UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549
FORM N-CSR
Investment Company Act file number | 811-04760 |
DWS Advisor Funds
(Exact Name of Registrant as Specified in Charter)
345 Park Avenue
New York, NY 10154-0004
(Address of Principal Executive Offices) (Zip Code)
Registrant’s Telephone Number, including Area Code: (212) 454-7190
Paul Schubert
345 Park Avenue
New York, NY 10154-0004
(Name and Address of Agent for Service)
Date of fiscal year end: | 3/31 |
Date of reporting period: | 3/31/2010 |
ITEM 1. | REPORT TO STOCKHOLDERS |
MARCH 31, 2010 Annual Report |
|
DWS Lifecycle Long Range Fund |
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Contents
4 Performance Summary 6 Information About Your Fund's Expenses 8 Portfolio Management Review 14 Portfolio Summary 16 Investment Portfolio 63 Financial Statements 67 Financial Highlights 69 Notes to Financial Statements 80 Report of Independent Registered Public Accounting Firm 81 Tax Information 82 Summary of Management Fee Evaluation by Independent Fee Consultant 87 Board Members and Officers 91 Account Management Resources |
This report must be preceded or accompanied by a prospectus. To obtain a summary prospectus, if available, or 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 summary prospectus and prospectus contain this and other important information about the fund. Please read the prospectus carefully before you invest.
Although allocation among different asset categories generally limits risk, the investment advisor may favor an asset category that underperforms other assets or markets as a whole. Bond investments are subject to interest-rate and credit risks. When interest rates rise, bond prices generally fall. Credit risk refers to the ability of an issuer to make timely payments of principal and interest. As part of the global alpha strategy, the fund may use derivatives. Investing in derivatives entails special risks relating to liquidity, leverage and credit that may reduce returns and/or increase volatility. Stocks may decline in value. See the prospectus for details.
DWS Investments is part of Deutsche Bank's Asset Management division and, within the US, represents the retail asset management activities of Deutsche Bank AG, Deutsche Bank Trust Company Americas, Deutsche Investment Management Americas Inc. and DWS Trust Company.
NOT FDIC/NCUA INSURED NO BANK GUARANTEE MAY LOSE VALUE NOT A DEPOSIT NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY
Performance Summary March 31, 2010
Average Annual Total Returns as of 3/31/10 | ||||
No Sales Charges | 1-Year | 3-Year | 5-Year | 10-Year |
Class S | 38.53% | -2.72% | 1.98% | 1.20% |
Institutional Class | 38.76% | -2.46% | 2.25% | 1.57% |
Barclays Capital US Aggregate Bond Index+ | 7.69% | 6.14% | 5.44% | 6.29% |
Russell 1000® Index+ | 51.60% | -3.98% | 2.31% | -0.36% |
Blended Index+ | 35.90% | 0.52% | 3.69% | 2.49% |
Sources: Lipper Inc. and Deutsche Investment Management Americas Inc.
Performance in the Average Annual Total Returns table above and the Growth of an Assumed $1,000,000 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 August 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 March 31 |
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 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: 3/31/10 | $ 8.45 | $ 8.82 |
3/31/09 | $ 6.23 | $ 6.51 |
Distribution Information: Twelve Months as of 3/31/10:Income Dividends | $ .17 | $ .20 |
Lipper Rankings — Mixed-Asset Target Allocation Moderate Funds Category as of 3/31/10 | ||||
Period | Rank |
| Number of Fund Classes Tracked | Percentile Ranking (%) |
Class S 1-Year | 151 | of | 537 | 29 |
3-Year | 387 | of | 457 | 85 |
5-Year | 299 | of | 347 | 86 |
Institutional Class 1-Year | 142 | of | 537 | 27 |
3-Year | 370 | of | 457 | 81 |
5-Year | 285 | of | 347 | 82 |
10-Year | 137 | of | 183 | 75 |
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 (October 1, 2009 to March 31, 2010).
The tables illustrate your Fund's expenses in two ways:
• Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses (but not transaction costs) paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line under the share class you hold.
• Hypothetical 5% Fund Return. This helps you to compare your Fund's ongoing expenses (but not transaction costs) with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expense of owning different funds. An account maintenance fee of $6.25 per quarter for Class S shares may apply for certain accounts whose balances do not meet the applicable minimum initial investment. This fee is not included in these tables. If it was, the estimate of expenses paid for Class S shares during the period would be higher, and account value during the period would be lower, by this amount.
Expenses and Value of a $1,000 Investment for the six months ended March 31, 2010 | ||
Actual Fund Return | Class S | Institutional Class |
Beginning Account Value 10/1/09 | $ 1,000.00 | $ 1,000.00 |
Ending Account Value 3/31/10 | $ 1,076.00 | $ 1,075.97 |
Expenses Paid per $1,000* | $ 3.88 | $ 2.85 |
Hypothetical 5% Fund Return | Class S | Institutional Class |
Beginning Account Value 10/1/09 | $ 1,000.00 | $ 1,000.00 |
Ending Account Value 3/31/10 | $ 1,021.19 | $ 1,022.19 |
Expenses Paid per $1,000* | $ 3.78 | $ 2.77 |
Annualized Expense Ratios | Class S | Institutional Class |
DWS Lifecycle Long Range Fund | .75% | .55% |
For more information, please refer to the Fund's prospectus.
DWS Lifecycle Long Range Fund: A Team Approach to Investing
Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), which is part of Deutsche Asset Management, is the investment advisor for DWS Lifecycle Long Range Fund. DIMA and its predecessors have more than 80 years of experience managing mutual funds and DIMA provides a full range of investment advisory services to institutional and retail clients.
Deutsche Asset Management is a global asset management organization that offers a wide range of investing expertise and resources, including hundreds of portfolio managers and analysts and an office network that reaches the world's major investment centers. This well-resourced global investment platform brings together a wide variety of experience and investment insight across industries, regions, asset classes and investing styles.
DIMA is an indirect, wholly owned subsidiary of Deutsche Bank AG. Deutsche Bank AG is a major global banking institution that is engaged in a wide range of financial services, including investment management, mutual funds, retail, private and commercial banking, investment banking and insurance.
Aberdeen Asset Management Inc. ("AAMI"), a US registered investment advisor, is a subadvisor for the fund. With respect to the core bond and active fixed income portions of the fund only, AAMI makes the investment decisions, buys and sells securities, and conducts the research that leads to these purchase and sale decisions. AAMI is also responsible for selecting brokers and dealers and for negotiating brokerage commissions and dealer charges. AAMI provides a full range of international investment advisory services to institutional and retail clients. AAMI is a direct, wholly owned subsidiary of Aberdeen Asset Management PLC, the parent company of an asset management group formed in 1983.
Portfolio Management Team
The following portfolio managers are responsible for the day-to-day management of the fund's investments, except for the fixed-income (not including high-yield) portion of the fund.
Robert Wang
Thomas Picciochi
Inna Okounkova
Russell Shtern, CFA*
Portfolio Managers
* Effective May 1, 2010.The following AAMI portfolio manager is responsible for the day-to-day management of the fixed-income (not including high-yield) portion of the fund.
J. Christopher Gagnier
Portfolio Manager
Market Overview and Fund Performance
The views expressed in the following discussion reflect those of the portfolio management team only through the end of the period of the report as stated on the cover. The management team's views are subject to change at any time based on market and other conditions and should not be construed as a recommendation. Past performance is no guarantee of future results. Current and future portfolio holdings are subject to risk.
The global financial markets delivered a positive return during the past year. When the fund's reporting period began, investors remained fearful at the prospects of a global depression and further meltdown in the financial sector. As the year progressed, however, it became evident that these fears were exaggerated. Due in part to the dramatic actions of global governments and central banks, the economy began to stabilize. The result was an increase in investors' appetite for risk, which played out in the form of heightened returns across a large number of asset classes.
This backdrop proved favorable for the fund. For the 12-month period ended March 31, 2010, DWS Lifecycle Long Range Fund (Institutional Class) returned 38.76%. The fund outpaced both the 35.90% return of its blended benchmark and the 35.05% average return of the funds in its Lipper peer group, the Mixed-Asset Target Allocation Moderate Funds Category.1,2 (Past performance is no guarantee of future results. Please see pages 4 through 5 for the performance of other share classes and more complete performance information.)
To review, the fund seeks high total return with reduced risk over the long term. The fund's assets are allocated among various equity and fixed-income asset categories. We generally allocate the largest portion of its assets to equity securities, with smaller allocations to fixed-income securities.
We use one or more strategies within each asset category when choosing equity and fixed-income securities for the fund's portfolio. Each strategy, or "sleeve," is managed by a team of portfolio managers that specializes in its respective category, using a variety of quantitative and qualitative techniques. In addition to these sleeves, we seek to enhance returns by employing a global tactical asset allocation overlay strategy (integrated Global Alpha Platform, or iGAP). This strategy attempts to take advantage of inefficiencies within global bond, equity and currency markets. The iGAP strategy is implemented through the use of derivatives, which are contracts or other instruments whose value is based on, for example, indices, currencies or securities. The iGAP strategy primarily uses exchange-traded futures contracts on global bonds and equity indexes, and over-the-counter forward currency contracts.
We review strategic asset allocation periodically. The target allocation in place for most of the last year was approximately 40% in large-cap equities, 5% in small-cap equities, 12% in international equities, 30% in investment-grade bonds, 5% in Treasury Inflation-Protected Securities, 3% in high-yield bonds and 5% in cash equivalents.
1 This benchmark is a blend comprised of 20% Russell 1000® Growth Index, 20% Russell 1000® Value Index, 6% Russell 2000® Index, 3% MSCI EAFE Small Cap Index, 8% MSCI EAFE Index, 3% MSCI Emerging Markets Free Index, 27% Barclays Capital US Aggregate Index, 3% Credit Suisse High Yield Index, 5% Barclays Capital Global TIPS and 5% Merrill Lynch 3-Month US Treasury Bills Index. Index returns assume reinvestment of all distributions and do not reflect fees or expenses. 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.
2 The Lipper Mixed-Asset Target Allocation Moderate Funds Category is a group of mutual funds that, by portfolio practice, maintain a mix of 0% to 60% equity securities, with the remainder invested in bonds, cash and cash equivalents. Category returns assume reinvestment of dividends. It is not possible to invest directly into a Lipper category.
Positive Contributors to Fund Performance
Five of the fund's investment strategies contributed positively to performance. While there were more detractors than contributors, this was more than made up for by the large degree of outperformance in our core fixed-income strategy. This sleeve outperformed its benchmark — the Barclays Capital US Aggregate Bond Index3 — behind the outperformance of its positions in corporate issues, residential mortgage-backed securities and commercial mortgage-backed securities, as investors aggressively sought alternatives to the low yields on short-term government debt.4 The strategy had the largest weighting for an individual strategy in the portfolio, so its substantial outperformance had a large impact on the fund's overall return.
The iGAP strategy also outperformed during the past year. While it generated a slightly negative performance in bonds and equities, this was more than offset by its exceptional performance in currencies. From a broad standpoint, its strength in currencies resulted from the effectiveness of its overall positioning. The strategy was net short the US dollar through the end of November, enabling it to capitalize on the weakness of the dollar in 2009. The iGAP managers subsequently moved to a net long in the dollar, a well-timed move given that the greenback staged a strong rally in the first three months of 2010. In terms of specific positioning, the strategy added value through average longs in the three main commodity-related currencies — the Australian dollar, New Zealand dollar and Canadian dollar — all of which benefited from the recovery in commodity prices. It also generated a gain from a long in the Swiss franc, which rose due to the relative strength of the Swiss economy and the country's healthy current account position. The iGAP managers' positioning in the Japanese yen — long in the first half of the year, short in the second half — proved to be an additional positive for performance.
The fund's quantitative large-cap strategy — as well as its quantitative large-cap value and small-cap strategies — is managed using a disciplined process that evaluates individual stocks based on valuation, growth, quality and sentiment information. Here, stock selection was most effective in the materials, energy and health care equipment/services industries, while the top contributors among individual stocks were Ashland Inc, Rowan Cos. Inc. and Oshkosh Corp.
Our quantitative international strategy is managed using a top-down approach based on the principle that country and sector, rather than stock selection, are the primary drivers of return. The largest contributions came from underweights to the Japanese cyclical sectors (financials, industrials, consumer discretionary), as slower growth in Japan caused the market to lag its global peers.5 Overweights to the materials sectors in Finland, Norway and Sweden also helped performance, as the group delivered an outstanding performance during the period.
The fund's global small-cap sleeve outperformed its S&P Developed SmallCap Index benchmark during the year.6 Stock selection contributed to performance, particularly in the financial and consumer staples sectors. Within the financial sector, positive contributions came from diversified financials (REXLot Holdings and Partners Group Holding AG), commercial banks (Wing Hang) and real estate (Midland Holdings). In the consumer staples sector, the leading contributors were Green Mountain Coffee Roasters, Inc. and C&C Group PLC. On a country basis, stock selection was particularly strong in Japan and Switzerland.
3 The Barclays Capital US Aggregate Bond Index is an unmanaged, market-value- weighted measure of Treasury issues, corporate bond issues and mortgage securities. Index returns, unlike fund returns, do not reflect any fees or expenses. It is not possible to invest into an index.4 Residential mortgage-backed securities (RMBS) are secured by loans on residential property. Commercial mortgage-backed securities (CMBS) are secured by loans on a commercial property.
5 "Overweight" means the fund holds a higher weighting in a given sector or security than the benchmark. "Underweight" means the fund holds a lower weighting.
6 The S&P Developed SmallCap Index is an unmanaged index of small-capitalization stocks within 26 countries around the globe.
Negative Contributors to Fund Performance
When considering the fund's detractors, it is important to keep in mind that all of the strategies delivered a positive absolute performance. However, they are considered detractors to the fund's relative performance because the strategies lagged their respective benchmarks.
The largest degree of underperformance occurred in the quantitative value strategy, where stock selection was least effective in the insurance, utilities and capital goods industries. At the security level, the largest negative impact on performance came from overweights in Exelon Corp., Bank of New York Mellon Corp. and NRG Energy, Inc.
The fundamental large-cap growth sleeve underperformed its benchmark, the Russell 1000® Growth Index, during the one-year time period.7 A bias toward high-quality growth stocks — i.e., those characterized by sustainable business models, solid balance sheets and the ability to regularly meet earning targets — weighed on returns. While the strategy's management team believes these stocks offer better long-term risk/return potential, the rally in equities was catalyzed by lower-quality stocks. On a sector basis, an overweight in health care weighed on performance through most of 2009, as the group was pressured by the uncertainty regarding the reform legislation. Stock selection was the biggest drag on performance, with the strategy's stock picks in the materials, energy and health care sectors all weighing on returns.
Our allocation to high-yield delivered a stellar absolute performance, as the asset class was boosted by accommodative monetary policy, the improving outlook for corporate America and investors' preference for the higher-yielding segments within fixed income. However, the strategy lagged behind its benchmark due to its focus on higher-rated securities in a market in which the lowest-rated bonds generally outperformed.
Similarly, the quantitative small-cap strategy produced a large gain, but came in well behind its benchmark, in this case the Russell 2000® Index.8 Stock selection was least effective in the energy, consumer durables/apparel and transportation industries. Notable laggards among individual stocks included GenCorp,* Myriad Genetics, Inc. and Smith & Wesson Holding Corp.*
In the fundamental international strategy, key sources of underperformance were stock selection in both Hong Kong and the health care sector, along with an underweight to Australia and overweights in energy and the United States.
The fund's allocation to the TIPS strategy detracted slightly. "TIPS" stands for Treasury Inflation-Protected Securities, a type of investment that performs well when inflation expectations are rising. During the past year, investors have indeed become more concerned about inflation, due to ultralow short-term interest rates and soaring government debt.
In this environment, the strategy delivered a double-digit return but experienced a small shortfall relative to the benchmark.
The fund's positions in the exchange-traded funds (ETFs) Vanguard Emerging Markets and iShares Barclays Aggregate Bond each delivered a strong absolute return and helped augment the fund's diversification.9,10,11 Since each lagged its respective benchmark by a small margin, however, they are considered to be detractors from the fund's relative performance.
7 The Russell 1000 Growth Index is an unmanaged index that consists of those stocks in the Russell 1000® Index that have higher price-to-book ratios and higher forecasted growth values.
Index returns assume reinvestment of dividends and, unlike fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
8 The Russell 2000 Index is an unmanaged index that measures the performance of the 2,000 smallest companies in the Russell 3000® Index, which represents approximately 8% of the total market capitalization of the Russell 3000 Index. Index returns assume reinvestment of dividends and, unlike fund returns, do not reflect any fees or expenses. It is not possible to invest directly into an index.
9 An exchange-traded fund (ETF) is a security that tracks an index, a commodity or a basket of assets like an index fund, but trades like a stock on an exchange.
10 The Vanguard Emerging Markets ETF seeks to track the performance of a benchmark index that measures the investment return of small- and mid-capitalization stocks.
11 The iShares Barclays Aggregate Bond Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the total United States investment-grade bond market as defined by the Barclays Capital US Aggregate Bond Index.
* Not held in the portfolio as of March 31, 2010.
Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral) | 3/31/10 | 3/31/09 |
|
|
|
Common Stocks | 56% | 57% |
Corporate Bonds | 10% | 9% |
Exchange-Traded Funds | 8% | 4% |
Government & Agency Obligations | 8% | 9% |
Cash Equivalents | 6% | 5% |
Collateralized Mortgage Obligations | 5% | 6% |
Mortgage-Backed Securities Pass-Throughs | 5% | 6% |
Commercial Mortgage-Backed Securities | 1% | 2% |
Municipal Bonds and Notes | 1% | 1% |
Asset-Backed | — | 1% |
| 100% | 100% |
Sector Diversification (As a % of Equities, Corporate Bonds and Preferred Securities) | 3/31/10 | 3/31/09 |
|
|
|
Financials | 19% | 14% |
Information Technology | 15% | 14% |
Health Care | 11% | 13% |
Consumer Discretionary | 11% | 10% |
Industrials | 11% | 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) | 3/31/10 | 3/31/09 |
|
|
|
United States | 80% | 84% |
Europe (excluding United Kingdom) | 10% | 9% |
Japan | 3% | 2% |
United Kingdom | 2% | 1% |
Pacific Basin | 1% | 2% |
Australia | 1% | — |
Canada | 1% | — |
Other | 2% | 2% |
| 100% | 100% |
Asset allocation, sector and geographical diversifications are subject to change.
Ten Largest Equity Holdings at March 31, 2010 (6.4% of Net Assets) | |
1. Apple, Inc. Manufacturer of personal computers and communication solutions | 0.9% |
2. Microsoft Corp. Developer of computer software | 0.8% |
3. ExxonMobil Corp. Explorer and producer of oil and gas | 0.7% |
4. Bank of America Corp. Provider of commercial financial services | 0.7% |
5. Wells Fargo & Co. Provider of diversified financial services | 0.7% |
6. Cisco Systems, Inc. Developer of computer network products | 0.6% |
7. JPMorgan Chase & Co. Provider of global financial services | 0.5% |
8. AT&T, Inc. Provider of communications services | 0.5% |
9. Johnson & Johnson Provider of health care products | 0.5% |
10. International Business Machines Corp. Manufacturer of computers and provider of information processing services | 0.5% |
Portfolio holdings are subject to change.
For more complete details about the Fund's investment portfolio, see page 16. A quarterly Fact Sheet is available upon request. A complete list of the Fund's portfolio holdings is posted as of the month end on www.dws-investments.com on or about the 15th day of the following month. More frequent posting of portfolio holdings information may be made from time to time on www.dws-investments.com. Please see the Account Management Resources section for contact information.
Following the Fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. This form will be available on the SEC's Web site at www.sec.gov, and it also may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the SEC's Public Reference Room may be obtained by calling (800) SEC-0330.
Investment Portfolio as of March 31, 2010
|
| Value ($) | ||
|
| |||
Common Stocks 56.3% | ||||
Consumer Discretionary 6.5% | ||||
Auto Components 0.5% | ||||
Autoliv, Inc.* | 4,400 | 226,732 | ||
Bridgestone Corp. | 400 | 6,832 | ||
Compagnie Generale des Etablissements Michelin "B" | 157 | 11,552 | ||
Cooper Tire & Rubber Co. | 12,900 | 245,358 | ||
Denso Corp. | 300 | 8,941 | ||
Drew Industries, Inc.* | 1,200 | 26,424 | ||
Johnson Controls, Inc. | 41,900 | 1,382,281 | ||
Magna International, Inc. "A"* | 300 | 18,564 | ||
Minth Group Ltd. | 170,500 | 285,550 | ||
Nippon Seiki Co., Ltd. | 11,000 | 130,038 | ||
Pirelli & C. SpA* | 24,395 | 15,015 | ||
S&T Dynamics Co., Ltd. | 9,480 | 133,255 | ||
Standard Motor Products, Inc. | 20,600 | 204,352 | ||
Toyota Industries Corp. | 200 | 5,715 | ||
TRW Automotive Holdings Corp.* | 400 | 11,432 | ||
Yokohama Rubber Co., Ltd. | 28,000 | 131,838 | ||
| 2,843,879 | |||
Automobiles 0.2% | ||||
Bayerische Motoren Werke (BMW) AG | 6,517 | 300,367 | ||
Daimler AG (Registered) | 1,494 | 70,356 | ||
Fiat SpA* | 3,728 | 48,620 | ||
Ford Motor Co.* | 37,500 | 471,375 | ||
Honda Motor Co., Ltd. | 1,300 | 45,929 | ||
Mazda Motor Corp. | 82,000 | 230,836 | ||
Nissan Motor Co., Ltd.* | 1,400 | 12,003 | ||
Renault SA* | 194 | 9,109 | ||
Toyota Motor Corp. | 2,200 | 88,456 | ||
| 1,277,051 | |||
Distributors 0.0% | ||||
Jardine Cycle & Carriage Ltd. | 1,000 | 20,962 | ||
Li & Fung Ltd. | 14,000 | 68,575 | ||
| 89,537 | |||
Diversified Consumer Services 0.1% | ||||
Lincoln Educational Services Corp.* | 400 | 10,120 | ||
Steiner Leisure Ltd.* | 1,200 | 53,184 | ||
Universal Technical Institute, Inc.* | 3,900 | 88,998 | ||
| 152,302 | |||
Hotels Restaurants & Leisure 0.8% | ||||
Aristocrat Leisure Ltd. | 2,777 | 11,528 | ||
Autogrill SpA* | 1,184 | 14,391 | ||
Bob Evans Farms, Inc. | 2,100 | 64,911 | ||
bwin Interactive Entertainment AG* | 1,880 | 110,676 | ||
Caribou Coffee Co., Inc.* | 7,800 | 51,636 | ||
Carnival PLC | 221 | 9,061 | ||
Carrols Restaurant Group, Inc.* | 3,500 | 23,800 | ||
Compass Group PLC | 1,638 | 13,084 | ||
Cracker Barrel Old Country Store, Inc. | 3,300 | 153,054 | ||
Crown Ltd. | 2,319 | 17,385 | ||
Darden Restaurants, Inc. | 27,050 | 1,204,807 | ||
Genting Singapore PLC* | 48,000 | 30,284 | ||
Lottomatica SpA | 479 | 9,141 | ||
Marriott International, Inc. "A" | 19,819 | 624,695 | ||
McDonald's Corp. | 8,150 | 543,768 | ||
OPAP SA | 6,260 | 142,473 | ||
Paddy Power PLC | 6,769 | 241,029 | ||
Papa John's International, Inc.* | 3,600 | 92,556 | ||
PartyGaming PLC* | 27,129 | 132,082 | ||
REXLot Holdings Ltd. | 2,325,000 | 333,264 | ||
Shangri-La Asia Ltd. | 8,000 | 15,618 | ||
Shuffle Master, Inc.* | 3,000 | 24,570 | ||
Sodexo | 129 | 7,715 | ||
Starbucks Corp.* | 24,600 | 597,042 | ||
TABCORP Holdings Ltd. | 3,228 | 20,417 | ||
Tatts Group Ltd. | 5,423 | 12,232 | ||
Whitbread PLC | 338 | 7,550 | ||
Wyndham Worldwide Corp. | 3,600 | 92,628 | ||
| 4,601,397 | |||
Household Durables 0.4% | ||||
Advanced Digital Broadcast Holdings SA (Registered)* | 1,700 | 71,760 | ||
American Greetings Corp. "A" | 11,600 | 241,744 | ||
Electrolux AB "B" | 658 | 15,053 | ||
Garmin Ltd. | 15,300 | 588,744 | ||
Husqvarna AB "B"* | 1,300 | 9,442 | ||
Jarden Corp. | 3,400 | 113,186 | ||
NVR, Inc.* | 435 | 316,028 | ||
Panasonic Corp. | 9,277 | 142,327 | ||
Ryland Group, Inc. | 3,800 | 85,272 | ||
Sekisui House Ltd. | 1,000 | 9,957 | ||
Sharp Corp. | 1,000 | 12,510 | ||
Sony Corp. | 600 | 22,985 | ||
Tempur-Pedic International, Inc.* | 9,100 | 274,456 | ||
Whirlpool Corp. | 4,900 | 427,525 | ||
| 2,330,989 | |||
Internet & Catalog Retail 0.3% | ||||
Expedia, Inc. | 2,800 | 69,888 | ||
Liberty Media Corp. — Interactive "A"* | 81,900 | 1,253,889 | ||
Priceline.com, Inc.* | 1,800 | 459,000 | ||
| 1,782,777 | |||
Leisure Equipment & Products 0.2% | ||||
Mattel, Inc. | 35,400 | 804,996 | ||
Nikon Corp. | 500 | 10,923 | ||
Universal Entertainment Corp. | 9,100 | 132,126 | ||
| 948,045 | |||
Media 1.6% | ||||
Aegis Group PLC | 49,658 | 95,725 | ||
British Sky Broadcasting Group PLC | 1,807 | 16,552 | ||
Comcast Corp. "A" | 121,300 | 2,282,866 | ||
Dex One Corp.* | 360 | 10,051 | ||
E.W. Scripps Co. "A"* | 7,900 | 66,755 | ||
Fairfax Media Ltd. | 9,922 | 16,359 | ||
Gestevision Telecinco SA | 772 | 12,123 | ||
JC Decaux SA* | 8,151 | 227,596 | ||
Journal Communications, Inc. "A"* | 5,300 | 22,260 | ||
Lagardere SCA | 166 | 6,724 | ||
Mediacom Communications Corp. "A"* | 11,200 | 66,640 | ||
Mediaset SpA | 4,536 | 39,016 | ||
Pearson PLC | 966 | 15,180 | ||
Publicis Groupe | 212 | 9,078 | ||
Reed Elsevier NV | 20,464 | 248,977 | ||
Reed Elsevier PLC | 2,143 | 17,145 | ||
Scholastic Corp. | 7,100 | 198,800 | ||
Scripps Networks Interactive "A" | 39,600 | 1,756,260 | ||
SES "A" (FDR) | 261 | 6,583 | ||
Shaw Communications, Inc. "B" | 1,100 | 21,780 | ||
Singapore Press Holdings Ltd. | 22,000 | 59,996 | ||
SuperMedia, Inc.* | 67 | 2,743 | ||
Television Broadcasts Ltd. | 2,000 | 9,631 | ||
Thomson Reuters Corp. | 2,302 | 83,771 | ||
Time Warner Cable, Inc. | 29,600 | 1,577,976 | ||
Time Warner, Inc. | 38,700 | 1,210,149 | ||
Viacom, Inc. "B"* | 13,400 | 460,692 | ||
Vivendi | 372 | 9,968 | ||
Walt Disney Co. | 3,800 | 132,658 | ||
Wolters Kluwer NV | 8,298 | 180,084 | ||
World Wrestling Entertainment, Inc. "A" | 12,300 | 212,790 | ||
WPP PLC | 12,726 | 131,775 | ||
| 9,208,703 | |||
Multiline Retail 0.4% | ||||
Big Lots, Inc.* | 13,200 | 480,744 | ||
Canadian Tire Corp., Ltd. "A" | 200 | 10,917 | ||
Dillard's, Inc. "A" | 7,300 | 172,280 | ||
Dollar General Corp.* | 6,700 | 169,175 | ||
Harvey Norman Holdings Ltd. | 3,399 | 11,269 | ||
Kohl's Corp.* | 11,050 | 605,319 | ||
Marks & Spencer Group PLC | 1,707 | 9,594 | ||
Next PLC | 252 | 8,282 | ||
Nordstrom, Inc. | 18,900 | 772,065 | ||
PPR | 86 | 11,436 | ||
Tuesday Morning Corp.* | 20,300 | 133,777 | ||
| 2,384,858 | |||
Specialty Retail 1.3% | ||||
Advance Auto Parts, Inc. | 11,800 | 494,656 | ||
Aeropostale, Inc.* | 8,400 | 242,172 | ||
American Eagle Outfitters, Inc. | 8,200 | 151,864 | ||
Barnes & Noble, Inc. | 12,600 | 272,412 | ||
Big 5 Sporting Goods Corp. | 6,000 | 91,320 | ||
DSW, Inc. "A"* | 1,600 | 40,848 | ||
Esprit Holdings Ltd. | 7,787 | 61,296 | ||
Group 1 Automotive, Inc.* | 6,900 | 219,834 | ||
Hennes & Mauritz AB "B" | 5,950 | 384,938 | ||
Home Depot, Inc. | 53,800 | 1,740,430 | ||
Industria de Diseno Textil SA | 1,293 | 85,132 | ||
Jo-Ann Stores, Inc.* | 4,100 | 172,118 | ||
Jumbo SA | 7,934 | 80,559 | ||
Kingfisher PLC | 2,909 | 9,472 | ||
Kirkland's, Inc.* | 3,700 | 77,700 | ||
Limited Brands, Inc. | 57,200 | 1,408,264 | ||
Nitori Co., Ltd. | 1,750 | 132,872 | ||
Penske Automotive Group, Inc.* | 500 | 7,210 | ||
Ross Stores, Inc. | 8,600 | 459,842 | ||
Stage Stores, Inc. | 600 | 9,234 | ||
The Gap, Inc. | 6,700 | 154,837 | ||
The Sherwin-Williams Co. | 500 | 33,840 | ||
TJX Companies, Inc. | 13,450 | 571,894 | ||
Ulta Salon, Cosmetics & Fragrance, Inc.* | 8,000 | 180,960 | ||
Urban Outfitters, Inc.* | 6,400 | 243,392 | ||
Yamada Denki Co., Ltd. | 1,605 | 118,485 | ||
| 7,445,581 | |||
Textiles, Apparel & Luxury Goods 0.7% | ||||
Adidas AG | 523 | 27,927 | ||
Carter's, Inc.* | 6,700 | 202,005 | ||
Compagnie Financiere Richemont SA "A" | 12,899 | 500,038 | ||
Deckers Outdoor Corp.* | 2,100 | 289,800 | ||
Fossil, Inc.* | 6,800 | 256,632 | ||
Jones Apparel Group, Inc. | 6,500 | 123,630 | ||
Luxottica Group SpA | 740 | 19,808 | ||
LVMH Moet Hennessy Louis Vuitton SA | 86 | 10,037 | ||
NIKE, Inc. "B" | 18,200 | 1,337,700 | ||
Oxford Industries, Inc. | 9,900 | 201,267 | ||
Perry Ellis International, Inc.* | 600 | 13,590 | ||
Skechers USA, Inc. "A"* | 7,400 | 268,768 | ||
Steven Madden Ltd.* | 4,500 | 219,600 | ||
Swatch Group AG (Bearer) | 593 | 189,312 | ||
UniFirst Corp. | 4,117 | 212,026 | ||
Yue Yuen Industrial (Holdings) Ltd. | 5,000 | 17,486 | ||
| 3,889,626 | |||
Consumer Staples 4.8% | ||||
Beverages 0.7% | ||||
Anheuser-Busch InBev NV | 1,806 | 91,047 | ||
Asahi Breweries Ltd. | 2,000 | 37,399 | ||
C&C Group PLC | 59,043 | 267,416 | ||
Carlsberg AS "B" | 6,778 | 569,273 | ||
Central European Distribution Corp.* | 4,900 | 171,549 | ||
Coca-Cola Amatil Ltd. | 1,082 | 11,156 | ||
Coca-Cola Bottling Co. Consolidated | 800 | 46,928 | ||
Coca-Cola Co. | 7,800 | 429,000 | ||
Diageo PLC | 1,080 | 18,160 | ||
Foster's Group Ltd. | 3,848 | 18,638 | ||
Heineken Holding NV | 239 | 10,639 | ||
Heineken NV | 6,094 | 312,860 | ||
Kirin Holdings Co., Ltd. | 4,000 | 58,824 | ||
National Beverage Corp. | 1,100 | 12,232 | ||
PepsiCo, Inc. | 26,700 | 1,766,472 | ||
Pernod Ricard SA | 701 | 59,472 | ||
SABMiller PLC | 640 | 18,777 | ||
Sapporo Holdings Ltd. | 3,000 | 15,666 | ||
| 3,915,508 | |||
Food & Staples Retailing 1.0% | ||||
Aeon Co., Ltd. | 4,000 | 45,260 | ||
Alimentation Couche-Tard, Inc. "B" | 700 | 12,757 | ||
Carrefour SA | 7,250 | 349,789 | ||
Casino Guichard-Perrachon SA | 123 | 10,403 | ||
Colruyt SA | 54 | 13,295 | ||
Delhaize Group | 280 | 22,520 | ||
FamilyMart Co., Ltd. | 400 | 12,710 | ||
George Weston Ltd. | 300 | 20,721 | ||
Koninklijke Ahold NV | 19,454 | 259,491 | ||
Kroger Co. | 30,900 | 669,294 | ||
Lawson, Inc. | 400 | 17,060 | ||
Loblaw Companies Ltd. | 500 | 18,466 | ||
Metro AG | 1,882 | 111,651 | ||
Metro, Inc. "A" | 600 | 24,877 | ||
Seven & I Holdings Co., Ltd. | 12,115 | 292,835 | ||
Shoppers Drug Mart Corp. | 1,000 | 42,968 | ||
SUPERVALU, Inc. | 22,000 | 366,960 | ||
Sysco Corp. | 22,700 | 669,650 | ||
Tesco PLC | 3,247 | 21,468 | ||
UNY Co., Ltd. | 1,800 | 14,890 | ||
Village Super Market, Inc. "A" | 100 | 2,803 | ||
Wal-Mart Stores, Inc. | 45,800 | 2,546,480 | ||
Wesfarmers Ltd. | 1,555 | 45,281 | ||
Whole Foods Market, Inc.* | 700 | 25,305 | ||
William Morrison Supermarkets PLC | 2,064 | 9,197 | ||
Woolworths Ltd. | 2,188 | 56,163 | ||
| 5,682,294 | |||
Food Products 1.5% | ||||
Ajinomoto Co., Inc. | 3,000 | 29,726 | ||
Archer-Daniels-Midland Co. | 45,600 | 1,317,840 | ||
Aryzta AG | 243 | 10,652 | ||
Campbell Soup Co. | 8,900 | 314,615 | ||
DANONE SA | 2,027 | 122,197 | ||
Darling International, Inc.* | 12,000 | 107,520 | ||
Dean Foods Co.* | 7,000 | 109,830 | ||
Del Monte Foods Co. | 8,700 | 127,020 | ||
Diamond Foods, Inc. | 5,400 | 227,016 | ||
General Mills, Inc. | 8,100 | 573,399 | ||
Green Mountain Coffee Roasters, Inc.* | 1,850 | 179,117 | ||
J & J Snack Foods Corp. | 2,500 | 108,675 | ||
Kikkoman Corp. | 1,000 | 11,706 | ||
Kraft Foods, Inc. "A" (b) | 20,900 | 632,016 | ||
Kraft Foods, Inc. "A" (b) | 133 | 4,022 | ||
Lancaster Colony Corp. | 4,000 | 235,840 | ||
MEIJI Holdings Co., Ltd. | 400 | 15,535 | ||
Nestle SA (Registered) | 19,639 | 1,004,756 | ||
Nippon Meat Packers, Inc. | 1,000 | 12,658 | ||
Nisshin Seifun Group, Inc. | 1,000 | 12,902 | ||
Nissin Foods Holdings Co., Ltd. | 400 | 13,444 | ||
Saputo, Inc. | 600 | 17,474 | ||
Sara Lee Corp. | 61,200 | 852,516 | ||
Smithfield Foods, Inc.* | 27,300 | 566,202 | ||
Suedzucker AG | 1,156 | 25,518 | ||
SunOpta, Inc.* | 41,200 | 170,980 | ||
The Hershey Co. | 2,300 | 98,463 | ||
Toyo Suisan Kaisha Ltd. | 1,000 | 25,858 | ||
Tyson Foods, Inc. "A" | 68,400 | 1,309,860 | ||
Unilever NV (CVA) | 8,200 | 248,292 | ||
Unilever PLC | 740 | 21,706 | ||
Viterra, Inc.* | 1,300 | 12,275 | ||
Yakult Honsha Co., Ltd. | 600 | 16,177 | ||
Yamazaki Baking Co., Ltd. | 1,000 | 12,358 | ||
| 8,548,165 | |||
Household Products 1.0% | ||||
Church & Dwight Co., Inc. | 6,300 | 421,785 | ||
Colgate-Palmolive Co. | 16,850 | 1,436,631 | ||
Energizer Holdings, Inc.* | 12,850 | 806,466 | ||
Henkel AG & Co. KGaA | 1,990 | 92,162 | ||
Kao Corp. | 2,000 | 50,595 | ||
Kimberly-Clark Corp. | 29,700 | 1,867,536 | ||
Procter & Gamble Co. | 18,500 | 1,170,495 | ||
Reckitt Benckiser Group PLC | 266 | 14,637 | ||
Unicharm Corp. | 200 | 19,321 | ||
| 5,879,628 | |||
Personal Products 0.3% | ||||
Beiersdorf AG | 1,313 | 78,439 | ||
Estee Lauder Companies, Inc. "A" | 9,500 | 616,265 | ||
Herbalife Ltd. | 9,400 | 433,528 | ||
L'Oreal SA | 932 | 97,921 | ||
Nu Skin Enterprises, Inc. "A" | 4,300 | 125,130 | ||
Prestige Brands Holdings, Inc.* | 2,000 | 18,000 | ||
Revlon, Inc. "A"* | 3,600 | 53,460 | ||
Shiseido Co., Ltd. | 2,000 | 43,443 | ||
| 1,466,186 | |||
Tobacco 0.3% | ||||
British American Tobacco PLC | 8,462 | 291,822 | ||
Imperial Tobacco Group PLC | 5,712 | 174,577 | ||
Japan Tobacco, Inc. | 21 | 77,836 | ||
Lorillard, Inc. | 3,200 | 240,768 | ||
Philip Morris International, Inc. | 16,100 | 839,776 | ||
Reynolds American, Inc. | 5,900 | 318,482 | ||
| 1,943,261 | |||
Energy 5.7% | ||||
Energy Equipment & Services 1.9% | ||||
AMEC PLC | 24,829 | 300,581 | ||
Cameron International Corp.* | 18,100 | 775,766 | ||
Compagnie Generale de Geophysique-Veritas* | 313 | 8,863 | ||
Complete Production Services, Inc.* | 15,900 | 183,645 | ||
Dresser-Rand Group, Inc.* | 4,700 | 147,674 | ||
Exterran Holdings, Inc.* | 23,500 | 567,995 | ||
Geokinetics, Inc.* | 20,300 | 146,363 | ||
Helix Energy Solutions Group, Inc.* | 24,300 | 316,629 | ||
Helmerich & Payne, Inc. | 9,300 | 354,144 | ||
John Wood Group PLC | 21,256 | 117,056 | ||
Key Energy Services, Inc.* | 23,000 | 219,650 | ||
Lamprell PLC | 40,842 | 150,085 | ||
Lufkin Industries, Inc. | 700 | 55,405 | ||
National-Oilwell Varco, Inc. | 31,700 | 1,286,386 | ||
Oil States International, Inc.* | 20,400 | 924,936 | ||
Patterson-UTI Energy, Inc. | 16,100 | 224,917 | ||
Pioneer Drilling Co.* | 24,300 | 171,072 | ||
Pride International, Inc.* | 8,500 | 255,935 | ||
Prosafe Production Public Ltd.* | 25,600 | 63,526 | ||
Prosafe SE | 16,720 | 87,551 | ||
Rowan Companies, Inc.* | 50,000 | 1,455,500 | ||
RPC, Inc. | 5,000 | 55,650 | ||
Saipem SpA | 10,585 | 410,173 | ||
SBM Offshore NV | 12,308 | 246,499 | ||
Schlumberger Ltd. | 18,550 | 1,177,183 | ||
Seadrill Ltd. | 1,200 | 28,037 | ||
Shinko Plantech Co., Ltd. | 6,100 | 53,794 | ||
Technip SA | 3,556 | 288,660 | ||
Tecnicas Reunidas SA | 2,175 | 136,877 | ||
Tenaris SA | 913 | 19,611 | ||
Transocean Ltd.* | 6,200 | 535,556 | ||
WorleyParsons Ltd. | 411 | 9,576 | ||
| 10,775,295 | |||
Oil, Gas & Consumable Fuels 3.8% | ||||
Alpha Natural Resources, Inc.* | 24,200 | 1,207,338 | ||
Anadarko Petroleum Corp. | 31,750 | 2,312,352 | ||
Arrow Energy Ltd.* | 1,913 | 8,809 | ||
Berry Petroleum Co. "A" | 3,800 | 107,008 | ||
BG Group PLC | 1,088 | 18,795 | ||
Bill Barrett Corp.* | 6,900 | 211,899 | ||
BP PLC | 34,652 | 328,154 | ||
Cameco Corp. | 200 | 5,476 | ||
Canadian Natural Resources Ltd. | 400 | 29,605 | ||
Canadian Oil Sands Trust (Units) | 200 | 5,996 | ||
Cenovus Energy, Inc. | 500 | 13,061 | ||
Chevron Corp. | 24,900 | 1,888,167 | ||
Cimarex Energy Co. | 11,400 | 676,932 | ||
ConocoPhillips | 7,300 | 373,541 | ||
Contango Oil & Gas Co.* | 400 | 20,460 | ||
Cosmo Oil Co., Ltd. | 5,000 | 12,093 | ||
Devon Energy Corp. | 22,200 | 1,430,346 | ||
Enbridge, Inc. | 200 | 9,539 | ||
EnCana Corp. | 500 | 15,557 | ||
Eni SpA | 18,736 | 440,000 | ||
EXCO Resources, Inc. | 8,500 | 156,230 | ||
ExxonMobil Corp. | 62,750 | 4,202,995 | ||
Forest Oil Corp.* | 4,300 | 111,026 | ||
Gulfport Energy Corp.* | 11,200 | 125,888 | ||
Husky Energy, Inc. | 600 | 17,209 | ||
Idemitsu Kosan Co., Ltd. | 200 | 15,100 | ||
Imperial Oil Ltd. | 400 | 15,450 | ||
INPEX Corp. | 5 | 36,705 | ||
Japan Petroleum Exploration Co., Ltd. | 300 | 15,162 | ||
LUKOIL (ADR) (b) | 3,473 | 197,267 | ||
LUKOIL (ADR) (b) | 461 | 26,139 | ||
Marathon Oil Corp. | 23,000 | 727,720 | ||
Murphy Oil Corp. | 6,500 | 365,235 | ||
Newfield Exploration Co.* | 23,200 | 1,207,560 | ||
Nexen, Inc. | 300 | 7,423 | ||
Nippon Mining Holdings, Inc. | 5,000 | 23,371 | ||
Nippon Oil Corp. | 7,000 | 35,266 | ||
Northern Oil & Gas, Inc.* | 3,800 | 60,230 | ||
Occidental Petroleum Corp. | 2,800 | 236,712 | ||
OMV AG | 3,920 | 147,203 | ||
Origin Energy Ltd. | 2,078 | 31,511 | ||
Paladin Energy Ltd.* | 1,779 | 6,430 | ||
Repsol YPF SA | 6,106 | 144,625 | ||
Royal Dutch Shell PLC "A" | 1,131 | 32,812 | ||
Royal Dutch Shell PLC "B" | 862 | 23,773 | ||
Santos Ltd. | 1,760 | 23,630 | ||
Showa Shell Sekiyu KK | 2,400 | 16,230 | ||
Spectra Energy Corp. | 12,200 | 274,866 | ||
Statoil ASA | 25,118 | 583,990 | ||
Suncor Energy, Inc. | 784 | 25,496 | ||
Talisman Energy, Inc. | 400 | 6,841 | ||
Teekay Corp. | 22,000 | 500,280 | ||
TonenGeneral Sekiyu KK | 2,000 | 16,882 | ||
Total SA | 13,691 | 795,115 | ||
Tullow Oil PLC | 330 | 6,249 | ||
Ultra Petroleum Corp.* | 7,400 | 345,062 | ||
USEC, Inc.* | 16,700 | 96,359 | ||
Williams Companies, Inc. | 58,200 | 1,344,420 | ||
Woodside Petroleum Ltd. | 8,946 | 384,339 | ||
| 21,503,929 | |||
Financials 8.7% | ||||
Capital Markets 1.3% | ||||
Affiliated Managers Group, Inc.* | 1,500 | 118,500 | ||
Ameriprise Financial, Inc. | 1,700 | 77,112 | ||
Ashmore Group PLC | 52,363 | 209,569 | ||
Bank of New York Mellon Corp. | 12,100 | 373,648 | ||
BlackRock, Inc. | 900 | 195,984 | ||
Calamos Asset Management, Inc. "A" | 12,400 | 177,816 | ||
Credit Suisse Group AG (Registered) | 675 | 34,706 | ||
Daiwa Securities Group, Inc. | 1,000 | 5,265 | ||
Diamond Hill Investment Group | 500 | 34,300 | ||
Franklin Resources, Inc. | 11,400 | 1,264,260 | ||
GAMCO Investors, Inc. "A" | 1,200 | 54,600 | ||
ICAP PLC | 11,498 | 65,077 | ||
Jefferies Group, Inc. | 8,300 | 196,461 | ||
LaBranche & Co., Inc.* | 11,000 | 57,860 | ||
Lazard Ltd. "A" | 4,000 | 142,800 | ||
Marfin Investment Group SA* | 2,080 | 4,802 | ||
Morgan Stanley | 24,600 | 720,534 | ||
Nomura Holdings, Inc. | 4,000 | 29,339 | ||
Oppenheimer Holdings, Inc. "A" | 5,900 | 150,509 | ||
Partners Group Holding AG | 1,600 | 226,496 | ||
Piper Jaffray Companies, Inc.* | 2,700 | 108,810 | ||
SBI Holdings, Inc. | 49 | 9,676 | ||
T. Rowe Price Group, Inc. | 14,400 | 790,992 | ||
The Goldman Sachs Group, Inc. | 11,900 | 2,030,497 | ||
UBS AG (Registered)* | 1,959 | 31,805 | ||
Waddell & Reed Financial, Inc. "A" | 5,700 | 205,428 | ||
| 7,316,846 | |||
Commercial Banks 2.3% | ||||
1st Source Corp. | 2,700 | 47,385 | ||
Alpha Bank AE* | 17,179 | 164,143 | ||
Australia & New Zealand Banking Group Ltd. | 764 | 17,739 | ||
BancFirst Corp. | 2,300 | 96,393 | ||
Banco Bilbao Vizcaya Argentaria SA | 2,601 | 35,551 | ||
Banco Latinoamericano de Comercio Exterior SA "E" | 6,400 | 91,904 | ||
Banco Popolare Societa Cooperativa* | 1,277 | 8,874 | ||
Banco Santander SA | 5,073 | 67,319 | ||
Bank of Cyprus PCL | 2,987 | 18,910 | ||
Bank of East Asia Ltd. | 2,640 | 9,777 | ||
Bank of Montreal | 200 | 12,140 | ||
Barclays PLC | 100,486 | 547,147 | ||
BNP Paribas | 8,034 | 616,335 | ||
BOC Hong Kong (Holdings) Ltd. | 2,500 | 5,953 | ||
Canadian Imperial Bank of Commerce | 200 | 14,611 | ||
Cardinal Financial Corp. | 9,400 | 100,392 | ||
Chuo Mitsui Trust Holdings, Inc. | 2,000 | 7,480 | ||
Comerica, Inc. | 19,700 | 749,388 | ||
Commerce Bancshares, Inc. | 17,860 | 734,760 | ||
Commerzbank AG* | 1,111 | 9,521 | ||
Commonwealth Bank of Australia | 655 | 33,774 | ||
Community Bank System, Inc. | 1,000 | 22,780 | ||
Credit Agricole SA | 800 | 13,988 | ||
CVB Financial Corp. | 18,300 | 181,719 | ||
Dah Sing Banking Group Ltd.* | 86,300 | 117,857 | ||
Danske Bank AS* | 3,084 | 75,947 | ||
DBS Group Holdings Ltd. | 3,000 | 30,623 | ||
Dexia SA* | 1,754 | 10,452 | ||
DnB NOR ASA* | 9,400 | 107,121 | ||
EFG Eurobank Ergasias* | 1,169 | 10,761 | ||
Erste Group Bank AG | 1,596 | 66,992 | ||
First Financial Bancorp. | 5,400 | 96,066 | ||
Hang Seng Bank Ltd. | 600 | 8,371 | ||
HSBC Holdings PLC | 13,089 | 132,700 | ||
Huntington Bancshares, Inc. | 170,800 | 917,196 | ||
IBERIABANK Corp. | 1,000 | 60,010 | ||
Intesa Sanpaolo* | 5,038 | 18,747 | ||
Investors Bancorp., Inc.* | 1,300 | 17,160 | ||
KBC Groep NV* | 565 | 27,334 | ||
KeyCorp | 40,900 | 316,975 | ||
Lakeland Bancorp., Inc. | 1,100 | 9,735 | ||
Lloyds Banking Group PLC | 401,658 | 382,910 | ||
Marshall & Ilsley Corp. | 27,000 | 217,350 | ||
Mitsubishi UFJ Financial Group, Inc. | 72,678 | 379,257 | ||
Mizuho Financial Group, Inc. | 16,492 | 32,649 | ||
Mizuho Trust & Banking Co., Ltd.* | 6,000 | 6,008 | ||
National Australia Bank Ltd. | 760 | 19,154 | ||
National Bank of Greece SA* | 2,203 | 44,543 | ||
Nordea Bank AB | 4,187 | 41,298 | ||
Oversea-Chinese Banking Corp., Ltd. | 1,000 | 6,216 | ||
Piraeus Bank SA | 983 | 8,608 | ||
PNC Financial Services Group, Inc. | 17,700 | 1,056,690 | ||
Prosperity Bancshares, Inc. | 4,000 | 164,000 | ||
Raiffeisen International Bank-Holding AG | 360 | 17,099 | ||
Resona Holdings, Inc. | 400 | 5,040 | ||
Royal Bank of Canada | 500 | 29,262 | ||
S&T Bancorp., Inc. | 1,700 | 35,530 | ||
Santander BanCorp.* | 7,500 | 92,025 | ||
Skandinaviska Enskilda Banken AB "A"* | 2,289 | 14,642 | ||
Societe Generale | 2,974 | 186,830 | ||
Southside Bancshares, Inc. | 4,740 | 102,242 | ||
Standard Chartered PLC | 4,899 | 133,502 | ||
StellarOne Corp. | 1,000 | 13,370 | ||
Sumitomo Mitsui Financial Group, Inc. | 11,335 | 372,877 | ||
Sumitomo Trust & Banking Co., Ltd. | 1,000 | 5,845 | ||
Susquehanna Bancshares, Inc. | 6,600 | 64,746 | ||
Svenska Handelsbanken AB "A" | 664 | 19,447 | ||
Swedbank AB "A"* | 940 | 9,636 | ||
The Bancorp., Inc.* | 4,100 | 36,490 | ||
The Bank of Yokohama Ltd. | 4,000 | 19,537 | ||
The Shizuoka Bank Ltd. | 1,000 | 8,720 | ||
Toronto-Dominion Bank | 400 | 29,813 | ||
UBI Banca — Unione di Banche Italiane ScpA | 562 | 7,578 | ||
UMB Financial Corp. | 100 | 4,060 | ||
UniCredit SpA* | 15,161 | 44,749 | ||
United Overseas Bank Ltd. | 2,000 | 27,431 | ||
Wells Fargo & Co. | 121,300 | 3,774,856 | ||
WesBanco, Inc. | 1,100 | 17,886 | ||
Westpac Banking Corp. | 1,148 | 29,271 | ||
Wing Hang Bank Ltd. | 25,000 | 227,901 | ||
Yadkin Valley Financial Corp. | 3,600 | 15,480 | ||
| 13,336,578 | |||
Consumer Finance 0.9% | ||||
Advance America Cash Advance Centers, Inc. | 31,500 | 183,330 | ||
American Express Co. | 29,000 | 1,196,540 | ||
AmeriCredit Corp.* | 14,800 | 351,648 | ||
Capital One Financial Corp. | 48,700 | 2,016,667 | ||
Discover Financial Services | 65,100 | 969,990 | ||
Kiatnakin Bank PCL (Foreign Registered) | 144,900 | 123,233 | ||
ORIX Corp. | 110 | 9,734 | ||
| 4,851,142 | |||
Diversified Financial Services 1.6% | ||||
Bank of America Corp. | 234,700 | 4,189,395 | ||
Citigroup, Inc.* | 90,800 | 367,740 | ||
Compagnie Nationale a Portefeuille | 311 | 16,293 | ||
Deutsche Boerse AG | 224 | 16,609 | ||
Financiere Marc de Lacharriere SA | 2,448 | 121,904 | ||
Groupe Bruxelles Lambert SA | 234 | 20,667 | ||
Hellenic Exchanges SA | 8,900 | 78,451 | ||
Hong Kong Exchanges & Clearing Ltd. | 1,000 | 16,660 | ||
ING Groep NV (CVA)* | 54,517 | 543,579 | ||
IntercontinentalExchange, Inc.* | 3,450 | 387,021 | ||
Investor AB "B" | 491 | 9,426 | ||
JPMorgan Chase & Co. | 67,350 | 3,013,912 | ||
MarketAxess Holdings, Inc. | 2,200 | 34,606 | ||
Pohjola Bank PLC "A" | 1,664 | 18,720 | ||
Singapore Exchange Ltd. | 2,000 | 10,921 | ||
| 8,845,904 | |||
Insurance 1.7% | ||||
Aegon NV* | 3,925 | 26,845 | ||
Allianz SE (Registered) | 3,625 | 454,707 | ||
Allied World Assurance Co. Holdings Ltd. | 6,300 | 282,555 | ||
Allstate Corp. | 44,200 | 1,428,102 | ||
American Equity Investment Life Holding Co. | 9,500 | 101,175 | ||
AMP Ltd. | 1,450 | 8,319 | ||
Aon Corp. | 6,700 | 286,157 | ||
Arch Capital Group Ltd.* | 2,200 | 167,750 | ||
Assicurazioni Generali SpA | 804 | 19,284 | ||
Assurant, Inc. | 11,100 | 381,618 | ||
AXA SA | 1,104 | 24,530 | ||
Axis Capital Holdings Ltd. | 21,100 | 659,586 | ||
Chubb Corp. | 15,600 | 808,860 | ||
CNA Financial Corp.* | 4,700 | 125,584 | ||
EMC Insurance Group, Inc. | 300 | 6,756 | ||
Endurance Specialty Holdings Ltd. | 8,500 | 315,775 | ||
Everest Re Group Ltd. | 1,400 | 113,302 | ||
Flagstone Reinsurance Holdings Ltd. | 1,700 | 19,482 | ||
Fortis* | 9,899 | 35,207 | ||
Harleysville Group, Inc. | 200 | 6,752 | ||
Hartford Financial Services Group, Inc. | 19,700 | 559,874 | ||
Horace Mann Educators Corp. | 5,000 | 75,300 | ||
Infinity Property & Casualty Corp. | 900 | 40,896 | ||
Kansas City Life Insurance Co. | 1,700 | 53,686 | ||
Loews Corp. | 14,200 | 529,376 | ||
Manulife Financial Corp. | 300 | 5,919 | ||
Max Capital Group Ltd. | 6,300 | 144,837 | ||
Mitsui Sumitomo Insurance Group Holdings, Inc. | 300 | 8,300 | ||
Montpelier Re Holdings Ltd. | 6,400 | 107,584 | ||
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 158 | 25,646 | ||
National Financial Partners Corp.* | 10,700 | 150,870 | ||
NIPPONKOA Insurance Co., Ltd. | 1,000 | 6,279 | ||
NYMAGIC, Inc. | 800 | 16,984 | ||
Phoenix Companies, Inc.* | 19,800 | 47,916 | ||
Power Corp. of Canada | 300 | 9,056 | ||
Presidential Life Corp. | 4,000 | 39,880 | ||
Primerica, Inc.* | 700 | 10,500 | ||
ProAssurance Corp.* | 4,600 | 269,284 | ||
Prudential PLC | 874 | 7,253 | ||
QBE Insurance Group Ltd. | 612 | 11,678 | ||
Safety Insurance Group, Inc. | 1,055 | 39,742 | ||
Sampo Oyj "A" | 3,495 | 92,799 | ||
Sompo Japan Insurance, Inc. | 1,000 | 7,017 | ||
Swiss Reinsurance Co., Ltd. (Registered)* | 212 | 10,426 | ||
T&D Holdings, Inc. | 700 | 16,513 | ||
The Travelers Companies, Inc. | 22,300 | 1,202,862 | ||
Tokio Marine Holdings, Inc. | 500 | 14,085 | ||
Topdanmark AS* | 150 | 19,538 | ||
Trygvesta AS | 177 | 11,682 | ||
Validus Holdings Ltd. | 6,200 | 170,686 | ||
Vienna Insurance Group | 402 | 21,217 | ||
XL Capital Ltd. "A" | 28,100 | 531,090 | ||
Zurich Financial Services AG | 76 | 19,503 | ||
| 9,550,624 | |||
Real Estate Investment Trusts 0.7% | ||||
American Campus Communities, Inc. (REIT) | 2,100 | 58,086 | ||
Annaly Capital Management, Inc. (REIT) | 71,500 | 1,228,370 | ||
BioMed Realty Trust, Inc. (REIT) | 8,000 | 132,320 | ||
Cogdell Spencer, Inc. (REIT) | 6,200 | 45,880 | ||
Colonial Properties Trust (REIT) | 3,300 | 42,504 | ||
Colony Financial, Inc. (REIT) | 1,800 | 36,000 | ||
Corio NV (REIT) | 101 | 6,749 | ||
Cousins Properties, Inc. (REIT) | 67 | 557 | ||
Developers Diversified Realty Corp. (REIT) | 1,900 | 23,123 | ||
Dynex Capital, Inc. (REIT) | 2,500 | 22,500 | ||
EastGroup Properties, Inc. (REIT) | 1,500 | 56,610 | ||
Entertainment Properties Trust (REIT) | 2,600 | 106,938 | ||
Equity Residential (REIT) | 11,300 | 442,395 | ||
First Industrial Realty Trust, Inc. (REIT)* | 11,925 | 92,538 | ||
Glimcher Realty Trust (REIT) | 3,800 | 19,266 | ||
HCP, Inc. (REIT) | 9,300 | 306,900 | ||
Hospitality Properties Trust (REIT) | 6,300 | 150,885 | ||
Host Hotels & Resorts, Inc. (REIT) | 50 | 732 | ||
Investors Real Estate Trust (REIT) | 2,300 | 20,746 | ||
iStar Financial, Inc. (REIT)* | 3,300 | 15,147 | ||
Kilroy Realty Corp. (REIT) | 3,600 | 111,024 | ||
LaSalle Hotel Properties (REIT) | 500 | 11,650 | ||
Lexington Realty Trust (REIT) | 14,152 | 92,130 | ||
Mid-America Apartment Communities, Inc. (REIT) | 1,600 | 82,864 | ||
National Retail Properties, Inc. (REIT) | 11,500 | 262,545 | ||
Nippon Building Fund, Inc. (REIT) | 2 | 17,202 | ||
Parkway Properties, Inc. (REIT) | 2,500 | 46,950 | ||
Pennsylvania Real Estate Investment Trust (REIT) | 9,100 | 113,477 | ||
Potlatch Corp. (REIT) | 7,100 | 248,784 | ||
PS Business Parks, Inc. (REIT) | 1,900 | 101,460 | ||
Redwood Trust, Inc. (REIT) | 5,800 | 89,436 | ||
Unibail-Rodamco SE (REIT) | 39 | 7,896 | ||
Washington Real Estate Investment Trust (REIT) | 4,000 | 122,200 | ||
Westfield Group (REIT) (Units) | 1,301 | 14,376 | ||
| 4,130,240 | |||
Real Estate Management & Development 0.1% | ||||
Brookfield Asset Management, Inc. "A" | 400 | 10,181 | ||
CapitaLand Ltd. | 5,000 | 14,159 | ||
Cheung Kong (Holdings) Ltd. | 1,000 | 12,862 | ||
City Developments Ltd. | 1,000 | 7,565 | ||
Daito Trust Construction Co., Ltd. | 200 | 9,650 | ||
Daiwa House Industry Co., Ltd. | 1,000 | 11,288 | ||
Hang Lung Properties Ltd. | 3,000 | 12,036 | ||
Henderson Land Development Co., Ltd. | 1,000 | 7,048 | ||
Immoeast AG* | 14,463 | 79,378 | ||
K Wah International Holdings Ltd. | 312,000 | 116,631 | ||
Midland Holdings Ltd. | 344,000 | 375,609 | ||
Mitsubishi Estate Co., Ltd. | 1,000 | 16,371 | ||
Mitsui Fudosan Co., Ltd. | 1,000 | 16,984 | ||
New World Development Co., Ltd. | 7,000 | 13,654 | ||
Sumitomo Realty & Development Co., Ltd. | 6,000 | 114,239 | ||
Sun Hung Kai Properties Ltd. | 1,000 | 15,003 | ||
Swire Pacific Ltd. "A" | 1,000 | 12,056 | ||
Wharf Holdings Ltd. | 2,000 | 11,338 | ||
| 856,052 | |||
Thrifts & Mortgage Finance 0.1% | ||||
Brookline Bancorp., Inc. | 20,600 | 219,184 | ||
Dime Community Bancshares | 1,200 | 15,156 | ||
First Defiance Financial Corp. | 2,500 | 25,300 | ||
NewAlliance Bancshares, Inc. | 19,400 | 244,828 | ||
Provident Financial Services, Inc. | 15,700 | 186,830 | ||
Provident New York Bancorp. | 3,000 | 28,440 | ||
Westfield Financial, Inc. | 700 | 6,433 | ||
| 726,171 | |||
Health Care 7.3% | ||||
Biotechnology 1.2% | ||||
Actelion Ltd. (Registered)* | 257 | 11,675 | ||
Amgen, Inc.* | 27,250 | 1,628,460 | ||
Celgene Corp.* | 33,100 | 2,050,876 | ||
Cephalon, Inc.* | 8,500 | 576,130 | ||
CSL Ltd. | 2,963 | 98,985 | ||
Exelixis, Inc.* | 11,400 | 69,198 | ||
Gilead Sciences, Inc.* | 31,500 | 1,432,620 | ||
Grifols SA | 19,186 | 287,197 | ||
Intercell AG* | 4,982 | 144,545 | ||
Metabolix, Inc.* | 6,900 | 84,042 | ||
Myriad Genetics, Inc.* | 13,350 | 321,067 | ||
| 6,704,795 | |||
Health Care Equipment & Supplies 0.8% | ||||
Align Technology, Inc.* | 12,600 | 243,684 | ||
bioMerieux | 84 | 9,641 | ||
Cochlear Ltd. | 295 | 19,698 | ||
Coloplast AS "B" | 348 | 38,308 | ||
Covidien PLC | 10,700 | 537,996 | ||
Edwards Lifesciences Corp.* | 8,450 | 835,536 | ||
Essilor International SA | 1,025 | 65,391 | ||
ev3, Inc.* | 7,900 | 125,294 | ||
Hill-Rom Holdings, Inc. | 9,300 | 253,053 | ||
Hospira, Inc.* | 11,500 | 651,475 | ||
Nobel Biocare Holding AG (Registered) | 5,554 | 148,389 | ||
NxStage Medical, Inc.* | 14,500 | 166,025 | ||
Olympus Corp. | 1,000 | 32,108 | ||
Smith & Nephew PLC | 2,697 | 26,916 | ||
Somanetics Corp.* | 9,400 | 179,916 | ||
Sonova Holding AG (Registered) | 88 | 10,939 | ||
Synthes, Inc. | 129 | 16,110 | ||
Terumo Corp. | 800 | 42,537 | ||
Thoratec Corp.* | 8,300 | 277,635 | ||
William Demant Holding AS* | 383 | 27,097 | ||
Zimmer Holdings, Inc.* | 11,600 | 686,720 | ||
| 4,394,468 | |||
Health Care Providers & Services 2.6% | ||||
Alfresa Holdings Corp. | 200 | 8,623 | ||
AMERIGROUP Corp.* | 8,300 | 275,892 | ||
AmerisourceBergen Corp. | 31,300 | 905,196 | ||
BioScrip, Inc.* | 21,300 | 169,974 | ||
Cardinal Health, Inc. | 38,300 | 1,379,949 | ||
Catalyst Health Solutions, Inc.* | 1,700 | 70,346 | ||
Centene Corp.* | 4,000 | 96,160 | ||
Community Health Systems, Inc.* | 15,400 | 568,722 | ||
Continucare Corp.* | 7,400 | 27,380 | ||
CorVel Corp.* | 1,300 | 46,475 | ||
Coventry Health Care, Inc.* | 67,000 | 1,656,240 | ||
Diagnosticos da America SA | 21,600 | 189,479 | ||
Emergency Medical Services Corp. "A"* | 4,600 | 260,130 | ||
Express Scripts, Inc.* | 12,800 | 1,302,528 | ||
Fleury SA* | 11,500 | 122,867 | ||
Fresenius Medical Care AG & Co. KGaA | 18,230 | 1,028,705 | ||
Genoptix, Inc.* | 2,400 | 85,176 | ||
Health Management Associates, Inc. "A"* | 2,300 | 19,780 | ||
Healthspring, Inc.* | 7,500 | 132,000 | ||
Humana, Inc.* | 11,200 | 523,824 | ||
Magellan Health Services, Inc.* | 6,000 | 260,880 | ||
McKesson Corp. | 36,900 | 2,425,068 | ||
Medco Health Solutions, Inc.* | 9,600 | 619,776 | ||
Medipal Holdings Corp. | 600 | 7,106 | ||
Omnicare, Inc. | 14,700 | 415,863 | ||
Owens & Minor, Inc. | 4,100 | 190,199 | ||
Providence Service Corp.* | 7,600 | 115,444 | ||
RehabCare Group, Inc.* | 6,600 | 179,982 | ||
Sonic Healthcare Ltd. | 1,970 | 25,915 | ||
Suzuken Co., Ltd. | 300 | 10,554 | ||
Triple-S Management Corp. "B"* | 4,400 | 78,100 | ||
UnitedHealth Group, Inc.* | 36,200 | 1,182,654 | ||
Universal American Financial Corp.* | 14,500 | 223,300 | ||
WellPoint, Inc.* | 7,000 | 450,660 | ||
| 15,054,947 | |||
Health Care Technology 0.1% | ||||
athenahealth, Inc.* | 3,200 | 116,992 | ||
M3, Inc. | 36 | 123,044 | ||
Medidata Solutions, Inc.* | 5,500 | 83,600 | ||
Merge Healthcare, Inc.* | 18,018 | 37,297 | ||
| 360,933 | |||
Life Sciences Tools & Services 0.1% | ||||
Accelrys, Inc.* | 10,600 | 65,296 | ||
Albany Molecular Research, Inc.* | 2,800 | 23,380 | ||
Cambrex Corp.* | 11,700 | 47,385 | ||
ICON PLC (ADR)* | 7,300 | 192,720 | ||
Life Technologies Corp.* | 4,200 | 219,534 | ||
QIAGEN NV* | 10,400 | 239,593 | ||
| 787,908 | |||
Pharmaceuticals 2.5% | ||||
Abbott Laboratories | 30,250 | 1,593,570 | ||
Astellas Pharma, Inc. | 1,900 | 68,812 | ||
AstraZeneca PLC | 4,143 | 184,943 | ||
Bayer AG | 3,058 | 206,893 | ||
Caraco Pharmaceutical Laboratories Ltd.* | 11,000 | 65,890 | ||
Chugai Pharmaceutical Co., Ltd. | 900 | 16,908 | ||
Daiichi Sankyo Co., Ltd. | 3,000 | 56,202 | ||
Dainippon Sumitomo Pharma Co., Ltd. | 1,000 | 9,159 | ||
Eisai Co., Ltd. | 1,200 | 42,754 | ||
Eli Lilly & Co. | 18,200 | 659,204 | ||
Flamel Technologies SA (ADR)* | 21,561 | 184,778 | ||
Forest Laboratories, Inc.* | 21,700 | 680,512 | ||
GlaxoSmithKline PLC | 34,361 | 659,385 | ||
H. Lundbeck AS | 902 | 16,996 | ||
Hi-Tech Pharmacal Co., Inc.* | 8,300 | 183,762 | ||
Impax Laboratories, Inc.* | 14,500 | 259,260 | ||
Johnson & Johnson | 44,300 | 2,888,360 | ||
Kyowa Hakko Kirin Co., Ltd. | 2,000 | 20,628 | ||
Lannett Co., Inc.* | 1,300 | 5,525 | ||
Medicis Pharmaceutical Corp. "A" | 8,900 | 223,924 | ||
Merck & Co., Inc. | 7,109 | 265,521 | ||
Merck KGaA | 117 | 9,477 | ||
Mitsubishi Tanabe Pharma Corp. | 1,000 | 14,107 | ||
Novartis AG (Registered) | 5,012 | 270,879 | ||
Novo Nordisk AS "B" | 6,821 | 529,084 | ||
Ono Pharmaceutical Co., Ltd. | 400 | 17,801 | ||
Par Pharmaceutical Companies, Inc.* | 8,900 | 220,720 | ||
Perrigo Co. | 10,500 | 616,560 | ||
Pfizer, Inc. | 146,000 | 2,503,900 | ||
Questcor Pharmaceuticals, Inc.* | 5,700 | 46,911 | ||
Roche Holding AG (Genusschein) | 1,433 | 232,544 | ||
Sanofi-Aventis | 9,767 | 729,196 | ||
Santarus, Inc.* | 29,200 | 157,096 | ||
Santen Pharmaceutical Co., Ltd. | 400 | 11,991 | ||
Shionogi & Co., Ltd. | 1,000 | 19,006 | ||
Shire PLC | 1,642 | 36,246 | ||
Taisho Pharmaceutical Co., Ltd. | 1,000 | 18,169 | ||
Takeda Pharmaceutical Co., Ltd. | 3,100 | 136,404 | ||
Tsumura & Co. | 400 | 11,603 | ||
VIVUS, Inc.* | 13,400 | 116,848 | ||
| 13,991,528 | |||
Industrials 6.7% | ||||
Aerospace & Defense 1.6% | ||||
American Science & Engineering, Inc. | 2,800 | 209,776 | ||
BAE Systems PLC | 5,006 | 28,260 | ||
BE Aerospace, Inc.* | 7,600 | 231,420 | ||
Bombardier, Inc. "B" | 2,600 | 15,948 | ||
CAE, Inc. | 1,000 | 9,767 | ||
Cubic Corp. | 5,600 | 201,600 | ||
Finmeccanica SpA | 2,265 | 30,186 | ||
General Dynamics Corp. | 5,000 | 386,000 | ||
ITT Corp. | 23,800 | 1,275,918 | ||
Northrop Grumman Corp. | 31,200 | 2,045,784 | ||
Raytheon Co. | 27,600 | 1,576,512 | ||
Rockwell Collins, Inc. | 18,600 | 1,164,174 | ||
Rolls-Royce Group PLC* | 2,741 | 24,785 | ||
Singapore Technologies Engineering Ltd. | 6,000 | 13,662 | ||
TransDigm Group, Inc. | 12,300 | 652,392 | ||
United Technologies Corp. | 14,750 | 1,085,748 | ||
| 8,951,932 | |||
Air Freight & Logistics 0.2% | ||||
Atlas Air Worldwide Holdings, Inc.* | 5,200 | 275,860 | ||
Deutsche Post AG (Registered) | 696 | 12,053 | ||
FedEx Corp. | 5,500 | 513,700 | ||
TNT NV | 1,419 | 40,728 | ||
Toll Holdings Ltd. | 1,591 | 10,813 | ||
Yamato Holdings Co., Ltd. | 800 | 11,210 | ||
| 864,364 | |||
Airlines 0.2% | ||||
Allegiant Travel Co.* | 600 | 34,716 | ||
AMR Corp.* | 22,400 | 204,064 | ||
Cathay Pacific Airways Ltd.* | 8,000 | 16,803 | ||
Hawaiian Holdings, Inc.* | 20,800 | 153,296 | ||
Iberia Lineas Aereas de Espana SA* | 3,742 | 13,058 | ||
Korean Air Lines Co., Ltd.* | 3,900 | 230,108 | ||
Qantas Airways Ltd.* | 4,271 | 11,110 | ||
Ryanair Holdings PLC (ADR)* | 5,200 | 141,284 | ||
Singapore Airlines Ltd. | 1,000 | 10,896 | ||
SkyWest, Inc. | 13,500 | 192,780 | ||
Southwest Airlines Co. | 20,300 | 268,366 | ||
| 1,276,481 | |||
Building Products 0.2% | ||||
Armstrong World Industries, Inc.* | 7,600 | 275,956 | ||
Asahi Glass Co., Ltd. | 1,000 | 11,218 | ||
Assa Abloy AB "B" | 600 | 11,754 | ||
Compagnie de Saint-Gobain | 270 | 12,952 | ||
Daikin Industries Ltd. | 200 | 8,188 | ||
Geberit AG (Registered) | 86 | 15,382 | ||
Owens Corning, Inc.* | 29,400 | 747,936 | ||
Wienerberger AG* | 10,302 | 200,940 | ||
| 1,284,326 | |||
Commercial Services & Supplies 0.8% | ||||
American Reprographics Co.* | 2,300 | 20,631 | ||
Babcock International Group PLC | 26,055 | 238,012 | ||
Brambles Ltd. | 3,281 | 22,130 | ||
Consolidated Graphics, Inc.* | 4,700 | 194,627 | ||
Daiseki Co., Ltd. | 6,600 | 137,481 | ||
G4S PLC | 1,879 | 7,461 | ||
M&F Worldwide Corp.* | 5,300 | 162,180 | ||
R.R. Donnelley & Sons Co. | 81,200 | 1,733,620 | ||
Ritchie Bros. Auctioneers, Inc. | 400 | 8,629 | ||
Rollins, Inc. | 3,600 | 78,048 | ||
Schawk, Inc. | 5,100 | 92,463 | ||
Secom Co., Ltd. | 300 | 13,084 | ||
Serco Group PLC | 24,284 | 221,225 | ||
Standard Register Co. | 8,800 | 47,080 | ||
Stericycle, Inc.* | 13,750 | 749,375 | ||
The Brink's Co. | 11,700 | 330,291 | ||
Toppan Printing Co., Ltd. | 1,000 | 9,032 | ||
United Stationers, Inc.* | 3,400 | 200,090 | ||
| 4,265,459 | |||
Construction & Engineering 0.3% | ||||
ACS, Actividades de Construccion y Servicios SA | 722 | 33,272 | ||
Aecom Technology Corp.* | 7,400 | 209,938 | ||
Bouygues SA | 2,512 | 126,432 | ||
Chicago Bridge & Iron Co. NV (NY Registered Shares)* | 7,600 | 176,776 | ||
Ferrovial SA | 2,021 | 19,682 | ||
Kinden Corp. | 1,000 | 8,762 | ||
Koninklijke Boskalis Westminster NV | 256 | 9,798 | ||
Leighton Holdings Ltd. | 482 | 17,219 | ||
Sacyr Vallehermoso SA* | 691 | 6,105 | ||
Shaw Group, Inc.* | 16,400 | 564,488 | ||
SNC-Lavalin Group, Inc. | 300 | 14,654 | ||
URS Corp.* | 11,200 | 555,632 | ||
Vinci SA | 2,803 | 165,349 | ||
| 1,908,107 | |||
Electrical Equipment 0.6% | ||||
A.O. Smith Corp. | 5,000 | 262,850 | ||
ABB Ltd. (Registered)* | 9,155 | 199,849 | ||
Alstom SA | 110 | 6,868 | ||
AMETEK, Inc. | 26,750 | 1,109,055 | ||
EnerSys* | 9,400 | 231,804 | ||
Gamesa Corp. Tecnologica SA | 791 | 10,858 | ||
Hubbell, Inc. "B" | 1,300 | 65,559 | ||
Mitsubishi Electric Corp. | 2,000 | 18,385 | ||
Prysmian SpA | 16,529 | 324,359 | ||
Regal-Beloit Corp. | 4,500 | 267,345 | ||
Renewable Energy Corp. ASA* | 3,200 | 14,964 | ||
Roper Industries, Inc. | 15,900 | 919,656 | ||
Schneider Electric SA | 127 | 14,874 | ||
Sumitomo Electric Industries Ltd. | 600 | 7,359 | ||
Vestas Wind Systems AS* | 809 | 44,201 | ||
| 3,497,986 | |||
Industrial Conglomerates 0.8% | ||||
3M Co. | 7,600 | 635,132 | ||
Carlisle Companies, Inc. | 14,800 | 563,880 | ||
CSR Ltd. | 6,907 | 10,426 | ||
Fraser & Neave Ltd. | 4,000 | 13,665 | ||
General Electric Co. | 145,100 | 2,640,820 | ||
Hankyu Hanshin Holdings, Inc. | 3,000 | 13,897 | ||
Hutchison Whampoa Ltd. | 9,000 | 65,719 | ||
Keppel Corp., Ltd. | 4,000 | 26,040 | ||
Koninklijke (Royal) Philips Electronics NV | 2,982 | 95,737 | ||
NWS Holdings Ltd. | 5,000 | 9,953 | ||
Orkla ASA | 8,700 | 76,910 | ||
SembCorp Industries Ltd. | 4,000 | 11,785 | ||
Siemens AG (Registered) | 3,046 | 305,170 | ||
Smiths Group PLC | 609 | 10,508 | ||
Tredegar Corp. | 12,800 | 218,624 | ||
| 4,698,266 | |||
Machinery 1.2% | ||||
AB SKF "B" | 800 | 14,231 | ||
Alfa Laval AB | 700 | 10,313 | ||
Atlas Copco AB "B" | 800 | 11,225 | ||
Austal Ltd. | 64,564 | 150,567 | ||
Bucyrus International, Inc. | 3,700 | 244,163 | ||
Eaton Corp. | 2,300 | 174,271 | ||
FANUC Ltd. | 3,551 | 376,986 | ||
Gardner Denver, Inc. | 5,400 | 237,816 | ||
Graham Corp. | 4,900 | 88,151 | ||
Illinois Tool Works, Inc. | 11,200 | 530,432 | ||
Joy Global, Inc. | 5,200 | 294,320 | ||
Komatsu Ltd. | 27,899 | 585,265 | ||
Kone Oyj "B" | 1,452 | 60,049 | ||
Kubota Corp. | 1,000 | 9,117 | ||
MAN SE | 87 | 7,285 | ||
Metso Oyj | 1,192 | 38,418 | ||
Mitsubishi Heavy Industries Ltd. | 2,000 | 8,241 | ||
Nordson Corp. | 3,900 | 264,888 | ||
Oshkosh Corp.* | 25,500 | 1,028,670 | ||
Parker Hannifin Corp. | 18,950 | 1,226,823 | ||
Rational AG | 1,000 | 175,291 | ||
Sandvik AB | 1,600 | 20,022 | ||
Scania AB "B" | 341 | 5,399 | ||
Schindler Holding AG | 121 | 10,664 | ||
SembCorp Marine Ltd. | 4,000 | 11,961 | ||
Tennant Co. | 2,300 | 62,997 | ||
Timken Co. | 24,100 | 723,241 | ||
TriMas Corp.* | 1,600 | 10,384 | ||
Vallourec SA | 49 | 9,894 | ||
Volvo AB "B" | 1,530 | 15,360 | ||
Wartsila Corp. | 766 | 38,836 | ||
Watts Water Technologies, Inc. "A" | 4,100 | 127,346 | ||
Zardoya Otis SA | 445 | 7,715 | ||
| 6,580,341 | |||
Marine 0.1% | ||||
A P Moller-Maersk AS "A" | 2 | 14,527 | ||
A P Moller-Maersk AS "B" | 35 | 266,311 | ||
International Shipholding Corp. | 3,000 | 88,170 | ||
Kuehne & Nagel International AG (Registered) | 117 | 11,822 | ||
Mitsui OSK Lines Ltd. | 1,000 | 7,146 | ||
Orient Overseas International Ltd. | 2,000 | 14,787 | ||
| 402,763 | |||
Professional Services 0.1% | ||||
Diamond Management & Technology Consultants, Inc. | 2,300 | 18,055 | ||
Experian PLC | 1,147 | 11,276 | ||
FTI Consulting, Inc.* | 6,000 | 235,920 | ||
Michael Page International PLC | 40,903 | 248,433 | ||
Randstad Holding NV* | 295 | 14,037 | ||
SFN Group, Inc.* | 26,400 | 211,464 | ||
SGS SA (Registered) | 10 | 13,798 | ||
The Advisory Board Co.* | 300 | 9,450 | ||
VSE Corp. | 300 | 12,348 | ||
| 774,781 | |||
Road & Rail 0.2% | ||||
Asciano Group* | 6,455 | 11,201 | ||
Canadian National Railway Co. | 1,100 | 66,759 | ||
Canadian Pacific Railway Ltd. | 300 | 16,908 | ||
Central Japan Railway Co. | 1 | 7,617 | ||
ComfortDelGro Corp., Ltd. | 11,000 | 12,253 | ||
DSV AS | 1,013 | 18,122 | ||
East Japan Railway Co. | 200 | 13,902 | ||
Kansas City Southern* | 3,000 | 108,510 | ||
MTR Corp., Ltd. | 6,500 | 24,471 | ||
Norfolk Southern Corp. | 15,000 | 838,350 | ||
Northgate PLC* | 26,754 | 75,993 | ||
Werner Enterprises, Inc. | 4,100 | 94,997 | ||
West Japan Railway Co. | 2 | 6,876 | ||
| 1,295,959 | |||
Trading Companies & Distributors 0.3% | ||||
Applied Industrial Technologies, Inc. | 5,200 | 129,220 | ||
Bunzl PLC | 1,151 | 12,581 | ||
Itochu Corp. | 1,000 | 8,766 | ||
Marubeni Corp. | 1,000 | 6,219 | ||
Mitsubishi Corp. | 17,749 | 465,462 | ||
Mitsui & Co., Ltd. | 26,680 | 447,958 | ||
Noble Group Ltd. | 4,000 | 8,724 | ||
PT AKR Corporindo Tbk | 1,082,000 | 110,417 | ||
Sumitomo Corp. | 800 | 9,203 | ||
WESCO International, Inc.* | 6,700 | 232,557 | ||
Wolseley PLC* | 505 | 12,213 | ||
| 1,443,320 | |||
Transportation Infrastructure 0.1% | ||||
Abertis Infraestructuras SA | 1,019 | 19,576 | ||
Atlantia SpA | 9,167 | 214,165 | ||
Intoll Group (Units) | 10,400 | 10,671 | ||
Koninklijke Vopak NV | 2,519 | 198,107 | ||
Transurban Group (Units) | 2,620 | 12,135 | ||
| 454,654 | |||
Information Technology 9.8% | ||||
Communications Equipment 1.3% | ||||
Acme Packet, Inc.* | 1,800 | 34,704 | ||
Alcatel-Lucent* | 8,019 | 25,276 | ||
Cisco Systems, Inc.* | 129,850 | 3,379,995 | ||
Harris Corp. | 8,600 | 408,414 | ||
Loral Space & Communications, Inc.* | 4,400 | 154,528 | ||
NETGEAR, Inc.* | 8,900 | 232,290 | ||
Nokia Oyj | 5,601 | 87,103 | ||
Oplink Communications, Inc.* | 9,400 | 174,276 | ||
Plantronics, Inc. | 7,300 | 228,344 | ||
QUALCOMM, Inc. | 43,100 | 1,809,769 | ||
Research In Motion Ltd.* | 1,700 | 125,954 | ||
Telefonaktiebolaget LM Ericsson "B" | 30,774 | 322,149 | ||
Tellabs, Inc. | 16,700 | 126,419 | ||
| 7,109,221 | |||
Computers & Peripherals 2.2% | ||||
Apple, Inc.* | 21,450 | 5,039,248 | ||
Compal Electronics, Inc. | 139,745 | 182,715 | ||
Dell, Inc.* | 7,200 | 108,072 | ||
Diebold, Inc. | 4,900 | 155,624 | ||
EMC Corp.* | 56,650 | 1,021,966 | ||
Fujitsu Ltd. | 2,000 | 13,041 | ||
Hewlett-Packard Co. | 31,200 | 1,658,280 | ||
International Business Machines Corp. | 22,350 | 2,866,387 | ||
Lexmark International, Inc. "A"* | 4,400 | 158,752 | ||
NEC Corp. | 5,000 | 15,035 | ||
SanDisk Corp.* | 5,100 | 176,613 | ||
Seagate Technology* | 34,100 | 622,666 | ||
Toshiba Corp.* | 5,000 | 25,847 | ||
Western Digital Corp.* | 16,100 | 627,739 | ||
| 12,671,985 | |||
Electronic Equipment, Instruments & Components 1.6% | ||||
Agilysys, Inc. | 9,900 | 110,583 | ||
Arrow Electronics, Inc.* | 52,600 | 1,584,838 | ||
Avnet, Inc.* | 42,600 | 1,278,000 | ||
Benchmark Electronics, Inc.* | 11,700 | 242,658 | ||
Coherent, Inc.* | 6,800 | 217,328 | ||
CTS Corp. | 4,400 | 41,448 | ||
Fujifilm Holdings Corp. | 600 | 20,677 | ||
Hitachi Ltd.* | 3,000 | 11,183 | ||
Hoya Corp. | 300 | 8,217 | ||
IBIDEN Co., Ltd. | 200 | 6,892 | ||
Ingram Micro, Inc. "A"* | 40,300 | 707,265 | ||
Insight Enterprises, Inc.* | 2,000 | 28,720 | ||
Inspur International Ltd. | 920,000 | 120,561 | ||
Itron, Inc.* | 4,100 | 297,537 | ||
Jabil Circuit, Inc. | 91,000 | 1,473,290 | ||
Kingboard Chemical Holdings Ltd. | 58,500 | 265,905 | ||
Kyocera Corp. | 200 | 19,524 | ||
Mercury Computer Systems, Inc.* | 2,300 | 31,556 | ||
Methode Electronics, Inc. | 10,700 | 105,930 | ||
Murata Manufacturing Co., Ltd. | 200 | 11,364 | ||
Nan Ya Printed Circuit Board Corp. | 25,000 | 99,072 | ||
Nidec Corp. | 3,000 | 321,731 | ||
Plexus Corp.* | 6,700 | 241,401 | ||
Rotork PLC | 5,880 | 125,258 | ||
ScanSource, Inc.* | 6,600 | 189,948 | ||
Smart Modular Technologies (WWH), Inc.* | 31,600 | 243,636 | ||
SYNNEX Corp.* | 2,100 | 62,076 | ||
TDK Corp. | 100 | 6,658 | ||
Tech Data Corp.* | 7,800 | 326,820 | ||
Venture Corp., Ltd. | 31,000 | 193,270 | ||
Vishay Intertechnology, Inc.* | 53,400 | 546,282 | ||
| 8,939,628 | |||
Internet Software & Services 0.8% | ||||
AOL, Inc.* | 4,400 | 111,232 | ||
EarthLink, Inc. | 6,500 | 55,510 | ||
Google, Inc. "A"* | 4,700 | 2,664,947 | ||
IAC/InterActiveCorp.* | 44,000 | 1,000,560 | ||
InfoSpace, Inc.* | 1,300 | 14,365 | ||
Internet Initiative Japan, Inc. | 62 | 137,048 | ||
LivePerson, Inc.* | 19,400 | 148,798 | ||
LogMeIn, Inc.* | 600 | 12,414 | ||
Meetic* | 3,198 | 98,093 | ||
ModusLink Global Solutions, Inc.* | 13,200 | 111,276 | ||
NIC, Inc. | 15,300 | 120,411 | ||
United Internet AG (Registered)* | 12,400 | 187,967 | ||
Yahoo Japan Corp. | 29 | 10,565 | ||
| 4,673,186 | |||
IT Services 0.7% | ||||
Accenture PLC "A" | 10,200 | 427,890 | ||
Acxiom Corp.* | 2,200 | 39,468 | ||
Atos Origin SA* | 266 | 13,341 | ||
Cap Gemini SA | 4,143 | 204,270 | ||
CGI Group, Inc. "A"* | 900 | 13,469 | ||
CIBER, Inc.* | 5,000 | 18,700 | ||
Cognizant Technology Solutions Corp. "A"* | 3,800 | 193,724 | ||
Computer Sciences Corp.* | 15,300 | 833,697 | ||
Convergys Corp.* | 5,900 | 72,334 | ||
DST Systems, Inc. | 3,400 | 140,930 | ||
Global Payments, Inc. | 13,100 | 596,705 | ||
iGATE Corp. | 15,100 | 146,923 | ||
Indra Sistemas SA | 901 | 18,453 | ||
MAXIMUS, Inc. | 3,900 | 237,627 | ||
NTT Data Corp. | 4 | 13,333 | ||
SAIC, Inc.* | 39,300 | 695,610 | ||
Telvent GIT SA | 6,300 | 181,188 | ||
VeriFone Holdings, Inc.* | 12,300 | 248,583 | ||
| 4,096,245 | |||
Office Electronics 0.2% | ||||
Canon, Inc. | 10,684 | 493,911 | ||
Konica Minolta Holdings, Inc. | 500 | 5,838 | ||
Neopost SA | 135 | 10,794 | ||
Ricoh Co., Ltd. | 1,000 | 15,550 | ||
Xerox Corp. | 60,600 | 590,850 | ||
| 1,116,943 | |||
Semiconductors & Semiconductor Equipment 1.2% | ||||
ARM Holdings PLC | 75,729 | 271,925 | ||
ASML Holding NV | 2,674 | 95,196 | ||
Atheros Communications* | 7,400 | 286,454 | ||
Broadcom Corp. "A" | 42,500 | 1,410,150 | ||
Cirrus Logic, Inc.* | 11,200 | 93,968 | ||
Diodes, Inc.* | 6,800 | 152,320 | ||
Infineon Technologies AG* | 2,624 | 18,229 | ||
Intel Corp. | 103,300 | 2,299,458 | ||
Lam Research Corp.* | 2,900 | 108,228 | ||
Micron Technology, Inc.* | 46,800 | 486,252 | ||
RF Micro Devices, Inc.* | 53,000 | 263,940 | ||
ROHM Co., Ltd. | 100 | 7,469 | ||
Skyworks Solutions, Inc.* | 1,400 | 21,840 | ||
STMicroelectronics NV | 1,762 | 17,502 | ||
Texas Instruments, Inc. | 26,300 | 643,561 | ||
Tokyo Electron Ltd. | 200 | 13,196 | ||
Volterra Semiconductor Corp.* | 9,600 | 240,960 | ||
| 6,430,648 | |||
Software 1.8% | ||||
Autonomy Corp. PLC* | 2,677 | 74,112 | ||
Bottomline Technologies, Inc.* | 2,500 | 42,075 | ||
Check Point Software Technologies Ltd.* | 13,200 | 462,792 | ||
Concur Technologies, Inc.* | 13,300 | 545,433 | ||
Dassault Systemes SA | 246 | 14,565 | ||
Interactive Intelligence, Inc.* | 1,800 | 33,642 | ||
Jack Henry & Associates, Inc. | 4,600 | 110,676 | ||
Manhattan Associates, Inc.* | 7,400 | 188,552 | ||
Microsoft Corp. | 151,050 | 4,421,234 | ||
MicroStrategy, Inc. "A"* | 2,300 | 195,661 | ||
Nintendo Co., Ltd. | 1,440 | 480,857 | ||
Norkom Group PLC* | 38,322 | 80,955 | ||
OPNET Technologies, Inc. | 2,100 | 33,852 | ||
Oracle Corp. | 74,900 | 1,924,181 | ||
Quest Software, Inc.* | 9,600 | 170,784 | ||
Renaissance Learning, Inc. | 2,600 | 42,198 | ||
Rovi Corp.* | 3,500 | 129,955 | ||
SAP AG | 1,562 | 75,678 | ||
Solera Holdings, Inc. | 7,900 | 305,335 | ||
Symantec Corp.* | 29,800 | 504,216 | ||
The Sage Group PLC | 15,582 | 56,576 | ||
TiVo, Inc.* | 10,400 | 178,048 | ||
Trend Micro, Inc. | 200 | 6,976 | ||
VanceInfo Technologies, Inc. (ADR)* | 9,700 | 216,213 | ||
| 10,294,566 | |||
Materials 3.1% | ||||
Chemicals 1.5% | ||||
A. Schulman, Inc. | 9,100 | 222,677 | ||
Agrium, Inc. | 100 | 7,071 | ||
Air Liquide SA | 413 | 49,516 | ||
Akzo Nobel NV | 862 | 49,185 | ||
Asahi Kasei Corp. | 2,000 | 10,751 | ||
Ashland, Inc. | 16,700 | 881,259 | ||
BASF SE | 7,216 | 447,762 | ||
Cabot Corp. | 8,500 | 258,400 | ||
Celanese Corp. "A" | 11,950 | 380,608 | ||
Cytec Industries, Inc. | 6,600 | 308,484 | ||
E.I. du Pont de Nemours & Co. | 17,900 | 666,596 | ||
Givaudan SA (Registered) | 20 | 17,541 | ||
Huntsman Corp. | 74,600 | 898,930 | ||
Innophos Holdings, Inc. | 2,100 | 58,590 | ||
JSR Corp. | 300 | 6,270 | ||
K+S AG | 98 | 5,951 | ||
Koninklijke DSM NV | 545 | 24,268 | ||
Kuraray Co., Ltd. | 500 | 6,702 | ||
Linde AG | 124 | 14,771 | ||
Lubrizol Corp. | 6,600 | 605,352 | ||
Mitsubishi Chemical Holdings Corp. | 1,500 | 7,672 | ||
Mitsubishi Gas Chemical Co., Inc. | 1,000 | 6,025 | ||
Mitsubishi Rayon Co., Ltd.* | 2,000 | 8,450 | ||
Monsanto Co. | 12,600 | 899,892 | ||
Nalco Holding Co. | 8,100 | 197,073 | ||
Nitto Denko Corp. | 200 | 7,730 | ||
Omnova Solutions, Inc.* | 21,100 | 165,635 | ||
Orica Ltd. | 303 | 7,434 | ||
PolyOne Corp.* | 27,000 | 276,480 | ||
Potash Corp. of Saskatchewan, Inc. | 200 | 23,913 | ||
Shin-Etsu Chemical Co., Ltd. | 7,220 | 419,563 | ||
Showa Denko KK | 7,000 | 15,807 | ||
Solutia, Inc.* | 15,200 | 244,872 | ||
Solvay SA | 627 | 64,397 | ||
Stepan Co. | 2,900 | 162,081 | ||
Sumitomo Chemical Co., Ltd. | 2,000 | 9,781 | ||
Syngenta AG (Registered) | 240 | 66,709 | ||
Teijin Ltd. | 2,000 | 6,720 | ||
The Mosaic Co. | 14,050 | 853,819 | ||
Toray Industries, Inc. | 2,000 | 11,686 | ||
Ube Industries Ltd. | 2,000 | 5,129 | ||
Umicore | 1,598 | 55,728 | ||
W.R. Grace & Co.* | 1,000 | 27,760 | ||
Westlake Chemical Corp. | 1,500 | 38,685 | ||
Yara International ASA | 7,363 | 319,492 | ||
Zep, Inc. | 2,900 | 63,452 | ||
| 8,886,669 | |||
Construction Materials 0.1% | ||||
CRH PLC (b) | 4,559 | 113,965 | ||
CRH PLC (b) | 10,184 | 254,098 | ||
HeidelbergCement AG | 153 | 8,539 | ||
Holcim Ltd. (Registered) | 596 | 44,356 | ||
Lafarge SA | 359 | 25,218 | ||
Martin Marietta Materials, Inc. | 1,300 | 108,615 | ||
| 554,791 | |||
Containers & Packaging 0.1% | ||||
AEP Industries, Inc.* | 3,000 | 78,060 | ||
FP Corp. | 2,100 | 96,050 | ||
Graphic Packaging Holding Co.* | 2,700 | 9,747 | ||
Owens-Illinois, Inc.* | 7,000 | 248,780 | ||
Temple-Inland, Inc. | 7,800 | 159,354 | ||
Toyo Seikan Kaisha Ltd. | 500 | 8,850 | ||
| 600,841 | |||
Metals & Mining 0.9% | ||||
Agnico-Eagle Mines Ltd. | 100 | 5,587 | ||
Anglo American PLC* | 991 | 43,290 | ||
ArcelorMittal | 9,490 | 417,081 | ||
Barrick Gold Corp. | 700 | 26,859 | ||
BHP Billiton Ltd. | 15,927 | 639,028 | ||
BHP Billiton PLC | 1,351 | 46,289 | ||
Cliffs Natural Resources, Inc. | 3,200 | 227,040 | ||
First Quantum Minerals Ltd. | 100 | 8,228 | ||
Freeport-McMoRan Copper & Gold, Inc. | 13,700 | 1,144,498 | ||
Goldcorp, Inc. | 500 | 18,683 | ||
JFE Holdings, Inc. | 800 | 32,080 | ||
Kinross Gold Corp. | 500 | 8,551 | ||
Kobe Steel Ltd. | 4,000 | 8,562 | ||
Mitsubishi Materials Corp.* | 2,000 | 5,758 | ||
Newcrest Mining Ltd. | 392 | 11,811 | ||
Nippon Steel Corp. | 9,000 | 35,348 | ||
Norsk Hydro ASA* | 9,900 | 75,434 | ||
North American Palladium Ltd.* | 24,700 | 100,776 | ||
Northam Platinum Ltd. | 16,923 | 111,445 | ||
Outokumpu Oyj | 1,252 | 27,522 | ||
Randgold Resources Ltd. (ADR) | 1,700 | 130,611 | ||
Rautaruukki Oyj | 915 | 19,797 | ||
Reliance Steel & Aluminum Co. | 8,700 | 428,301 | ||
Rio Tinto Ltd. | 278 | 19,926 | ||
Rio Tinto PLC | 716 | 42,407 | ||
SSAB AB "A" | 1,952 | 35,132 | ||
SSAB AB "B" | 1,129 | 18,345 | ||
Steel Dynamics, Inc. | 14,400 | 251,568 | ||
Sumitomo Metal Industries Ltd. | 8,000 | 24,230 | ||
Sumitomo Metal Mining Co., Ltd. | 1,000 | 14,780 | ||
Teck Resources Ltd. "B"* | 424 | 18,473 | ||
ThyssenKrupp AG | 312 | 10,731 | ||
Vista Gold Corp.* | 21,700 | 43,617 | ||
voestalpine AG | 5,942 | 240,791 | ||
Worthington Industries, Inc. | 5,000 | 86,450 | ||
Xstrata PLC* | 35,665 | 677,368 | ||
Yamana Gold, Inc. | 400 | 3,958 | ||
| 5,060,355 | |||
Paper & Forest Products 0.5% | ||||
Buckeye Technologies, Inc.* | 10,400 | 136,032 | ||
Clearwater Paper Corp.* | 4,471 | 220,196 | ||
Domtar Corp.* | 2,600 | 167,466 | ||
Holmen AB "B" | 501 | 13,457 | ||
International Paper Co. | 51,900 | 1,277,259 | ||
KapStone Paper & Packaging Corp.* | 6,500 | 77,155 | ||
MeadWestvaco Corp. | 11,600 | 296,380 | ||
Nippon Paper Group, Inc. | 400 | 10,261 | ||
Oji Paper Co., Ltd. | 2,000 | 8,773 | ||
Schweitzer-Mauduit International, Inc. | 6,000 | 285,360 | ||
Stora Enso Oyj "R"* | 5,482 | 41,820 | ||
Svenska Cellulosa AB "B" | 5,743 | 81,031 | ||
UPM-Kymmene Oyj | 4,812 | 63,930 | ||
| 2,679,120 | |||
Telecommunication Services 1.8% | ||||
Diversified Telecommunication Services 1.4% | ||||
AT&T, Inc. | 112,900 | 2,917,336 | ||
Atlantic Tele-Network, Inc. | 400 | 17,972 | ||
BCE, Inc. | 2,200 | 64,658 | ||
Belgacom SA | 5,356 | 209,369 | ||
BT Group PLC | 13,010 | 24,438 | ||
Cable & Wireless Communications PLC | 4,236 | 3,561 | ||
Cable & Wireless Worldwide* | 4,236 | 5,914 | ||
Deutsche Telekom AG (Registered) | 20,403 | 276,646 | ||
France Telecom SA | 22,640 | 542,211 | ||
Frontier Communications Corp. | 76,100 | 566,184 | ||
HickoryTech Corp. | 2,200 | 19,426 | ||
Iliad SA | 92 | 9,479 | ||
Inmarsat PLC | 979 | 11,238 | ||
Koninklijke (Royal) KPN NV | 19,850 | 314,732 | ||
Nippon Telegraph & Telephone Corp. | 3,300 | 138,964 | ||
Qwest Communications International, Inc. | 188,800 | 985,536 | ||
Singapore Telecommunications Ltd. | 54,000 | 122,658 | ||
Swisscom AG (Registered) | 765 | 279,314 | ||
Tele2 AB "B" | 1,092 | 18,244 | ||
Telecom Italia SpA | 126,447 | 182,270 | ||
Telecom Italia SpA (RSP) | 78,418 | 88,519 | ||
Telefonica SA | 10,901 | 257,965 | ||
Telenor ASA* | 10,300 | 139,651 | ||
TeliaSonera AB | 6,988 | 49,633 | ||
Telstra Corp., Ltd. | 44,262 | 121,339 | ||
Telus Corp. | 300 | 11,165 | ||
Telus Corp. (Non-Voting Shares) | 300 | 10,734 | ||
Verizon Communications, Inc. | 19,100 | 592,482 | ||
Windstream Corp. | 22,600 | 246,114 | ||
| 8,227,752 | |||
Wireless Telecommunication Services 0.4% | ||||
American Tower Corp. "A"* | 20,900 | 890,549 | ||
China Mobile Ltd. | 11,661 | 111,977 | ||
KDDI Corp. | 19 | 98,320 | ||
Millicom International Cellular SA (SDR) | 276 | 24,711 | ||
Mobistar SA | 1,126 | 69,244 | ||
NTT DoCoMo, Inc. | 100 | 152,081 | ||
Rogers Communications, Inc. "B" | 1,400 | 47,817 | ||
Softbank Corp. | 5,000 | 123,220 | ||
USA Mobility, Inc.* | 12,500 | 158,375 | ||
Vodafone Group PLC | 150,120 | 347,349 | ||
| 2,023,643 | |||
Utilities 1.9% | ||||
Electric Utilities 0.9% | ||||
Acciona SA | 84 | 9,330 | ||
Allegheny Energy, Inc. | 11,200 | 257,600 | ||
Cheung Kong Infrastructure Holdings Ltd. | 2,000 | 7,696 | ||
Chubu Electric Power Co., Inc. | 2,800 | 70,002 | ||
Chugoku Electric Power Co., Inc. | 1,000 | 19,876 | ||
CLP Holdings Ltd. | 7,500 | 53,546 | ||
E.ON AG | 7,600 | 280,672 | ||
Edison International | 14,900 | 509,133 | ||
EDP — Energias de Portugal SA | 16,203 | 64,344 | ||
Electricite de France | 1,901 | 103,814 | ||
Enel SpA | 14,338 | 80,084 | ||
Exelon Corp. | 31,400 | 1,375,634 | ||
FirstEnergy Corp. | 28,400 | 1,110,156 | ||
Fortis, Inc. | 2,100 | 59,734 | ||
Fortum Oyj | 22,795 | 557,920 | ||
Hokkaido Electric Power Co., Inc. | 900 | 17,271 | ||
Hokuriku Electric Power Co. | 700 | 15,390 | ||
HongKong Electric Holdings Ltd. | 4,500 | 26,663 | ||
Iberdrola SA | 5,357 | 45,366 | ||
IDACORP, Inc. | 7,200 | 249,264 | ||
Kansai Electric Power Co., Inc. | 3,200 | 73,322 | ||
Kyushu Electric Power Co., Inc. | 1,500 | 32,654 | ||
MGE Energy, Inc. | 500 | 17,680 | ||
Red Electrica Corporacion SA | 185 | 9,933 | ||
Scottish & Southern Energy PLC | 1,761 | 29,399 | ||
Shikoku Electric Power Co., Inc. | 700 | 19,836 | ||
SP Ausnet | 62,417 | 51,804 | ||
Terna — Rete Elettrica Nationale SpA | 4,601 | 19,923 | ||
Tohoku Electric Power Co., Inc. | 1,500 | 31,661 | ||
Tokyo Electric Power Co., Inc. | 5,000 | 133,090 | ||
| 5,332,797 | |||
Gas Utilities 0.2% | ||||
Enagas | 468 | 10,285 | ||
Gas Natural SDG SA | 529 | 9,776 | ||
Hong Kong & China Gas Co., Ltd. | 16,900 | 42,129 | ||
National Fuel Gas Co. | 4,300 | 217,365 | ||
Nicor, Inc. | 5,100 | 213,792 | ||
Osaka Gas Co., Ltd. | 7,000 | 25,086 | ||
Piedmont Natural Gas Co., Inc. | 9,600 | 264,768 | ||
Questar Corp. | 1,800 | 77,760 | ||
Snam Rete Gas SpA | 5,100 | 25,832 | ||
Southwest Gas Corp. | 5,500 | 164,560 | ||
Toho Gas Co., Ltd. | 3,000 | 16,330 | ||
Tokyo Gas Co., Ltd. | 9,000 | 39,667 | ||
| 1,107,350 | |||
Independent Power Producers & Energy Traders 0.3% | ||||
Calpine Corp.* | 9,600 | 114,144 | ||
Constellation Energy Group, Inc. | 3,000 | 105,330 | ||
EDP Renovaveis SA* | 2,546 | 19,875 | ||
Electric Power Development Co., Ltd. | 500 | 16,451 | ||
Iberdrola Renovables SA | 2,330 | 9,684 | ||
International Power PLC | 3,510 | 16,962 | ||
Mirant Corp.* | 16,800 | 182,448 | ||
NRG Energy, Inc.* | 51,959 | 1,085,943 | ||
TransAlta Corp. | 2,500 | 55,310 | ||
| 1,606,147 | |||
Multi-Utilities 0.5% | ||||
AGL Energy Ltd. | 20,822 | 286,928 | ||
Ameren Corp. | 7,600 | 198,208 | ||
Canadian Utilities Ltd. "A" | 900 | 43,509 | ||
Centrica PLC | 8,984 | 40,037 | ||
Consolidated Edison, Inc. | 7,400 | 329,596 | ||
DTE Energy Co. | 6,000 | 267,600 | ||
GDF Suez | 1,113 | 43,030 | ||
Integrys Energy Group, Inc. | 10,100 | 478,538 | ||
MDU Resources Group, Inc. | 9,500 | 205,010 | ||
National Grid PLC | 4,356 | 42,430 | ||
NSTAR | 6,300 | 223,146 | ||
PG&E Corp. | 3,400 | 144,228 | ||
Public Service Enterprise Group, Inc. | 12,500 | 369,000 | ||
RWE AG | 338 | 29,960 | ||
Suez Environnement Co. | 371 | 8,527 | ||
United Utilities Group PLC | 1,142 | 9,696 | ||
Veolia Environnement | 508 | 17,662 | ||
| 2,737,105 | |||
Water Utilities 0.0% | ||||
American States Water Co. | 4,000 | 138,800 | ||
Total Common Stocks (Cost $272,620,430) | 319,563,678 | |||
| ||||
Preferred Stocks 0.0% | ||||
Consumer Discretionary 0.0% | ||||
Porsche Automobil Holding SE | 80 | 4,884 | ||
Volkswagen AG | 193 | 17,709 | ||
| 22,593 | |||
Consumer Staples 0.0% | ||||
Henkel AG & Co. KGaA | 2,874 | 154,760 | ||
Total Preferred Stocks (Cost $155,498) | 177,353 | |||
| ||||
Rights 0.0% | ||||
Consumer Discretionary 0.0% | ||||
Volkswagen AG, Expiration Date 4/9/2010* | 193 | 128 | ||
Materials 0.0% | ||||
ARCO Chemical Co., Expiration Date 4/15/2010* | 3,634 | 0 | ||
Total Rights (Cost $0) | 128 | |||
| ||||
Warrants 0.1% | ||||
Financials | ||||
Mediobanca SpA, Expiration Date 3/18/2011* | 451 | 57 | ||
UBS AG, Expiration Date 8/31/2011* | 306,475 | 710,312 | ||
Total Warrants (Cost $613,364) | 710,369 |
| Principal Amount ($) (a) | Value ($) | ||
|
| |||
Corporate Bonds 9.8% | ||||
Consumer Discretionary 0.9% | ||||
AMC Entertainment, Inc., 8.0%, 3/1/2014 |
| 70,000 | 70,437 | |
American Achievement Corp., 144A, 8.25%, 4/1/2012 |
| 20,000 | 19,800 | |
Ameristar Casinos, Inc., 9.25%, 6/1/2014 |
| 30,000 | 31,425 | |
ArvinMeritor, Inc., 10.625%, 3/15/2018 |
| 30,000 | 31,050 | |
Asbury Automotive Group, Inc.: | ||||
| 7.625%, 3/15/2017 |
| 45,000 | 42,862 |
| 8.0%, 3/15/2014 |
| 20,000 | 20,050 |
Ashtead Holdings PLC, 144A, 8.625%, 8/1/2015 |
| 135,000 | 135,000 | |
Avis Budget Car Rental LLC, 144A, 9.625%, 3/15/2018 |
| 25,000 | 26,125 | |
Brunswick Corp., 144A, 11.25%, 11/1/2016 |
| 20,000 | 22,750 | |
CanWest MediaWorks LP, 144A, 9.25%, 8/1/2015** |
| 35,000 | 11,594 | |
Carrols Corp., 9.0%, 1/15/2013 |
| 25,000 | 25,437 | |
Cequel Communications Holdings I LLC, 144A, 8.625%, 11/15/2017 |
| 15,000 | 15,413 | |
Clear Channel Worldwide Holdings, Inc.: | ||||
| Series A, 144A, 9.25%, 12/15/2017 |
| 10,000 | 10,388 |
| Series B, 144A, 9.25%, 12/15/2017 |
| 10,000 | 10,450 |
Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/2022 |
| 95,000 | 126,936 | |
DirecTV Holdings LLC, 7.625%, 5/15/2016 |
| 100,000 | 112,000 | |
DISH DBS Corp.: | ||||
| 6.375%, 10/1/2011 |
| 70,000 | 72,800 |
| 6.625%, 10/1/2014 |
| 65,000 | 65,487 |
| 7.125%, 2/1/2016 |
| 50,000 | 50,937 |
Fontainebleau Las Vegas Holdings LLC, 144A, 11.0%, 6/15/2015** |
| 40,000 | 450 | |
Ford Motor Co., 7.45%, 7/16/2031 |
| 35,000 | 33,075 | |
Goodyear Tire & Rubber Co., 10.5%, 5/15/2016 |
| 20,000 | 21,600 | |
Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015 |
| 40,000 | 39,600 | |
Group 1 Automotive, Inc.: | ||||
| 144A, 3.0%, 3/15/2020 |
| 30,000 | 29,727 |
| 8.25%, 8/15/2013 |
| 20,000 | 20,575 |
Harrah's Operating Co., Inc., 11.25%, 6/1/2017 |
| 30,000 | 32,325 | |
Hertz Corp., 8.875%, 1/1/2014 |
| 80,000 | 82,200 | |
Isle of Capri Casinos, Inc., 7.0%, 3/1/2014 |
| 25,000 | 21,375 | |
Lamar Media Corp., Series C, 6.625%, 8/15/2015 |
| 10,000 | 9,613 | |
Lear Corp.: | ||||
| 7.875%, 3/15/2018 |
| 20,000 | 20,225 |
| 8.125%, 3/15/2020 |
| 20,000 | 20,325 |
Levi Strauss & Co., 8.625%, 4/1/2013 | EUR | 50,000 | 69,221 | |
Libbey Glass, Inc., 144A, 10.0%, 2/15/2015 |
| 15,000 | 15,788 | |
MGM MIRAGE, 144A, 9.0%, 3/15/2020 |
| 85,000 | 87,550 | |
Michaels Stores, Inc., Step-up Coupon, 0% to 11/1/2011, 13.0% to 11/1/2016 |
| 15,000 | 13,275 | |
Neiman Marcus Group, Inc.: | ||||
| 9.0%, 10/15/2015 (PIK) |
| 10,243 | 10,448 |
| 10.375%, 10/15/2015 |
| 40,000 | 41,300 |
News America, Inc., 7.85%, 3/1/2039 |
| 415,000 | 492,516 | |
Norcraft Holdings LP, 9.75%, 9/1/2012 |
| 57,000 | 54,150 | |
Penn National Gaming, Inc., 144A, 8.75%, 8/15/2019 |
| 15,000 | 15,225 | |
Penske Automotive Group, Inc., 7.75%, 12/15/2016 |
| 90,000 | 86,625 | |
Reader's Digest Association, Inc., 9.0%, 2/15/2017** |
| 25,000 | 250 | |
Sabre Holdings Corp., 8.35%, 3/15/2016 |
| 85,000 | 80,750 | |
Seminole Indian Tribe of Florida, 144A, 7.804%, 10/1/2020 |
| 40,000 | 37,282 | |
Simmons Co., 10.0%, 12/15/2014** |
| 125,000 | 2,344 | |
Sirius XM Radio, Inc., 144A, 8.75%, 4/1/2015 |
| 30,000 | 29,887 | |
Sonic Automotive, Inc.: | ||||
| Series B, 8.625%, 8/15/2013 |
| 18,000 | 18,518 |
| 144A, 9.0%, 3/15/2018 |
| 50,000 | 51,250 |
Standard Pacific Corp., 10.75%, 9/15/2016 |
| 25,000 | 26,594 | |
TCI Communications, Inc., 8.75%, 8/1/2015 |
| 543,000 | 659,116 | |
Time Warner Cable, Inc., 6.75%, 7/1/2018 |
| 490,000 | 547,507 | |
Time Warner, Inc.: | ||||
| 7.7%, 5/1/2032 |
| 385,000 | 444,356 |
| 9.125%, 1/15/2013 |
| 535,000 | 625,031 |
Travelport LLC: | ||||
| 4.877%***, 9/1/2014 |
| 35,000 | 34,300 |
| 9.875%, 9/1/2014 |
| 25,000 | 26,125 |
Trump Entertainment Resorts, Inc., 8.5%, 6/1/2015** |
| 10,000 | 50 | |
United Components, Inc., 9.375%, 6/15/2013 |
| 5,000 | 5,025 | |
UPC Holding BV: | ||||
| 144A, 7.75%, 1/15/2014 | EUR | 50,000 | 68,890 |
| 144A, 8.0%, 11/1/2016 | EUR | 100,000 | 134,390 |
Viacom, Inc., 6.75%, 10/5/2037 |
| 170,000 | 177,946 | |
Videotron Ltd., 9.125%, 4/15/2018 |
| 15,000 | 16,669 | |
WMG Acquisition Corp., 144A, 9.5%, 6/15/2016 |
| 30,000 | 32,062 | |
| 5,136,471 | |||
Consumer Staples 0.3% | ||||
Alliance One International, Inc., 144A, |
| 35,000 | 36,575 | |
B&G Foods, Inc., 7.625%, 1/15/2018 |
| 15,000 | 15,281 | |
Central Garden & Pet Co., 8.25%, 3/1/2018 |
| 20,000 | 20,275 | |
Constellation Brands, Inc., 7.25%, 5/15/2017 |
| 100,000 | 102,500 | |
CVS Caremark Corp., 6.302%, 6/1/2037 |
| 1,066,000 | 1,007,370 | |
Delhaize America, Inc., 9.0%, 4/15/2031 |
| 305,000 | 387,993 | |
Dole Food Co., Inc., 144A, 8.0%, 10/1/2016 |
| 20,000 | 20,500 | |
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020 |
| 45,000 | 42,075 | |
Ingles Markets, Inc., 8.875%, 5/15/2017 |
| 20,000 | 20,900 | |
Reddy Ice Corp., 144A, 11.25%, 3/15/2015 |
| 15,000 | 15,750 | |
Rite Aid Corp., 7.5%, 3/1/2017 |
| 30,000 | 27,825 | |
Smithfield Foods, Inc.: | ||||
| 7.75%, 7/1/2017 |
| 60,000 | 58,950 |
| 144A, 10.0%, 7/15/2014 |
| 45,000 | 50,175 |
SUPERVALU, Inc., 8.0%, 5/1/2016 |
| 115,000 | 116,437 | |
TreeHouse Foods, Inc., 7.75%, 3/1/2018 |
| 15,000 | 15,563 | |
| 1,938,169 | |||
Energy 1.1% | ||||
Atlas Energy Operating Co., LLC, 10.75%, 2/1/2018 |
| 80,000 | 88,000 | |
Belden & Blake Corp., 8.75%, 7/15/2012 |
| 205,000 | 191,675 | |
Bristow Group, Inc., 7.5%, 9/15/2017 |
| 35,000 | 35,350 | |
Canadian Natural Resources Ltd., 5.9%, 2/1/2018 |
| 175,000 | 189,393 | |
Chaparral Energy, Inc., 8.5%, 12/1/2015 |
| 65,000 | 59,312 | |
Chesapeake Energy Corp.: | ||||
| 6.25%, 1/15/2018 |
| 30,000 | 28,575 |
| 6.875%, 1/15/2016 |
| 30,000 | 29,625 |
| 6.875%, 11/15/2020 |
| 40,000 | 38,900 |
| 7.25%, 12/15/2018 |
| 50,000 | 50,000 |
Coffeyville Resources, 144A, 9.0%, 4/1/2015 (c) |
| 45,000 | 45,787 | |
Colorado Interstate Gas Co., 6.8%, 11/15/2015 |
| 20,000 | 22,330 | |
Concho Resources, Inc., 8.625%, 10/1/2017 |
| 10,000 | 10,600 | |
CONSOL Energy, Inc.: | ||||
| 144A, 8.0%, 4/1/2017 (c) |
| 55,000 | 56,512 |
| 144A, 8.25%, 4/1/2020 (c) |
| 60,000 | 61,650 |
Continental Resources, Inc.: | ||||
| 144A, 7.375%, 10/1/2020 (c) |
| 15,000 | 15,075 |
| 8.25%, 10/1/2019 |
| 10,000 | 10,600 |
Crosstex Energy, 144A, 8.875%, 2/15/2018 |
| 30,000 | 30,938 | |
DCP Midstream LLC, 144A, 5.35%, 3/15/2020 (d) |
| 240,000 | 240,487 | |
Dynegy Holdings, Inc., 7.75%, 6/1/2019 |
| 30,000 | 22,650 | |
El Paso Corp.: | ||||
| 7.25%, 6/1/2018 |
| 30,000 | 30,957 |
| 9.625%, 5/15/2012 |
| 34,000 | 36,743 |
El Paso Pipeline Partners Operating Co., LLC, 6.5%, 4/1/2020 |
| 80,000 | 80,977 | |
Energy Transfer Partners LP, 6.125%, 2/15/2017 |
| 305,000 | 327,796 | |
Enogex LLC, 144A, 6.25%, 3/15/2020 |
| 555,000 | 551,612 | |
EXCO Resources, Inc., 7.25%, 1/15/2011 |
| 60,000 | 60,150 | |
Frontier Oil Corp., 6.625%, 10/1/2011 |
| 25,000 | 25,188 | |
Hilcorp Energy I LP, 144A, 8.0%, 2/15/2020 |
| 20,000 | 19,400 | |
Holly Corp., 144A, 9.875%, 6/15/2017 |
| 35,000 | 36,050 | |
Holly Energy Partners LP, 144A, 8.25%, 3/15/2018 |
| 30,000 | 30,300 | |
KCS Energy, Inc., 7.125%, 4/1/2012 |
| 155,000 | 155,000 | |
Kinder Morgan Energy Partners LP: | ||||
| 6.0%, 2/1/2017 |
| 180,000 | 193,311 |
| 6.5%, 9/1/2039 (d) |
| 240,000 | 246,697 |
Linn Energy LLC: | ||||
| 144A, 8.625%, 4/15/2020 (c) |
| 25,000 | 25,031 |
| 144A, 11.75%, 5/15/2017 |
| 50,000 | 56,750 |
Marathon Oil Corp., 5.9%, 3/15/2018 |
| 285,000 | 304,044 | |
Mariner Energy, Inc.: | ||||
| 7.5%, 4/15/2013 |
| 35,000 | 35,263 |
| 8.0%, 5/15/2017 |
| 25,000 | 24,563 |
Midcontinent Express Pipeline LLC, 144A, 6.7%, 9/15/2019 (d) |
| 310,000 | 326,596 | |
Newfield Exploration Co., 7.125%, 5/15/2018 |
| 60,000 | 60,900 | |
Niska Gas Storage US LLC, 144A, 8.875%, 3/15/2018 |
| 30,000 | 30,675 | |
OPTI Canada, Inc.: | ||||
| 7.875%, 12/15/2014 |
| 80,000 | 74,800 |
| 8.25%, 12/15/2014 |
| 90,000 | 84,600 |
Petro-Canada, 6.05%, 5/15/2018 |
| 295,000 | 317,601 | |
Petrohawk Energy Corp.: | ||||
| 7.875%, 6/1/2015 |
| 20,000 | 20,375 |
| 9.125%, 7/15/2013 |
| 20,000 | 20,875 |
Plains Exploration & Production Co.: | ||||
| 7.0%, 3/15/2017 |
| 40,000 | 39,400 |
| 7.625%, 6/1/2018 |
| 70,000 | 70,700 |
| 8.625%, 10/15/2019 |
| 10,000 | 10,600 |
Quicksilver Resources, Inc., 7.125%, 4/1/2016 |
| 110,000 | 104,500 | |
Regency Energy Partners LP, 8.375%, 12/15/2013 |
| 50,000 | 51,875 | |
Rockies Express Pipeline LLC, 144A, |
| 495,000 | 487,335 | |
Sabine Pass LNG LP, 7.25%, 11/30/2013 |
| 100,000 | 94,000 | |
Southwestern Energy Co., 7.5%, 2/1/2018 |
| 25,000 | 27,125 | |
Stone Energy Corp.: | ||||
| 6.75%, 12/15/2014 |
| 50,000 | 44,000 |
| 8.625%, 2/1/2017 |
| 70,000 | 68,950 |
Western Refining, Inc., 144A, 10.75%***, 6/15/2014 |
| 15,000 | 13,500 | |
Whiting Petroleum Corp.: | ||||
| 7.25%, 5/1/2012 |
| 45,000 | 45,112 |
| 7.25%, 5/1/2013 |
| 5,000 | 5,063 |
Williams Partners LP: | ||||
| 144A, 6.3%, 4/15/2040 |
| 85,000 | 84,465 |
| 7.25%, 2/1/2017 |
| 135,000 | 154,114 |
| 7.5%, 6/15/2011 |
| 315,000 | 333,653 |
| 6,038,105 | |||
Financials 3.7% | ||||
AgriBank FCB, 9.125%, 7/15/2019 |
| 500,000 | 568,830 | |
Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015 |
| 85,000 | 78,200 | |
Ameriprise Financial, Inc., 5.3%, 3/15/2020 |
| 305,000 | 308,551 | |
Antero Resources Finance Corp., 144A, 9.375%, 12/1/2017 |
| 20,000 | 20,600 | |
ANZ National International Ltd., 144A, 6.2%, 7/19/2013 |
| 400,000 | 440,818 | |
Ashton Woods USA LLC, 144A, Step-up Coupon, 0% to 6/30/2012, 11.0% to 6/30/2015 |
| 52,000 | 23,400 | |
Australia & New Zealand Banking Group Ltd., 144A, 3.7%, 1/13/2015 |
| 400,000 | 400,504 | |
Bank of America Corp., 5.75%, 12/1/2017 |
| 55,000 | 56,390 | |
Barclays Bank PLC: | ||||
| 2.5%, 1/23/2013 (d) |
| 500,000 | 500,596 |
| Series 1, 5.0%, 9/22/2016 |
| 800,000 | 822,296 |
Barrick Australian Finance Pty Ltd., 5.95%, 10/15/2039 |
| 460,000 | 453,022 | |
Boston Properties LP, (REIT), 2.875%, 2/15/2037 |
| 530,000 | 528,012 | |
Buffalo Thunder Development Authority, 144A, 9.375%, 12/15/2014** |
| 20,000 | 2,650 | |
Calpine Construction Finance Co., LP, 144A, 8.0%, 6/1/2016 |
| 45,000 | 46,013 | |
Case New Holland, Inc., 144A, 7.75%, 9/1/2013 |
| 25,000 | 25,938 | |
CIT Group, Inc., 7.0%, 5/1/2017 |
| 110,000 | 101,475 | |
Citigroup, Inc.: | ||||
| 5.5%, 10/15/2014 |
| 220,000 | 227,679 |
| 6.01%, 1/15/2015 |
| 161,000 | 169,141 |
| 6.5%, 8/19/2013 |
| 205,000 | 220,992 |
Discover Financial Services, 10.25%, 7/15/2019 |
| 432,000 | 513,976 | |
DuPont Fabros Technology LP, (REIT), 144A, 8.5%, 12/15/2017 |
| 35,000 | 36,050 | |
E*TRADE Financial Corp.: | ||||
| 7.375%, 9/15/2013 |
| 85,000 | 81,600 |
| 12.5%, 11/30/2017 (PIK) |
| 21,000 | 25,095 |
Enel Finance International SA, 144A, 6.25%, 9/15/2017 |
| 260,000 | 282,452 | |
ERP Operating LP, 3.85%, 8/15/2026 |
| 315,000 | 316,575 | |
Express LLC, 144A, 8.75%, 3/1/2018 |
| 25,000 | 25,500 | |
Farmers Exchange Capital, 144A, 7.2%, 7/15/2048 |
| 760,000 | 657,322 | |
FCE Bank PLC, 9.375%, 1/17/2014 | EUR | 50,000 | 73,610 | |
Ford Motor Credit Co., LLC: | ||||
| 7.25%, 10/25/2011 |
| 290,000 | 299,828 |
| 9.875%, 8/10/2011 |
| 120,000 | 127,270 |
FPL Group Capital, Inc., 6.65%, 6/15/2067 |
| 282,000 | 267,900 | |
General Electric Capital Corp., 5.5%, 1/8/2020 |
| 310,000 | 316,282 | |
GMAC, Inc.: | ||||
| 6.875%, 9/15/2011 |
| 186,000 | 189,023 |
| 7.0%, 2/1/2012 |
| 95,000 | 96,663 |
| 144A, 8.0%, 3/15/2020 |
| 40,000 | 41,000 |
| 144A, 8.3%, 2/12/2015 |
| 20,000 | 21,000 |
Hexion Finance Escrow LLC, 144A, 8.875%, 2/1/2018 |
| 50,000 | 49,250 | |
International Lease Finance Corp.: | ||||
| 144A, 8.625%, 9/15/2015 |
| 20,000 | 20,445 |
| 144A, 8.75%, 3/15/2017 |
| 40,000 | 40,921 |
iPayment, Inc., 9.75%, 5/15/2014 |
| 40,000 | 36,500 | |
JPMorgan Chase & Co., 6.4%, 5/15/2038 |
| 500,000 | 539,854 | |
LBI Escrow Corp., 144A, 8.0%, 11/1/2017 (c) |
| 100,000 | 103,750 | |
Lloyds TSB Bank PLC: | ||||
| 144A, 4.375%, 1/12/2015 |
| 300,000 | 295,735 |
| 144A, 5.8%, 1/13/2020 |
| 300,000 | 292,706 |
Massachusetts Mutual Life Insurance Co., 144A, 8.875%, 6/1/2039 |
| 303,000 | 385,972 | |
Merrill Lynch & Co., Inc.: | ||||
| Series C, 5.45%, 7/15/2014 |
| 49,000 | 51,247 |
| Series C, 6.4%, 8/28/2017 |
| 218,000 | 229,756 |
Metropolitan Life Global Funding I, 144A, 5.125%, 4/10/2013 |
| 695,000 | 746,150 | |
Morgan Stanley, Series F, 6.0%, 4/28/2015 |
| 500,000 | 535,607 | |
National Australia Bank Ltd., 144A, 3.75%, 3/2/2015 |
| 600,000 | 602,389 | |
National Money Mart Co., 144A, 10.375%, 12/15/2016 |
| 65,000 | 68,981 | |
Nationwide Mutual Insurance Co., 144A, 9.375%, 8/15/2039 |
| 311,000 | 354,363 | |
Nielsen Finance LLC, Step-up Coupon, 0% to 8/1/2011, 12.5% to 8/1/2016 |
| 40,000 | 38,000 | |
Nomura Holdings, Inc., 6.7%, 3/4/2020 |
| 367,000 | 380,878 | |
Northwestern Mutual Life Insurance Co., 144A, 6.063%, 3/30/2040 |
| 281,000 | 282,003 | |
Nuveen Investments, Inc., 10.5%, 11/15/2015 |
| 20,000 | 19,400 | |
Orascom Telecom Finance SCA, 144A, |
| 100,000 | 94,750 | |
Pinnacle Foods Finance LLC: | ||||
| 9.25%, 4/1/2015 |
| 30,000 | 30,750 |
| 144A, 9.25%, 4/1/2015 |
| 30,000 | 30,750 |
PPL Capital Funding, Inc., Series A, 6.7%, 3/30/2067 |
| 600,000 | 523,500 | |
Rainbow National Services LLC, 144A, 10.375%, 9/1/2014 |
| 5,000 | 5,269 | |
Raymond James Financial, Inc., 8.6%, 8/15/2019 |
| 220,000 | 251,436 | |
Reinsurance Group of America, Inc., 6.45%, 11/15/2019 (d) |
| 372,000 | 388,716 | |
RenRe North America Holdings, Inc., 5.75%, 3/15/2020 (d) |
| 375,000 | 374,900 | |
Rio Tinto Finance (USA) Ltd., 6.5%, 7/15/2018 |
| 575,000 | 647,202 | |
Royal Bank of Scotland PLC, 4.875%, 3/16/2015 (d) |
| 300,000 | 299,926 | |
SLM Corp., 8.0%, 3/25/2020 |
| 10,000 | 9,738 | |
Sprint Capital Corp.: | ||||
| 7.625%, 1/30/2011 |
| 30,000 | 30,863 |
| 8.375%, 3/15/2012 |
| 115,000 | 119,600 |
Svenska Handelsbanken AB, 144A, 5.125%, 3/30/2020 |
| 595,000 | 595,086 | |
Teco Finance, Inc., 5.15%, 3/15/2020 |
| 305,000 | 301,188 | |
Telecom Italia Capital SA: | ||||
| 5.25%, 10/1/2015 |
| 100,000 | 102,389 |
| 7.175%, 6/18/2019 (d) |
| 290,000 | 313,085 |
| 7.2%, 7/18/2036 |
| 65,000 | 65,627 |
The Goldman Sachs Group, Inc., 6.25%, 9/1/2017 |
| 540,000 | 580,721 | |
Tropicana Entertainment LLC, 9.625%, 12/15/2014** |
| 105,000 | 92 | |
UBS AG, 3.875%, 1/15/2015 |
| 750,000 | 739,900 | |
UCI Holdco, Inc., 8.257%***, 12/15/2013 (PIK) |
| 60,614 | 56,977 | |
Virgin Media Finance PLC: | ||||
| 8.75%, 4/15/2014 |
| 28,000 | 28,665 |
| Series 1, 9.5%, 8/15/2016 |
| 100,000 | 109,250 |
Virgin Media Secured Finance PLC, 144A, 6.5%, 1/15/2018 |
| 195,000 | 195,488 | |
Wells Fargo & Co.: | ||||
| 3.625%, 4/15/2015 |
| 245,000 | 243,088 |
| Series I, 3.75%, 10/1/2014 (d) |
| 336,000 | 340,070 |
| 4.375%, 1/31/2013 (d) |
| 310,000 | 327,157 |
Wind Acquisition Finance SA: | ||||
| 144A, 11.0%, 12/1/2015 | EUR | 100,000 | 145,195 |
| 144A, 12.0%, 12/1/2015 |
| 75,000 | 81,000 |
Xstrata Finance Canada Ltd., 144A, 5.8%, 11/15/2016 |
| 711,000 | 741,820 | |
| 21,214,358 | |||
Health Care 0.4% | ||||
Amgen, Inc., Zero Coupon, 3/1/2032 |
| 315,000 | 236,250 | |
Boston Scientific Corp., 6.0%, 1/15/2020 (d) |
| 430,000 | 406,217 | |
Community Health Systems, Inc., 8.875%, 7/15/2015 |
| 230,000 | 238,050 | |
HCA, Inc.: | ||||
| 144A, 8.5%, 4/15/2019 |
| 105,000 | 112,941 |
| 9.125%, 11/15/2014 |
| 90,000 | 95,062 |
| 9.25%, 11/15/2016 |
| 200,000 | 212,625 |
| 9.625%, 11/15/2016 (PIK) |
| 68,000 | 72,845 |
HEALTHSOUTH Corp., 10.75%, 6/15/2016 |
| 25,000 | 27,031 | |
IASIS Healthcare LLC, 8.75%, 6/15/2014 |
| 70,000 | 71,313 | |
Life Technologies Corp.: | ||||
| 4.4%, 3/1/2015 |
| 475,000 | 478,304 |
| 6.0%, 3/1/2020 |
| 155,000 | 158,700 |
The Cooper Companies, Inc., 7.125%, 2/15/2015 |
| 75,000 | 74,531 | |
Valeant Pharmaceuticals International, 144A, 8.375%, 6/15/2016 |
| 25,000 | 26,125 | |
Vanguard Health Holding Co. II, LLC, 144A, 8.0%, 2/1/2018 |
| 30,000 | 29,175 | |
| 2,239,169 | |||
Industrials 0.4% | ||||
Acco Brands Corp., 144A, 10.625%, 3/15/2015 |
| 10,000 | 10,925 | |
Actuant Corp., 6.875%, 6/15/2017 |
| 25,000 | 24,250 | |
ARAMARK Corp., 8.5%, 2/1/2015 |
| 15,000 | 15,338 | |
BE Aerospace, Inc., 8.5%, 7/1/2018 |
| 70,000 | 74,725 | |
Belden, Inc., 7.0%, 3/15/2017 |
| 30,000 | 29,550 | |
Bombardier, Inc.: | ||||
| 144A, 6.3%, 5/1/2014 |
| 100,000 | 103,750 |
| 144A, 7.5%, 3/15/2018 |
| 10,000 | 10,425 |
| 144A, 7.75%, 3/15/2020 |
| 30,000 | 31,350 |
Cenveo Corp.: | ||||
| 144A, 8.875%, 2/1/2018 |
| 50,000 | 50,562 |
| 144A, 10.5%, 8/15/2016 |
| 35,000 | 35,656 |
Clean Harbors, Inc., 7.625%, 8/15/2016 |
| 20,000 | 20,300 | |
Corrections Corp. of America, 7.75%, 6/1/2017 |
| 10,000 | 10,450 | |
CSX Corp., 7.375%, 2/1/2019 (d) |
| 300,000 | 349,585 | |
Delta Air Lines, Inc., 144A, 9.5%, 9/15/2014 |
| 10,000 | 10,513 | |
EDP Finance BV, 144A, 6.0%, 2/2/2018 |
| 165,000 | 169,824 | |
Esco Corp., 144A, 4.132%***, 12/15/2013 |
| 35,000 | 31,062 | |
Garda World Security Corp., 144A, 9.75%, 3/15/2017 |
| 30,000 | 30,712 | |
Great Lakes Dredge & Dock Co., 7.75%, 12/15/2013 |
| 30,000 | 30,263 | |
Iron Mountain, Inc., 8.375%, 8/15/2021 |
| 40,000 | 41,600 | |
K. Hovnanian Enterprises, Inc., 8.875%, 4/1/2012 |
| 30,000 | 27,675 | |
Kansas City Southern de Mexico SA de CV: | ||||
| 7.375%, 6/1/2014 |
| 60,000 | 60,450 |
| 7.625%, 12/1/2013 |
| 210,000 | 214,725 |
| 144A, 8.0%, 2/1/2018 |
| 60,000 | 61,500 |
Kansas City Southern Railway Co., 8.0%, 6/1/2015 |
| 65,000 | 67,519 | |
McJunkin Red Man Corp., 144A, 9.5%, 12/15/2016 |
| 50,000 | 51,062 | |
Mobile Mini, Inc., 9.75%, 8/1/2014 |
| 40,000 | 41,400 | |
Navios Maritime Holdings, Inc., 9.5%, 12/15/2014 |
| 60,000 | 60,450 | |
Oshkosh Corp.: | ||||
| 144A, 8.25%, 3/1/2017 |
| 10,000 | 10,325 |
| 144A, 8.5%, 3/1/2020 |
| 10,000 | 10,350 |
Owens Corning, Inc., 9.0%, 6/15/2019 |
| 40,000 | 47,136 | |
Ply Gem Industries, Inc., 144A, 13.125%, 7/15/2014 |
| 40,000 | 41,500 | |
RBS Global, Inc. & Rexnord Corp., 9.5%, 8/1/2014 |
| 25,000 | 26,000 | |
Sitel LLC, 144A, 11.5%, 4/1/2018 |
| 50,000 | 50,375 | |
Spirit AeroSystems, Inc., 144A, 7.5%, 10/1/2017 |
| 20,000 | 20,500 | |
Titan International, Inc., 8.0%, 1/15/2012 |
| 130,000 | 130,000 | |
TransDigm, Inc., 7.75%, 7/15/2014 |
| 20,000 | 20,450 | |
United Rentals North America, Inc., 7.0%, 2/15/2014 |
| 105,000 | 97,125 | |
United Technologies Corp., 5.7%, 4/15/2040 |
| 295,000 | 298,345 | |
USG Corp., 144A, 9.75%, 8/1/2014 |
| 20,000 | 21,200 | |
| 2,438,927 | |||
Information Technology 0.3% | ||||
Adobe Systems, Inc., 3.25%, 2/1/2015 |
| 350,000 | 351,388 | |
Affiliated Computer Services, Inc., 5.2%, 6/1/2015 |
| 260,000 | 267,800 | |
Alcatel-Lucent USA, Inc., 6.45%, 3/15/2029 |
| 45,000 | 31,725 | |
Brocade Communications Systems, Inc., 144A, 6.625%, 1/15/2018 (d) |
| 500,000 | 508,750 | |
Equinix, Inc., 8.125%, 3/1/2018 |
| 65,000 | 67,275 | |
Freescale Semiconductor, Inc., 8.875%, 12/15/2014 |
| 65,000 | 62,075 | |
Jabil Circuit, Inc., 7.75%, 7/15/2016 |
| 10,000 | 10,525 | |
L-3 Communications Corp.: | ||||
| 5.875%, 1/15/2015 |
| 85,000 | 86,487 |
| Series B, 6.375%, 10/15/2015 |
| 60,000 | 61,575 |
MasTec, Inc., 7.625%, 2/1/2017 |
| 50,000 | 48,563 | |
SunGard Data Systems, Inc., 10.25%, 8/15/2015 |
| 135,000 | 141,919 | |
| 1,638,082 | |||
Materials 0.8% | ||||
Airgas, Inc., 144A, 7.125%, 10/1/2018 |
| 415,000 | 456,500 | |
Appleton Papers, Inc., 144A, 11.25%, 12/15/2015 |
| 20,000 | 18,400 | |
ARCO Chemical Co., 9.8%, 2/1/2020** |
| 120,000 | 111,000 | |
Ashland, Inc., 144A, 9.125%, 6/1/2017 |
| 60,000 | 67,200 | |
Ball Corp.: | ||||
| 7.125%, 9/1/2016 |
| 10,000 | 10,625 |
| 7.375%, 9/1/2019 |
| 10,000 | 10,538 |
Boise Paper Holdings LLC, 144A, 8.0%, 4/1/2020 |
| 15,000 | 15,000 | |
Chevron Phillips Chemical Co., LLC, 144A, 8.25%, 6/15/2019 |
| 285,000 | 340,238 | |
Clondalkin Acquisition BV, 144A, |
| 75,000 | 70,406 | |
CPG International I, Inc., 10.5%, 7/1/2013 |
| 60,000 | 60,150 | |
Crown Americas LLC, 144A, 7.625%, 5/15/2017 |
| 10,000 | 10,425 | |
Domtar Corp., 10.75%, 6/1/2017 |
| 30,000 | 36,450 | |
Dow Chemical Co., 8.55%, 5/15/2019 |
| 30,000 | 36,292 | |
Eastman Chemical Co., 7.25%, 1/15/2024 |
| 285,000 | 317,186 | |
Essar Steel Algoma, Inc., 144A, 9.375%, 3/15/2015 |
| 120,000 | 121,200 | |
Exopack Holding Corp., 11.25%, 2/1/2014 |
| 130,000 | 135,525 | |
Freeport-McMoRan Copper & Gold, Inc.: | ||||
| 8.25%, 4/1/2015 |
| 90,000 | 97,987 |
| 8.375%, 4/1/2017 |
| 175,000 | 194,687 |
Georgia Gulf Corp., 144A, 9.0%, 1/15/2017 |
| 10,000 | 10,463 | |
Georgia-Pacific LLC: | ||||
| 144A, 7.125%, 1/15/2017 |
| 35,000 | 36,400 |
| 9.5%, 12/1/2011 |
| 30,000 | 32,850 |
Graphic Packaging International, Inc., 9.5%, 6/15/2017 |
| 65,000 | 69,387 | |
Hexcel Corp., 6.75%, 2/1/2015 |
| 155,000 | 153,450 | |
Innophos, Inc., 8.875%, 8/15/2014 |
| 40,000 | 41,200 | |
International Paper Co.: | ||||
| 7.5%, 8/15/2021 |
| 305,000 | 346,576 |
| 9.375%, 5/15/2019 (d) |
| 155,000 | 193,765 |
Millar Western Forest Products Ltd., |
| 15,000 | 12,788 | |
NewMarket Corp., 7.125%, 12/15/2016 |
| 80,000 | 79,600 | |
Novelis, Inc.: | ||||
| 7.25%, 2/15/2015 |
| 40,000 | 38,600 |
| 11.5%, 2/15/2015 |
| 30,000 | 32,288 |
Owens-Brockway Glass Container, Inc.: | ||||
| 6.75%, 12/1/2014 | EUR | 50,000 | 68,883 |
| 7.375%, 5/15/2016 |
| 85,000 | 89,250 |
Rohm & Haas Co., 6.0%, 9/15/2017 |
| 480,000 | 509,967 | |
Silgan Holdings, Inc., 7.25%, 8/15/2016 |
| 30,000 | 31,125 | |
Solo Cup Co., 10.5%, 11/1/2013 |
| 70,000 | 73,850 | |
Teck Resources Ltd.: | ||||
| 9.75%, 5/15/2014 |
| 30,000 | 35,550 |
| 10.25%, 5/15/2016 |
| 30,000 | 35,700 |
| 10.75%, 5/15/2019 |
| 75,000 | 91,875 |
United States Steel Corp., 7.375%, 4/1/2020 |
| 40,000 | 40,100 | |
Viskase Companies, Inc., 144A, 9.875%, 1/15/2018 |
| 55,000 | 55,687 | |
Wolverine Tube, Inc., 15.0%, 3/31/2012 (PIK) |
| 68,031 | 58,167 | |
| 4,247,330 | |||
Telecommunication Services 0.6% | ||||
America Movil SAB de CV, 144A, 6.125%, 3/30/2040 |
| 255,000 | 249,183 | |
AT&T, Inc., 6.55%, 2/15/2039 |
| 290,000 | 304,860 | |
CenturyTel, Inc., Series P, 7.6%, 9/15/2039 (d) |
| 285,000 | 274,727 | |
Cincinnati Bell, Inc., 8.75%, 3/15/2018 |
| 95,000 | 95,831 | |
Cricket Communications, Inc.: | ||||
| 9.375%, 11/1/2014 |
| 110,000 | 111,925 |
| 10.0%, 7/15/2015 |
| 70,000 | 72,800 |
Crown Castle Towers LLC, 144A, 6.113%, 1/15/2020 |
| 300,000 | 313,812 | |
Digicel Group Ltd., 144A, 10.5%, 4/15/2018 |
| 100,000 | 104,288 | |
Digicel Ltd., 144A, 8.25%, 9/1/2017 |
| 100,000 | 99,000 | |
ERC Ireland Preferred Equity Ltd., 144A, 7.662%***, 2/15/2017 (PIK) | EUR | 60,975 | 34,624 | |
Frontier Communications Corp., 6.25%, 1/15/2013 |
| 32,000 | 32,320 | |
Intelsat Corp., 9.25%, 6/15/2016 |
| 260,000 | 272,350 | |
Intelsat Jackson Holdings SA, 11.25%, 6/15/2016 |
| 30,000 | 32,475 | |
iPCS, Inc., 2.374%***, 5/1/2013 |
| 15,000 | 13,875 | |
MetroPCS Wireless, Inc., 9.25%, 11/1/2014 |
| 200,000 | 204,500 | |
Millicom International Cellular SA, 10.0%, 12/1/2013 |
| 155,000 | 160,812 | |
New Communications Holdings, Inc.: | ||||
| 144A, 7.875%, 4/15/2015 (c) |
| 10,000 | 10,275 |
| 144A, 8.25%, 4/15/2017 (c) |
| 35,000 | 35,613 |
| 144A, 8.5%, 4/15/2020 (c) |
| 45,000 | 45,338 |
| 144A, 8.75%, 4/15/2022 (c) |
| 10,000 | 10,000 |
Nextel Communications, Inc., Series E, 6.875%, 10/31/2013 |
| 30,000 | 29,250 | |
Qwest Communications International, Inc.: | ||||
| 144A, 7.125%, 4/1/2018 |
| 30,000 | 30,975 |
| 144A, 8.0%, 10/1/2015 |
| 30,000 | 31,950 |
Qwest Corp.: | ||||
| 7.875%, 9/1/2011 |
| 90,000 | 95,400 |
| 8.375%, 5/1/2016 |
| 188,000 | 211,500 |
| 8.875%, 3/15/2012 |
| 20,000 | 21,900 |
Telesat Canada, 11.0%, 11/1/2015 |
| 110,000 | 122,375 | |
tw telecom holdings, Inc., 144A, 8.0%, 3/1/2018 |
| 10,000 | 10,225 | |
Vodafone Group PLC, 5.45%, 6/10/2019 |
| 290,000 | 300,938 | |
West Corp., 9.5%, 10/15/2014 |
| 35,000 | 35,963 | |
Windstream Corp.: | ||||
| 7.0%, 3/15/2019 |
| 40,000 | 37,300 |
| 7.875%, 11/1/2017 |
| 65,000 | 64,025 |
| 8.625%, 8/1/2016 |
| 10,000 | 10,225 |
| 3,480,634 | |||
Utilities 1.3% | ||||
AES Corp.: | ||||
| 8.0%, 6/1/2020 |
| 40,000 | 39,850 |
| 144A, 8.75%, 5/15/2013 |
| 260,000 | 263,900 |
Ameren Corp., 8.875%, 5/15/2014 |
| 350,000 | 403,847 | |
AmerenEnergy Generating Co., Series H, 7.0%, 4/15/2018 |
| 150,000 | 160,099 | |
Baltimore Gas & Electric Co., 6.35%, 10/1/2036 |
| 70,000 | 72,594 | |
CMS Energy Corp., 8.5%, 4/15/2011 |
| 175,000 | 184,653 | |
Dominion Resources, Inc., Series 06-B, |
| 345,000 | 326,025 | |
Electricite De France, 144A, 4.6%, 1/27/2020 |
| 310,000 | 305,580 | |
Energy East Corp., 6.75%, 6/15/2012 |
| 970,000 | 1,067,753 | |
Energy Future Holdings Corp., 10.875%, 11/1/2017 |
| 40,000 | 29,700 | |
FirstEnergy Solutions Corp., 6.05%, 8/15/2021 |
| 260,000 | 260,336 | |
Integrys Energy Group, Inc., 6.11%, 12/1/2066 |
| 795,000 | 711,525 | |
IPALCO Enterprises, Inc., 144A, 7.25%, 4/1/2016 |
| 35,000 | 36,312 | |
Jersey Central Power & Light Co., 7.35%, 2/1/2019 (d) |
| 220,000 | 254,734 | |
KCP&L Greater Missouri Operations Co., 11.875%, 7/1/2012 |
| 215,000 | 250,219 | |
Kinder Morgan, Inc., 6.5%, 9/1/2012 |
| 60,000 | 63,150 | |
Mirant Americas Generation LLC, 8.3%, 5/1/2011 |
| 90,000 | 92,475 | |
Mirant North America LLC, 7.375%, 12/31/2013 |
| 25,000 | 24,938 | |
NRG Energy, Inc.: | ||||
| 7.25%, 2/1/2014 |
| 210,000 | 211,575 |
| 7.375%, 2/1/2016 |
| 70,000 | 69,475 |
| 7.375%, 1/15/2017 |
| 95,000 | 94,050 |
NV Energy, Inc.: | ||||
| 6.75%, 8/15/2017 |
| 40,000 | 40,590 |
| 8.625%, 3/15/2014 |
| 15,000 | 15,375 |
Pepco Holdings, Inc., 6.45%, 8/15/2012 |
| 640,000 | 685,739 | |
Petronas Global Sukuk Ltd., 144A, 4.25%, 8/12/2014 |
| 125,000 | 126,430 | |
RRI Energy, Inc., 7.875%, 6/15/2017 |
| 15,000 | 13,463 | |
Southwestern Electric Power Co., Series E, 5.55%, 1/15/2017 |
| 215,000 | 224,430 | |
Suburban Propane Partners LP, 7.375%, 3/15/2020 |
| 100,000 | 101,625 | |
Texas Competitive Electric Holdings Co., LLC, Series A, 10.25%, 11/1/2015 |
| 90,000 | 62,550 | |
Trans-Allegheny Interstate Line Co., 144A, 4.0%, 1/15/2015 |
| 515,000 | 515,863 | |
Western Power Distribution Holdings Ltd.: | ||||
| 144A, 7.25%, 12/15/2017 |
| 170,000 | 173,146 |
| 144A, 7.375%, 12/15/2028 |
| 215,000 | 215,139 |
Wisconsin Energy Corp., Series A, 6.25%, 5/15/2067 |
| 290,000 | 275,500 | |
| 7,372,640 | |||
Total Corporate Bonds (Cost $53,796,890) | 55,743,885 | |||
| ||||
Asset-Backed 0.1% | ||||
Automobile Receivables 0.0% | ||||
AmeriCredit Automobile Receivables Trust, "A4", Series 2005-DA, 5.02%, 11/6/2012 | 192,559 | 193,243 | ||
Credit Card Receivables 0.1% | ||||
Capital One Multi-Asset Execution Trust, "B1", Series 2006-B1, 0.51%***, 1/15/2019 | 300,000 | 277,538 | ||
MBNA Credit Card Master Note Trust, "B1", Series 2004-B1, 4.45%, 8/15/2016 | 250,000 | 255,986 | ||
| 533,524 | |||
Home Equity Loans 0.0% | ||||
Bayview Financial Acquisition Trust, "1A1", Series 2006-A, 5.614%, 2/28/2041 | 21,779 | 21,561 | ||
Total Asset-Backed (Cost $741,662) | 748,328 | |||
| ||||
Mortgage-Backed Securities Pass-Throughs 4.4% | ||||
Federal Home Loan Mortgage Corp.: | ||||
| 4.5%, 11/1/2018 |
| 773,967 | 814,812 |
| 5.0%, with various maturities from 12/1/2039 until 1/1/2040 |
| 748,366 | 773,683 |
| 5.5%, 10/1/2023 |
| 537,492 | 571,715 |
| 6.0%, with various maturities from 1/1/2038 until 3/1/2038 |
| 1,375,084 | 1,475,581 |
| 6.5%, with various maturities from 1/1/2035 until 8/1/2038 |
| 1,164,006 | 1,280,567 |
Federal National Mortgage Association: | ||||
| 4.5%, with various maturities from 7/1/2020 until 10/1/2033 |
| 2,497,138 | 2,572,097 |
| 5.0%, with various maturities from 7/1/2019 until 10/1/2035 (c) |
| 1,967,085 | 2,053,337 |
| 5.5%, with various maturities from 11/1/2019 until 9/1/2038 (c) |
| 9,157,510 | 9,737,412 |
| 6.0%, with various maturities from 1/1/2024 until 4/1/2039 |
| 2,215,414 | 2,371,703 |
| 6.5%, with various maturities from 5/1/2023 until 6/1/2036 (c) |
| 2,407,770 | 2,614,092 |
Government National Mortgage Association: 5.0%, 1/15/2039 |
| 93,478 | 97,305 | |
5.5%, 1/15/2039 |
| 314,104 | 332,607 | |
Total Mortgage-Backed Securities Pass-Throughs (Cost $23,681,458) | 24,694,911 | |||
| ||||
Commercial Mortgage-Backed Securities 1.3% | ||||
Banc of America Commercial Mortgage, Inc.: | ||||
| "ASB", Series 2005-3, 4.589%, 7/10/2043 |
| 410,970 | 423,361 |
| "A4", Series 2007-1, 5.451%, 1/15/2049 |
| 202,000 | 198,110 |
| "A4", Series 2007-2, 5.689%***, 4/10/2049 |
| 250,000 | 239,948 |
| "ASB", Series 2008-1, 6.173%, 2/10/2051 |
| 550,000 | 580,617 |
Banc of America Large Loan, Inc., "A4A", Series 2009-UB1, 144A, 5.621%***, 6/24/2050 |
| 300,000 | 307,742 | |
Bear Stearns Commercial Mortgage Securities, Inc.: | ||||
| "AAB", Series 2005-PWR7, 4.98%, 2/11/2041 |
| 290,180 | 303,019 |
| "A4", Series 2007-T26, 5.471%, 1/12/2045 |
| 350,000 | 356,567 |
| "A4", Series 2007-PW17, 5.694%, 6/11/2050 |
| 275,000 | 272,162 |
Citigroup Commercial Mortgage Trust, "A1", Series 2007-C6, 5.622%, 12/10/2049 |
| 153,609 | 160,603 | |
Citigroup/Deutsche Bank Commercial Mortgage Trust, "A4", Series 2007-CD5, 5.886%, 11/15/2044 |
| 430,000 | 429,957 | |
CW Capital Cobalt Ltd., "AAB", Series 2007-C2, 5.416%, 4/15/2047 |
| 125,000 | 125,066 | |
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
| "ASB", Series 2007-CB20, 5.688%, 2/12/2051 |
| 350,000 | 360,213 |
| "ASB", Series 2007-CB19, 5.729%***, 2/12/2049 |
| 1,280,000 | 1,310,095 |
| "A4", Series 2007-CB20, 5.794%, 2/12/2051 |
| 520,000 | 518,786 |
| "A4", Series 2007-LD12, 5.882%, 2/15/2051 |
| 908,000 | 887,721 |
Merrill Lynch/Countrywide Commercial Mortgage Trust, "ASB", Series 2007-7, 5.745%, 6/12/2050 | 700,000 | 710,005 | ||
Wachovia Bank Commercial Mortgage Trust, "APB", Series 2005-C20, 5.09%, 7/15/2042 | 220,000 | 229,941 | ||
Total Commercial Mortgage-Backed Securities (Cost $6,423,301) | 7,413,913 | |||
| ||||
Collateralized Mortgage Obligations 5.3% | ||||
BCAP LLC Trust: | ||||
| "3A1", Series 2009-RR4, 144A, 5.451%***, 4/26/2037 |
| 476,855 | 460,747 |
| "A1", Series 2009-RR2, 144A, 5.607%***, 1/21/2038 |
| 480,388 | 473,294 |
| "2A1", Series 2009-RR3, 144A, 5.651%***, 5/26/2037 |
| 481,433 | 465,674 |
Bear Stearns Adjustable Rate Mortgage Trust: | ||||
| "3A1", Series 2007-5, 5.903%***, 8/25/2047 |
| 1,007,501 | 788,491 |
| "22A1", Series 2007-4, 5.958%***, 6/25/2047 |
| 808,057 | 625,482 |
Chase Mortgage Finance Corp., "3A1", Series 2005-A1, 5.288%***, 12/25/2035 | 821,813 | 720,136 | ||
Citigroup Mortgage Loan Trust, Inc.: | ||||
| "6A1", Series 2009-6, 144A, 0.496%***, 7/25/2036 |
| 290,928 | 262,576 |
| "7A1", Series 2009-5, 144A, 0.596%***, 7/25/2036 |
| 446,444 | 394,273 |
| "11A1", Series 2009-6, 144A, 0.596%***, 5/25/2037 |
| 328,729 | 291,411 |
| "4A1", Series 2009-6, 144A, 5.545%***, 4/25/2037 |
| 527,906 | 491,597 |
| "1A1", Series 2009-5, 144A, 5.662%***, 6/25/2037 |
| 264,314 | 257,934 |
Countrywide Alternative Loan Trust: | ||||
| "A2", Series 2003-21T1, 5.25%, 12/25/2033 |
| 456,769 | 457,731 |
| "A6", Series 2004-14T2, 5.5%, 8/25/2034 |
| 387,820 | 379,750 |
| "1A1", Series 2004-J1, 6.0%, 2/25/2034 |
| 83,916 | 83,261 |
Credit Suisse Mortgage Capital Certificates: | ||||
| "28A1", Series 2009-3R, 144A, 5.524%***, 8/27/2037 |
| 239,408 | 227,619 |
| "25A1", Series 2009-3R, 144A, 5.65%***, 7/27/2036 |
| 691,351 | 660,138 |
| "30A1", Series 2009-3R, 144A, 5.807%***, 7/27/2037 |
| 633,639 | 603,280 |
Federal Home Loan Mortgage Corp.: | ||||
| "NE", Series 2750, 5.0%, 4/15/2032 |
| 610,000 | 640,324 |
| "YG", Series 2772, 5.0%, 7/15/2032 |
| 520,000 | 547,457 |
| "PD", Series 2754, 5.0%, 11/15/2032 |
| 295,000 | 310,723 |
| "EG", Series 2836, 5.0%, 12/15/2032 |
| 542,000 | 569,454 |
| "PD", Series 2760, 5.0%, 12/15/2032 |
| 780,000 | 822,183 |
| "NE", Series 2802, 5.0%, 2/15/2033 |
| 880,000 | 929,312 |
| "OE", Series 2840, 5.0%, 2/15/2033 |
| 412,000 | 433,630 |
| "PD", Series 2893, 5.0%, 2/15/2033 |
| 580,000 | 610,940 |
| "JE", Series 2931, 5.0%, 3/15/2033 |
| 285,000 | 298,495 |
| "PE", Series 2898, 5.0%, 5/15/2033 |
| 300,000 | 315,888 |
| "XD", Series 2941, 5.0%, 5/15/2033 |
| 902,000 | 949,783 |
| "PE", Series 2864, 5.0%, 6/15/2033 |
| 505,000 | 531,524 |
| "BG", Series 2869, 5.0%, 7/15/2033 |
| 315,000 | 332,139 |
| "CG", Series 2888, 5.0%, 8/15/2033 |
| 645,000 | 678,960 |
| "KE", Series 2934, 5.0%, 11/15/2033 |
| 350,000 | 368,786 |
| "ND", Series 3036, 5.0%, 5/15/2034 |
| 695,000 | 722,565 |
| "PD", Series 2904, 5.5%, 3/15/2033 |
| 325,000 | 346,195 |
| "XD", Series 2966, 5.5%, 9/15/2033 |
| 1,305,000 | 1,395,679 |
| "OD", Series 3162, 6.0%, 6/15/2035 |
| 285,000 | 308,267 |
Federal National Mortgage Association: | ||||
| "WD", Series 2003-106, 4.5%, 9/25/2020 |
| 295,000 | 306,304 |
| "YD", Series 2005-94, 4.5%, 8/25/2033 |
| 1,445,000 | 1,481,496 |
| "ME", Series 2005-14, 5.0%, 10/25/2033 |
| 415,000 | 436,293 |
| "ND", Series 2005-101, 5.0%, 6/25/2034 |
| 520,000 | 544,753 |
| "PC", Series 2009-86, 5.0%, 3/25/2037 |
| 910,000 | 954,020 |
GMAC Mortgage Corp. Loan Trust, "4A1", Series 2005-AR6, 5.399%***, 11/19/2035 | 854,443 | 746,838 | ||
GS Mortgage Securities Corp., "2A1", Series 2009-3R, 144A, 5.08%***, 7/25/2035 | 294,674 | 271,220 | ||
Jefferies & Co., "1A1", Series 2009-R9, 144A, 5.846%***, 8/26/2046 | 458,750 | 438,496 | ||
JPMorgan Mortgage Trust: | ||||
| "6A2", Series 2005-A8, 5.105%***, 11/25/2035 |
| 428,386 | 395,491 |
| "1A1", Series 2008-R2, 144A, 5.71%***, 7/27/2037 |
| 546,209 | 436,967 |
| "2A1" Series 2006-A5, 5.944%***, 8/25/2036 |
| 788,011 | 578,289 |
JPMorgan Reremic: | ||||
| "2A1", Series 2009-5, 144A, 5.266%***, 1/26/2037 |
| 530,193 | 489,481 |
| "A1", Series 2009-8, 144A, 5.604%***, 4/20/2036 |
| 435,296 | 435,345 |
| "3A1", Series 2009-5, 144A, 5.835%***, 5/26/2037 |
| 370,259 | 358,454 |
| "5A1", Series 2009-7, 144A, 6.0%, 2/27/2037 |
| 427,048 | 425,957 |
Washington Mutual Mortgage Pass-Through Certificates Trust, "1A1", Series 2006-AR18, 5.266%***, 1/25/2037 |
| 977,724 | 725,458 | |
Wells Fargo Mortgage Backed Securities Trust, "2A5", Series 2006-AR2, 4.965%***, 3/25/2036 |
| 2,734,566 | 2,265,435 | |
Total Collateralized Mortgage Obligations (Cost $30,597,043) | 30,045,995 | |||
| ||||
Government & Agency Obligations 8.3% | ||||
Other Government Related(e) 0.1% | ||||
Korea Gas Corp., 144A, 6.0%, 7/15/2014 (d) |
| 300,000 | 326,290 | |
Sovereign Bonds 3.0% | ||||
Federal Republic of Germany, 2.25%, 4/15/2013 | EUR | 346,893 | 504,139 | |
Government of Canada Real Return Bond, 4.0%, 12/1/2031 | CAD | 774,556 | 1,110,520 | |
Government of France: | ||||
| 1.0%, 7/25/2017 | EUR | 399,124 | 550,996 |
| 1.6%, 7/25/2011 | EUR | 1,224,719 | 1,714,792 |
| 2.25%, 7/25/2020 | EUR | 431,847 | 640,464 |
| 3.15%, 7/25/2032 | EUR | 1,017,168 | 1,786,360 |
Government of Japan, Series 9, 1.1%, 9/10/2016 | JPY | 104,160,000 | 1,090,733 | |
Government of Sweden, Series 3105, 3.5%, 12/1/2015 | SEK | 3,950,000 | 742,068 | |
Republic of Italy, 2.1%, 9/15/2017 | EUR | 1,842,887 | 2,613,675 | |
United Kingdom Treasury-Inflation Linked Bonds: | ||||
| 1.125%, 11/22/2037 | GBP | 969,687 | 1,624,226 |
| 1.25%, 11/22/2032 | GBP | 225,799 | 376,856 |
| 1.875%, 11/22/2022 | GBP | 625,129 | 1,068,975 |
| 2.0%, 1/26/2035 | GBP | 371,000 | 890,164 |
| 2.5%, 8/16/2013 | GBP | 200,000 | 819,128 |
| 2.5%, 7/26/2016 | GBP | 175,000 | 801,040 |
| 2.5%, 4/16/2020 | GBP | 158,000 | 727,120 |
| 17,061,256 | |||
US Treasury Obligations 5.2% | ||||
US Treasury Bills, 0.22%****, 9/16/2010 (f) |
| 6,506,000 | 6,499,169 | |
US Treasury Bond, 4.375%, 11/15/2039 |
| 2,568,000 | 2,428,365 | |
US Treasury Inflation-Indexed Bonds: | ||||
| 2.375%, 1/15/2025 |
| 2,068,974 | 2,165,796 |
| 3.625%, 4/15/2028 |
| 880,104 | 1,072,971 |
| 3.875%, 4/15/2029 |
| 724,878 | 920,029 |
US Treasury Inflation-Indexed Notes: | ||||
| 1.875%, 7/15/2015 |
| 389,862 | 412,583 |
| 2.0%, 1/15/2014 |
| 410,403 | 435,765 |
| 2.0%, 1/15/2016 |
| 764,141 | 810,706 |
| 2.375%, 4/15/2011 |
| 1,528,212 | 1,577,641 |
| 2.375%, 1/15/2017 |
| 1,235,526 | 1,334,078 |
| 2.5%, 7/15/2016 |
| 804,638 | 879,066 |
US Treasury Notes: | ||||
| 1.0%, 3/31/2012 |
| 540,000 | 539,746 |
| 1.375%, 3/15/2013 (d) |
| 59,000 | 58,654 |
| 2.375%, 2/28/2015 (d) |
| 410,000 | 407,183 |
| 2.5%, 3/31/2015 |
| 765,000 | 762,789 |
| 3.25%, 3/31/2017 |
| 5,802,000 | 5,794,748 |
| 3.625%, 2/15/2020 (d) |
| 3,659,000 | 3,596,684 |
| 29,695,973 | |||
Total Government & Agency Obligations (Cost $46,046,809) | 47,083,519 | |||
| ||||
Municipal Bonds and Notes 0.5% | ||||
California, Bay Area Toll Authority, Toll Bridge Revenue, Build America Bonds, 6.263%, 4/1/2049 |
| 390,000 | 395,327 | |
Chicago, IL, Transit Authority, Sales Tax Receipts Revenue, Build America Bonds, Series B, 6.2%, 12/1/2040 (c) (g) |
| 365,000 | 365,062 | |
Georgia, Municipal Electric Authority, Build America Bonds, Plant Vogtle Units 3 & 4 Project, Series J, 6.637%, 4/1/2057 |
| 365,000 | 363,953 | |
Hammond, IN, Redevelopment Authority Lease Rent Revenue, Hammond Marina Project, 5.57%, 2/1/2014 (h) |
| 610,000 | 616,588 | |
Illinois, State General Obligation, 4.071%, 1/1/2014 (g) |
| 315,000 | 318,931 | |
Missouri, State Highways & Transit Commission, State Road Revenue, Build America Bonds, 5.445%, 5/1/2033 |
| 455,000 | 447,697 | |
New York, Metropolitan Transportation Authority, Dedicated Tax Fund, Build America Bonds, Metro Transit Authority, Series A2, 6.089%, 11/15/2040 |
| 270,000 | 268,936 | |
Tulare, CA, Sewer Revenue, Build America Bonds, 8.75%, 11/15/2044 (h) |
| 95,000 | 95,381 | |
Total Municipal Bonds and Notes (Cost $2,861,883) | 2,871,875 | |||
Preferred Securities 0.0% | ||||
Financials 0.0% | ||||
Citigroup Capital XXI, 8.3%, 12/21/2057 |
| 55,000 | 55,688 | |
Materials 0.0% | ||||
Hercules, Inc., 6.5%, 6/30/2029 |
| 10,000 | 8,000 | |
Total Preferred Securities (Cost $57,338) | 63,688 |
|
| Value ($) | ||
|
| |||
Exchange-Traded Funds 8.3% | ||||
iShares Barclays Aggregate Bond Fund | 275,328 | 28,689,178 | ||
iShares MSCI Japan Index Fund | 84,396 | 881,094 | ||
Vanguard Emerging Markets | 416,133 | 17,552,490 | ||
Total Exchange-Traded Funds (Cost $38,260,241) | 47,122,762 | |||
| ||||
Securities Lending Collateral 1.3% | ||||
Daily Assets Fund Institutional, 0.22% (i) (j) (Cost $7,415,830) | 7,415,830 | 7,415,830 | ||
| ||||
Cash Equivalents 6.3% | ||||
Central Cash Management Fund, 0.16% (i) (Cost $35,602,730) | 35,602,730 | 35,602,730 |
| % of Net Assets | Value ($) |
|
| |
Total Investment Portfolio (Cost $518,874,477)+ | 102.0 | 579,258,964 |
Other Assets and Liabilities, Net (d) | (2.0) | (11,170,209) |
Net Assets | 100.0 | 568,088,755 |
** Non-income producing security. Issuer has defaulted on the payment of principal or interest or has filed for bankruptcy. The following table represents bonds that are in default:
Securities | Coupon | Maturity Date | Principal Amount | Acquisition Cost ($) | Value ($) | |
ARCO Chemical Co. | 9.8% | 2/1/2020 | 120,000 | USD | 106,800 | 111,000 |
Buffalo Thunder Development Authority | 9.375% | 12/15/2014 | 20,000 | USD | 17,425 | 2,650 |
CanWest MediaWorks LP | 9.25% | 8/1/2015 | 35,000 | USD | 32,944 | 11,594 |
Fontainebleau Las Vegas Holdings LLC | 11.0% | 6/15/2015 | 40,000 | USD | 27,850 | 450 |
Reader's Digest Association, Inc. | 9.0% | 2/15/2017 | 25,000 | USD | 17,379 | 250 |
Simmons Co. | 10.0% | 12/15/2014 | 125,000 | USD | 83,281 | 2,344 |
Tropicana Entertainment LLC | 9.625% | 12/15/2014 | 105,000 | USD | 54,144 | 92 |
Trump Entertainment Resorts, Inc. | 8.5% | 6/1/2015 | 10,000 | USD | 7,225 | 50 |
|
|
|
| | 347,048 | 128,430 |
**** Annualized yield at time of purchase; not a coupon rate.
+ The cost for federal income tax purposes was $523,228,468. At March 31, 2010, net unrealized appreciation for all securities based on tax cost was $56,030,496. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $68,391,488 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $12,360,992.
(a) Principal amount stated in US dollars unless otherwise noted.
(b) Securities with the same description are the same corporate entity but trade on different stock exchanges.
(c) When-issued or delayed delivery security included.
(d) All or a portion of these securities were on loan amounting to $7,172,027. In addition, included in other assets and liabilities, net are pending sales, amounting to $56,930 that are also on loan (see Notes to Financial Statements). The value of all securities loaned at March 31, 2010 amounted to $7,228,957, which is 1.3% of net assets.
(e) Government-backed debt issued by financial companies or government sponsored enterprises.
(f) At March 31, 2010, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts.
(g) Taxable issue.
(h) Bond is insured by one of these companies:
Insurance Coverage | As a % of Total Investment Portfolio |
Assured Guaranty Municipal Corp. | 0.0 |
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.
(i) Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.(j) 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 presentation purposes in this investment portfolio.
At March 31, 2010, open futures contracts purchased were as follows:
Futures | Currency | Expiration Date | Contracts | Notional Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
10 Year Canadian Government Bond | CAD | 6/21/2010 | 116 | 13,418,835 | (59,813) |
10 Year Japanese Government Bond | JPY | 6/10/2010 | 20 | 29,568,938 | (226,489) |
ASX SPI 200 Index | AUD | 6/17/2010 | 1 | 111,930 | 318 |
CAC 40 Index | EUR | 4/16/2010 | 85 | 4,559,492 | 35,145 |
DJ Euro Stoxx 50 Index | EUR | 6/18/2010 | 287 | 11,051,522 | 116,745 |
FTSE 100 Index | GBP | 6/18/2010 | 105 | 8,939,625 | 92,554 |
IBEX 35 Index | EUR | 4/16/2010 | 7 | 1,025,015 | (8,970) |
NASDAQ E-Mini 100 Index | USD | 6/18/2010 | 110 | 4,302,650 | 84,838 |
Nikkei 225 Index | USD | 6/10/2010 | 2 | 111,700 | 5,792 |
Russell 2000 Mini Index | USD | 6/18/2010 | 4 | 270,840 | 1,971 |
S&P 500 E-Mini Index | USD | 6/18/2010 | 55 | 3,204,300 | 48,928 |
TOPIX Index | JPY | 6/11/2010 | 19 | 1,986,576 | 117,670 |
United Kingdom Long Gilt Bond | GBP | 6/28/2010 | 138 | 24,030,356 | 85,921 |
Total net unrealized appreciation | 294,610 |
At March 31, 2010, open futures contracts sold were as follows:
Futures | Currency | Expiration Date | Contracts | Notional Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
10 Year Australian Treasury Bond | AUD | 6/15/2010 | 57 | 5,315,098 | 90,091 |
10 Year US Treasury Note | USD | 6/21/2010 | 240 | 27,900,000 | 209,290 |
AEX Index | EUR | 4/16/2010 | 10 | 925,196 | (19,755) |
ASX SPI 200 Index | AUD | 6/17/2010 | 21 | 2,350,538 | (24,146) |
DAX Index | EUR | 6/18/2010 | 17 | 3,525,383 | (108,829) |
FTSE MIB Index | EUR | 6/18/2010 | 16 | 2,419,285 | (31,390) |
Hang Seng Index | HKD | 4/29/2010 | 18 | 2,460,894 | (63,058) |
Russell 2000 Mini Index | USD | 6/18/2010 | 1 | 67,710 | (533) |
S&P 500 E-Mini Index | USD | 6/18/2010 | 257 | 14,972,820 | (251,822) |
S&P TSX 60 Index | CAD | 6/18/2010 | 17 | 2,355,044 | (8,099) |
Total net unrealized depreciation | (208,251) |
As of March 31, 2010, the Fund had the following open forward foreign currency exchange contracts:
Contracts to Deliver |
| In Exchange For |
| Settlement Date | Unrealized Appreciation ($) | Counterparty | ||
JPY | 1,083,085,000 |
| USD | 12,036,284 |
| 4/22/2010 | 449,835 | HSBC Bank USA |
USD | 19,665,293 |
| AUD | 21,697,000 |
| 4/22/2010 | 197,505 | The Goldman Sachs & Co. |
USD | 6,181,800 |
| NOK | 36,982,000 |
| 4/22/2010 | 34,522 | UBS AG |
USD | 3,957,056 |
| NZD | 5,659,000 |
| 4/22/2010 | 56,918 | Barclays Bank PLC |
USD | 1,616,609 |
| SEK | 11,711,000 |
| 4/22/2010 | 5,352 | Barclays Bank PLC |
USD | 221,453 |
| CHF | 236,000 |
| 4/22/2010 | 2,413 | Barclays Bank PLC |
Total unrealized appreciation |
|
| 746,545 |
Contracts to Deliver |
| In Exchange For |
| Settlement Date | Unrealized Depreciation ($) | Counterparty | ||
CAD | 7,193,000 |
| USD | 7,041,364 |
| 4/22/2010 | (40,749) | Credit Suisse |
EUR | 12,629,000 |
| USD | 17,044,503 |
| 4/22/2010 | (13,233) | Bank of New York Mellon Corp. |
EUR | 429,900 |
| USD | 574,453 |
| 4/26/2010 | (6,995) | Citigroup, Inc. |
EUR | 9,000 |
| USD | 12,118 |
| 4/26/2010 | (55) | JPMorgan Chase Securities, Inc. |
EUR | 1,800 |
| USD | 2,413 |
| 4/26/2010 | (22) | Citigroup, Inc. |
GBP | 7,499,000 |
| USD | 11,238,976 |
| 4/22/2010 | (139,209) | Credit Suisse |
JPY | 148,000,000 |
| USD | 1,582,211 |
| 6/29/2010 | (3,136) | Credit Suisse |
Total unrealized depreciation |
|
| (203,399) |
Currency Abbreviations |
AUD Australian Dollar CAD Canadian Dollar CHF Swiss Franc EUR Euro GBP British Pound HKD Hong Kong Dollar 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 and forward foreign currency contracts, please refer to the Derivatives section of Note A in the accompanying Notes to 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 March 31, 2010 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 Financial Statements.
Assets | Level 1 | Level 2 | Level 3 | Total |
| ||||
Common Stock and/or Other Equity Investments (k) | ||||
Consumer Discretionary | $ 30,995,456 | $ 5,982,010 | $ — | $ 36,977,466 |
Consumer Staples | 22,139,464 | 5,450,338 | — | 27,589,802 |
Energy | 27,014,824 | 5,264,400 | — | 32,279,224 |
Financials | 42,063,596 | 7,550,018 | 710,312 | 50,323,926 |
Health Care | 35,552,316 | 5,742,263 | — | 41,294,579 |
Industrials | 30,792,454 | 6,906,285 | — | 37,698,739 |
Information Technology | 51,028,545 | 4,303,877 | — | 55,332,422 |
Materials | 12,809,233 | 4,972,543 | — | 17,781,776 |
Telecommunication Services | 6,528,348 | 3,723,047 | — | 10,251,395 |
Utilities | 8,458,256 | 2,463,943 | — | 10,922,199 |
Fixed Income Investments (k) |
|
|
|
|
Corporate Bonds | — | 55,720,485 | 23,400 | 55,743,885 |
Asset Backed | — | 748,328 | — | 748,328 |
Mortgage-Backed Securities Pass-Throughs | — | 24,694,911 | — | 24,694,911 |
Commercial Mortgage-Backed Securities | — | 7,413,913 | — | 7,413,913 |
Collateralized Mortgage Obligations | — | 29,609,028 | 436,967 | 30,045,995 |
Government & Agency Obligations | — | 40,584,350 | — | 40,584,350 |
Municipal Bonds and Notes | — | 2,871,875 | — | 2,871,875 |
Preferred Securities | — | 63,688 | — | 63,688 |
Exchange-Traded Funds | 47,122,762 | — | — | 47,122,762 |
Short-Term Investments (k) | 43,018,560 | 6,499,169 | — | 49,517,729 |
Derivatives (l) | 86,359 | 746,545 | — | 832,904 |
Total | $ 357,610,173 | $ 221,311,016 | $ 1,170,679 | $ 580,091,868 |
Liabilities |
|
|
|
|
Derivatives (l) | $ — | $ (203,399) | $ — | $ (203,399) |
Total | $ — | $ (203,399) | $ — | $ (203,399) |
(l) Derivatives include unrealized appreciation (depreciation) on open futures contracts and forward foreign currency exchange contracts.
Level 3 Reconciliation
The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used in determining value:
| 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) | (1,766) | — | 14,281 | (829,504) | (816,989) |
Change in unrealized appreciation (depreciation) | 101,466 | 21,064 | 197,184 | 1,114,449 | 1,434,163 |
Amortization premium/discount | — | 9,103 | — | (445) | 8,658 |
Net purchases (sales) | 610,022 | 6,783 | (95,206) | (634,900) | (113,301) |
Net transfers in (out) of Level 3 | — | (35,413) | — | — | (35,413) |
Balance as of March 31, 2010 | $ 710,312 | $ 23,400 | $ 436,967 | $ — | $ 1,170,679 |
Net change in unrealized appreciation (depreciation) from investments still held as of March 31, 2010 | $ 96,948 | $ (2,265) | $ 197,184 | $ — | $ 291,867 |
The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities as of March 31, 2010 | |
Assets | |
Investments: Investments in securities, at value (cost $475,855,917 — including $7,172,027 of securities loaned | $ 536,240,404 |
Investment in Daily Assets Fund Institutional (cost $7,415,830)* | 7,415,830 |
Investment in Central Cash Management Fund (cost $35,602,730) | 35,602,730 |
Total investments, at value (cost $518,874,477) | 579,258,964 |
Cash | 76,472 |
Foreign currency, at value (cost $787,059) | 791,871 |
Deposits with broker for open futures contracts | 173 |
Receivable for investments sold | 5,357,021 |
Dividends receivable | 491,462 |
Interest receivable | 1,396,958 |
Receivable for Fund shares sold | 16,842 |
Unrealized appreciation on forward foreign currency exchange contracts | 746,545 |
Foreign taxes recoverable | 68,641 |
Due from Advisor | 187,674 |
Other assets | 28,473 |
Total assets | 588,421,096 |
Liabilities | |
Payable upon return of securities loaned | 7,415,830 |
Payable for investments purchased | 7,532,096 |
Payable for when-issued and delayed delivery securities purchased | 3,783,748 |
Payable for Fund shares redeemed | 516,701 |
Payable for daily variation margin on open future contracts | 63,648 |
Net payable on closed forward foreign currency exchange contracts | 36 |
Unrealized depreciation on forward foreign currency exchange contracts | 203,399 |
Accrued management fee | 165,323 |
Other accrued expenses and payables | 651,560 |
Total liabilities | 20,332,341 |
Net assets, at value | $ 568,088,755 |
The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities as of March 31, 2010 (continued) | |
Net Assets Consist of | |
Undistributed net investment income | 5,268,747 |
Net unrealized appreciation (depreciation) on: Investments | 60,384,487 |
Futures | 86,359 |
Foreign currency | 535,400 |
Accumulated net realized gain (loss) | (207,172,303) |
Paid-in capital | 708,986,065 |
Net assets, at value | $ 568,088,755 |
Net Asset Value | |
Class S Net Asset Value offering and redemption price per share ($3,167,687 ÷ 374,951 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized) | $ 8.45 |
Institutional Class Net Asset Value offering and redemption price per share ($564,921,068 ÷ 64,041,400 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized) | $ 8.82 |
The accompanying notes are an integral part of the financial statements.
Statement of Operations for the year ended March 31, 2010 | |
Investment Income | |
Income: Dividends (net of foreign taxes withheld of $151,616) | $ 6,575,395 |
Interest (net of foreign taxes withheld of $2,149) | 9,174,455 |
Income distributions — affiliated cash management vehicles | 78,333 |
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates | 24,569 |
Total Income | 15,852,752 |
Expenses: Management fee | 2,984,228 |
Administration fee | 508,127 |
Services to shareholders | 745,602 |
Professional fees | 115,910 |
Trustees' fees and expenses | 14,008 |
Custodian fee | 272,875 |
Reports to shareholders | 78,705 |
Registration fees | 34,523 |
Other | 147,794 |
Total expenses before expense reductions | 4,901,772 |
Expense reductions | (2,071,156) |
Total expenses after expense reductions | 2,830,616 |
Net investment income | 13,022,136 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: Investments | 10,400,613 |
Futures | 877,365 |
Foreign currency | 5,645,175 |
Payments by affiliates (see Note G) | 2,813 |
| 16,925,966 |
Change in net unrealized appreciation (depreciation) on: Investments | 128,525,542 |
Futures | (323,360) |
Foreign currency | 255,957 |
| 128,458,139 |
Net gain (loss) | 145,384,105 |
Net increase (decrease) in net assets resulting from operations | $ 158,406,241 |
The accompanying notes are an integral part of the financial statements.
Statement of Changes in Net Assets | ||
Increase (Decrease) in Net Assets | Years Ended March 31, | |
2010 | 2009 | |
Operations: Net investment income | $ 13,022,136 | $ 17,536,432 |
Net realized gain (loss) | 16,925,966 | (186,987,420) |
Change in net unrealized appreciation (depreciation) | 128,458,139 | (32,484,210) |
Net increase (decrease) in net assets resulting from operations | 158,406,241 | (201,935,198) |
Distributions to shareholders from: Net investment income Class S | (64,952) | (96,361) |
Institutional Class | (12,350,184) | (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 | (12,415,136) | (28,490,653) |
Fund share transactions: Proceeds from shares sold | 58,552,000 | 48,621,820 |
Reinvestment of distributions | 12,414,949 | 28,489,415 |
Cost of shares redeemed | (53,546,478) | (185,258,477) |
Net increase (decrease) in net assets from Fund share transactions | 17,420,471 | (108,147,242) |
Increase (decrease) in net assets | 163,411,576 | (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 $5,268,747 and accumulated distributions in excess of net investment income of $529,474, respectively) | $ 568,088,755 | $ 404,677,179 |
The accompanying notes are an integral part of the financial statements.
Class S+ Years Ended March 31, | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per Share Data | |||||
Net asset value, beginning of period | $ 6.23 | $ 9.79 | $ 11.85 | $ 11.30 | $ 10.62 |
Income (loss) from investment operations: Net investment incomea | .19 | .26 | .29 | .33 | .22 |
Net realized and unrealized gain (loss) | 2.20 | (3.40) | (.30) | .80 | .70 |
Total from investment operations | 2.39 | (3.14) | (.01) | 1.13 | .92 |
Less distributions from: Net investment income | (.17) | (.20) | (.42) | (.25) | (.24) |
Net realized gains | — | (.13) | (1.63) | (.33) | — |
Return of capital | — | (.09) | — | — | — |
Total distributions | (.17) | (.42) | (2.05) | (.58) | (.24) |
Redemption fees | — | — | .00* | .00* | .00* |
Net asset value, end of period | $ 8.45 | $ 6.23 | $ 9.79 | $ 11.85 | $ 11.30 |
Total Return (%)b | 38.53 | (33.05) | (.75) | 10.16 | 8.77 |
Ratios to Average Net Assets and Supplemental Data | |||||
Net assets, end of period ($ millions) | 3 | 3 | 5 | 5 | 31 |
Ratio of expenses before expense reductions (%) | 1.07 | 1.08 | 1.05 | .93 | 1.41 |
Ratio of expenses after expense reductions (%) | .81 | .82 | .87 | .71 | 1.00 |
Ratio of net investment income (%) | 2.31 | 2.99 | 2.50 | 2.67 | 1.92 |
Portfolio turnover rate (%) | 209 | 242 | 264 | 175 | 108 |
+ On October 23, 2006, Investment Class was renamed Class S. a Based on average shares outstanding during the period. b Total return would have been lower had certain expenses not been reduced. * Amount is less than $.005. |
Institutional Class Years Ended March 31, | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per Share Data | |||||
Net asset value, beginning of period | $ 6.51 | $ 10.22 | $ 12.29 | $ 11.74 | $ 11.04 |
Income (loss) from investment operations: Net investment incomea | .21 | .28 | .32 | .34 | .27 |
Net realized and unrealized gain (loss) | 2.30 | (3.54) | (.29) | .85 | .74 |
Total from investment operations | 2.51 | (3.26) | .03 | 1.19 | 1.01 |
Less distributions from: Net investment income | (.20) | (.23) | (.47) | (.31) | (.31) |
Net realized gains | — | (.13) | (1.63) | (.33) | — |
Return of capital | — | (.09) | — | — | — |
Total distributions | (.20) | (.45) | (2.10) | (.64) | (.31) |
Redemption fees | — | — | .00* | .00* | .00* |
Net asset value, end of period | $ 8.82 | $ 6.51 | $ 10.22 | $ 12.29 | $ 11.74 |
Total Return (%)b | 38.76 | (32.84) | (.40) | 10.28 | 9.19 |
Ratios to Average Net Assets and Supplemental Data | |||||
Net assets, end of period ($ millions) | 565 | 402 | 738 | 761 | 726 |
Ratio of expenses before expense reductions (%) | .96 | .98 | .89 | .89 | .91 |
Ratio of expenses after expense reductions (%) | .56 | .57 | .55 | .55 | .55 |
Ratio of net investment income (%) | 2.56 | 3.24 | 2.82 | 2.83 | 2.37 |
Portfolio turnover rate (%) | 209 | 242 | 264 | 175 | 108 |
a Based on average shares outstanding during the period. b Total return would have been lower had certain expenses not been reduced. * Amount is less than $.005. |
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 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 or issuer'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 certain 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 either cash or 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 agent will use its best effort 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 uses futures contracts 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. In addition, the Fund seeks to enhance returns by employing a global tactical asset allocation overlay strategy by entering into futures contracts on fixed-income securities, including on bond indices, and equity indices and on currency. As part of this strategy, the Fund uses futures contracts to attempt to take advantage of short-term and medium-term inefficiencies 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 March 31, 2010 is included in a table following the Fund's Investment Portfolio. For the year ended March 31, 2010, the Fund invested in future contracts with a total notional value generally indicative of a range from approximately $57,728,000 to $164,874,000.
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 enters 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 also enters 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 contracts as of March 31, 2010 is included in a table following the Fund's Investment Portfolio. For the year ended March 31, 2010, the Fund invested in forward foreign currency contracts with a total value generally indicative of a range from approximately $22,112,000 to $98,526,000.
The following tables summarize the value of the Fund's derivative instruments held as of March 31, 2010 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 |
Foreign Exchange Contracts (a) | $ 746,545 | $ — | $ 746,545 |
Equity Contracts (b) | — | (12,641) | (12,641) |
Interest Rate Contracts (b) | — | 99,000 | 99,000 |
| $ 746,545 | $ 86,359 | $ 832,904 |
Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts:
(a) Unrealized appreciation on 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) | $ (203,435) |
The above derivative is located in the following Statement of Assets and Liabilities account:
(a) Unrealized depreciation on forward foreign currency exchange contracts and net payable on closed forward foreign currency exchange contractsAdditionally, the amount of unrealized and realized gains and losses on derivative instruments recognized in Fund earnings during the year ended March 31, 2010 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 |
Foreign Exchange Contracts (a) | $ 5,960,279 | $ — | $ 5,960,279 |
Equity Contracts (b) | — | 1,258,194 | 1,258,194 |
Interest Rate Contracts (b) | — | (380,829) | (380,829) |
| $ 5,960,279 | $ 877,365 | $ 6,837,644 |
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
Change in Net Unrealized Appreciation (Depreciation) | Forward Contracts | Futures Contracts | Total |
Foreign Exchange Contracts (a) | $ 263,126 | $ — | $ 263,126 |
Equity Contracts (b) | — | (118,876) | (118,876) |
Interest Rate Contracts (b) | — | (204,484) | (204,484) |
| $ 263,126 | $ (323,360) | $ (60,234) |
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
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, 2010, the Fund had a net tax basis capital loss carryforward of approximately $200,605,000, which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until March 31, 2011 ($6,531,000), March 31, 2012 ($1,658,000), March 31, 2013 ($255,000), March 31, 2017 ($95,651,000) and March 31, 2018 ($96,510,000), 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, 2009 through March 31, 2010, the Fund incurred approximately $1,888,000 of net realized capital losses. As permitted by tax regulations, the Fund intends to elect to defer these losses and treat them as arising in the fiscal year ending March 31, 2011.
The Fund has reviewed the tax positions for the open tax years as of March 31, 2010 and has determined that no provision for income tax is required in the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Distribution of Income and Gains. Net investment income of the Fund is declared and distributed to shareholders quarterly. Net realized gains from investment transactions, in excess of available capital loss carryforwards, would be taxable to the Fund if not distributed, and, therefore, will be distributed to shareholders at least annually.
The timing and characterization of certain income and capital gains distributions are determined annually in accordance with federal tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences primarily relate to investments in foreign denominated investments, investments in passive foreign investment companies, forward foreign currency exchange contracts, recognition of certain foreign currency gains (losses) as ordinary income (loss), futures contracts and certain securities sold at a loss. As a result net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, the Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of the Fund.
At March 31, 2010, each Fund's components of distributable earnings (accumulated losses) on a tax-basis were as follows:
Undistributed ordinary income* | $ 5,822,705 |
Capital loss carryforward | $ (200,605,000) |
Net unrealized appreciation (depreciation) on investments | $ 56,030,496 |
In addition, the tax character of distributions paid to shareholders by the Fund is summarized as follows:
| Years Ended March 31, | |
| 2010 | 2009 |
Distributions from ordinary income* | $ 12,415,136 | $ 14,401,959 |
Distributions from long-term capital gains* | $ — | $ 8,080,035 |
Return of capital | $ — | $ 6,008,659 |
Real Estate Investment Trusts. The Fund periodically recharacterizes distributions received from a Real Estate Investment Trust ("REIT") investment based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available timely from a REIT, the recharacterization will be estimated and a recharacterization will be made in the following year when such information becomes available. Distributions received from REITs in excess of income are recorded as either a reduction of cost of investments or realized gains. The Fund distinguishes between dividends on a tax basis and a financial reporting basis and only distributions in excess of tax basis earnings and profits are reported in the financial statements as a return of capital for tax reporting purposes.
Expenses. Expenses of the Trust arising in connection with a specific fund are allocated to that fund. Other Trust expenses which cannot be directly attributed to a fund are apportioned among the funds in the Trust.
Contingencies. In the normal course of business, the Fund may enter into contracts with service providers that contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet been made. However, based on experience, the Fund expects the risk of loss to be remote.
Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment security transactions are reported on trade date. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date net of foreign withholding taxes. Certain dividends from foreign securities may be recorded subsequent to the ex-dividend date as soon as the Fund is informed of such dividends. Realized gains and losses from investment transactions are recorded on an identified cost basis. All premiums and discounts are amortized/accreted for financial reporting purposes, with the exception of securities in default of principal.
B. Purchases and Sales of Securities
During the year ended March 31, 2010, purchases and sales of investment securities (excluding short-term investments and US Treasury obligations) aggregated $752,885,009 and $731,861,654, respectively. Purchases and sales of US Treasury obligations aggregated $250,877,887 and $251,813,038, 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.
On January 26, 2010, the Advisor announced its intention to transition members of its Quantitative Strategies Group (the "QS Group"), including members of the Fund's portfolio management team, out of the Advisor into a separate investment advisory firm unaffiliated with the Advisor known as QS Investors, LLC ("QS Investors") (the "Separation"). The Separation is expected to be completed during the third quarter of 2010. In order for the Fund to continue to access the investment expertise offered by the members of the QS Group following the Separation, the Advisor recommended that the Board approve a sub-advisory agreement between the Advisor and QS Investors (the "Sub-Advisory Agreement"). On May 4, 2010, following a review of QS Investors' capabilities, the terms of the Separation and the Sub-Advisory Agreement, the Fund's Board approved the Sub-Advisory Agreement, subject to shareholder approval. If the proposed Sub-Advisory Agreement is approved by shareholders, it is expected to become effective no earlier than the completion of the Separation. As a subadvisor to the Fund, QS Investors will render strategic asset allocation services and will also manage a portion of the assets allocated to equities and the portion of assets allocated to the Fund's iGAP strategy. Pursuant to the Sub-Advisory Agreement, QS Investors is paid for its services by the Advisor from its fees 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 its fees and/or reimburse certain operating expenses of Class S shares to the extent necessary to maintain the operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) at at 1.00%.
Effective October 1, 2009 through September 30, 2010, the Advisor has contractually agreed to waive its fees and/or reimburse certain operating expenses of Class S shares to the extent necessary to maintain the operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) at 1.01%.
In addition, the Advisor has voluntarily agreed to waive its fees and/or reimburse certain operating expenses of Institutional Class shares to the extent necessary to maintain the operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) at 0.55%. This voluntary waiver or reimbursement may be terminated at any time at the option of the Advisor.
Accordingly, for the year ended March 31, 2010, the Advisor waived a portion of its management fee pursuant to the Investment Management Agreement aggregating $1,339,165 and the amount charged aggregated $1,645,063, which was equivalent to an annual effective rate of 0.32% of the Fund's average daily net assets.
In addition, for the year ended March 31, 2010, the Advisor reimbursed $731,709 of sub-recordkeeping expenses for Institutional Class shares.
Administration Fee. Pursuant to an Administrative Services Agreement, DIMA provides most administrative services to the Fund. For all services provided under the Administrative Services Agreement, the Fund pays the Advisor an annual fee ("Administration Fee") of 0.10% of the Fund's average daily net assets, computed and accrued daily and payable monthly. For the year ended March 31, 2010, the Administration Fee was $508,127, of which $47,849 is unpaid.
Service Provider Fees. DWS Investments Service Company ("DISC"), an affiliate of the Advisor, is the transfer agent, dividend-paying agent and shareholder service agent for the Fund. Pursuant to a sub-transfer agency agreement between DISC and DST Systems, Inc. ("DST"), DISC has delegated certain transfer agent, dividend-paying agent and shareholder service agent functions to DST. DISC compensates DST out of the shareholder servicing fee it receives from the Fund. For the year ended March 31, 2010, the amounts charged to the Fund by DISC were as follows:
Services to Shareholders | Total Aggregated | Waived | Unpaid at March 31, 2010 |
Class S | $ 2,118 | $ — | $ 525 |
Institutional Class | 282 | 282 | — |
| $ 2,400 | $ 282 | $ 525 |
Typesetting and Filing Service Fees. Under an agreement with DIMA, DIMA is compensated for providing typesetting and certain regulatory filing services to the Fund. For the year ended March 31, 2010, the amount charged to the Fund by DIMA included in the Statement of Operations under "reports to shareholders" aggregated $42,116, of which $11,880 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 uninvested cash balances in Central Cash Management Fund and other affiliated money market funds managed by the Advisor. The Fund indirectly bears its proportionate share of the expenses of the underlying money market funds. Central Cash Management Fund does not pay the Advisor an investment management fee. Central Cash Management Fund seeks a high level of current income consistent with liquidity and the preservation of capital.
D. Concentration of Ownership
From time to time the Fund may have a concentration of several shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Fund.
At March 31, 2010, one or more shareholders or intermediaries individually held greater than 10% of the outstanding shares of the Fund. These shareholders held approximately 69% and 25%, 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:
| Year Ended March 31, 2010 | Year Ended March 31, 2009 | ||
| Shares | Dollars | Shares | Dollars |
Shares sold | ||||
Class S | 36,496 | $ 291,553 | 46,789 | $ 384,077 |
Institutional Class | 7,264,240 | 58,260,447 | 6,611,924 | 48,237,743 |
|
| $ 58,552,000 |
| $ 48,621,820 |
Shares issued to shareholders in reinvestment of distributions | ||||
Class S | 8,377 | $ 64,932 | 24,253 | $ 199,476 |
Institutional Class | 1,513,220 | 12,350,017 | 3,297,625 | 28,289,939 |
|
| $ 12,414,949 |
| $ 28,489,415 |
Shares redeemed | ||||
Class S | (121,703) | $ (937,601) | (104,736) | $ (805,893) |
Institutional Class | (6,447,805) | (52,608,877) | (20,460,940) | (184,452,584) |
|
| $ (53,546,478) |
| $ (185,258,477) |
Net increase (decrease) | ||||
Class S | (76,830) | $ (581,116) | (33,694) | $ (222,340) |
Institutional Class | 2,329,655 | 18,001,587 | (10,551,391) | (107,924,902) |
|
| $ 17,420,471 |
| $ (108,147,242) |
G. Payments by Affiliates
During the year ended March 31, 2010, the Advisor fully reimbursed the Fund $2,813 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 evaluated the events and transactions subsequent to year end and has determined that there were no material events that would require disclosure in the Fund's financial statements.
Report of Independent Registered Public Accounting Firm
To the Trustees of DWS Advisor Funds and Shareholders of DWS Lifecycle Long Range Fund:
In our opinion, the accompanying statement of assets and liabilities, including the investment portfolio, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DWS Lifecycle Long Range Fund (the "Fund") at March 31, 2010, and the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2010 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
Boston, Massachusetts | PricewaterhouseCoopers LLP |
For corporate shareholders, 38% of the ordinary dividends (i.e., income dividends plus short-term capital gains) paid during the Fund's fiscal year ended March 31, 2010, qualified for the dividends received deduction.
A total of 4% of the dividends distributed during the fiscal year was derived from interest on US government securities which is generally exempt from state income tax.
For federal income tax purposes, the Fund designates $7,500,000, or the maximum amount allowable under tax law, as qualified dividend income.
Please consult a tax advisor if you have questions about federal or state income tax laws, or on how to prepare your tax returns. If you have specific questions about your account, please call (800) 621-1048.
Summary of Management Fee Evaluation by Independent Fee Consultant
October 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
The following table presents certain information regarding the Board Members and Officers of the Trust as of March 31, 2010. Each Board Member's year of birth is set forth in parentheses after his or her name. Unless otherwise noted, (i) each Board Member has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity; and (ii) the address of each Independent Board Member is c/o Paul K. Freeman, Independent Chairman, DWS Funds, PO Box 101833, Denver, CO 80250-1833. Except as otherwise noted below, the term of office for each Board Member is until the election and qualification of a successor, or until such Board Member sooner dies, resigns, is removed or as otherwise provided in the governing documents of the fund. Because the fund does not hold an annual meeting of shareholders, each Board Member will hold office for an indeterminate period. The Board Members may also serve in similar capacities with other funds in the fund complex. The Length of Time Served represents the year in which the Board Member joined the board of one or more DWS funds now overseen by the Board.
Independent Board Members | ||
Name, Year of Birth, Position with the Fund and Length of Time Served1 | Business Experience and Directorships During the Past Five Years | Number of Funds in DWS Fund Complex Overseen |
Paul K. Freeman (1950) Chairperson since 2009 Board Member since 1993 | Consultant, World Bank/Inter-American Development Bank; Governing Council of the Independent Directors Council (governance, education committees); formerly, Project Leader, International Institute for Applied Systems Analysis (1998-2001); Chief Executive Officer, The Eric Group, Inc. (environmental insurance) (1986-1998) | 126 |
John W. Ballantine (1946) Board Member since 1999 | Retired; formerly, Executive Vice President and Chief Risk Management Officer, First Chicago NBD Corporation/The First National Bank of Chicago (1996-1998); Executive Vice President and Head of International Banking (1995-1996). Directorships: Healthways, Inc. (provider of disease and care management services); Portland General Electric (utility company); Stockwell Capital Investments PLC (private equity). Former Directorships: First Oak Brook Bancshares, Inc. and Oak Brook Bank; Prisma Energy International | 126 |
Henry P. Becton, Jr. (1943) Board Member since 1990 | Vice Chair and former President, WGBH Educational Foundation. Directorships: Association of Public Television Stations; Lead Director, Becton Dickinson and Company3 (medical technology company); Lead Director, Belo Corporation3 (media company); Public Radio International; Public Radio Exchange (PRX); The PBS Foundation. Former Directorships: Boston Museum of Science; American Public Television; Concord Academy; New England Aquarium; Mass. Corporation for Educational Telecommunications; Committee for Economic Development; Public Broadcasting Service | 126 |
Dawn-Marie Driscoll (1946) Board Member since 1987 | President, Driscoll Associates (consulting firm); Executive Fellow, Center for Business Ethics, Bentley University; formerly, Partner, Palmer & Dodge (1988-1990); Vice President of Corporate Affairs and General Counsel, Filene's (1978-1988). Directorships: Trustee of 20 open-end mutual funds managed by Sun Capital Advisers, Inc. (since 2007); Director of ICI Mutual Insurance Company (since 2007); Advisory Board, Center for Business Ethics, Bentley University; Trustee, Southwest Florida Community Foundation (charitable organization). Former Directorships: Investment Company Institute (audit, executive, nominating committees) and Independent Directors Council (governance, executive committees) | 126 |
Keith R. Fox (1954) Board Member since 1996 | Managing General Partner, Exeter Capital Partners (a series of private investment funds). Directorships: Progressive Holding Corporation (kitchen goods importer and distributor); Box Top Media Inc. (advertising); The Kennel Shop (retailer); former Chairman, National Association of Small Business Investment Companies | 126 |
Kenneth C. Froewiss (1945) Board Member since 2001 | Adjunct Professor of Finance, NYU Stern School of Business (September 2009-present; Clinical Professor from 1997-September 2009); Member, Finance Committee, Association for Asian Studies (2002-present); Director, Mitsui Sumitomo Insurance Group (US) (2004-present); prior thereto, Managing Director, J.P. Morgan (investment banking firm) (until 1996) | 126 |
Richard J. Herring (1946) Board Member since 1990 | Jacob Safra Professor of International Banking and Professor, Finance Department, The Wharton School, University of Pennsylvania (since July 1972); Co-Director, Wharton Financial Institutions Center (since July 2000); Director, Japan Equity Fund, Inc. (since September 2007), Thai Capital Fund, Inc. (since September 2007), Singapore Fund, Inc. (since September 2007). Formerly, Vice Dean and Director, Wharton Undergraduate Division (July 1995-June 2000); Director, Lauder Institute of International Management Studies (July 2000-June 2006) | 126 |
William McClayton (1944) Board Member since 2004 | Private equity investor (since October 2009); previously, Managing Director, Diamond Management & Technology Consultants, Inc. (global consulting firm) (2001-2009); Directorship: Board of Managers, YMCA of Metropolitan Chicago; formerly: Senior Partner, Arthur Andersen LLP (accounting) (1966-2001); Trustee, Ravinia Festival | 126 |
Rebecca W. Rimel (1951) Board Member since 1995 | President and Chief Executive Officer, The Pew Charitable Trusts (charitable organization) (1994 to present); Trustee, Thomas Jefferson Foundation (charitable organization) (1994 to present); Trustee, Executive Committee, Philadelphia Chamber of Commerce (2001-2007); Trustee, Pro Publica (2007-present) (charitable organization); Director, CardioNet, Inc.2 (2009-present) (health care). Formerly, Executive Vice President, The Glenmede Trust Company (investment trust and wealth management) (1983-2004); Board Member, Investor Education (charitable organization) (2004-2005); Director, Viasys Health Care2 (January 2007-June 2007) | 126 |
William N. Searcy, Jr. (1946) Board Member since 1993 | Private investor since October 2003; Trustee of 20 open-end mutual funds managed by Sun Capital Advisers, Inc. (since October 1998). Formerly, Pension & Savings Trust Officer, Sprint Corporation2 (telecommunications) (November 1989-September 2003) | 126 |
Jean Gleason Stromberg (1943) Board Member since 1997 | Retired. Formerly, Consultant (1997-2001); Director, Financial Markets US Government Accountability Office (1996-1997); Partner, Fulbright & Jaworski, L.L.P. (law firm) (1978-1996). Directorships: The William and Flora Hewlett Foundation; Business Leadership Council, Wellesley College. Former Directorships: Service Source, Inc., Mutual Fund Directors Forum (2002-2004), American Bar Retirement Association (funding vehicle for retirement plans) (1987-1990 and 1994-1996) | 126 |
Robert H. Wadsworth (1940) Board Member since 1999 | President, Robert H. Wadsworth & Associates, Inc. (consulting firm) (1983 to present); Director, The Phoenix Boys Choir Association | 129 |
Officers4 | |
Name, Year of Birth, Position with the Fund and Length of Time Served5 | Principal Occupation(s) During Past 5 Years and Other Directorships Held |
Michael G. Clark6 (1965) President, 2006-present | Managing Director3, Deutsche Asset Management (2006-present); President of DWS family of funds; Director, ICI Mutual Insurance Company (since October 2007); formerly, Director of Fund Board Relations (2004-2006) and Director of Product Development (2000-2004), Merrill Lynch Investment Managers; Senior Vice President Operations, Merrill Lynch Asset Management (1999-2000) |
Ingo Gefeke7 (1967) Executive Vice President since 2010 | Managing Director3, Deutsche Asset Management; Global Head of Distribution and Product Management, DWS Global Head of Trading and Securities Lending. Member of the Board of Directors of DWS Investment GmbH Frankfurt (since July 2009) and DWS Holding & Service GmbH Frankfurt (since January 2010); formerly, Global Chief Administrative Officer, Deutsche Asset Management (2004-2009); Global Chief Operating Officer, Global Transaction Banking, Deutsche Bank AG, New York (2001-2004); Chief Operating Officer, Global Banking Division Americas, Deutsche Bank AG, New York (1999-2001); Central Management, Global Banking Services, Deutsche Bank AG, Frankfurt (1998-1999); Relationship Management, Deutsche Bank AG, Tokyo, Japan (1997-1998) |
John Millette8 (1962) Vice President and Secretary, 1999-present | Director3, Deutsche Asset Management |
Paul H. Schubert6 (1963) Chief Financial Officer, 2004-present Treasurer, 2005-present | Managing Director3, Deutsche Asset Management (since July 2004); formerly, Executive Director, Head of Mutual Fund Services and Treasurer for UBS Family of Funds (1998-2004); Vice President and Director of Mutual Fund Finance at UBS Global Asset Management (1994-1998) |
Caroline Pearson8,11 (1962) Assistant Secretary, 1997-present Chief Legal Officer, April 2010-present | Managing Director3, Deutsche Asset Management |
Rita Rubin9 (1970) Assistant Secretary, 2009-present | Vice President and Counsel, Deutsche Asset Management (since October 2007); formerly, Vice President, Morgan Stanley Investment Management (2004-2007); Attorney, Shearman & Sterling LLP (2004); Director and Associate General Counsel, UBS Global Asset Management (US) Inc. (2001-2004) |
Paul Antosca8 (1957) Assistant Treasurer, 2007-present | Director3, Deutsche Asset Management (since 2006); Vice President, The Manufacturers Life Insurance Company (U.S.A.) (1990-2006) |
Jack Clark8 (1967) Assistant Treasurer, 2007-present | Director3, Deutsche Asset Management (since 2007); formerly, Vice President, State Street Corporation (2002-2007) |
Diane Kenneally8 (1966) Assistant Treasurer, 2007-present | Director3, Deutsche Asset Management |
John Caruso10 (1965) Anti-Money Laundering Compliance Officer, 2010-present | Managing Director3, Deutsche Asset Management |
Robert Kloby9 (1962) Chief Compliance Officer, 2006-present | Managing Director3, Deutsche Asset Management |
J. Christopher Jackson9,11 (1951) Chief Legal Officer, 2006-April 2010 | Director3, Deutsche Asset Management (2006-present); formerly, Director, Senior Vice President, General Counsel and Assistant Secretary, Hansberger Global Investors, Inc. (1996-2006); Director, National Society of Compliance Professionals (2002-2005) (2006-2009) |
2 A publicly held company with securities registered pursuant to Section 12 of the Securities Exchange Act of 1934.
3 Executive title, not a board directorship.
4 As a result of their respective positions held with the Advisor, these individuals are considered "interested persons" of the Advisor within the meaning of the 1940 Act. Interested persons receive no compensation from the fund.
5 The length of time served represents the year in which the officer was first elected in such capacity for one or more DWS funds.
6 Address: 345 Park Avenue, New York, New York 10154.
7 The mailing address of Mr. Gefeke is 345 Park Avenue, New York, New York 10154. In addition, Mr. Gefeke is an interested Board Member of certain DWS funds by virtue of his positions with Deutsche Asset Management. As an interested person, Mr. Gefeke receives no compensation from the fund.
8 Address: One Beacon Street, Boston, MA 02108.
9 Address: 280 Park Avenue, New York, New York 10017.
10 Address: 60 Wall Street, New York, New York 10005.
11 Effective April 23, 2010, J. Christopher Jackson resigned as Chief Legal Officer, and Caroline Pearson was appointed as Chief Legal Officer.
The fund's Statement of Additional Information ("SAI") includes additional information about the Board Members. The SAI is available, without charge, upon request. If you would like to request a copy of the SAI, you may do so by calling the following toll-free number: (800) 621-1048.
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For More Information | The automated telephone system allows you to access personalized account information and obtain information on other DWS funds using either your voice or your telephone keypad. Certain account types within Class S also have the ability to purchase, exchange or redeem shares using this system. For more information, contact your financial advisor. You may also access our automated telephone system or speak with a DWS Investments representative by calling the appropriate number below: For shareholders of Institutional Class: (800) 621-1048For shareholders of Class S: (800) 728-3337 |
Web Site | www.dws-investments.com View your account transactions and balances, trade shares, monitor your asset allocation, and change your address, 24 hours a day.Obtain prospectuses and applications, blank forms, interactive worksheets, news about DWS funds, subscription to fund updates by e-mail, retirement planning information, and more. |
Written Correspondence | DWS Investments PO Box 219151Kansas City, MO 64121-9151 |
Proxy Voting | The fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 are available on our Web site — www.dws-investments.com (click on "proxy voting"at the bottom of the page) — or on the SEC's Web site — www.sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at (800) 621-1048. |
Principal Underwriter | If you have questions, comments or complaints, contact: DWS Investments Distributors, Inc. 222 South Riverside PlazaChicago, IL 60606-5808 (800) 621-1148 |
| Class S | Institutional Class |
Nasdaq Symbol | BTILX | BTAMX |
CUSIP Number | 23339E 517 | 23339E 525 |
Fund Number | 812 | 567 |
Notes
Notes
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ITEM 2. | CODE OF ETHICS |
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| As of the end of the period, March 31, 2010, DWS Lifecycle Long Range Fund has a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its Principal Executive Officer and Principal Financial Officer.
There have been no amendments to, or waivers from, a provision of the code of ethics during the period covered by this report that would require disclosure under Item 2.
A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
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ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT |
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| The fund’s audit committee is comprised solely of trustees who are "independent" (as such term has been defined by the Securities and Exchange Commission ("SEC") in regulations implementing Section 407 of the Sarbanes-Oxley Act (the "Regulations")). The fund’s Board of Trustees has determined that there are several "audit committee financial experts" (as such term has been defined by the Regulations) serving on the fund’s audit committee including Mr. William McClayton, the chair of the fund’s audit committee. An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933 and the designation or identification of a person as an “audit committee financial expert” does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. |
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ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES |
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DWS LIFECYCLE LONG RANGE FUND
FORM N-CSR DISCLOSURE RE: AUDIT FEES
The following table shows the amount of fees that PricewaterhouseCoopers, LLP (“PWC”), the Fund’s independent registered public accounting firm, billed to the Fund during the Fund’s last two fiscal years. The Audit Committee approved in advance all audit services and non-audit services that PWC provided to the Fund.
Services that the Fund’s Independent Registered Public Accounting Firm Billed to the Fund
Fiscal Year | Audit Fees Billed to Fund | Audit-Related | Tax Fees Billed to Fund | All |
2010 | $77,236 | $0 | $0 | $0 |
2009 | $77,525 | $0 | $0 | $0 |
Services that the Fund’s Independent Registered Public Accounting Firm Billed to the Adviser and Affiliated Fund Service Providers
The following table shows the amount of fees billed by PWC to Deutsche Investment Management Americas Inc. (“DeIM” or the “Adviser”), and any entity controlling, controlled by or under common control with DeIM (“Control Affiliate”) that provides ongoing services to the Fund (“Affiliated Fund Service Provider”), for engagements directly related to the Fund’s operations and financial reporting, during the Fund’s last two fiscal years.
Fiscal Year | Audit-Related | Tax Fees Billed to Adviser and Affiliated Fund Service Providers | All |
2010 | $9,500 | $0 | $0 |
2009 | $0 | $19,000 | $0 |
The “Audit-Related Fees” were billed for services in connection with the agreed-upon procedures and the above “Tax Fees” were billed in connection with tax compliance and tax planning.
Non-Audit Services
The following table shows the amount of fees that PWC billed during the Fund’s last two fiscal years for non-audit services. The Audit Committee pre-approved all non-audit services that PWC provided to the Adviser and any Affiliated Fund Service Provider that related directly to the Fund’s operations and financial reporting. The Audit Committee requested and received information from PWC about any non-audit services that PWC rendered during the Fund’s last fiscal year to the Adviser and any Affiliated Fund Service Provider. The Committee considered this information in evaluating PWC’s independence.
Fiscal Year | Total (A) | Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (engagements related directly to the operations and financial reporting of the Fund) (B) | Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (all other engagements) (C) | Total of (A), (B) |
2010 | $0 | $0 | $100,000 | $100,000 |
2009 | $0 | $19,000 | $0 | $19,000 |
All other engagement fees were billed for services in connection with an internal control review of a subadvisor.
Audit Committee Pre-Approval Policies and Procedures. Generally, each Fund’s Audit Committee must pre approve (i) all services to be performed for a Fund by a Fund’s Independent Registered Public Accounting Firm and (ii) all non-audit services to be performed by a Fund’s Independent Registered Public Accounting Firm for the DIMA Entities with respect to operations and financial reporting of the Fund, except that the Chairperson or Vice Chairperson of each Fund’s Audit Committee may grant the pre-approval for non-audit services described in items (i) and (ii) above for non-prohibited services for engagements of less than $100,000. All such delegated pre approvals shall be presented to each Fund’s Audit Committee no later than the next Audit Committee meeting.
There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception under Rule 2-01 of Regulation S-X.
According to the registrant’s principal Independent Registered Public Accounting Firm, all of the principal Independent Registered Public Accounting Firm's hours spent on auditing the registrant's financial statements were attributed to work performed by full-time permanent employees of the principal Independent Registered Public Accounting Firm.
***
PwC advised the Fund's Audit Committee that PwC has identified two matters that it determined to be inconsistent with the SEC's auditor independence rules. In the first instance, an employee of PwC had power of attorney over an account which included DWS funds. The employee did not perform any audit services for the DWS Funds, but did work on a non audit project for Deutsche Bank AG. In the second instance, an employee of PwC served as a nominee shareholder (effectively equivalent to a Trustee) of various companies/trusts since 2001. Some of these companies held shares of Aberdeen, a sub advisor to certain DWS Funds, and of certain funds sponsored by subsidiaries of Deutsche Bank AG. The trustee relationship has ceased. PwC informed the Audit Committee that these matters could have constituted an investment in an affiliate of an audit client in violation of the Rule 2-01(c)(1) of Regulation S-X. PwC advised the Audit Committee that PwC believes its independence had not been impacted as it related to the audits of the Fund. In reaching this conclusion, PwC noted that during the time of its audit, the engagement team was not aware of the investment and that PwC does not believe these situations affected PwC's ability to act objectively and impartially and to issue a report on financial statements as the funds' independent auditor.
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ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS |
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| Not Applicable |
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ITEM 6. | SCHEDULE OF INVESTMENTS |
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| Not Applicable |
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ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
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| Not applicable. |
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ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
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| Not applicable. |
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ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
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| Not Applicable. |
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ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS |
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| There were no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board. 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 Paul K. Freeman, Independent Chairman, DWS Funds, P.O. Box 101833, Denver, CO 80250-1833. |
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ITEM 11. | CONTROLS AND PROCEDURES |
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| (a) The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. |
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| (b) There have been no changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting. |
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ITEM 12. | EXHIBITS |
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| (a)(1) Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
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| (a)(2) Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
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| (b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
Form N-CSR Item F
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | DWS Lifecycle Long Range Fund, a series of DWS Advisor Funds |
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By: | /s/Michael G. Clark Michael G. Clark President |
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Date: | June 1, 2010 |
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: | June 1, 2010 |
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By: | /s/Paul Schubert Paul Schubert Chief Financial Officer and Treasurer |
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Date: | June 1, 2010 |