Co. | 1,100 | 54,175 | ||
Canadian Pacific Railway Ltd. | 300 | 14,038 | ||
Celadon Group, Inc.* | 4,000 | 45,240 | ||
Central Japan Railway Co. | 1 | 7,176 | ||
ComfortDelGro Corp., Ltd. | 11,000 | 12,508 | ||
Con-way, Inc. | 23,900 | 915,848 | ||
Dollar Thrifty Automotive Group, Inc.* | 1,000 | 24,590 | ||
DSV AS* | 1,013 | 18,163 | ||
East Japan Railway Co. | 200 | 14,363 | ||
Heartland Express, Inc. | 1,000 | 14,400 | ||
Marten Transport Ltd.* | 4,100 | 69,946 | ||
MTR Corp., Ltd. | 6,500 | 22,420 | ||
Norfolk Southern Corp. | 5,000 | 215,550 | ||
Northgate PLC | 27,398 | 103,467 | ||
Ryder System, Inc. | 13,300 | 519,498 | ||
Tokyu Corp. | 1,000 | 4,780 | ||
West Japan Railway Co. | 2 | 7,568 | ||
| 2,754,259 | |||
Trading Companies & Distributors 0.2% | ||||
Beacon Roofing Supply, Inc.* | 12,000 | 191,760 | ||
Bunzl PLC | 1,151 | 11,674 | ||
Itochu Corp. | 1,000 | 6,559 | ||
Marubeni Corp. | 1,000 | 5,011 | ||
Mitsubishi Corp. | 16,119 | 323,726 | ||
Mitsui & Co., Ltd. | 24,135 | 314,108 | ||
Noble Group Ltd. | 4,000 | 6,889 | ||
PT AKR Corporindo Tbk | 1,108,000 | 119,673 | ||
Sumitomo Corp. | 800 | 8,173 | ||
Wolseley PLC* | 505 | 12,190 | ||
| 999,763 | |||
Transportation Infrastructure 0.1% | ||||
Abertis Infraestructuras SA | 1,019 | 23,144 | ||
Atlantia SpA | 1,567 | 38,018 | ||
Cintra Concesiones de Infraestructuras de Transporte SA | 1,113 | 12,963 | ||
Koninlijke Vopak NV | 2,610 | 169,695 | ||
Macquarie Infrastructure Group (Units) | 10,400 | 13,487 | ||
Singapore Airport Terminal Services Ltd. | 730 | 1,165 | ||
Transurban Group (Units) | 4,332 | 15,633 | ||
| 274,105 | |||
Information Technology 9.2% | ||||
Communications Equipment 1.5% | ||||
Alcatel-Lucent* | 5,545 | 24,846 | ||
Arris Group, Inc.* | 16,700 | 217,267 | ||
Cisco Systems, Inc.* | 107,850 | 2,538,789 | ||
EMS Technologies, Inc.* | 5,000 | 104,100 | ||
Harris Corp. | 20,800 | 782,080 | ||
InterDigital, Inc.* | 6,400 | 148,224 | ||
Nokia Oyj | 4,097 | 60,253 | ||
Plantronics, Inc. | 8,800 | 235,928 | ||
Polycom, Inc.* | 2,000 | 53,500 | ||
QUALCOMM, Inc. | 55,500 | 2,496,390 | ||
Research In Motion Ltd.* | 9,750 | 658,693 | ||
SeaChange International, Inc.* | 5,700 | 42,750 | ||
Symmetricom, Inc.* | 7,900 | 40,922 | ||
Tekelec* | 5,300 | 87,079 | ||
Telefonaktiebolaget LM Ericsson "B" | 28,710 | 288,027 | ||
| 7,778,848 | |||
Computers & Peripherals 1.9% | ||||
Apple, Inc.* | 24,250 | 4,495,222 | ||
Compal Electronics, Inc. | 144,745 | 167,850 | ||
EMC Corp.* | 59,650 | 1,016,436 | ||
Fujitsu Ltd. | 2,000 | 12,953 | ||
Hewlett-Packard Co. | 28,700 | 1,354,927 | ||
International Business Machines Corp. | 18,150 | 2,170,922 | ||
NEC Corp.* | 5,000 | 15,567 | ||
Toshiba Corp.* | 3,000 | 15,604 | ||
Western Digital Corp.* | 17,600 | 642,928 | ||
| 9,892,409 | |||
Electronic Equipment, Instruments & Components 1.5% | ||||
Arrow Electronics, Inc.* | 56,800 | 1,598,920 | ||
Avnet, Inc.* | 68,500 | 1,778,945 | ||
Benchmark Electronics, Inc.* | 9,500 | 171,000 | ||
Brightpoint, Inc.* | 25,200 | 220,500 | ||
Checkpoint Systems, Inc.* | 4,900 | 80,556 | ||
Cogent, Inc.* | 4,800 | 48,480 | ||
Dai-ichi Seiko Co., Ltd. | 3,100 | 147,733 | ||
Fujifilm Holdings Corp. | 900 | 26,765 | ||
Hitachi Ltd.* | 3,000 | 9,173 | ||
Hoya Corp. | 300 | 7,036 | ||
Ingram Micro, Inc. "A"* | 29,800 | 502,130 | ||
Inspur International Ltd. | 1,130,000 | 147,809 | ||
Itron, Inc.* | 4,200 | 269,388 | ||
Jabil Circuit, Inc. | 80,000 | 1,072,800 | ||
Keyence Corp. | 100 | 21,263 | ||
Kingboard Chemical Holdings Ltd. | 60,500 | 228,952 | ||
Kyocera Corp. | 300 | 27,582 | ||
Mercury Computer Systems, Inc.* | 6,000 | 59,160 | ||
Multi-Fineline Electronix, Inc.* | 6,700 | 192,357 | ||
Murata Manufacturing Co., Ltd. | 200 | 9,428 | ||
Nidec Corp. | 3,100 | 251,357 | ||
RadiSys Corp.* | 6,300 | 54,747 | ||
Rotork PLC | 6,022 | 108,893 | ||
ScanSource, Inc.* | 6,800 | 192,576 | ||
SYNNEX Corp.* | 6,700 | 204,216 | ||
TDK Corp. | 100 | 5,732 | ||
Venture Corp., Ltd. | 32,000 | 203,367 | ||
Vishay Intertechnology, Inc.* | 17,600 | 139,040 | ||
| 7,779,905 | |||
Internet Software & Services 0.6% | ||||
Art Technology Group, Inc.* | 17,100 | 66,006 | ||
EarthLink, Inc. | 25,200 | 211,932 | ||
Google, Inc. "A"* | 4,500 | 2,231,325 | ||
Internet Initiative Japan, Inc. | 64 | 148,156 | ||
LogMeIn, Inc.* | 3,000 | 54,930 | ||
Meetic* | 3,313 | 110,890 | ||
NIC, Inc. | 800 | 7,112 | ||
United Internet AG (Registered)* | 17,400 | 262,835 | ||
ValueClick, Inc.* | 3,700 | 48,803 | ||
Web.com Group, Inc.* | 5,800 | 41,122 | ||
| 3,183,111 | |||
IT Services 0.9% | ||||
Accenture PLC "A" | 24,700 | 920,569 | ||
Acxiom Corp.* | 16,800 | 158,928 | ||
Atos Origin SA* | 266 | 13,447 | ||
Automatic Data Processing, Inc. | 5,400 | 212,220 | ||
Cap Gemini SA | 357 | 18,721 | ||
CGI Group, Inc. "A"* | 900 | 10,541 | ||
CIBER, Inc.* | 30,600 | 122,400 | ||
Cognizant Technology Solutions Corp. "A"* | 5,900 | 228,094 | ||
Computer Sciences Corp.* | 13,700 | 722,127 | ||
Convergys Corp.* | 22,900 | 227,626 | ||
Fidelity National Information Services, Inc. | 6,900 | 176,019 | ||
iGATE Corp. | 14,600 | 125,268 | ||
Indra Sistemas SA | 901 | 22,471 | ||
ManTech International Corp. "A"* | 2,600 | 122,616 | ||
NeuStar, Inc. "A"* | 800 | 18,080 | ||
RightNow Technologies, Inc.* | 700 | 10,108 | ||
SAIC, Inc.* | 76,000 | 1,333,040 | ||
Syntel, Inc. | 1,200 | 57,276 | ||
TNS, Inc.* | 7,500 | 205,500 | ||
VeriFone Holdings, Inc.* | 1,300 | 20,657 | ||
Wright Express Corp.* | 6,700 | 197,717 | ||
| 4,923,425 | |||
Office Electronics 0.1% | ||||
Canon, Inc. | 9,944 | 397,797 | ||
Konica Minolta Holdings, Inc. | 500 | 4,712 | ||
Neopost SA | 135 | 12,121 | ||
Ricoh Co., Ltd. | 1,000 | 14,421 | ||
| 429,051 | |||
Semiconductors & Semiconductor Equipment 1.3% | ||||
ARM Holdings PLC | 94,354 | 217,733 | ||
ASML Holding NV | 2,936 | 86,579 | ||
Atheros Communications* | 2,700 | 71,631 | ||
Broadcom Corp. "A"* | 44,100 | 1,353,429 | ||
Intel Corp. | 150,800 | 2,951,156 | ||
Lam Research Corp.* | 3,000 | 102,480 | ||
NVE Corp.* | 1,400 | 74,424 | ||
NVIDIA Corp.* | 19,050 | 286,321 | ||
Photronics, Inc.* | 1,400 | 6,636 | ||
ROHM Co., Ltd. | 100 | 6,956 | ||
Semtech Corp.* | 11,400 | 193,914 | ||
Siliconware Precision Industries Co. | 122,000 | 172,095 | ||
Skyworks Solutions, Inc.* | 19,000 | 251,560 | ||
STMicroelectronics NV | 1,762 | 16,653 | ||
Tessera Technologies, Inc.* | 7,700 | 214,753 | ||
Texas Instruments, Inc. | 41,500 | 983,135 | ||
Tokyo Electron Ltd. | 200 | 12,642 | ||
Volterra Semiconductor Corp.* | 1,600 | 29,392 | ||
Zoran Corp.* | 14,200 | 163,584 | ||
| 7,195,073 | |||
Software 1.4% | ||||
ANSYS, Inc.* | 1,700 | 63,699 | ||
Autonomy Corp. PLC* | 2,677 | 69,851 | ||
BMC Software, Inc.* | 3,100 | 116,343 | ||
Dassault Systemes SA | 246 | 13,735 | ||
i2 Technologies, Inc.* | 12,600 | 202,104 | ||
Interactive Intelligence, Inc.* | 300 | 5,733 | ||
Kenexa Corp.* | 800 | 10,784 | ||
Microsoft Corp. | 154,850 | 4,009,067 | ||
Nintendo Co., Ltd. | 1,308 | 334,452 | ||
Norkom Group PLC* | 39,244 | 73,589 | ||
Oracle Corp. | 66,200 | 1,379,608 | ||
Renaissance Learning, Inc. | 2,500 | 24,850 | ||
S1 Corp.* | 18,600 | 114,948 | ||
SAP AG | 1,748 | 85,174 | ||
Shanda Games Ltd. (ADR)* | 5,000 | 58,500 | ||
SuccessFactors, Inc.* | 500 | 7,035 | ||
Symantec Corp.* | 26,800 | 441,396 | ||
The Sage Group PLC | 15,582 | 58,161 | ||
TiVo, Inc.* | 9,600 | 99,456 | ||
Tyler Technologies, Inc.* | 10,500 | 179,445 | ||
VanceInfo Technologies, Inc. (ADR)* | 12,100 | 235,224 | ||
Websense, Inc.* | 9,400 | 157,920 | ||
| 7,741,074 | |||
Materials 3.1% | ||||
Chemicals 1.4% | ||||
A. Schulman, Inc. | 9,200 | 183,356 | ||
Agrium, Inc. | 100 | 4,999 | ||
Air Liquide SA | 413 | 46,966 | ||
Airgas, Inc. | 2,600 | 125,762 | ||
Akzo Nobel NV | 993 | 61,596 | ||
Asahi Kasei Corp. | 2,000 | 10,105 | ||
Ashland, Inc. | 17,800 | 769,316 | ||
BASF SE | 6,979 | 369,499 | ||
Cabot Corp. | 5,000 | 115,550 | ||
Celanese Corp. "A" | 12,450 | 311,250 | ||
E.I. du Pont de Nemours & Co. | 18,000 | 578,520 | ||
Ecolab, Inc. | 9,200 | 425,316 | ||
GenTek, Inc.* | 300 | 11,412 | ||
Givaudan SA (Registered)* | 20 | 15,038 | ||
Innophos Holdings, Inc. | 6,200 | 114,700 | ||
JSR Corp. | 300 | 6,115 | ||
K+S AG | 98 | 5,348 | ||
Koninklijke DSM NV | 712 | 29,729 | ||
Koppers Holdings, Inc. | 3,300 | 97,845 | ||
Kuraray Co., Ltd. | 500 | 5,426 | ||
Linde AG | 124 | 13,461 | ||
Lubrizol Corp. | 11,300 | 807,498 | ||
Mitsubishi Chemical Holdings Corp. | 1,500 | 6,182 | ||
Mitsubishi Gas Chemical Co., Inc. | 1,000 | 5,395 | ||
Monsanto Co. | 17,300 | 1,339,020 | ||
NewMarket Corp. | 800 | 74,432 | ||
Nitto Denko Corp. | 200 | 6,083 | ||
Omnova Solutions, Inc.* | 1,500 | 9,720 | ||
Orica Ltd. | 303 | 6,262 | ||
PolyOne Corp.* | 1,800 | 12,006 | ||
Potash Corp. of Saskatchewan, Inc. | 300 | 27,237 | ||
Shin-Etsu Chemical Co., Ltd. | 7,404 | 452,548 | ||
Solvay SA | 627 | 65,120 | ||
Spartech Corp. | 8,700 | 93,699 | ||
Stepan Co. | 2,000 | 120,160 | ||
Sumitomo Chemical Co., Ltd. | 2,000 | 8,265 | ||
Syngenta AG (Registered) | 270 | 61,987 | ||
Teijin Ltd. | 2,000 | 6,197 | ||
The Mosaic Co. | 14,750 | 709,032 | ||
Toray Industries, Inc. | 2,000 | 12,044 | ||
Ube Industries Ltd. | 2,000 | 5,237 | ||
Umicore | 1,199 | 35,961 | ||
Westlake Chemical Corp. | 1,300 | 33,410 | ||
Yara International ASA | 2,360 | 74,178 | ||
| 7,272,982 | |||
Construction Materials 0.1% | ||||
CRH PLC | 18,540 | 514,235 | ||
Holcim Ltd. (Registered) | 596 | 41,001 | ||
Lafarge SA | 359 | 32,094 | ||
Martin Marietta Materials, Inc. | 1,200 | 110,484 | ||
| 697,814 | |||
Containers & Packaging 0.2% | ||||
AEP Industries, Inc.* | 3,500 | 139,650 | ||
Bway Holding Co.* | 5,289 | 97,899 | ||
FP Corp. | 2,100 | 108,618 | ||
Owens-Illinois, Inc.* | 11,100 | 409,590 | ||
Rock-Tenn Co. "A" | 4,400 | 207,284 | ||
Toyo Seikan Kaisha Ltd. | 500 | 9,574 | ||
| 972,615 | |||
Metals & Mining 1.0% | ||||
Agnico-Eagle Mines Ltd. | 100 | 6,763 | ||
Anglo American PLC* | 1,190 | 37,882 | ||
ArcelorMittal | 13,155 | 490,951 | ||
Barrick Gold Corp. | 700 | 26,505 | ||
BHP Billiton Ltd. | 15,526 | 513,064 | ||
BHP Billiton PLC | 1,351 | 37,128 | ||
Cliffs Natural Resources, Inc. | 51,700 | 1,673,012 | ||
Commercial Metals Co. | 11,500 | 205,850 | ||
First Quantum Minerals Ltd. | 100 | 6,538 | ||
Freeport-McMoRan Copper & Gold, Inc. | 2,800 | 192,108 | ||
Goldcorp, Inc. | 500 | 20,072 | ||
JFE Holdings, Inc. | 800 | 27,188 | ||
Kinross Gold Corp. | 500 | 10,895 | ||
Kobe Steel Ltd.* | 4,000 | 6,950 | ||
Mitsubishi Materials Corp.* | 2,000 | 5,486 | ||
Newcrest Mining Ltd. | 392 | 11,021 | ||
Nippon Steel Corp. | 7,000 | 25,362 | ||
Nisshin Steel Co., Ltd. | 2,000 | 3,546 | ||
Norsk Hydro ASA* | 11,100 | 74,168 | ||
Outokumpu Oyj | 1,252 | 23,525 | ||
Randgold Resources Ltd. (ADR) | 1,700 | 118,796 | ||
Rautaruukki Oyj | 915 | 21,938 | ||
Rio Tinto Ltd. | 278 | 14,461 | ||
Rio Tinto PLC | 6,718 | 288,278 | ||
Schnitzer Steel Industries, Inc. "A" | 4,500 | 239,625 | ||
SSAB AB "A" | 1,952 | 30,190 | ||
SSAB AB "B" | 1,129 | 15,927 | ||
Stillwater Mining Co.* | 400 | 2,688 | ||
Sumitomo Metal Industries Ltd. | 8,000 | 19,514 | ||
Sumitomo Metal Mining Co., Ltd. | 1,000 | 16,283 | ||
Teck Resources Ltd. "B"* | 624 | 17,193 | ||
ThyssenKrupp AG | 312 | 10,746 | ||
Vista Gold Corp.* | 22,200 | 52,836 | ||
voestalpine AG | 7,208 | 258,140 | ||
Xstrata PLC* | 34,696 | 510,973 | ||
Yamana Gold, Inc. | 400 | 4,304 | ||
| 5,019,906 | |||
Paper & Forest Products 0.4% | ||||
Clearwater Paper Corp.* | 3,871 | 159,988 | ||
Glatfelter | 18,300 | 210,084 | ||
Holmen AB "B" | 501 | 13,812 | ||
International Paper Co. | 70,200 | 1,560,546 | ||
Oji Paper Co., Ltd. | 2,000 | 9,003 | ||
Schweitzer-Mauduit International, Inc. | 3,300 | 179,388 | ||
Stora Enso Oyj "R"* | 5,482 | 38,292 | ||
Svenska Cellulosa AB "B" | 5,743 | 77,985 | ||
UPM-Kymmene Oyj | 4,812 | 57,678 | ||
| 2,306,776 | |||
Telecommunication Services 2.1% | ||||
Diversified Telecommunication Services 1.7% | ||||
AT&T, Inc. | 175,300 | 4,734,853 | ||
Atlantic Tele-Network, Inc. | 2,000 | 106,840 | ||
BCE, Inc. | 2,200 | 54,227 | ||
Belgacom SA | 4,741 | 184,733 | ||
BT Group PLC | 13,010 | 27,063 | ||
Cable & Wireless PLC | 4,236 | 9,722 | ||
Deutsche Telekom AG (Registered) | 38,207 | 522,379 | ||
France Telecom SA | 8,931 | 238,892 | ||
Iliad SA | 92 | 10,382 | ||
Koninklijke (Royal) KPN NV | 15,299 | 253,890 | ||
Nippon Telegraph & Telephone Corp. | 3,300 | 152,333 | ||
Singapore Telecommunications Ltd. | 54,000 | 123,980 | ||
Swisscom AG (Registered) | 720 | 257,892 | ||
Tele2 AB "B" | 1,092 | 14,516 | ||
Telecom Italia SpA | 101,206 | 177,801 | ||
Telecom Italia SpA (RSP) | 60,482 | 74,392 | ||
Telefonica SA | 21,305 | 588,067 | ||
Telenor ASA* | 11,300 | 131,199 | ||
TeliaSonera AB | 6,988 | 45,948 | ||
Telstra Corp., Ltd. | 44,262 | 127,498 | ||
Telus Corp. | 300 | 9,678 | ||
Telus Corp. (Non-Voting Shares) | 300 | 9,334 | ||
Verizon Communications, Inc. | 31,100 | 941,397 | ||
| 8,797,016 | |||
Wireless Telecommunication Services 0.4% | ||||
American Tower Corp. "A"* | 21,800 | 793,520 | ||
China Mobile Ltd. | 46,992 | 460,870 | ||
iPCS, Inc.* | 400 | 6,960 | ||
KDDI Corp. | 19 | 106,875 | ||
Millicom International Cellular SA (SDR)* | 276 | 20,197 | ||
Mobistar SA | 914 | 63,308 | ||
NTT DoCoMo, Inc. | 100 | 159,351 | ||
Rogers Communications, Inc. "B" | 1,400 | 39,529 | ||
Softbank Corp. | 5,000 | 109,161 | ||
USA Mobility, Inc. | 14,000 | 180,320 | ||
Vodafone Group PLC | 208,340 | 467,603 | ||
| 2,407,694 | |||
Utilities 2.1% | ||||
Electric Utilities 1.4% | ||||
Acciona SA | 84 | 11,422 | ||
Allegheny Energy, Inc. | 13,400 | 355,368 | ||
American Electric Power Co., Inc. | 9,600 | 297,504 | ||
Cheung Kong Infrastructure Holdings Ltd. | 2,000 | 7,165 | ||
Chubu Electric Power Co., Inc. | 2,300 | 55,807 | ||
Chugoku Electric Power Co., Inc. | 1,000 | 21,985 | ||
CLP Holdings Ltd. | 7,500 | 51,031 | ||
E.ON AG | 10,435 | 443,102 | ||
Edison International | 31,600 | 1,061,128 | ||
EDP — Energias de Portugal SA | 13,932 | 63,841 | ||
Electricite de France | 4,674 | 277,793 | ||
Enel SpA | 12,496 | 79,357 | ||
Entergy Corp. | 6,200 | 495,132 | ||
Exelon Corp. | 43,100 | 2,138,622 | ||
FirstEnergy Corp. | 16,100 | 736,092 | ||
Fortis, Inc. | 2,100 | 48,996 | ||
Fortum Oyj | 19,500 | 500,612 | ||
FPL Group, Inc. | 5,850 | 323,095 | ||
Hokkaido Electric Power Co., Inc. | 900 | 18,722 | ||
Hokuriku Electric Power Co. | 700 | 17,801 | ||
HongKong Electric Holdings Ltd. | 4,500 | 24,687 | ||
Iberdrola SA | 5,357 | 52,650 | ||
Kansai Electric Power Co., Inc. | 2,700 | 65,244 | ||
Kyushu Electric Power Co., Inc. | 1,500 | 33,944 | ||
MGE Energy, Inc. | 1,200 | 43,776 | ||
NV Energy, Inc. | 19,900 | 230,641 | ||
Red Electrica Corporacion SA | 185 | 9,471 | ||
Scottish & Southern Energy PLC | 1,761 | 33,019 | ||
Shikoku Electric Power Co., Inc. | 700 | 21,355 | ||
SP Ausnet | 62,417 | 48,588 | ||
Terna-Rete Elettrica Nationale SpA | 4,601 | 17,950 | ||
Tohoku Electric Power Co., Inc. | 1,500 | 33,381 | ||
Tokyo Electric Power Co., Inc. | 5,000 | 131,132 | ||
| 7,750,413 | |||
Gas Utilities 0.1% | ||||
Chesapeake Utilities Corp. | 1,400 | 43,386 | ||
Enagas | 468 | 9,788 | ||
Gas Natural SDG SA | 529 | 11,699 | ||
Hong Kong & China Gas Co., Ltd. | 16,900 | 42,648 | ||
National Fuel Gas Co. | 1,900 | 87,039 | ||
New Jersey Resources Corp. | 5,200 | 188,812 | ||
Northwest Natural Gas Co. | 1,500 | 62,490 | ||
Osaka Gas Co., Ltd. | 7,000 | 24,549 | ||
Snam Rete Gas SpA | 5,100 | 24,824 | ||
Toho Gas Co., Ltd. | 3,000 | 13,683 | ||
Tokyo Gas Co., Ltd. | 9,000 | 37,343 | ||
| 546,261 | |||
Independent Power Producers & Energy Traders 0.3% | ||||
EDP Renovaveis SA* | 1,453 | 15,980 | ||
Electric Power Development Co., Ltd. | 500 | 15,830 | ||
Iberdrola Renovables SA | 2,330 | 11,475 | ||
International Power PLC | 3,510 | 16,232 | ||
NRG Energy, Inc.* | 49,359 | 1,391,430 | ||
TransAlta Corp. | 2,500 | 50,997 | ||
| 1,501,944 | |||
Multi-Utilities 0.2% | ||||
A2A SpA | 2,449 | 4,820 | ||
AGL Energy Ltd. | 21,467 | 258,722 | ||
Canadian Utilities Ltd. "A" | 900 | 31,851 | ||
Centrica PLC | 8,984 | 36,147 | ||
CH Energy Group, Inc. | 2,800 | 124,068 | ||
Dominion Resources, Inc. | 8,100 | 279,450 | ||
GDF Suez | 1,113 | 49,762 | ||
National Grid PLC | 4,356 | 42,160 | ||
RWE AG | 338 | 31,432 | ||
Suez Environnement Co. | 371 | 8,507 | ||
United Utilities Group PLC | 1,142 | 8,339 | ||
Veolia Environnement | 508 | 19,514 | ||
| 894,772 | |||
Water Utilities 0.1% | ||||
American Water Works Co., Inc. | 15,000 | 299,100 | ||
California Water Service Group | 4,700 | 183,018 | ||
Severn Trent PLC | 308 | 4,778 | ||
| 486,896 | |||
Total Common Stocks (Cost $253,663,891) | 294,677,268 | |||
| ||||
Preferred Stocks 0.0% | ||||
Consumer Discretionary 0.0% | ||||
Porsche Automobil Holding SE | 80 | 6,293 | ||
Volkswagen AG | 92 | 10,716 | ||
| 17,009 | |||
Consumer Staples 0.0% | ||||
Henkel AG & Co. KGaA | 3,037 | 131,005 | ||
Health Care 0.0% | ||||
Fresenius SE | 184 | 10,781 | ||
Total Preferred Stocks (Cost $172,869) | 158,795 | |||
| ||||
Rights 0.0% | ||||
Financials 0.0% | ||||
BNP Paribas, Expiration Date 10/13/2009* | 6,278 | 13,597 | ||
Fortis, Expiration Date 7/4/2014* | 9,978 | 0 | ||
Genting Singapore PLC, Expiration Date 10/12/2009* | 9,600 | 2,181 | ||
Total Rights (Cost $0) | 15,778 | |||
| ||||
Warrants 0.1% | ||||
Financials | ||||
Mediobanca SpA, Expiration Date 3/18/2011* | 451 | 0 | ||
UBS AG, Expiration Date 8/31/2011* | 210,587 | 417,330 | ||
Total Warrants (Cost $323,651) | 417,330 |
| Principal Amount ($)(a) | Value ($) | ||
|
| |||
Corporate Bonds 10.4% | ||||
Consumer Discretionary 1.3% | ||||
Affinia Group, Inc., 144A, 10.75%, 8/15/2016 |
| 10,000 | 10,750 | |
AMC Entertainment, Inc., 8.0%, 3/1/2014 |
| 70,000 | 67,550 | |
American Achievement Corp., 144A, 8.25%, 4/1/2012 |
| 20,000 | 19,900 | |
Ameristar Casinos, Inc., 144A, 9.25%, 6/1/2014 |
| 30,000 | 31,125 | |
Asbury Automotive Group, Inc.: | ||||
| 7.625%, 3/15/2017 | 45,000 | 39,825 | |
| 8.0%, 3/15/2014 | 20,000 | 18,600 | |
Ashtead Holdings PLC, 144A, 8.625%, 8/1/2015 |
| 135,000 | 129,600 | |
Brunswick Corp., 144A, 11.25%, 11/1/2016 |
| 20,000 | 21,800 | |
CanWest MediaWorks LP, 144A, 9.25%, 8/1/2015** |
| 35,000 | 3,500 | |
Carrols Corp., 9.0%, 1/15/2013 |
| 25,000 | 25,000 | |
Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/2022 |
| 95,000 | 122,075 | |
Cox Communications, Inc., 144A, 8.375%, 3/1/2039 |
| 560,000 | 690,802 | |
CSC Holdings, Inc.: | ||||
| 6.75%, 4/15/2012 | 30,000 | 30,900 | |
| Series B, 7.625%, 4/1/2011 | 40,000 | 41,500 | |
DirecTV Holdings LLC, 7.625%, 5/15/2016 |
| 100,000 | 107,000 | |
DISH DBS Corp.: | ||||
| 6.375%, 10/1/2011 | 70,000 | 71,400 | |
| 6.625%, 10/1/2014 | 65,000 | 63,212 | |
| 7.125%, 2/1/2016 | 50,000 | 49,625 | |
Fontainebleau Las Vegas Holdings LLC, 144A, 11.0%, 6/15/2015** |
| 40,000 | 1,100 | |
Ford Motor Co., 7.45%, 7/16/2031 |
| 35,000 | 28,350 | |
Goodyear Tire & Rubber Co., 10.5%, 5/15/2016 |
| 20,000 | 21,700 | |
Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015 |
| 40,000 | 38,000 | |
Group 1 Automotive, Inc., 8.25%, 8/15/2013 |
| 20,000 | 19,800 | |
Harrah's Operating Co., Inc., 144A, 11.25%, 6/1/2017 |
| 30,000 | 30,300 | |
Hertz Corp., 8.875%, 1/1/2014 |
| 80,000 | 80,800 | |
Idearc, Inc., 8.0%, 11/15/2016** |
| 85,000 | 3,825 | |
Isle of Capri Casinos, Inc., 7.0%, 3/1/2014 |
| 25,000 | 22,250 | |
Lamar Media Corp., Series C, 6.625%, 8/15/2015 |
| 25,000 | 22,875 | |
Levi Strauss & Co., 8.625%, 4/1/2013 | EUR | 50,000 | 73,167 | |
Nebraska Book Co., Inc., 144A, 10.0%, 12/1/2011 (b) |
| 10,000 | 9,925 | |
Neiman Marcus Group, Inc.: | ||||
| 9.0%, 10/15/2015 (PIK) | 10,000 | 8,550 | |
| 10.375%, 10/15/2015 | 40,000 | 34,200 | |
News America, Inc., 7.85%, 3/1/2039 |
| 615,000 | 719,939 | |
Norcraft Holdings LP, 9.75%, 9/1/2012 |
| 125,000 | 118,750 | |
Omnicom Group, Inc., Zero Coupon, 7/1/2038 |
| 550,000 | 543,125 | |
Penn National Gaming, Inc., 144A, 8.75%, 8/15/2019 |
| 15,000 | 15,038 | |
Penske Automotive Group, Inc., 7.75%, 12/15/2016 |
| 75,000 | 69,187 | |
Reader's Digest Association, Inc., 9.0%, 2/15/2017** |
| 25,000 | 375 | |
Sabre Holdings Corp.: | ||||
| 7.35%, 8/1/2011 | 10,000 | 9,975 | |
| 8.35%, 3/15/2016 | 40,000 | 33,400 | |
Seminole Hard Rock Entertainment, Inc., 144A, 2.799%***, 3/15/2014 |
| 50,000 | 40,250 | |
Shingle Springs Tribal Gaming Authority, 144A, 9.375%, 6/15/2015 |
| 35,000 | 25,200 | |
Simmons Co., Step-up Coupon, 0% to 12/15/2009, 10.0% to 12/15/2014 |
| 125,000 | 31,250 | |
Sonic Automotive, Inc., Series B, 8.625%, 8/15/2013 |
| 65,000 | 62,075 | |
Standard Pacific Escrow LLC, 144A, 10.75%, 9/15/2016 |
| 25,000 | 24,625 | |
TCI Communications, Inc., 8.75%, 8/1/2015 |
| 543,000 | 655,246 | |
Time Warner Cable, Inc., 6.75%, 7/1/2018 |
| 490,000 | 541,332 | |
Time Warner, Inc.: | ||||
| 5.5%, 11/15/2011 | 425,000 | 451,861 | |
| 7.625%, 4/15/2031 | 50,000 | 56,037 | |
| 7.7%, 5/1/2032 | 235,000 | 265,735 | |
| 9.125%, 1/15/2013 | 535,000 | 621,251 | |
Travelport LLC: | ||||
| 4.986%***, 9/1/2014 | 35,000 | 29,400 | |
| 9.875%, 9/1/2014 | 25,000 | 24,187 | |
Trump Entertainment Resorts, Inc., 8.5%, 6/1/2015** |
| 10,000 | 1,200 | |
United Components, Inc., 9.375%, 6/15/2013 |
| 5,000 | 4,013 | |
Unity Media GmbH, 144A, 8.75%, 2/15/2015 | EUR | 60,000 | 91,752 | |
UPC Holding BV: | ||||
| 144A, 7.75%, 1/15/2014 | EUR | 50,000 | 71,704 |
| 144A, 8.0%, 11/1/2016 | EUR | 100,000 | 139,018 |
Viacom, Inc., 6.75%, 10/5/2037 |
| 360,000 | 382,222 | |
Videotron Ltd., 9.125%, 4/15/2018 |
| 15,000 | 16,238 | |
WMG Acquisition Corp., 144A, 9.5%, 6/15/2016 |
| 30,000 | 31,650 | |
| 7,015,041 | |||
Consumer Staples 0.3% | ||||
Alliance One International, Inc., 144A, 10.0%, 7/15/2016 |
| 20,000 | 20,650 | |
Altria Group, Inc., 9.7%, 11/10/2018 |
| 15,000 | 18,631 | |
Central European Distribution Corp., 3.0%, 3/15/2013 |
| 10,000 | 8,325 | |
CVS Caremark Corp., 6.302%, 6/1/2037 |
| 1,336,000 | 1,142,280 | |
Dole Foods Co., Inc., 144A, 8.0%, 10/1/2016 |
| 20,000 | 20,075 | |
Great Atlantic & Pacific Tea Co., Inc., 144A, 11.375%, 8/1/2015 |
| 25,000 | 25,312 | |
Ingles Markets, Inc., 8.875%, 5/15/2017 |
| 20,000 | 20,500 | |
Rite Aid Corp., 7.5%, 3/1/2017 |
| 45,000 | 39,600 | |
Smithfield Foods, Inc., 144A, 10.0%, 7/15/2014 |
| 45,000 | 47,250 | |
SUPERVALU, Inc., 8.0%, 5/1/2016 |
| 50,000 | 51,750 | |
| 1,394,373 | |||
Energy 0.7% | ||||
Atlas Energy Operating Co., LLC, 144A, 10.75%, 2/1/2018 |
| 80,000 | 83,000 | |
Belden & Blake Corp., 8.75%, 7/15/2012 |
| 205,000 | 190,650 | |
Bristow Group, Inc., 7.5%, 9/15/2017 |
| 35,000 | 33,250 | |
Chaparral Energy, Inc., 8.5%, 12/1/2015 |
| 65,000 | 52,325 | |
Chesapeake Energy Corp.: | ||||
| 6.25%, 1/15/2018 | 50,000 | 44,750 | |
| 6.875%, 1/15/2016 | 145,000 | 137,387 | |
| 7.25%, 12/15/2018 | 70,000 | 66,150 | |
| 7.5%, 6/15/2014 | 15,000 | 14,831 | |
Colorado Interstate Gas Co., 6.8%, 11/15/2015 |
| 20,000 | 22,241 | |
Concho Resources, Inc., 8.625%, 10/1/2017 |
| 10,000 | 10,250 | |
Continental Resources, Inc., 144A, 8.25%, 10/1/2019 |
| 10,000 | 10,275 | |
El Paso Corp.: | ||||
| 7.25%, 6/1/2018 | 30,000 | 29,508 | |
| 7.75%, 6/15/2010 | 15,000 | 15,060 | |
| 9.625%, 5/15/2012 | 34,000 | 35,306 | |
EXCO Resources, Inc., 7.25%, 1/15/2011 |
| 60,000 | 59,475 | |
Frontier Oil Corp.: | ||||
| 6.625%, 10/1/2011 | 25,000 | 25,000 | |
| 8.5%, 9/15/2016 | 50,000 | 51,187 | |
Holly Corp., 144A, 9.875%, 6/15/2017 |
| 35,000 | 35,788 | |
KCS Energy, Inc., 7.125%, 4/1/2012 |
| 155,000 | 153,450 | |
Kinder Morgan Energy Partners LP: | ||||
| 6.5%, 9/1/2039 | 240,000 | 244,145 | |
| 6.85%, 2/15/2020 | 170,000 | 185,680 | |
Linn Energy LLC, 144A, 11.75%, 5/15/2017 |
| 50,000 | 53,875 | |
Marathon Oil Corp., 7.5%, 2/15/2019 |
| 470,000 | 542,111 | |
Mariner Energy, Inc.: | ||||
| 7.5%, 4/15/2013 | 35,000 | 33,775 | |
| 8.0%, 5/15/2017 | 25,000 | 22,875 | |
Newfield Exploration Co., 7.125%, 5/15/2018 |
| 60,000 | 59,850 | |
ONEOK Partners LP: | ||||
| 6.65%, 10/1/2036 | 230,000 | 245,082 | |
| 6.85%, 10/15/2037 | 45,000 | 48,555 | |
OPTI Canada, Inc.: | ||||
| 7.875%, 12/15/2014 | 80,000 | 61,200 | |
| 8.25%, 12/15/2014 | 100,000 | 77,500 | |
Petrohawk Energy Corp.: | ||||
| 7.875%, 6/1/2015 | 20,000 | 19,700 | |
| 9.125%, 7/15/2013 | 20,000 | 20,550 | |
Plains Exploration & Production Co.: | ||||
| 7.0%, 3/15/2017 | 40,000 | 38,100 | |
| 7.625%, 6/1/2018 | 70,000 | 68,600 | |
| 8.625%, 10/15/2019 | 10,000 | 10,125 | |
Quicksilver Resources, Inc., 7.125%, 4/1/2016 |
| 110,000 | 95,425 | |
Regency Energy Partners LP, 8.375%, 12/15/2013 |
| 50,000 | 50,500 | |
Southwestern Energy Co., 7.5%, 2/1/2018 |
| 10,000 | 10,100 | |
Stone Energy Corp.: | ||||
| 6.75%, 12/15/2014 | 60,000 | 45,600 | |
| 8.25%, 12/15/2011 | 110,000 | 103,400 | |
Talisman Energy, Inc.: | ||||
| 5.85%, 2/1/2037 | 115,000 | 110,612 | |
| 7.75%, 6/1/2019 | 295,000 | 346,868 | |
TEPPCO Partners LP, 7.625%, 2/15/2012 |
| 35,000 | 38,790 | |
TransCanada PipeLines Ltd., 7.125%, 1/15/2019 |
| 20,000 | 23,596 | |
Whiting Petroleum Corp.: | ||||
| 7.25%, 5/1/2012 | 45,000 | 45,000 | |
| 7.25%, 5/1/2013 | 5,000 | 4,988 | |
Williams Companies, Inc., 8.125%, 3/15/2012 |
| 135,000 | 146,741 | |
| 3,823,226 | |||
Financials 4.3% | ||||
AgriBank FCB, 9.125%, 7/15/2019 |
| 500,000 | 540,757 | |
Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015 |
| 85,000 | 71,400 | |
ANZ National International Ltd., 144A, 6.2%, 7/19/2013 |
| 400,000 | 437,689 | |
Ashton Woods USA LLC, 144A, Step-up Coupon, 0% to 6/30/2012, 11.0% to 6/30/2015 |
| 52,000 | 18,970 | |
Bank of America Corp.: | ||||
| 5.75%, 12/1/2017 | 445,000 | 444,189 | |
| 7.625%, 6/1/2019 | 550,000 | 619,735 | |
Barclays Bank PLC: | ||||
| Series 1, 5.0%, 9/22/2016 | 800,000 | 810,214 | |
| 6.75%, 5/22/2019 | 400,000 | 447,374 | |
Buffalo Thunder Development Authority, 144A, 9.375%, 12/15/2014** |
| 20,000 | 3,550 | |
Calpine Construction Finance Co., LP, 144A, 8.0%, 6/1/2016 |
| 45,000 | 46,125 | |
Case New Holland, Inc., 144A, 7.75%, 9/1/2013 |
| 25,000 | 24,875 | |
Citigroup, Inc.: | ||||
| 5.0%, 9/15/2014 | 45,000 | 42,821 | |
| 6.5%, 8/19/2013 | 520,000 | 545,869 | |
| 8.5%, 5/22/2019 | 354,000 | 399,608 | |
Corp. Andina de Fomento, 8.125%, 6/4/2019 |
| 610,000 | 708,373 | |
Discover Financial Services, 10.25%, 7/15/2019 |
| 432,000 | 494,453 | |
E*TRADE Financial Corp.: | ||||
| 7.375%, 9/15/2013 | 85,000 | 76,925 | |
| 12.5%, 11/30/2017 (PIK) | 20,000 | 22,200 | |
Enel Finance International SA, 144A, 6.25%, 9/15/2017 |
| 280,000 | 301,585 | |
Erac USA Finance Co.: | ||||
| 144A, 5.8%, 10/15/2012 | 420,000 | 435,618 | |
| 144A, 8.0%, 1/15/2011 | 1,180,000 | 1,237,051 | |
Farmers Exchange Capital, 144A, 7.2%, 7/15/2048 |
| 760,000 | 637,462 | |
Ford Motor Credit Co., LLC: | ||||
| 7.25%, 10/25/2011 | 300,000 | 291,363 | |
| 8.7%, 10/1/2014 | 85,000 | 83,262 | |
| 9.875%, 8/10/2011 | 120,000 | 121,704 | |
FPL Group Capital, Inc., 6.65%, 6/15/2067 |
| 417,000 | 383,640 | |
General Electric Capital Corp., 3.5%, 8/13/2012 |
| 370,000 | 374,610 | |
GMAC, Inc.: | ||||
| 144A, 6.875%, 9/15/2011 | 186,000 | 175,770 | |
| 144A, 7.0%, 2/1/2012 | 95,000 | 88,350 | |
| 144A, 7.75%, 1/19/2010 | 140,000 | 139,825 | |
Hawker Beechcraft Acquisition Co., LLC, 8.5%, 4/1/2015 |
| 10,000 | 7,100 | |
HBOS PLC, 144A, 6.75%, 5/21/2018 |
| 185,000 | 164,951 | |
Hexion US Finance Corp., 9.75%, 11/15/2014 |
| 10,000 | 8,600 | |
Iberdrola Finance Ireland Ltd., 144A, 3.8%, 9/11/2014 |
| 615,000 | 623,560 | |
Inmarsat Finance II PLC, 10.375%, 11/15/2012 |
| 135,000 | 139,725 | |
iPayment, Inc., 9.75%, 5/15/2014 |
| 40,000 | 26,800 | |
JPMorgan Chase & Co., 6.4%, 5/15/2038 |
| 500,000 | 559,771 | |
Kimco Realty Corp., (REIT), 6.875%, 10/1/2019 |
| 435,000 | 444,901 | |
Massachusetts Mutual Life Insurance Co., 144A, 8.875%, 6/1/2039 |
| 375,000 | 459,574 | |
Merrill Lynch & Co., Inc.: | ||||
| Series C, 5.45%, 2/5/2013 | 120,000 | 124,431 | |
| Series C, 5.45%, 7/15/2014 | 49,000 | 51,005 | |
| 6.22%, 9/15/2026 | 100,000 | 94,789 | |
| 6.875%, 4/25/2018 | 365,000 | 383,869 | |
Metropolitan Life Global Funding I, 144A, 5.125%, 4/10/2013 |
| 695,000 | 720,595 | |
Morgan Stanley: | ||||
| 5.05%, 1/21/2011 | 700,000 | 724,076 | |
| Series F, 6.0%, 4/28/2015 | 975,000 | 1,032,496 | |
National City Corp., 4.0%, 2/1/2011 |
| 785,000 | 790,887 | |
Nationwide Mutual Insurance Co., 144A, 9.375%, 8/15/2039 |
| 311,000 | 331,418 | |
NiSource Finance Corp., 7.875%, 11/15/2010 |
| 275,000 | 289,304 | |
Orascom Telecom Finance SCA, 144A, 7.875%, 2/8/2014 |
| 100,000 | 95,500 | |
Pacific Life Insurance Co., 144A, 9.25%, 6/15/2039 |
| 320,000 | 366,928 | |
Pinnacle Foods Finance LLC, 9.25%, 4/1/2015 |
| 30,000 | 30,450 | |
PPL Capital Funding, Inc., Series A, 6.7%, 3/30/2067 |
| 520,000 | 434,200 | |
Prudential Financial, Inc., 7.375%, 6/15/2019 |
| 377,000 | 420,736 | |
Rainbow National Services LLC, 144A, 10.375%, 9/1/2014 |
| 5,000 | 5,263 | |
Raymond James Financial, Inc., 8.6%, 8/15/2019 |
| 220,000 | 242,939 | |
Rio Tinto Finance (USA) Ltd., 6.5%, 7/15/2018 |
| 575,000 | 618,320 | |
Sprint Capital Corp.: | ||||
| 7.625%, 1/30/2011 | 30,000 | 30,713 | |
| 8.375%, 3/15/2012 | 115,000 | 118,738 | |
Telecom Italia Capital SA: | ||||
| 5.25%, 10/1/2015 | 100,000 | 103,527 | |
| 7.175%, 6/18/2019 | 290,000 | 323,594 | |
The Goldman Sachs Group, Inc., 6.25%, 9/1/2017 |
| 540,000 | 571,100 | |
Tropicana Entertainment LLC, 9.625%, 12/15/2014** |
| 105,000 | 66 | |
UCI Holdco, Inc., 9.25%***, 12/15/2013 (PIK) |
| 57,905 | 23,452 | |
UDR, Inc., Series E, (REIT), 3.9%, 3/15/2010 |
| 305,000 | 304,877 | |
Universal City Development Partners Ltd., 11.75%, 4/1/2010 |
| 185,000 | 186,388 | |
Virgin Media Finance PLC, 8.75%, 4/15/2014 |
| 135,000 | 137,700 | |
Wells Fargo & Co.: | ||||
| Series I, 3.75%, 10/1/2014 (b) | 336,000 | 334,319 | |
| 4.375%, 1/31/2013 | 310,000 | 320,115 | |
Wind Acquisition Finance SA: | ||||
| 144A, 9.75%, 12/1/2015 | EUR | 100,000 | 158,042 |
| 144A, 10.75%, 12/1/2015 | 75,000 | 82,500 | |
Xstrata Finance Canada Ltd., 144A, 5.8%, 11/15/2016 |
| 711,000 | 699,055 | |
| 22,611,741 | |||
Health Care 0.3% | ||||
Amgen, Inc., Zero Coupon, 3/1/2032 |
| 360,000 | 265,950 | |
Boston Scientific Corp., 6.0%, 6/15/2011 |
| 50,000 | 51,375 | |
Community Health Systems, Inc., 8.875%, 7/15/2015 |
| 180,000 | 184,500 | |
HCA, Inc.: | ||||
| 144A, 8.5%, 4/15/2019 | 105,000 | 109,725 | |
| 9.125%, 11/15/2014 | 90,000 | 92,925 | |
| 9.25%, 11/15/2016 | 190,000 | 196,413 | |
| 9.625%, 11/15/2016 (PIK) | 68,000 | 70,720 | |
HEALTHSOUTH Corp., 10.75%, 6/15/2016 |
| 25,000 | 27,125 | |
IASIS Healthcare LLC, 8.75%, 6/15/2014 |
| 70,000 | 70,000 | |
Roche Holdings, Inc., 144A, 6.0%, 3/1/2019 |
| 275,000 | 306,113 | |
The Cooper Companies, Inc., 7.125%, 2/15/2015 |
| 75,000 | 72,750 | |
Valeant Pharmaceuticals International, 144A, 8.375%, 6/15/2016 |
| 25,000 | 25,375 | |
Vanguard Health Holding Co. I, LLC, Step-up Coupon, 0% to 10/1/2009, 11.25% to 10/1/2015 |
| 15,000 | 15,600 | |
Vanguard Health Holding Co. II, LLC, 9.0%, 10/1/2014 |
| 125,000 | 127,500 | |
| 1,616,071 | |||
Industrials 0.4% | ||||
Acco Brands Corp., 144A, 10.625%, 3/15/2015 |
| 10,000 | 10,450 | |
Actuant Corp., 6.875%, 6/15/2017 |
| 25,000 | 23,250 | |
Allied Waste North America, Inc., 7.25%, 3/15/2015 |
| 290,000 | 302,687 | |
ARAMARK Corp., 8.5%, 2/1/2015 |
| 15,000 | 15,131 | |
BE Aerospace, Inc., 8.5%, 7/1/2018 |
| 70,000 | 71,750 | |
Belden, Inc., 7.0%, 3/15/2017 |
| 30,000 | 28,538 | |
Bombardier, Inc., 144A, 6.3%, 5/1/2014 |
| 100,000 | 96,500 | |
Browning-Ferris Industries, Inc., 7.4%, 9/15/2035 |
| 10,000 | 11,468 | |
Cenveo Corp., 144A, 10.5%, 8/15/2016 |
| 35,000 | 32,900 | |
Clean Harbors, Inc., 144A, 7.625%, 8/15/2016 |
| 20,000 | 20,475 | |
Corrections Corp. of America, 7.75%, 6/1/2017 |
| 10,000 | 10,325 | |
CSX Corp., 7.375%, 2/1/2019 (c) |
| 300,000 | 353,035 | |
Delta Air Lines, Inc., 144A, 9.5%, 9/15/2014 |
| 65,000 | 65,000 | |
Esco Corp., 144A, 4.174%***, 12/15/2013 |
| 35,000 | 31,500 | |
Great Lakes Dredge & Dock Co., 7.75%, 12/15/2013 |
| 30,000 | 29,438 | |
Iron Mountain, Inc., 8.375%, 8/15/2021 |
| 40,000 | 41,200 | |
K. Hovnanian Enterprises, Inc., 8.875%, 4/1/2012 |
| 30,000 | 25,200 | |
Kansas City Southern de Mexico SA de CV: | ||||
| 7.375%, 6/1/2014 | 60,000 | 58,200 | |
| 7.625%, 12/1/2013 | 210,000 | 203,700 | |
| 9.375%, 5/1/2012 | 95,000 | 96,425 | |
Kansas City Southern Railway Co., 8.0%, 6/1/2015 |
| 65,000 | 66,300 | |
Mobile Mini, Inc., 9.75%, 8/1/2014 |
| 40,000 | 40,700 | |
Navios Maritime Holdings, Inc., 9.5%, 12/15/2014 |
| 60,000 | 56,700 | |
Owens Corning, Inc., 9.0%, 6/15/2019 |
| 40,000 | 42,960 | |
R.H. Donnelley Corp., Series A-4, 8.875%, 10/15/2017** |
| 110,000 | 6,325 | |
RBS Global, Inc. & Rexnord Corp., 9.5%, 8/1/2014 |
| 35,000 | 33,950 | |
Spirit AeroSystems, Inc., 144A, 7.5%, 10/1/2017 |
| 20,000 | 19,900 | |
Titan International, Inc., 8.0%, 1/15/2012 |
| 130,000 | 125,775 | |
TransDigm, Inc., 7.75%, 7/15/2014 |
| 20,000 | 19,850 | |
United Rentals North America, Inc.: | ||||
| 6.5%, 2/15/2012 | 80,000 | 80,200 | |
| 7.0%, 2/15/2014 | 105,000 | 91,350 | |
USG Corp., 144A, 9.75%, 8/1/2014 |
| 20,000 | 20,900 | |
Vought Aircraft Industries, Inc., 8.0%, 7/15/2011 |
| 30,000 | 29,700 | |
| 2,161,782 | |||
Information Technology 0.2% | ||||
Advanced Micro Devices, Inc., 5.75%, 8/15/2012 |
| 65,000 | 54,519 | |
Alcatel-Lucent USA, Inc., 6.45%, 3/15/2029 |
| 45,000 | 34,256 | |
Freescale Semiconductor, Inc., 8.875%, 12/15/2014 |
| 40,000 | 30,600 | |
Jabil Circuit, Inc., 7.75%, 7/15/2016 |
| 10,000 | 10,150 | |
L-3 Communications Corp.: | ||||
| 5.875%, 1/15/2015 | 125,000 | 124,375 | |
| Series B, 6.375%, 10/15/2015 | 60,000 | 60,600 | |
| 7.625%, 6/15/2012 | 120,000 | 121,650 | |
MasTec, Inc., 7.625%, 2/1/2017 |
| 50,000 | 47,000 | |
Nokia Corp., 6.625%, 5/15/2039 (c) |
| 275,000 | 313,316 | |
Oracle Corp., 6.125%, 7/8/2039 |
| 280,000 | 315,280 | |
SunGard Data Systems, Inc., 10.25%, 8/15/2015 |
| 135,000 | 137,700 | |
| 1,249,446 | |||
Materials 0.8% | ||||
Airgas, Inc., 144A, 7.125%, 10/1/2018 |
| 415,000 | 427,969 | |
Appleton Papers, Inc., Series B, 8.125%, 6/15/2011 |
| 20,000 | 16,225 | |
ARCO Chemical Co., 9.8%, 2/1/2020** |
| 285,000 | 192,375 | |
Ashland, Inc., 144A, 9.125%, 6/1/2017 |
| 60,000 | 64,200 | |
Ball Corp.: | ||||
| 7.125%, 9/1/2016 | 10,000 | 10,200 | |
| 7.375%, 9/1/2019 | 10,000 | 10,150 | |
Cascades, Inc., 7.25%, 2/15/2013 |
| 20,000 | 19,600 | |
Chevron Phillips Chemical Co., LLC, 144A, 8.25%, 6/15/2019 |
| 285,000 | 344,198 | |
Clondalkin Acquisition BV, 144A, 2.299%***, 12/15/2013 |
| 75,000 | 61,125 | |
CPG International I, Inc., 10.5%, 7/1/2013 |
| 60,000 | 50,700 | |
Crown Americas LLC, 144A, 7.625%, 5/15/2017 |
| 10,000 | 10,100 | |
Domtar Corp., 10.75%, 6/1/2017 |
| 30,000 | 33,600 | |
Dow Chemical Co., 8.55%, 5/15/2019 |
| 30,000 | 33,724 | |
Eastman Chemical Co., 7.25%, 1/15/2024 |
| 285,000 | 308,528 | |
Exopack Holding Corp., 11.25%, 2/1/2014 |
| 130,000 | 128,375 | |
Freeport-McMoRan Copper & Gold, Inc.: | ||||
| 8.25%, 4/1/2015 | 90,000 | 95,738 | |
| 8.375%, 4/1/2017 | 175,000 | 186,156 | |
Georgia-Pacific LLC: | ||||
| 144A, 7.125%, 1/15/2017 | 35,000 | 34,213 | |
| 9.5%, 12/1/2011 | 30,000 | 31,950 | |
Graphic Packaging International, Inc., 144A, 9.5%, 6/15/2017 |
| 65,000 | 69,063 | |
Hexcel Corp., 6.75%, 2/1/2015 |
| 155,000 | 147,638 | |
Huntsman International LLC, 144A, 6.875%, 11/15/2013 | EUR | 210,000 | 273,500 | |
Innophos, Inc., 8.875%, 8/15/2014 |
| 15,000 | 15,150 | |
International Paper Co.: | ||||
| 7.5%, 8/15/2021 | 110,000 | 116,552 | |
| 7.95%, 6/15/2018 | 300,000 | 325,187 | |
Koppers Holdings, Inc., Step-up Coupon, 0% to 11/15/2009, 9.875% to 11/15/2014 |
| 100,000 | 100,250 | |
Millar Western Forest Products Ltd., 7.75%, 11/15/2013 |
| 15,000 | 10,406 | |
NewMarket Corp., 7.125%, 12/15/2016 |
| 80,000 | 76,400 | |
NewPage Corp.: | ||||
| 10.0%, 5/1/2012 | 35,000 | 23,100 | |
| 144A, 11.375%, 12/31/2014 | 50,000 | 49,125 | |
Novelis, Inc.: | ||||
| 7.25%, 2/15/2015 | 20,000 | 17,300 | |
| 144A, 11.5%, 2/15/2015 | 30,000 | 30,300 | |
Nucor Corp., 6.4%, 12/1/2037 |
| 300,000 | 342,181 | |
Owens-Brockway Glass Container, Inc., 7.375%, 5/15/2016 |
| 85,000 | 86,275 | |
Silgan Holdings, Inc., 144A, 7.25%, 8/15/2016 |
| 30,000 | 30,300 | |
Teck Resources Ltd.: | ||||
| 9.75%, 5/15/2014 | 30,000 | 33,000 | |
| 10.25%, 5/15/2016 | 30,000 | 33,900 | |
| 10.75%, 5/15/2019 | 75,000 | 87,188 | |
Terra Capital, Inc., Series B, 7.0%, 2/1/2017 |
| 80,000 | 83,400 | |
The Mosaic Co., 144A, 7.375%, 12/1/2014 |
| 110,000 | 116,758 | |
Wolverine Tube, Inc., 15.0%, 3/31/2012 (PIK) |
| 66,372 | 56,416 | |
Xstrata Canada Corp., 6.0%, 10/15/2015 |
| 160,000 | 162,661 | |
| 4,345,176 | |||
Telecommunication Services 0.5% | ||||
BCM Ireland Preferred Equity Ltd., 144A, 7.873%***, 2/15/2017 (PIK) | EUR | 58,618 | 40,330 | |
Centennial Communications Corp.: | ||||
| 10.0%, 1/1/2013 | 25,000 | 26,031 | |
| 10.125%, 6/15/2013 | 65,000 | 66,950 | |
CenturyTel, Inc., Series P, 7.6%, 9/15/2039 (c) |
| 285,000 | 284,012 | |
Cincinnati Bell, Inc.: | ||||
| 7.25%, 7/15/2013 | 95,000 | 96,425 | |
| 8.375%, 1/15/2014 | 40,000 | 40,200 | |
Cricket Communications, Inc.: | ||||
| 9.375%, 11/1/2014 | 135,000 | 137,025 | |
| 10.0%, 7/15/2015 | 70,000 | 71,925 | |
Frontier Communications Corp.: | ||||
| 6.25%, 1/15/2013 | 40,000 | 39,200 | |
| 8.125%, 10/1/2018 (b) | 5,000 | 5,031 | |
Global Crossing Ltd., 144A, 12.0%, 9/15/2015 |
| 20,000 | 21,000 | |
Hellas Telecommunications Luxembourg V, 144A, 4.496%***, 10/15/2012 | EUR | 200,000 | 254,623 | |
Intelsat Corp., 9.25%, 6/15/2016 |
| 260,000 | 267,800 | |
iPCS, Inc., 2.608%***, 5/1/2013 |
| 15,000 | 12,675 | |
MetroPCS Wireless, Inc., 9.25%, 11/1/2014 |
| 175,000 | 178,937 | |
Millicom International Cellular SA, 10.0%, 12/1/2013 |
| 155,000 | 160,812 | |
Qwest Communications International, Inc., 144A, 8.0%, 10/1/2015 |
| 30,000 | 29,963 | |
Qwest Corp.: | ||||
| 7.875%, 9/1/2011 | 90,000 | 92,813 | |
| 144A, 8.375%, 5/1/2016 | 188,000 | 194,580 | |
| 8.875%, 3/15/2012 | 20,000 | 21,050 | |
Stratos Global Corp., 9.875%, 2/15/2013 |
| 30,000 | 31,200 | |
Telesat Canada, 11.0%, 11/1/2015 |
| 110,000 | 117,150 | |
Vodafone Group PLC, 5.45%, 6/10/2019 |
| 290,000 | 301,952 | |
Windstream Corp.: | ||||
| 7.0%, 3/15/2019 | 40,000 | 37,400 | |
| 8.625%, 8/1/2016 | 10,000 | 10,225 | |
| 2,539,309 | |||
Utilities 1.6% | ||||
AES Corp.: | ||||
| 8.0%, 6/1/2020 | 40,000 | 39,700 | |
| 144A, 8.75%, 5/15/2013 | 260,000 | 264,875 | |
Ameren Corp., 8.875%, 5/15/2014 |
| 350,000 | 393,416 | |
CMS Energy Corp., 8.5%, 4/15/2011 |
| 505,000 | 530,828 | |
Constellation Energy Group, Inc.: | ||||
| 7.0%, 4/1/2012 | 275,000 | 295,811 | |
| 7.6%, 4/1/2032 | 320,000 | 343,523 | |
Dominion Resources, Inc., 7.5%, 6/30/2066 |
| 900,000 | 823,500 | |
Energy East Corp., 6.75%, 6/15/2012 |
| 970,000 | 1,075,790 | |
Energy Future Holdings Corp.: | ||||
| 10.875%, 11/1/2017 | 100,000 | 75,500 | |
| 11.25%, 11/1/2017 (PIK) | 50,000 | 33,000 | |
Entergy Gulf States, Inc., 5.12%, 8/1/2010 |
| 275,000 | 275,698 | |
Entergy Mississippi, Inc., 6.64%, 7/1/2019 |
| 295,000 | 324,550 | |
Exelon Generation Co., LLC: | ||||
| 6.2%, 10/1/2017 | 115,000 | 125,507 | |
| 6.25%, 10/1/2039 | 170,000 | 173,513 | |
Integrys Energy Group, Inc., 6.11%, 12/1/2066 |
| 795,000 | 604,200 | |
IPALCO Enterprises, Inc., 144A, 7.25%, 4/1/2016 |
| 35,000 | 35,088 | |
Kinder Morgan, Inc., 6.5%, 9/1/2012 |
| 60,000 | 61,650 | |
Korea Gas Corp., 144A, 6.0%, 7/15/2014 |
| 300,000 | 316,229 | |
Mirant Americas Generation LLC, 8.3%, 5/1/2011 |
| 90,000 | 91,575 | |
Mirant North America LLC, 7.375%, 12/31/2013 |
| 25,000 | 24,875 | |
NRG Energy, Inc.: | ||||
| 7.25%, 2/1/2014 | 80,000 | 78,600 | |
| 7.375%, 2/1/2016 | 70,000 | 67,725 | |
| 7.375%, 1/15/2017 | 95,000 | 91,912 | |
| 8.5%, 6/15/2019 | 75,000 | 75,094 | |
NV Energy, Inc.: | ||||
| 6.75%, 8/15/2017 | 40,000 | 39,212 | |
| 8.625%, 3/15/2014 | 15,000 | 15,431 | |
Ohio Power Co., Series 1, 5.375%, 10/1/2021 |
| 310,000 | 314,544 | |
Pennsylvania Electric Co., 5.2%, 4/1/2020 |
| 625,000 | 623,047 | |
Pepco Holdings, Inc., 6.45%, 8/15/2012 |
| 640,000 | 686,700 | |
Texas Competitive Electric Holdings Co., LLC, Series A, 10.25%, 11/1/2015 |
| 100,000 | 72,000 | |
Western Power Distribution Holdings Ltd., 144A, 7.375%, 12/15/2028 |
| 215,000 | 216,639 | |
| 8,189,732 | |||
Total Corporate Bonds (Cost $52,727,026) | 54,945,897 | |||
| ||||
Asset-Backed 0.4% | ||||
Automobile Receivables 0.1% | ||||
AmeriCredit Automobile Receivables Trust, "A4", Series 2005-DA, 5.02%, 11/6/2012 | 276,860 | 281,013 | ||
Home Equity Loans 0.3% | ||||
Bayview Financial Acquisition Trust, "1A1", Series 2006-A, 5.614%, 2/28/2041 | 78,788 | 77,291 | ||
Countrywide Asset-Backed Certificates: | ||||
| "AF3", Series 2005-1, 4.575%, 7/25/2035 | 72,347 | 71,819 | |
| "A6", Series 2006-S6, 5.657%, 3/25/2034 | 1,213,754 | 579,159 | |
| "A6", Series 2006-15, 5.826%, 10/25/2046 | 450,000 | 263,876 | |
| "A1B", Series 2007-S1, 5.888%, 11/25/2036 | 304,777 | 232,106 | |
| "1AF6", Series 2006-11, 6.15%, 9/25/2046 | 1,287,395 | 664,106 | |
| 1,888,357 | |||
Total Asset-Backed (Cost $3,669,298) | 2,169,370 | |||
| ||||
Mortgage-Backed Securities Pass-Throughs 4.5% | ||||
Federal Home Loan Mortgage Corp.: | ||||
| 4.5%, 11/1/2018 | 858,806 | 908,221 | |
| 5.5%, 10/1/2023 | 642,962 | 677,371 | |
| 6.0%, 3/1/2038 | 1,290,214 | 1,364,755 | |
| 6.5%,with various maturities from 1/1/2035 until 8/1/2038 | 1,274,311 | 1,370,516 | |
Federal National Mortgage Association: | ||||
| 4.0%, 2/1/2039 (b) | 525,000 | 520,078 | |
| 4.5%,with various maturities from 7/1/2020 until 10/1/2033 | 2,698,840 | 2,798,413 | |
| 5.0%, 9/1/2033 | 1,099,431 | 1,141,175 | |
| 5.5%,with various maturities from 1/1/2020 until 9/1/2036 | 7,611,409 | 8,027,405 | |
| 6.0%,with various maturities from 1/1/2024 until 4/1/2039 | 2,483,618 | 2,635,692 | |
| 6.5%,with various maturities from 5/1/2023 until 6/1/2036 (b) | 2,584,961 | 2,773,634 | |
| 7.0%, 4/1/2038 | 973,141 | 1,061,826 | |
| 9.0%, 11/1/2030 | 44,385 | 50,571 | |
Government National Mortgage Association, 5.5%, 1/15/2039 | 404,015 | 425,052 | ||
Total Mortgage-Backed Securities Pass-Throughs (Cost $22,602,852) | 23,754,709 | |||
| ||||
Commercial Mortgage-Backed Securities 2.0% | ||||
Banc of America Commercial Mortgage, Inc.: | ||||
| "ASB", Series 2005-3, 4.589%, 7/10/2043 | 415,000 | 421,779 | |
| "A4", Series 2007-2, 5.867%***, 4/10/2049 | 250,000 | 215,271 | |
| "ASB", Series 2008-1, 6.173%, 2/10/2051 | 550,000 | 539,856 | |
Bear Stearns Commercial Mortgage Securities, Inc.: | ||||
| "AAB", Series 2005-PWR7, 4.98%, 2/11/2041 | 300,000 | 306,427 | |
| "A4", Series 2007-T26, 5.471%, 1/12/2045 | 350,000 | 324,479 | |
| "A4", Series 2007-PW17, 5.694%, 6/11/2050 | 1,180,000 | 1,041,274 | |
Citigroup Commercial Mortgage Trust, "A1", Series 2007-C6, 5.622%, 12/10/2049 | 160,731 | 164,658 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust: | ||||
| "A2B", Series 2007-CD4, 5.205%, 12/11/2049 | 425,000 | 423,000 | |
| "A4", Series 2007-CD5, 5.886%, 11/15/2044 | 430,000 | 401,232 | |
CW Capital Cobalt Ltd., "AAB", Series 2007-C2, 5.416%, 4/15/2047 | 125,000 | 115,405 | ||
Greenwich Capital Commercial Funding Corp., "A4", Series 2007-GG9, 5.444%, 3/10/2039 | 470,000 | 416,520 | ||
GS Mortgage Securities Corp. II, "A2", Series 2007-GG10, 5.778%, 8/10/2045 | 2,130,000 | 2,136,685 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
| "ASB", Series 2007-CB20, 5.688%, 2/12/2051 | 350,000 | 332,439 | |
| "A4", Series 2007-CB20, 5.794%, 2/12/2051 | 520,000 | 453,162 | |
| "A4", Series 2007-LD12, 5.882%, 2/15/2051 | 908,000 | 771,515 | |
| "ASB", Series 2007-CB19, 5.92%***, 2/12/2049 | 1,280,000 | 1,201,291 | |
| "A2", Series 2007-LD11, 5.992%***, 6/15/2049 | 150,000 | 150,385 | |
Merrill Lynch/Countrywide Commercial Mortgage Trust, "ASB", Series 2007-7, 5.745%, 6/12/2050 | 700,000 | 649,928 | ||
Morgan Stanley Capital I, "AAB", Series 2005-IQ10, 5.178%, 9/15/2042 | 425,000 | 439,019 | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
| "APB", Series 2005-C20, 5.09%, 7/15/2042 | 220,000 | 228,105 | |
| "A4", Series 2006-C29, 5.308%, 11/15/2048 | 70,000 | 63,030 | |
Total Commercial Mortgage-Backed Securities (Cost $10,082,273) | 10,795,460 | |||
| ||||
Collateralized Mortgage Obligations 5.0% | ||||
BCAP LLC Trust: | ||||
| "2A1", Series 2009-RR3, 144A, 5.648%***, 5/26/2037 | 563,878 | 536,097 | |
| "A1", Series 2009-RR2, 144A, 5.74%***, 1/21/2038 | 548,381 | 503,756 | |
Bear Stearns Adjustable Rate Mortgage Trust: | ||||
| "3A1", Series 2007-5, 5.955%***, 8/25/2047 | 1,086,699 | 716,825 | |
| "22A1", Series 2007-4, 5.981%***, 6/25/2047 | 846,716 | 558,348 | |
Chase Mortgage Finance Corp., "3A1", Series 2005-A1, 5.281%***, 12/25/2035 | 898,150 | 649,164 | ||
Citigroup Mortgage Loan Trust, Inc.: | ||||
| "6A1", Series 2009-6, 144A, 0.496%***, 7/25/2036 | 320,592 | 290,144 | |
| "7A1", Series 2009-5, 144A, 0.596%***, 7/25/2036 | 492,977 | 400,062 | |
| "11A1", Series 2009-6, 144A, 0.596%***, 5/25/2037 | 358,946 | 318,335 | |
| "4A1", Series 2009-6, 144A, 5.605%***, 4/25/2037 | 586,252 | 497,889 | |
| "1A1", Series 2009-5, 144A, 5.667%***, 6/25/2037 | 293,575 | 270,506 | |
| "1CB2", Series 2004-NCM2, 6.75%, 8/25/2034 | 968,657 | 968,657 | |
Countrywide Alternative Loan Trust: | ||||
| "A2", Series 2003-21T1, 5.25%, 12/25/2033 | 506,668 | 479,931 | |
| "A6", Series 2004-14T2, 5.5%, 8/25/2034 | 457,533 | 422,802 | |
| "1A1", Series 2004-J1, 6.0%, 2/25/2034 | 101,770 | 99,225 | |
Credit Suisse Mortgage Capital Certificates: | ||||
| "28A1", Series 2009-3R, 144A, 5.633%***, 8/27/2037 | 266,659 | 251,214 | |
| "25A1", Series 2009-3R, 144A, 5.65%, 7/27/2036 | 756,682 | 705,389 | |
| "30A1", Series 2009-3R, 144A, 5.826%***, 7/27/2037 | 685,147 | 642,116 | |
Federal Home Loan Mortgage Corp.: | ||||
| "YG", Series 2772, 5.0%, 7/15/2032 | 520,000 | 542,327 | |
| "PD", Series 2760, 5.0%, 12/15/2032 | 780,000 | 813,557 | |
| "NE", Series 2802, 5.0%, 2/15/2033 | 880,000 | 923,785 | |
| "OE", Series 2840, 5.0%, 2/15/2033 | 412,000 | 429,622 | |
| "PE", Series 2898, 5.0%, 5/15/2033 | 300,000 | 315,256 | |
| "BG", Series 2869, 5.0%, 7/15/2033 | 315,000 | 330,640 | |
| "PD", Series 2904, 5.5%, 3/15/2033 | 325,000 | 345,472 | |
| "XD", Series 2966, 5.5%, 9/15/2033 | 1,305,000 | 1,391,644 | |
Federal National Mortgage Association: | ||||
| "QK", Series 2003-37, 4.0%, 7/25/2027 | 29,027 | 28,951 | |
| "WD", Series 2003-106, 4.5%, 9/25/2020 | 295,000 | 307,631 | |
| "YD", Series 2005-94, 4.5%, 8/25/2033 | 1,445,000 | 1,493,603 | |
| "EA", Series 2008-54, 5.0%, 7/25/2019 | 1,512,861 | 1,598,604 | |
| "ND", Series 2005-101, 5.0%, 6/25/2034 | 520,000 | 553,505 | |
GMAC Mortgage Corp. Loan Trust, "4A1", Series 2005-AR6, 5.463%***, 11/19/2035 | 913,054 | 778,700 | ||
GS Mortgage Securities Corp., "2A1", Series 2009-3R, 144A, 5.294%***, 7/25/2035 | 317,723 | 276,419 | ||
Jefferies & Co., "1A1", Series 2009-R9, 144A, 5.837%***, 8/26/2046 | 545,117 | 519,254 | ||
JPMorgan Mortgage Trust: | ||||
| "6A2", Series 2005-A8, 5.125%***, 11/25/2035 | 567,979 | 510,572 | |
| "1A1", Series 2008-R2, 144A, 5.714%***, 7/27/2037 | 592,774 | 420,869 | |
| "2A1" Series 2006-A5, 5.795%***, 8/25/2036 | 830,417 | 595,090 | |
JPMorgan Reremic: | ||||
| "2A1", Series 2009-5, 144A, 5.281%***, 1/26/2037 | 587,522 | 532,391 | |
| "A1", Series 2009-8, 144A, 5.8%***, 4/20/2036 | 468,786 | 428,611 | |
| "3A1", Series 2009-5, 144A, 5.861%***, 5/26/2037 | 418,752 | 398,405 | |
| "5A1", Series 2009-7, 144A, 6.0%, 2/27/2037 | 457,230 | 432,083 | |
MASTR Adjustable Rate Mortgages Trust, "B1", Series 2004-13, 3.612%***, 12/21/2034 | 1,336,700 | 584,033 | ||
Residential Accredit Loans, Inc., "A3", Series 2004-QS11, 5.5%, 8/25/2034 | 336,206 | 277,685 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, "1A1", Series 2006-AR18, 5.281%***, 1/25/2037 | 1,036,714 | 685,588 | ||
Wells Fargo Mortgage Backed Securities Trust, "2A5", Series 2006-AR2, 5.031%***, 3/25/2036 | 2,970,507 | 2,428,238 | ||
Total Collateralized Mortgage Obligations (Cost $28,454,467) | 26,252,995 | |||
| ||||
Government & Agency Obligations 8.8% | ||||
Sovereign Bonds 3.3% | ||||
Federal Republic of Germany, 2.25%, 4/15/2013 | EUR | 345,381 | 534,626 | |
Government of Canada, 4.0%, 12/1/2031 | CAD | 677,867 | 894,945 | |
Government of France: | ||||
| 1.0%, 7/25/2017 | EUR | 397,399 | 578,160 |
| 1.6%, 7/25/2011 | EUR | 1,213,509 | 1,832,879 |
| 2.25%, 7/25/2020 | EUR | 426,110 | 675,171 |
| 3.15%, 7/25/2032 | EUR | 940,566 | 1,754,329 |
Government of Japan, Series 9, 1.1%, 9/10/2016 | JPY | 105,000,000 | 1,095,678 | |
Government of Sweden, Series 3105, 3.5%, 12/1/2015 | SEK | 3,950,000 | 758,525 | |
Republic of Italy, 2.1%, 9/15/2017 | EUR | 1,823,910 | 2,776,205 | |
United Kingdom Treasury-Inflation Linked Bonds: | ||||
| 1.125%, 11/22/2037 | GBP | 552,861 | 996,739 |
| 1.25%, 11/22/2032 | GBP | 368,554 | 642,486 |
| 1.875%, 11/22/2022 | GBP | 611,643 | 1,072,110 |
| 2.0%, 1/26/2035 | GBP | 371,000 | 932,037 |
| 2.5%, 8/16/2013 | GBP | 337,000 | 1,374,987 |
| 2.5%, 7/26/2016 | GBP | 175,000 | 801,536 |
| 2.5%, 4/16/2020 | GBP | 158,000 | 736,616 |
| 17,457,029 | |||
US Treasury Obligations 5.5% | ||||
US Treasury Bill, 0.19%****, 3/18/2010 (d) |
| 4,932,000 | 4,928,504 | |
US Treasury Bond, 4.25%, 5/15/2039 (c) |
| 1,141,000 | 1,180,400 | |
US Treasury Inflation-Indexed Bonds: | ||||
| 2.375%, 1/15/2025 | 891,173 | 934,340 | |
| 3.625%, 4/15/2028 | 874,833 | 1,081,512 | |
| 3.875%, 4/15/2029 | 720,530 | 927,683 | |
US Treasury Inflation-Indexed Notes: | ||||
| 1.875%, 7/15/2015 | 387,524 | 400,360 | |
| 2.0%, 1/15/2014 | 407,939 | 422,472 | |
| 2.0%, 1/15/2016 | 759,549 | 788,032 | |
| 2.375%, 4/15/2011 | 1,600,405 | 1,647,917 | |
| 2.375%, 1/15/2017 | 1,681,974 | 1,789,725 | |
| 2.5%, 7/15/2016 | 799,808 | 857,294 | |
US Treasury Notes: | ||||
| 1.0%, 9/30/2011 | 1,786,000 | 1,787,395 | |
| 1.375%, 9/15/2012 (c) | 740,000 | 738,728 | |
| 2.375%, 8/31/2014 (c) | 10,000 | 10,037 | |
| 2.375%, 9/30/2014 | 113,000 | 113,291 | |
| 3.0%, 9/30/2016 | 9,040,000 | 9,076,015 | |
| 3.625%, 8/15/2019 (c) | 1,831,000 | 1,879,349 | |
| 4.875%, 5/31/2011 (c) | 500,000 | 534,297 | |
| 29,097,351 | |||
Total Government & Agency Obligations (Cost $44,594,578) | 46,554,380 | |||
| ||||
Municipal Bonds and Notes 0.7% | ||||
California, University of California Revenues, Build America Bonds, 5.77%, 5/15/2043 | 440,000 | 475,407 | ||
Chicago, IL, Metropolitan Water Reclamation District, Greater Chicago, Build America Bonds, 5.72%, 12/1/2038 | 300,000 | 330,975 | ||
Hammond, IN, Redevelopment Authority Lease Rent Revenue, Hammond Marina Project, 5.57%, 2/1/2014 (e) | 610,000 | 597,947 | ||
Missouri, State Highways & Transit Commission, State Road Revenue, Build America Bonds, 5.445%, 5/1/2033 | 455,000 | 473,186 | ||
New York, Metropolitan Transportation Authority, Dedicated Tax Fund, Build America Bonds, 7.336%, 11/15/2039 | 435,000 | 543,593 | ||
North Texas, Tollway Authority Revenue, Build America Bonds, 6.718%, 1/1/2049 | 360,000 | 415,904 | ||
Tulare, CA, Sewer Revenue, Build America Bonds, 8.75%, 11/15/2044 (e) | 95,000 | 97,743 | ||
Whittier, CA, Redevelopment Agency, Tax Allocation, Housing Projects, Series B, 6.09%, 11/1/2038 (e) | 1,235,000 | 908,627 | ||
Total Municipal Bonds and Notes (Cost $3,926,507) | 3,843,382 | |||
| ||||
Preferred Security 0.0% | ||||
Materials | ||||
Hercules, Inc., 6.5%, 6/30/2029 (Cost $5,603) |
| 10,000 | 5,563 |
|
| Value ($) | ||
|
| |||
Exchange-Traded Funds 6.6% | ||||
iShares Barclays Aggregate Bond Fund | 170,972 | 17,938,382 | ||
iShares MSCI Japan Index Fund | 74,469 | 740,222 | ||
Vanguard Emerging Markets | 414,068 | 15,966,462 | ||
Total Exchange-Traded Funds (Cost $26,784,588) | 34,645,066 | |||
| ||||
Closed-End-Investment Company 0.0% | ||||
Financials | ||||
Apollo Investment Corp. (Cost $91,210) | 9,900 | 94,545 | ||
| ||||
Securities Lending Collateral 0.8% | ||||
Daily Assets Fund Institutional, 0.29% (f) (g) (Cost $4,050,595) | 4,050,595 | 4,050,595 | ||
| ||||
Cash Equivalents 5.9% | ||||
Cash Management QP Trust, 0.18% (f) (Cost $31,251,031) | 31,251,031 | 31,251,031 |
| % of Net Assets | Value ($) |
|
| |
Total Investment Portfolio (Cost $482,400,439)+ | 100.9 | 533,632,164 |
Other Assets and Liabilities, Net (c) | (0.9) | (4,754,870) |
Net Assets | 100.0 | 528,877,294 |
** Non-income producing security. Issuer has defaulted on the payment of principal or interest or has filed for bankruptcy. The following table represents bonds that are in default:
Securities | Coupon | Maturity Date | Principal Amount | Acquisition Cost ($) | Value ($) | |
ARCO Chemical Co. | 9.8% | 2/1/2020 | 285,000 | USD | 253,650 | 192,375 |
Buffalo Thunder Development Authority | 9.375% | 12/15/2014 | 20,000 | USD | 17,425 | 3,550 |
CanWest MediaWorks LP | 9.25% | 8/1/2015 | 35,000 | USD | 32,944 | 3,500 |
Fontainebleau Las Vegas Holdings LLC | 11.0% | 6/15/2015 | 40,000 | USD | 27,850 | 1,100 |
Idearc, Inc. | 8.0% | 11/15/2016 | 85,000 | USD | 64,213 | 3,825 |
R.H. Donnelley Corp. | 8.875% | 10/15/2017 | 110,000 | USD | 77,414 | 6,325 |
Reader's Digest Association, Inc. | 9.0% | 2/15/2017 | 25,000 | USD | 17,379 | 375 |
Tropicana Entertainment LLC | 9.625% | 12/15/2014 | 105,000 | USD | 54,144 | 66 |
Trump Entertainment Resorts, Inc. | 8.5% | 6/1/2015 | 10,000 | USD | 7,225 | 1,200 |
|
|
|
| | 552,244 | 212,316 |
**** Annualized yield at time of purchase; not a coupon rate
+ The cost for federal income tax purposes was $488,120,162. At September 30, 2009, net unrealized appreciation for all securities based on tax cost was $45,512,002. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $64,291,684 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $18,779,682.
(a) Principal amount stated in US dollars unless otherwise noted.
(b) When-issued or delayed delivery security included.
(c) All or a portion of these securities were on loan amounting to $2,978,175. In addition, included in other assets and liabilities, net are pending sales, amounting to $954,843, that are also on loan (see Notes to Financial Statements). The value of all securities loaned at September 30, 2009 amounted to $3,933,018, which is 0.7% of net assets.
(d) At September 30, 2009, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts.
(e) Bond is insured by one of these companies:
Insurance Coverage | As a % of Total Investment Portfolio |
Financial Guaranty Insurance Co. | 0.2 |
National Public Finance Guarantee Corp. | 0.1 |
Many insurers who have traditionally guaranteed payment of municipal issues have been downgraded by the major rating agencies.
(f) Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.(g) Represents collateral held in connection with securities lending. Income earned by the Fund is net of borrower rebates.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
ADR: American Depositary Receipt
CVA: Certificaten Van Aandelen
FDR: Fiduciary Depositary Receipt
MSCI: Morgan Stanley Capital International
PIK: Denotes that all or a portion of income is paid in kind.
REIT: Real Estate Investment Trust
RSP: Risparmio (Convertible Savings Shares)
SDR: Swedish Depositary Receipt
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal Home Loan Mortgage Corp. and Federal National Mortgage Association issues which have similar coupon rates have been aggregated for presenation purposes in this investment portfolio.
At September 30, 2009, open futures contracts purchased were as follows:
Futures | Expiration Date | Contracts | Aggregate Face Value ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
10 Year US Treasury Note | 12/21/2009 | 132 | 15,474,227 | 15,619,312 | 145,085 |
5 Year US Treasury Note | 12/31/2009 | 148 | 16,981,094 | 17,181,875 | 200,781 |
ASX SPI 200 Index | 12/17/2009 | 1 | 101,279 | 104,695 | 3,416 |
CAC 40 Index | 10/16/2009 | 9 | 495,618 | 500,070 | 4,452 |
DAX Index | 12/18/2009 | 19 | 3,926,290 | 3,944,293 | 18,003 |
DJ Euro Stoxx 50 Index | 12/18/2009 | 51 | 2,102,478 | 2,132,202 | 29,724 |
Federal Republic of Germany Euro-Bund | 12/8/2009 | 115 | 20,409,856 | 20,510,591 | 100,735 |
FTSE 100 Index | 12/18/2009 | 35 | 2,812,259 | 2,847,666 | 35,407 |
FTSE MIB Index | 12/18/2009 | 20 | 3,362,170 | 3,427,456 | 65,286 |
Nikkei 225 Index | 12/10/2009 | 1 | 52,429 | 50,325 | (2,104) |
Russell 2000 Mini Index | 12/18/2009 | 10 | 584,463 | 603,000 | 18,537 |
S&P E-Mini 500 Index | 12/18/2009 | 47 | 2,416,263 | 2,474,315 | 58,052 |
TOPIX Index | 12/11/2009 | 38 | 3,978,433 | 3,852,281 | (126,152) |
Total net unrealized appreciation | 551,222 |
At September 30, 2009, open futures contracts sold were as follows:
Futures | Expiration Date | Contracts | Aggregated Face Value ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
10 Year Australian Treasury Bond | 12/15/2009 | 126 | 11,586,295 | 11,599,696 | (13,401) |
10 Year Japanese Government Bond | 12/10/2009 | 17 | 26,265,893 | 26,388,681 | (122,788) |
10 Year US Treasury Note | 12/21/2009 | 60 | 6,998,273 | 7,099,688 | (101,415) |
AEX Index | 10/16/2009 | 2 | 180,879 | 182,626 | (1,747) |
Hang Seng Index | 10/29/2009 | 9 | 1,244,535 | 1,213,250 | 31,285 |
IBEX 35 Index | 10/16/2009 | 11 | 1,863,811 | 1,887,756 | (23,945) |
NASDAQ E-Mini 100 Index | 12/18/2009 | 111 | 3,747,099 | 3,812,850 | (65,751) |
Russell 2000 Mini Index | 12/18/2009 | 73 | 4,345,883 | 4,401,900 | (56,017) |
S&P E-Mini 500 Index | 12/18/2009 | 39 | 2,034,733 | 2,053,155 | (18,422) |
S&P TSE 60 Index | 12/17/2009 | 2 | 252,158 | 253,341 | (1,183) |
United Kingdom Long Gilt Bond | 12/29/2009 | 3 | 569,575 | 568,430 | 1,145 |
Total net unrealized depreciation | (372,239) |
As of September 30, 2009, the Fund had the following open forward foreign currency exchange contracts:
Contracts to Deliver |
| In Exchange For |
| Settlement Date | Unrealized Appreciation ($) | Counterparty | ||
USD | 103,918 |
| JPY | 9,590,000 |
| 10/14/2009 | 2,926 | Bank of New York Mellon Corp. |
USD | 3,715,391 |
| NZD | 5,332,000 |
| 10/14/2009 | 131,618 | Bank of New York Mellon Corp. |
USD | 16,477,234 |
| AUD | 19,120,000 |
| 10/14/2009 | 371,308 | Credit Suisse |
USD | 17,220,518 |
| CHF | 17,961,000 |
| 10/14/2009 | 113,287 | UBS AG |
GBP | 727,000 |
| USD | 1,203,127 |
| 10/14/2009 | 41,346 | Barclays Bank PLC |
EUR | 741,900 |
| USD | 1,095,998 |
| 10/30/2009 | 10,730 | Citigroup, Inc. |
Total unrealized appreciation | 671,215 | |
Contracts to Deliver |
| In Exchange For |
| Settlement Date | Unrealized Depreciation ($) | Counterparty | ||
NOK | 14,532,000 |
| USD | 2,456,722 |
| 10/14/2009 | (58,094) | Barclays Bank PLC |
SEK | 2,560,000 |
| USD | 364,203 |
| 10/14/2009 | (3,051) | Barclays Bank PLC |
CAD | 113,000 |
| USD | 104,827 |
| 10/14/2009 | (719) | Barclays Bank PLC |
EUR | 12,130,000 |
| USD | 17,661,159 |
| 10/14/2009 | (89,151) | HSBC Bank USA |
EUR | 9,400 |
| USD | 13,735 |
| 10/30/2009 | (16) | JPMorgan Chase Securities, Inc. |
Total unrealized depreciation | (151,031) | |
Currency Abbreviations |
AUD Australian Dollar CAD Canadian Dollar CHF Swiss Franc DKK Danish Krone EUR Euro GBP British Pound JPY Japanese Yen NOK Norwegian Krone NZD New Zealand Dollar SEK Swedish Krona USD United States Dollar |
For information on the Fund's policy and additional disclosures regarding futures contracts, written options and interest rate swap contracts, please refer to the Derivatives section of Note A in the accompanying Notes to the Financial Statements.
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 September 30, 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.
Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stocks and/or Other Equity Investments (h) | ||||
Consumer Discretionary | $ 25,295,788 | $ 5,000,591 | $ — | $ 30,296,379 |
Consumer Staples | 21,430,420 | 3,883,149 | — | 25,313,569 |
Energy | 26,223,484 | 3,686,806 | — | 29,910,290 |
Financials | 37,779,048 | 9,618,407 | 417,330 | 47,814,785 |
Health Care | 33,646,373 | 5,818,234 | — | 39,464,607 |
Industrials | 28,797,932 | 6,093,624 | — | 34,891,556 |
Information Technology | 44,989,515 | 3,933,381 | — | 48,922,896 |
Materials | 11,616,338 | 4,653,755 | — | 16,270,093 |
Telecommunications Services | 6,876,658 | 4,328,052 | — | 11,204,710 |
Utilities | 8,471,995 | 2,708,291 | — | 11,180,286 |
Assets (continued) | Level 1 | Level 2 | Level 3 | Total |
Fixed Income (h) |
|
|
|
|
Corporate Bonds | — | 54,926,927 | 18,970 | 54,945,897 |
Asset Backed | — | 2,169,370 | — | 2,169,370 |
Mortgage-Backed Securities Pass-Throughs | — | 23,754,709 | — | 23,754,709 |
Commercial Mortgage-Backed Securities | — | 10,795,460 | — | 10,795,460 |
Collateralized Mortgage Obligations | — | 25,155,645 | 1,097,350 | 26,252,995 |
Government & Agency Obligations | — | 41,625,876 | — | 41,625,876 |
Municipal Bonds and Notes | — | 3,843,382 | — | 3,843,382 |
Preferred Securities | — | 5,563 | — | 5,563 |
Exchange-Traded Funds | 34,645,066 | — | — | 34,645,066 |
Closed-End Investment Company | 94,545 | — | — | 94,545 |
Short-Term Investments (h) | 4,050,595 | 36,179,535 | — | 40,230,130 |
Derivatives (i) | 178,983 | 671,215 | — | 850,198 |
Total | $ 284,096,740 | $ 248,851,972 | $ 1,533,650 | $ 534,482,362 |
Liabilities |
|
|
|
|
Derivatives (i) | $ — | $ (151,031) | $ — | $ (151,031) |
Total | $ — | $ (151,031) | $ — | $ (151,031) |
(i) Derivatives include unrealized appreciation (depreciation) on open futures contracts and forward foreign currency exchange contracts.
The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used in determining value at September 30, 2009:
| Common Stocks and/or Other Equity Investments | Corporate Bonds | Collateralized Mortgage Obligations | Preferred Security | Total |
Balance as of March 31, 2009 | $ 590 | $ 21,863 | $ 320,708 | $ 350,400 | $ 693,561 |
Net realized gain (loss) | (1,736) | — | 16,559 | (829,504) | (814,681) |
Change in unrealized appreciation (depreciation) | 98,196 | 32,931 | 131,975 | 1,114,449 | 1,377,551 |
Amortization premium/ discount | — | 1,943 | — | (445) | 1,498 |
Net purchases (sales) | 320,280 | 3,407 | 628,108 | (634,900) | 316,895 |
Net transfers in (out) of Level 3 | — | (41,174) | — | — | (41,174) |
Balance as of September 30, 2009 | $ 417,330 | $ 18,970 | $ 1,097,350 | $ — | $ 1,533,650 |
Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2009 | $ 93,679 | $ (766) | $ 131,975 | $ — | $ 224,888 |
The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities as of September 30, 2009 (Unaudited) | |
Assets | |
Investments: Investments in securities, at value (cost $447,098,813) — including $2,978,175 of securities loaned | $ 498,330,538 |
Investment in Daily Assets Fund Institutional (cost $4,050,595)* | 4,050,595 |
Investment in Cash Management QP Trust (cost $31,251,031) | 31,251,031 |
Total investments, at value (cost $482,400,439) | 533,632,164 |
Cash | 62,554 |
Foreign currency, at value (cost $709,151) | 715,859 |
Deposits with broker for open futures contracts | 130 |
Receivable for investments sold | 11,634,354 |
Dividends receivable | 312,920 |
Interest receivable | 1,533,723 |
Receivable for Fund shares sold | 30,184 |
Receivable for daily variation margin on open futures contracts | 221,464 |
Foreign taxes recoverable | 89,509 |
Unrealized appreciation on forward foreign currency exchange contracts | 671,215 |
Due from Advisor | 27,164 |
Other assets | 25,629 |
Total assets | 548,956,869 |
Liabilities | |
Payable for investments purchased | 12,952,327 |
Payable for when-issued and delayed delivery securities purchased | 2,052,963 |
Payable for Fund shares redeemed | 133,706 |
Payable upon return of securities loaned | 4,050,595 |
Unrealized depreciation on forward foreign currency exchange contracts | 151,031 |
Accrued management fee | 180,321 |
Other accrued expenses and payables | 558,632 |
Total liabilities | 20,079,575 |
Net assets, at value | $ 528,877,294 |
The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities as of September 30, 2009 (Unaudited) (continued) | |
Net Assets Consist of | |
Undistributed net investment income | 899 |
Net unrealized appreciation (depreciation) on: Investments | 51,231,725 |
Futures | 178,983 |
Foreign currency | 530,404 |
Accumulated net realized gain (loss) | (231,202,177) |
Paid-in capital | 708,137,460 |
Net assets, at value | $ 528,877,294 |
Net Asset Value | |
Class S Net Asset Value offering and redemption price per share ($3,022,455 ÷ 380,917 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized) | $ 7.93 |
Institutional Class Net Asset Value offering and redemption price per share ($525,854,839 ÷ 63,438,622 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized) | $ 8.29 |
The accompanying notes are an integral part of the financial statements.
Statement of Operations for the six months ended September 30, 2009 (Unaudited) | |
Investment Income | |
Income: Dividends (net of foreign taxes withheld of $1,415) | $ 4,738,578 |
Interest (net of foreign taxes withheld of $115,478) | 3,253,565 |
Interest — Cash Management QP Trust | 44,809 |
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates | 15,615 |
Total Income | 8,052,567 |
Expenses: Management fee | 1,396,583 |
Administration fee | 237,434 |
Services to shareholders | 397,111 |
Professional fees | 67,568 |
Trustees' fees and expenses | 6,157 |
Custodian fee | 105,381 |
Reports to shareholders | 36,794 |
Registration fees | 16,890 |
Other | 49,692 |
Total expenses before expense reductions | 2,313,610 |
Expense reductions | (983,191) |
Total expenses after expense reductions | 1,330,419 |
Net investment income | 6,722,148 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: Investments | (9,986,732) |
Futures | (351,496) |
Foreign currency | 2,333,187 |
Payments by affiliates (see Note G) | 262 |
| (8,004,779) |
Change in net unrealized appreciation (depreciation) on: Investments | 119,372,780 |
Futures | (230,736) |
Foreign currency | 250,961 |
| 119,393,005 |
Net gain (loss) | 111,388,226 |
Net increase (decrease) in net assets resulting from operations | $ 118,110,374 |
The accompanying notes are an integral part of the financial statements.
Statement of Changes in Net Assets | ||
Increase (Decrease) in Net Assets | Six Months Ended September 30, 2009 (Unaudited) | Year Ended March 31, 2009 |
Operations: Net investment income | $ 6,722,148 | $ 17,536,432 |
Net realized gain (loss) | (8,004,779) | (186,987,420) |
Change in net unrealized appreciation (depreciation) | 119,393,005 | (32,484,210) |
Net increase (decrease) in net assets resulting from operations | 118,110,374 | (201,935,198) |
Distributions to shareholders from: Net investment income Class S | (34,749) | (96,361) |
Institutional Class | (6,157,026) | (14,118,247) |
Net realized gains Class S | — | (62,382) |
Institutional Class | — | (8,205,004) |
Return of capital: Class S | — | (40,733) |
Institutional Class | — | (5,967,926) |
Total distributions | (6,191,775) | (28,490,653) |
Fund share transactions: Proceeds from shares sold | 25,596,344 | 48,621,820 |
Reinvestment of distributions | 6,191,645 | 28,489,415 |
Cost of shares redeemed | (19,506,473) | (185,258,477) |
Net increase (decrease) in net assets from Fund share transactions | 12,281,516 | (108,147,242) |
Increase (decrease) in net assets | 124,200,115 | (338,573,093) |
Net assets at beginning of period | 404,677,179 | 743,250,272 |
Net assets at end of period (including undistributed net investment income of $899 and accumulated distributions in excess of net investment income of $529,474, respectively) | $ 528,877,294 | $ 404,677,179 |
The accompanying notes are an integral part of the financial statements.
Class S+ Years Ended March 31, | 2009a | 2009 | 2008 | 2007 | 2006 | 2005 |
Selected Per Share Data | ||||||
Net asset value, beginning of period | $ 6.23 | $ 9.79 | $ 11.85 | $ 11.30 | $ 10.62 | $ 10.43 |
Income (loss) from investment operations: Net investment incomeb | .10 | .26 | .29 | .33 | .22 | .21 |
Net realized and unrealized gain (loss) | 1.68 | (3.40) | (.30) | .80 | .70 | .30 |
Total from investment operations | 1.78 | (3.14) | (.01) | 1.13 | .92 | .51 |
Less distributions from: Net investment income | (.08) | (.20) | (.42) | (.25) | (.24) | (.32) |
Net realized gains | — | (.13) | (1.63) | (.33) | — | — |
Return of capital | — | (.09) | — | — | — | — |
Total distributions | (.08) | (.42) | (2.05) | (.58) | (.24) | (.32) |
Redemption fees | — | — | .00*** | .00*** | .00*** | .00*** |
Net asset value, end of period | $ 7.93 | $ 6.23 | $ 9.79 | $ 11.85 | $ 11.30 | $ 10.62 |
Total Return (%)c | 28.75** | (33.05) | (.75) | 10.16 | 8.77 | 4.92 |
Ratios to Average Net Assets and Supplemental Data | ||||||
Net assets, end of period ($ millions) | 3 | 3 | 5 | 5 | 31 | 56 |
Ratio of expenses before expense reductions (%) | 1.11* | 1.08 | 1.05 | .93 | 1.41 | 1.33d |
Ratio of expenses after expense reductions (%) | .86* | .82 | .87 | .71 | 1.00 | 1.00d |
Ratio of net investment income (%) | 2.53* | 2.99 | 2.50 | 2.67 | 1.92 | 1.90 |
Portfolio turnover rate (%) | 132** | 242 | 264 | 175 | 108 | 122e |
+ On October 23, 2006, Investment Class was renamed Class S. a For the six months ended September 30, 2009 (Unaudited). b Based on average shares outstanding during the period. c Total return would have been lower had certain expenses not been reduced. d The ratio includes expenses allocated from the Asset Management Portfolio, the Fund's master portfolio through August 20, 2004. e This ratio includes the purchase and sales of portfolio securities of the DWS Lifecycle Long Range Fund as a stand-alone fund in addition to the Asset Management Portfolio. * Annualized ** Not annualized *** Amount is less than $.005. |
Institutional Class Years Ended March 31, | 2009a | 2009 | 2008 | 2007 | 2006 | 2005 |
Selected Per Share Data | ||||||
Net asset value, beginning of period | $ 6.51 | $ 10.22 | $ 12.29 | $ 11.74 | $ 11.04 | $ 10.84 |
Income (loss) from investment operations: Net investment incomeb | .11 | .28 | .32 | .34 | .27 | .25 |
Net realized and unrealized gain (loss) | 1.77 | (3.54) | (.29) | .85 | .74 | .33 |
Total from investment operations | 1.88 | (3.26) | .03 | 1.19 | 1.01 | .58 |
Less distributions from: Net investment income | (.10) | (.23) | (.47) | (.31) | (.31) | (.38) |
Net realized gains | — | (.13) | (1.63) | (.33) | — | — |
Return of capital | — | (.09) | — | — | — | — |
Total distributions | (.10) | (.45) | (2.10) | (.64) | (.31) | (.38) |
Redemption fees | — | — | .00*** | .00*** | .00*** | .00*** |
Net asset value, end of period | $ 8.29 | $ 6.51 | $ 10.22 | $ 12.29 | $ 11.74 | $ 11.04 |
Total Return (%)c | 28.97** | (32.84) | (.40) | 10.28 | 9.19 | 5.42 |
Ratios to Average Net Assets and Supplemental Data | ||||||
Net assets, end of period ($ millions) | 526 | 402 | 738 | 761 | 726 | 719 |
Ratio of expenses before expense reductions (%) | .97* | .98 | .89 | .89 | .91 | .83d |
Ratio of expenses after expense reductions (%) | .56* | .57 | .55 | .55 | .55 | .55d |
Ratio of net investment income (%) | 2.83* | 3.24 | 2.82 | 2.83 | 2.37 | 2.35 |
Portfolio turnover rate (%) | 132** | 242 | 264 | 175 | 108 | 122e |
a For the six months ended September 30, 2009 (Unaudited). b Based on average shares outstanding during the period. c Total return would have been lower had certain expenses not been reduced. d The ratio includes expenses allocated from the Asset Management Portfolio, the Fund's master portfolio through August 20, 2004. e This ratio includes the purchase and sales of portfolio securities of the DWS Lifecycle Long Range Fund as a stand-alone fund in addition to the Asset Management Portfolio. * Annualized ** Not annualized *** Amount is less than $.005. |
Notes to Financial Statements (Unaudited)
A. Organization and 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 ("ETFs") 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 they trade. 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 ETFs), 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.
Disclosure about the classification of fair value measurements is included in a table following the Fund's Investment Portfolio.
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.
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.
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.
Derivatives. Authoritative accounting guidance requires that disclosures about the Fund's derivative and hedging activities and derivatives accounted for as hedging instruments must be disclosed separately from derivatives that do not qualify for hedge accounting. Because investment companies account for their derivatives at fair value and record any changes in fair value in current period earnings, the Fund's derivatives are not accounted for as hedging instruments. As such, even though the Fund may use derivatives in an attempt to achieve an economic hedge, the Fund's derivatives are not considered to be hedging instruments. The disclosure below is presented in accordance with authoritative accounting guidance.
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 use futures contracts to gain exposure to different parts of the yield curve while managing overall duration, and to gain an exposure to a particular asset class or to keep cash on hand to meet shareholder redemptions or other needs while maintaining exposure to the stock market. The Fund may enter into futures contracts on equity and fixed-income securities, including on financial indices, and security indices and on currency as part of its global tactical asset allocation overlay strategy. As part of this strategy, the Fund may use futures contracts to take advantage of short-term and medium-term inefficiencies and relative mispricings within the global equity, bond and currency markets.
Futures contracts are valued at the most recent settlement price. Upon entering into a futures contract, the Fund is required to deposit with a financial intermediary cash or securities ("initial margin") in an amount 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 and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. Gains or losses are realized when the contract expires or is closed. Since all futures contracts are exchange traded, counterparty risk is minimized as the exchange's clearinghouse acts as the counterparty, and guarantees the futures against default.
Certain risks may arise upon entering into futures contracts, including the risk that an illiquid 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 underlying hedged security, index or currency. Risk of loss may exceed amounts recognized in the Statement of Assets and Liabilities.
A summary of the open futures contracts as of September 30, 2009 is included in a table following the Fund's Investment Portfolio. The volume indicated is generally indicative of the volume throughout the period.
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. Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the unrealized gain on appreciated 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.
A summary of the open forward foreign currency exchange contracts as of September 30, 2009 is included in a table following the Fund's Investment Portfolio. The volume indicated is generally indicative of the volume throughout the period.
The following tables summarize the value of the Fund's derivative instruments held as of September 30, 2009 and the related location in the accompanying Statement of Assets and Liabilities, presented by primary underlying risk exposure:
Asset Derivatives | Forward Contracts | Futures Contracts | Total Value |
Foreign Exchange Contracts (a) | $ 671,215 | $ — | $ 671,215 |
Equity Contracts (b) | — | (31,159) | (31,159) |
Interest Rate Contracts (b) | — | 210,142 | 210,142 |
| $ 671,215 | $ 178,983 | $ 850,198 |
Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts:
(a) Unrealized appreciation on open forward foreign currency exchange contracts(b) Net unrealized appreciation (depreciation) on futures. Asset of Receivable for daily variation margin on open futures contracts reflects unsettled variation margin.
Liability Derivative | Forward Contracts |
Foreign Exchange Contracts (a) | $ 151,031 |
| $ 151,031 |
The above derivative is located in the following Statement of Assets and Liabilities account:
(a) Unrealized depreciation on open forward foreign currency exchange contractsAdditionally, the amount of unrealized and realized gains and losses on derivative instruments recognized in Fund earnings during the six months ended September 30, 2009 and the related location in the accompanying Statement of Operations is summarized in the following tables by primary underlying risk exposure:
Realized Gain (Loss) | Forward Contracts | Futures Contracts | Total Value |
Foreign Exchange Contracts (a) | $ 2,508,420 | $ — | $ 2,508,420 |
Equity Contracts (b) | — | 768,312 | 768,312 |
Interest Rate Contracts (b) | — | (1,119,808) | (1,119,808) |
| $ 2,508,420 | $ (351,496) | $ 2,156,924 |
Each of the above derivatives is located in the following Statement of Operations accounts:
(a) Net realized gain (loss) from foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)(b) Net realized gain (loss) from futures contracts
Change in Net Unrealized Appreciation (Depreciation) | Forward Contracts | Futures Contracts | Total Value |
Foreign Exchange Contracts (a) | $ 240,889 | $ — | $ 240,889 |
Equity Contracts (b) | — | (137,396) | (137,396) |
Interest Rate Contracts (b) | — | (93,340) | (93,340) |
| $ 240,889 | $ (230,736) | $ 10,153 |
Each of the above derivatives is located in the following Statement of Operations accounts:
(a) Change in net unrealized appreciation (depreciation) on foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)(b) Change in net unrealized appreciation (depreciation) on futures contracts
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.
The tax character of current year distributions will be determined at the end of the current fiscal year.
Real Estate Investment Trusts. The Fund periodically recharacterizes distributions received from a Real Estate Investment Trust ("REIT") investment based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available timely from a REIT, the recharacterization will be estimated and a recharacterization will be made in the following year when such information becomes available. Distributions received from REITs in excess of income are recorded as either a reduction of cost of investments or realized gains. The Fund distinguishes between dividends on a tax basis and a financial reporting basis and only distributions in excess of tax basis earnings and profits are reported in the financial statements as a 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 six months ended September 30, 2009, purchases and sales of investment securities (excluding short-term investments and US Treasury obligations) aggregated $502,114,469 and $487,421,692, respectively. Purchases and sales of US Treasury obligations aggregated $86,608,550 and $94,416,771, 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 a portion of the fixed income portion of the Fund's portfolio. AAMI is paid for its services by the Advisor from its fee as investment advisor to the Fund.
Under the Investment Management Agreement with the Advisor, the Fund pays a monthly management fee based on the Fund's average daily net assets, computed and accrued daily and payable monthly, at the following annual rates:
First $250 million of the Fund's average daily net assets | .600% |
Next $750 million of such net assets | .575% |
Over $1 billion of such net assets | .550% |
For the period from April 1, 2009 through September 30, 2009, the Advisor had contractually agreed to waive all or a portion of its management fee and reimburse or pay certain operating expenses of the Fund (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) to the extent necessary to maintain the total operating expenses of Class S at 1.00%.
Effective October 1, 2009 through September 30, 2010, 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 1.01%.
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 six months ended September 30, 2009, the Advisor waived a portion of its management fee pursuant to the Investment Management Agreement aggregating $593,464 and the amount charged aggregated $803,119, which was equivalent to an annualized effective rate of 0.34% of the Fund's average daily net assets.
In addition, for the six months ended September 30, 2009, the Advisor reimbursed $389,568 of sub-recordkeeping expenses for Institutional Class shares.
Administration Fee. Pursuant to an Administrative Services Agreement, DIMA provides most administrative services to the Fund. For all services provided under the Administrative Services Agreement, the Fund pays the Advisor an annual fee ("Administration Fee") of 0.10% of the Fund's average daily net assets, computed and accrued daily and payable monthly. For the six months ended September 30, 2009, the Administration Fee was $237,434, of which $42,812 is unpaid.
Service Provider Fees. DWS Investments Service Company ("DISC"), an affiliate of the Advisor, is the transfer agent, dividend-paying agent and shareholder service agent for the Fund. Pursuant to a sub-transfer agency agreement between DISC and DST Systems, Inc. ("DST"), DISC has delegated certain transfer agent, dividend-paying agent and shareholder service agent functions to DST. DISC compensates DST out of the shareholder servicing fee it receives from the Fund. For the six months ended September 30, 2009, the amounts charged to the Fund by DISC were as follows:
Services to Shareholders | Total Aggregated | Waived | Unpaid at September 30, 2009 |
Class S | $ 1,132 | $ — | $ 589 |
Institutional Class | 159 | 159 | — |
| $ 1,291 | $ 159 | $ 589 |
Typesetting and Filing Service Fees. Under an agreement with DIMA, DIMA is compensated for providing typesetting and certain regulatory filing services to the Fund. For the six months ended September 30, 2009, the amount charged to the Fund by DIMA included in the Statement of Operations under "reports to shareholders" aggregated $20,049, of which $5,267 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.
Affiliated Cash Management Vehicles. The Fund may invest cash balances that have not been invested in portfolio securities in affiliated funds managed by the Advisor. Prior to October 2, 2009, the Fund invested in Cash Management QP Trust (the "QP Trust"). Effective October 2, 2009, the QP Trust merged into the Central Cash Management Fund. The Central Cash Management Fund seeks to provide as high a level of current income as is consistent with the preservation of capital and the maintenance of liquidity. Affiliated cash management vehicles do not pay the Advisor a management fee.
D. Concentration of Ownership
From time to time the Fund may have a concentration of several shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Fund.
At September 30, 2009, one or more shareholders or intermediaries individually held greater than 10% of the outstanding shares of the Fund. These shareholders held approximately 70% and 24%, respectively, of the total shares outstanding of the Fund.
E. Line of Credit
The Fund and other affiliated funds (the "Participants") share in a $450 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 a rate per annum equal to the sum of the Federal Funds Rate plus 1.25 percent plus if LIBOR exceeds the Federal Funds Rate the amount of such excess. The Fund may borrow up to a maximum of 33 percent of its net assets under the agreement.
F. Share Transactions
The following table summarizes share and dollar activity in the Fund:
| Six Months Ended | Year Ended | ||
| Shares | Dollars | Shares | Dollars |
Shares sold | ||||
Class S | 7,669 | $ 54,661 | 46,789 | $ 384,077 |
Institutional Class | 3,432,846 | 25,541,683 | 6,611,924 | 48,237,743 |
|
| $ 25,596,344 |
| $ 48,621,820 |
Shares issued to shareholders in reinvestment of distributions | ||||
Class S | 4,729 | $ 34,730 | 24,253 | $ 199,476 |
Institutional Class | 797,257 | 6,156,915 | 3,297,625 | 28,289,939 |
|
| $ 6,191,645 |
| $ 28,489,415 |
Shares redeemed | ||||
Class S | (83,262) | $ (623,373) | (104,736) | $ (805,893) |
Institutional Class | (2,503,226) | (18,883,100) | (20,460,940) | (184,452,584) |
|
| $ (19,506,473) |
| $ (185,258,477) |
Net increase (decrease) | ||||
Class S | (70,864) | $ (533,982) | (33,694) | $ (222,340) |
Institutional Class | 1,726,877 | 12,815,498 | (10,551,391) | (107,924,902) |
|
| $ 12,281,516 |
| $ (108,147,242) |
G. Payments by Affiliates
During the six months ended September 30, 2009, the Advisor fully reimbursed the Fund $262 for losses incurred on trades executed incorrectly. The amount of the losses were less than 0.01% of the Fund's average daily net assets, thus having no impact on the Fund's total return.
H. Review for Subsequent Events
Management has reviewed the events and transactions from October 1, 2009 through November 24, 2009, the date the financial statements were available to be issued, for subsequent events, and has determined that there were no material events that would require disclosure in the Fund's financial statements through this date.
Investment Management Agreement Approval
The Board of Trustees, including the Independent Trustees, approved the renewal of your Fund's investment management agreement (the "Agreement") with Deutsche Investment Management Americas Inc. ("DWS") and sub-advisory agreement (the "Sub-Advisory Agreement" and, together with the Agreement, the "Agreements") between DWS and Aberdeen Asset Management Inc. ("Aberdeen") in September 2009.
In terms of the process that the Board followed prior to approving the Agreements, shareholders should know that:
• In September 2009, all but one of the Fund's Trustees were independent of DWS and its affiliates.
• The Trustees meet frequently to discuss fund matters. Each year, the Trustees dedicate substantial time to contract review matters. Over the course of several months, the Board's Contract Committee, in coordination with the Board's Fixed Income and Quant Oversight Committee, reviewed comprehensive materials received from DWS, independent third parties and independent counsel. These materials included an analysis of the Fund's performance, fees and expenses, and profitability compiled by the Fund's independent fee consultant. The Board also received extensive information throughout the year regarding performance of the Fund.
• The Independent Trustees regularly meet privately with their independent counsel to discuss contract review and other matters. In addition, the Independent Trustees were also advised by the Fund's independent fee consultant in the course of their review of the Fund's contractual arrangements and considered a comprehensive report prepared by the independent fee consultant in connection with their deliberations (the "IFC Report").
• In connection with reviewing the Agreements, the Board also reviewed the terms of the Fund's distribution agreement, administrative services agreement, transfer agency agreement and other material service agreements.
• Based on its evaluation of the information provided, the Contract Committee presented its findings and recommendations to the Independent Trustees as a group. The Independent Trustees reviewed the Contract Committee's findings and recommendations and presented their recommendations to the full Board.
In connection with the contract review process, the Contract Committee and the Board considered the factors discussed below, among others. The Board also considered that DWS and its predecessors have managed the Fund since its inception, and the Board believes that a long-term relationship with a capable, conscientious advisor is in the best interests of the Fund. The Board considered, generally, that shareholders chose to invest or remain invested in the Fund knowing that DWS managed the Fund, and that the Agreement was approved by the Fund's shareholders. DWS is part of Deutsche Bank, a major global banking institution that is engaged in a wide range of financial services. The Board believes that there are significant advantages to being part of a global asset management business that offers a wide range of investing expertise and resources, including hundreds of portfolio managers and analysts with research capabilities in many countries throughout the world.
While shareholders may focus primarily on fund performance and fees, the Fund's Board considers these and many other factors, including the quality and integrity of DWS's and Aberdeen's personnel and such other issues as back-office operations, fund valuations, and compliance policies and procedures.
Nature, Quality and Extent of Services. The Board considered the terms of the Agreements, including the scope of advisory services provided under the Agreements. The Board noted that, under the Agreements, DWS provides the majority of portfolio management services to the Fund and that Aberdeen provides portfolio management services for the fixed income (not including high yield) portion of the Fund's portfolio only. The Board also noted that, pursuant to a separate administrative services agreement, DWS provides administrative services to the Fund. The Board considered the experience and skills of senior management and investment personnel, the resources made available to such personnel, the ability of DWS to attract and retain high-quality personnel, and the organizational depth and stability of DWS. The Board reviewed the Fund's performance over short-term and long-term periods and compared those returns to various agreed-upon performance measures, including market indices and a peer universe compiled by the independent fee consultant using information supplied by Lipper Inc. ("Lipper"). The Board also noted that it has put into place a process of identifying "Focus Funds" (e.g., funds performing poorly relative to their benchmark or a peer universe compiled by Lipper), and receives more frequent reporting and information from DWS regarding such funds, along with DWS's remedial plans to address underperformance. The Board believes this process is an effective manner of identifying and addressing underperforming funds. Based on the information provided, the Board noted that for the one-, three- and five-year periods ended December 31, 2008, the Fund's performance (Institutional Class shares) was in the 4th quartile of the applicable Lipper universe (the 1st quartile being the best performers and the 4th quartile being the worst performers). The Board also observed that the Fund has underperformed its benchmark in each of the one-, three- and five-year periods ended December 31, 2008. The Board noted the disappointing investment performance of the Fund in recent periods and continued to discuss with senior management of DWS and Aberdeen the factors contributing to such underperformance and actions being taken to improve performance. The Board observed that the Fund had experienced improved relative performance during the first seven months of 2009. The Board recognized that DWS has made significant changes in its investment personnel and processes in recent years in an effort to improve long-term performance.
On the basis of this evaluation and the ongoing review of investment results by the Board, the Board concluded that the nature, quality and extent of services provided by DWS and Aberdeen historically have been and continue to be satisfactory.
Fees and Expenses. The Board considered the Fund's investment management fee schedule, sub-advisory fee schedule, operating expenses, and total expense ratios, and comparative information provided by Lipper and the independent fee consultant regarding investment management fee rates paid to other investment advisors by similar funds (1st quartile being the most favorable and 4th quartile being the least favorable). With respect to management fees paid to other investment advisors by similar funds, the Board noted that the contractual fee rates paid by the Fund, which include the 0.10% fee paid to DWS under the Fund's administrative services agreement, were lower than the median (2nd quartile) of the applicable Lipper peer group (based on Lipper data provided as of December 31, 2008). With respect to the sub-advisory fee paid to Aberdeen, the Board noted that the fee is paid by DWS out of its fee and not directly by the Fund. The Board also reviewed data comparing each share class's total (net) operating expenses to the applicable Lipper expense universe. The Board concluded that the comparative Lipper operating expense data was of limited utility, as it likely significantly understated the current expense ratios of many peer funds due to the substantial declines in net assets as a result of market losses and net redemptions that many funds experienced between mid-September 2008 and March 2009 and that were not reflected in the data. The Board also noted that the expense limitation agreed to by DWS helped to ensure that the Fund's total (net) operating expenses would remain competitive.
The information considered by the Board as part of their review of management fees included information regarding fees charged by DWS and its affiliates to similar institutional accounts and to similar funds managed by the same portfolio management teams but offered primarily to European investors ("DWS Europe funds"), in each case as applicable. The Board observed that advisory fee rates for institutional accounts generally were lower than the management fees charged by similarly managed DWS US mutual funds ("DWS Funds"), but also took note of the differences in services provided to DWS Funds as compared to institutional accounts. In the case of DWS Europe funds, the Board observed that fee rates for DWS Europe funds generally were higher than for similarly managed DWS Funds, but noted that differences in the types of services provided to DWS Funds relative to DWS Europe funds made it difficult to compare such fees.
On the basis of the information provided, the Board concluded that management fees were reasonable and appropriate in light of the nature, quality and extent of services provided by DWS and Aberdeen.
Profitability. The Board reviewed detailed information regarding revenues received by DWS under the Agreement. The Board considered the estimated costs and pre-tax profits realized by DWS from advising the DWS Funds, as well as estimates of the pre-tax profits attributable to managing the Fund in particular. The Board also received information regarding the estimated enterprise-wide profitability of DWS and its affiliates with respect to all fund services in totality and by fund. The Board reviewed DWS's methodology in allocating its costs to the management of the Fund. Based on the information provided, the Board concluded that the pre-tax profits realized by DWS in connection with the management of the Fund were not unreasonable. The Board also reviewed information regarding the profitability of certain similar investment management firms. The Board noted that while information regarding the profitability of such firms is limited (and in some cases is not necessarily prepared on a comparable basis), DWS and its affiliates' overall profitability with respect to the DWS fund complex (after taking into account distribution and other services provided to the funds by DWS and its affiliates) was lower than the overall profitability levels of many comparable firms for which such data was available. The Board did not consider the profitability of the subadvisor with respect to the Fund. The Board noted that DWS pays the subadvisor's fee out of its management fee, and its understanding that the Fund's sub-advisory fee schedule was the product of an arm's length negotiation with DWS.
Economies of Scale. The Board considered whether there are economies of scale with respect to the management of the Fund and whether the Fund benefits from any economies of scale. The Board noted that the Fund's management fee schedule includes fee breakpoints. The Board concluded that the Fund's fee schedule represents an appropriate sharing between the Fund and DWS of such economies of scale as may exist in the management of the Fund at current asset levels.
Other Benefits to DWS and Aberdeen and Their Affiliates. The Board also considered the character and amount of other incidental benefits received by DWS and Aberdeen and their affiliates, including any fees received by DWS for administrative services provided to the Fund and any fees received by an affiliate of DWS for distribution services. The Board also considered benefits to DWS and Aberdeen related to brokerage and soft-dollar allocations, including allocating brokerage to pay for research generated by parties other than the executing broker dealers, which pertain primarily to funds investing in equity securities, along with the incidental public relations benefits to DWS and Aberdeen related to DWS Funds advertising and cross-selling opportunities among DWS products and services. The Board concluded that management fees were reasonable in light of these fallout benefits.
Compliance. The Board considered the significant attention and resources dedicated by DWS to documenting and enhancing its compliance processes in recent years. The Board noted in particular (i) the experience and seniority of both DWS's chief compliance officer and the Fund's chief compliance officer; (ii) the large number of DWS compliance personnel; and (iii) the substantial commitment of resources by DWS and its affiliates to compliance matters.
Based on all of the information considered and the conclusions reached, the Board unanimously (including the Independent Trustees) determined that the continuation of the Agreements is in the best interests of the Fund. In making this determination the Board did not give particular weight to any single factor identified above. The Board considered these factors over the course of numerous meetings, certain of which were in executive session with only the Independent Trustees and their counsel present. It is possible that individual Trustees may have weighed these factors differently in reaching their individual decisions to approve the continuation of the Agreements.
Summary of Management Fee Evaluation by Independent Fee Consultant
October 9, 2009, As Revised November 20, 2009
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 2009, 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 and 2008.
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 and serve 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 124 publicly offered Fund portfolios in the DWS Fund family. For each Fund, I considered each of the key factors mentioned above, as well as any other relevant information. In doing so I worked closely with the Funds' Independent Directors in their annual contract renewal process, as well as in their approval of contracts for several new funds (documented separately).
In evaluating each Fund's fees, I reviewed comprehensive materials provided by or on behalf of DeAM, including expense information prepared by Lipper Analytical, comparative performance information, profitability data, manager histories, and other materials. I also accessed certain additional information from the Lipper, Strategic Insight, and Morningstar databases and drew on my industry knowledge and experience.
To facilitate evaluating this considerable body of information, I prepared for each Fund a document summarizing the key data elements in each area as well as additional analytics discussed below. This made it possible to consider each key data element in the context of the others.
In the course of contract renewal, DeAM agreed to implement a number of fee and expense adjustments requested by the Independent Directors which will favorably impact future fees and expenses, and my evaluation includes the effects of these changes.
Fees and Expenses Compared with Other Funds
The competitive fee and expense evaluation for each fund focused on two primary comparisons:
The Fund's contractual management fee (the advisory fee plus the administration fee where applicable) compared with those of a group of typically 12-15 funds in the same Lipper investment category (e.g. Large Capitalization Growth) having similar distribution arrangements and being of similar size.
The Fund's total expenses compared with a broader universe of funds from the same Lipper investment category and having similar distribution arrangements.
These two comparisons provide a view of not only the level of the fee compared with funds of similar scale but also the total expense the Fund bears for all the services it receives, in comparison with the investment choices available in the Fund's investment category and distribution channel. The principal figure-of-merit used in these comparisons was the subject Fund's percentile ranking against peers.
DeAM's Fees for Similar Services to Others
DeAM provided management fee schedules for all of its US domiciled fund and non-fund investment management accounts in any of the investment categories where there is a DWS Fund. These similar products included the other DWS Funds, non-fund pooled accounts, institutional accounts and sub-advisory accounts. Using this information, I calculated for each Fund the fee that would be charged to each similar product, at the subject Fund's asset level.
Evaluating information regarding non-fund products is difficult because there are varying levels of services required for different types of accounts, with mutual funds generally requiring considerably more regulatory and administrative types of service as well as having more frequent cash flows than other types of accounts. Also, while mutual fund fees for similar fund products can be expected to be similar, there will be some differences due to different pricing conditions in different distribution channels (e.g. retail funds versus those used in variable insurance products), differences in underlying investment processes and other factors.
Costs and Profit Margins
DeAM provided a detailed profitability analysis for each Fund. After making some adjustments so that the presentation would be more comparable to the available industry figures, I reviewed profit margins from investment management alone, from investment management plus other fund services (excluding distribution) provided to the Funds by DeAM (principally shareholder services), and DeAM profits from all sources, including distribution. A later section comments on overall profitability.
Economies of Scale
Economies of scale — an expected decline in management cost per dollar of fund assets as fund assets grow — are very rarely quantified and documented because of inherent difficulties in collecting and analyzing relevant data. However, in virtually every investment category that I reviewed, larger funds tend to have lower fees and lower total expenses than smaller funds. To see how each DWS Fund compares with this industry observation, I reviewed:
The trend in Fund assets over the last five years and the accompanying trend in total expenses. This shows if the Fund has grown and, if so, whether total expense (management fees as well as other expenses) have declined as a percent of assets.
Whether the Fund has break-points in its management fee schedule, the extent of the fee reduction built into the schedule and the asset levels where the breaks take effect, and in the case of a sub-advised Fund how the Fund's break-points compare with those of the sub-advisory fee schedule.
How the Fund's contractual fee schedule compares with trends in the industry data. To accomplish this, I constructed a chart showing how actual latest-fiscal-year contractual fees of the Fund and of other similar funds relate to average fund assets, with the subject Fund's contractual fee schedule superimposed.
Quality of Service — Performance
The quality-of-service evaluation focused on investment performance, which is the principal result of the investment management service. Each Fund's performance was reviewed over the past 1, 3, 5 and 10 years, as applicable, and compared with that of other funds in the same investment category and with a suitable market index.
In addition, I calculated and reviewed risk-adjusted returns relative to an index of similar mutual funds' returns and a suitable market index. The risk-adjusted returns analysis provides a way of determining the extent to which the Fund's return comparisons are mainly the product of investment value-added (or lack thereof) or alternatively taking considerably more or less risk than is typical in its investment category.
I also received and considered the history of portfolio manager changes for each Fund, as this provided an important context for evaluating the performance results.
Complex-Level Considerations
While this evaluation was conducted mainly at the individual fund level, there are some issues relating to the reasonableness of fees that can alternatively be considered across the whole fund complex:
I reviewed DeAM's profitability analysis for all DWS Funds, with a view toward determining if the allocation procedures used were reasonable and how profit levels compared with public data for other investment managers.
I considered whether DeAM and affiliates receive any significant ancillary or "fall-out" benefits that should be considered in interpreting the direct profitability results. These would be situations where serving as the investment manager of the Funds is beneficial to another part of the Deutsche Bank organization.
I considered how aggregated DWS Fund expenses had varied over the years, by asset class and in the context of trends in asset levels.
I reviewed the structure of the DeAM organization, trends in staffing levels, and information on compensation of investment management and other professionals compared with industry data.
Findings
Based on the process and analysis discussed above, which included reviewing a wide range of information from management and external data sources and considering among other factors the fees DeAM charges other clients, the fees charged by other fund managers, DeAM's costs and profits associated with managing the Funds, economies of scale, possible fall-out benefits, and the nature and quality of services provided, in my opinion the management fees charged the DWS Funds are reasonable.
Thomas H. Mack
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For More Information | The automated telephone system allows you to access personalized account information and obtain information on other DWS funds using either your voice or your telephone keypad. Certain account types within Class S also have the ability to purchase, exchange or redeem shares using this system. For more information, contact your financial advisor. You may also access our automated telephone system or speak with a DWS 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 |
Dear Valued Client:
Your confidence is important to us. So we want to make sure you know our policies regarding the handling of our clients' private information. The following information is issued by DWS Investments Distributors, Inc., Deutsche Investment Management Americas Inc., DeAM Investor Services, Inc., DWS Trust Company and the DWS Funds.
We consider privacy fundamental to our client relationships and adhere to the policies and practices described below to protect current and former clients' information. We never sell customer lists or individual client information. Internal policies are in place to protect confidentiality, while allowing client needs to be served. Only individuals who need to do so in carrying out their job responsibilities may access client information. We maintain physical, electronic and procedural safeguards that comply with federal and state standards to protect confidentiality. These safeguards extend to all forms of interaction with us, including the Internet.
In the normal course of business, clients give us nonpublic personal information on applications and other forms, on our Web sites, and through transactions with us or our affiliates. Examples of the nonpublic personal information collected are name, address, Social Security number, and transaction and balance information. To be able to serve our clients, certain of this client information is shared with affiliated and nonaffiliated third-party service providers such as transfer agents, custodians and broker-dealers to assist us in processing transactions and servicing your account.
In addition, we may disclose the information we collect to companies that perform marketing services on our behalf or to other financial institutions with which we have joint marketing agreements. These organizations may only use client information for the purpose designated by the companies listed above. Additional requirements beyond federal law may be imposed by certain states. To the extent that these state laws apply, we will comply with them before we share information about you.
We may also disclose nonpublic personal information about you to other parties as required or permitted by law. For example, we are required to or may provide information to government entities or regulatory bodies in response to requests for information or subpoenas, to private litigants in certain circumstances, to law enforcement authorities, or any time we believe it necessary to protect the firm.
At any time, if you have questions about our policy, please write to us at:
DWS Investments
Attention: Correspondence — Chicago
P.O. Box 219415
Kansas City, MO 64121-9415 September 2009
Notes
Notes
ITEM 2. | CODE OF ETHICS |
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| Not applicable. |
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ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT |
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| Not applicable. |
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ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES |
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| Not applicable. |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS |
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| Not Applicable |
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ITEM 6. | SCHEDULE OF INVESTMENTS |
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| Not Applicable |
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ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
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| Not applicable. |
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ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
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| Not applicable. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
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| Not Applicable. |
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS |
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| The primary function of the Nominating and Governance Committee is to identify and recommend individuals for membership on the Board and oversee the administration of the Board Governance Guidelines. Shareholders may recommend candidates for Board positions by forwarding their correspondence by U.S. mail or courier service to Chairman of the Board, P.O. Box 100176, Cape Coral, FL 33910. |
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ITEM 11. | CONTROLS AND PROCEDURES |
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| (a) The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. |
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| (b) There have been no changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting. |
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ITEM 12. | EXHIBITS |
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| (a)(1) Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
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| (b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
Form N-CSRS Item F
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | DWS Lifecycle Long Range Fund, a series of DWS Advisor Funds |
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By: | /s/Michael G. Clark Michael G. Clark President |
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Date: | November 30, 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 |
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By: | /s/Michael G. Clark Michael G. Clark President |
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Date: | November 30, 2009 |
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By: | /s/Paul Schubert Paul Schubert Chief Financial Officer and Treasurer |
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Date: | November 30, 2009 |