UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549
FORM N-CSRS
Investment Company Act file number | 811-04760 |
DWS Advisor Funds
(Exact Name of Registrant as Specified in Charter)
345 Park Avenue
New York, NY 10154-0004
(Address of Principal Executive Offices) (Zip Code)
Registrant’s Telephone Number, including Area Code: (201) 593-6408
Paul Schubert
100 Plaza One
Jersey City, NJ 07311
(Name and Address of Agent for Service)
Date of fiscal year end: | 3/31 |
Date of reporting period: | 9/30/2010 |
ITEM 1. | REPORT TO STOCKHOLDERS |
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|
SEPTEMBER 30, 2010 Semiannual Report |
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DWS Lifecycle Long Range Fund |
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Contents
4 Performance Summary 6 Information About Your Fund's Expenses 8 Portfolio Summary 10 Investment Portfolio 50 Statement of Assets and Liabilities 52 Statement of Operations 53 Statement of Changes in Net Assets 54 Financial Highlights 56 Notes to Financial Statements 67 Shareholder Meeting Results 68 Investment Management Agreement Approval 73 New Sub-Advisory Agreement Approval 75 Summary of Management Fee Evaluation by Independent Fee Consultant 79 Account Management Resources 80 Privacy Statement |
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. The fund may use derivatives, including as part of its global alpha strategy. 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 September 30, 2010
Average Annual Total Returns as of 9/30/10 | |||||
No Sales Charges | 6-Month‡ | 1-Year | 3-Year | 5-Year | 10-Year |
Class S | 1.33% | 9.03% | -4.07% | 1.34% | 1.50% |
Institutional Class | 1.49% | 9.20% | -3.82% | 1.61% | 1.85% |
Barclays Capital US Aggregate Bond Index+ | 6.05% | 8.16% | 7.42% | 6.20% | 6.41% |
Russell 1000® Index+ | -1.21% | 10.75% | -6.79% | 0.86% | -0.21% |
Sources: Lipper Inc. and Deutsche Investment Management Americas Inc.
‡ Total returns shown for periods less than one year are not annualized.Performance in the Average Annual Total Returns table above and the Growth of an Assumed $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, 2010 are 1.07% and 0.96% 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+ |
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Yearly periods ended September 30 |
The growth of $1,000,000 is cumulative.
The minimum initial investment for the Institutional Class is $1,000,000.
Performance of other share classes will vary based on the 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.
Net Asset Value and Distribution Information | ||
| Class S | Institutional Class |
Net Asset Value: 9/30/10 | $ 8.39 | $ 8.76 |
3/31/10 | $ 8.45 | $ 8.82 |
Distribution Information: Six Months as of 9/30/10:Income Dividends | $ .17 | $ .19 |
Lipper Rankings — Mixed-Asset Target Allocation Moderate Funds Category as of 9/30/10 | ||||
Period | Rank |
| Number of Fund Classes Tracked | Percentile Ranking (%) |
Class S 1-Year | 259 | of | 500 | 52 |
3-Year | 400 | of | 450 | 89 |
5-Year | 323 | of | 372 | 87 |
Institutional Class 1-Year | 251 | of | 500 | 51 |
3-Year | 389 | of | 450 | 87 |
5-Year | 310 | of | 372 | 84 |
10-Year | 137 | of | 185 | 74 |
Source: Lipper Inc. Rankings are historical and do not guarantee future results. Rankings are based on total return unadjusted for sales charges with distributions reinvested.
Information About Your Fund's Expenses
As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees and other Fund expenses. Examples of transaction costs include account maintenance fees, which are not shown in this section. The following tables are intended to help you understand your ongoing expenses (in dollars) of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. In the most recent six-month period, the Fund limited these expenses; had it not done so, expenses would have been higher. The example in the table is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period (April 1, 2010 to September 30, 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 September 30, 2010 | ||
Actual Fund Return | Class S | Institutional Class |
Beginning Account Value 4/1/10 | $ 1,000.00 | $ 1,000.00 |
Ending Account Value 9/30/10 | $ 1,013.30 | $ 1,014.90 |
Expenses Paid per $1,000* | $ 4.04 | $ 2.78 |
Hypothetical 5% Fund Return | Class S | Institutional Class |
Beginning Account Value 4/1/10 | $ 1,000.00 | $ 1,000.00 |
Ending Account Value 9/30/10 | $ 1,021.06 | $ 1,022.31 |
Expenses Paid per $1,000* | $ 4.05 | $ 2.79 |
Annualized Expense Ratios | Class S | Institutional Class |
DWS Lifecycle Long Range Fund | .80% | .55% |
For more information, please refer to the Fund's prospectus.
Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral) | 9/30/10 | 3/31/10 |
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|
|
Common Stocks | 56% | 56% |
Exchange-Traded Funds | 12% | 8% |
Corporate Bonds | 10% | 10% |
Collateralized Mortgage Obligations | 7% | 5% |
Government & Agency Obligations | 5% | 8% |
Cash Equivalents | 3% | 6% |
Mortgage-Backed Securities Pass-Throughs | 3% | 5% |
Commercial Mortgage-Backed Securities | 2% | 1% |
Asset-Backed | 1% | — |
Municipal Bonds and Notes | 1% | 1% |
| 100% | 100% |
Sector Diversification (As a % of Equities, Corporate Bonds and Preferred Securities) | 9/30/10 | 3/31/10 |
|
|
|
Financials | 19% | 19% |
Information Technology | 15% | 15% |
Health Care | 12% | 11% |
Consumer Discretionary | 11% | 11% |
Energy | 10% | 10% |
Industrials | 9% | 11% |
Consumer Staples | 9% | 8% |
Materials | 5% | 6% |
Telecommunication Services | 5% | 4% |
Utilities | 5% | 5% |
| 100% | 100% |
Geographical Diversification (As a % of Equity Securities) | 9/30/10 | 3/31/10 |
|
|
|
United States | 75% | 80% |
Europe (excluding United Kingdom) | 12% | 10% |
Japan | 4% | 3% |
United Kingdom | 3% | 2% |
Pacific Basin | 2% | 1% |
Canada | 1% | 1% |
Australia | 1% | 1% |
Other | 2% | 2% |
| 100% | 100% |
Asset allocation, sector and geographical diversifications are subject to change.
Ten Largest Equity Holdings at September 30, 2010 (6.9% of Net Assets) | |
1. Apple, Inc. Manufacturer of personal computers and communication solutions | 1.2% |
2. Chevron Corp. Operator of petroleum exploration, delivery and refining facilities | 0.9% |
3. Johnson & Johnson Provider of health care products | 0.7% |
4. AT&T, Inc. Provider of communications services | 0.7% |
5. Microsoft Corp. Developer of computer software | 0.6% |
6. ExxonMobil Corp. Explorer and producer of oil and gas | 0.6% |
7. International Business Machines Corp. Manufacturer of computers and provider of information processing services | 0.6% |
8. Anadarko Petroleum Corp. Explorer and producer of crude oil and natural gas | 0.6% |
9. Citigroup, Inc. Provider of diversified financial services | 0.5% |
10. Colgate-Palmolive Co. Manufacturer of household and personal care products | 0.5% |
Portfolio holdings are subject to change.
For more complete details about the Fund's investment portfolio, see page 10. A quarterly Fact Sheet is available upon request. 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. The Fund's portfolio holdings are also posted on www.dws-investments.com from time to time. Please see the Fund's current prospectus for more information.
Investment Portfolio as of September 30, 2010 (Unaudited)
|
| Value ($) |
|
| |
Common Stocks 55.3% | ||
Consumer Discretionary 6.4% | ||
Auto Components 0.4% | ||
BorgWarner, Inc.* | 22,900 | 1,204,998 |
Compagnie Generale des Etablissements Michelin "B" | 157 | 11,982 |
Federal-Mogul Corp.* | 23,100 | 436,821 |
Magna International, Inc. "A" | 500 | 41,029 |
Minth Group Ltd. | 166,400 | 332,861 |
Nippon Seiki Co., Ltd. | 13,000 | 136,014 |
Pirelli & C. SpA | 2,217 | 18,057 |
S&T Dynamics Co., Ltd. | 9,260 | 183,296 |
| 2,365,058 | |
Automobiles 0.1% | ||
Bayerische Motoren Werke (BMW) AG | 2,707 | 190,170 |
Daimler AG (Registered)* | 2,499 | 158,550 |
Fiat SpA | 4,754 | 73,538 |
Harley-Davidson, Inc. | 4,800 | 136,512 |
Honda Motor Co., Ltd. | 200 | 7,115 |
Nissan Motor Co., Ltd. | 2,500 | 21,897 |
PSA Peugeot Citroen* | 3,289 | 110,989 |
Toyota Motor Corp. | 1,700 | 60,932 |
| 759,703 | |
Distributors 0.0% | ||
Jardine Cycle & Carriage Ltd. | 1,000 | 29,948 |
Li & Fung Ltd. | 12,000 | 67,475 |
| 97,423 | |
Diversified Consumer Services 0.4% | ||
Career Education Corp.* (b) | 15,600 | 334,932 |
Education Management Corp.* (b) | 66,700 | 979,156 |
Hillenbrand, Inc. | 6,900 | 148,419 |
ITT Educational Services, Inc.* | 6,800 | 477,836 |
| 1,940,343 | |
Hotels Restaurants & Leisure 0.9% | ||
Autogrill SpA* | 1,184 | 14,846 |
Compass Group PLC | 3,990 | 33,272 |
Crown Ltd. | 4,710 | 38,196 |
Darden Restaurants, Inc. | 12,750 | 545,445 |
Domino's Pizza UK & IRL PLC | 19,280 | 142,401 |
Genting Singapore PLC* | 40,000 | 56,700 |
International Speedway Corp. "A" | 22,400 | 546,560 |
Marriott International, Inc. "A" | 23,319 | 835,520 |
McDonald's Corp. | 15,750 | 1,173,532 |
Paddy Power PLC | 6,610 | 231,947 |
PartyGaming PLC* | 31,602 | 137,055 |
REXLot Holdings Ltd. | 2,250,000 | 213,151 |
Sands China Ltd.* | 12,400 | 22,280 |
Shangri-La Asia Ltd. | 8,000 | 18,136 |
Starbucks Corp. | 20,000 | 511,600 |
TABCORP Holdings Ltd. | 3,940 | 26,658 |
Tatts Group Ltd. | 11,254 | 25,998 |
Tim Hortons, Inc. | 1,000 | 36,427 |
Trump Entertainment Resorts, Inc.* | 4 | 73 |
Wynn Macau Ltd.* | 11,200 | 19,358 |
| 4,629,155 | |
Household Durables 0.1% | ||
Advanced Digital Broadcast Holdings SA (Registered) | 1,590 | 41,330 |
Electrolux AB "B" | 984 | 24,252 |
Fortune Brands, Inc. | 1,300 | 63,999 |
Garmin Ltd. | 2,000 | 60,700 |
Jarden Corp. | 3,500 | 108,955 |
Panasonic Corp. | 16,887 | 229,078 |
Sony Corp. | 1,000 | 30,931 |
| 559,245 | |
Internet & Catalog Retail 0.6% | ||
Amazon.com, Inc.* | 3,500 | 549,710 |
Liberty Media Corp. — Interactive "A"* | 152,100 | 2,085,291 |
Netflix, Inc.* | 2,800 | 454,048 |
| 3,089,049 | |
Leisure Equipment & Products 0.1% | ||
Universal Entertainment Corp.* | 12,300 | 267,915 |
Media 1.5% | ||
Aegis Group PLC | 48,484 | 94,214 |
British Sky Broadcasting Group PLC | 1,807 | 20,028 |
Charm Communications, Inc. "A" (ADR)* | 4,000 | 31,280 |
Clear Channel Outdoor Holdings, Inc. "A"* | 7,600 | 86,868 |
Comcast Corp. "A" | 79,800 | 1,442,784 |
Dex One Corp.* | 360 | 4,421 |
DIRECTV "A"* | 5,000 | 208,150 |
Discovery Communications, Inc. "A"* | 3,200 | 139,360 |
Fairfax Media Ltd. | 9,922 | 14,050 |
Gestevision Telecinco SA | 1,471 | 16,186 |
JC Decaux SA* | 7,125 | 188,206 |
Liberty Media-Starz "A"* | 13,000 | 843,440 |
Madison Square Garden, Inc. "A"* | 40,100 | 845,308 |
McGraw-Hill Companies, Inc. | 7,500 | 247,950 |
Mediaset SpA | 4,536 | 32,174 |
Modern Times Group "B" | 362 | 26,980 |
New York Times Co. "A"* (b) | 77,900 | 602,946 |
Omnicom Group, Inc. | 4,200 | 165,816 |
Pearson PLC | 8,887 | 137,658 |
Reed Elsevier NV | 5,882 | 74,288 |
Reed Elsevier PLC | 2,143 | 18,140 |
Scripps Networks Interactive "A" | 21,700 | 1,032,486 |
Shaw Communications, Inc. "B" | 1,100 | 24,226 |
Singapore Press Holdings Ltd. | 15,000 | 48,522 |
SuperMedia, Inc.* | 67 | 708 |
Thomson Reuters Corp. | 1,102 | 41,428 |
Time Warner Cable, Inc. | 17,900 | 966,421 |
Vivendi | 1,177 | 32,267 |
Wolters Kluwer NV | 2,586 | 54,407 |
WPP PLC | 46,061 | 510,086 |
| 7,950,798 | |
Multiline Retail 0.3% | ||
Canadian Tire Corp., Ltd. "A" | 200 | 11,138 |
Dollar General Corp.* | 11,000 | 321,750 |
Harvey Norman Holdings Ltd. | 3,399 | 12,386 |
Kohl's Corp.* | 13,450 | 708,546 |
Marks & Spencer Group PLC | 4,429 | 27,021 |
Nordstrom, Inc. | 15,000 | 558,000 |
Sears Holdings Corp.* (b) | 2,000 | 144,280 |
| 1,783,121 | |
Specialty Retail 1.6% | ||
Advance Auto Parts, Inc. | 15,800 | 927,144 |
Aeropostale, Inc.* | 17,000 | 395,250 |
Bed Bath & Beyond, Inc.* | 5,700 | 247,437 |
Esprit Holdings Ltd. | 6,387 | 34,386 |
Guess?, Inc. | 4,800 | 195,024 |
Hennes & Mauritz AB "B" | 12,209 | 442,047 |
hhgregg, Inc.* | 7,200 | 178,272 |
Industria de Diseno Textil SA | 1,588 | 126,055 |
Kingfisher PLC | 8,275 | 30,435 |
L'Occitane International SA* | 45,750 | 127,898 |
Limited Brands, Inc. | 49,200 | 1,317,576 |
Nitori Co., Ltd. | 4,064 | 339,809 |
O'Reilly Automotive, Inc.* | 10,700 | 569,240 |
Office Depot, Inc.* | 293,100 | 1,348,260 |
Staples, Inc. | 7,800 | 163,176 |
The Gap, Inc. | 16,200 | 301,968 |
TJX Companies, Inc. | 29,150 | 1,300,964 |
Urban Outfitters, Inc.* | 6,300 | 198,072 |
Yamada Denki Co., Ltd. | 4,341 | 269,395 |
| 8,512,408 | |
Textiles, Apparel & Luxury Goods 0.4% | ||
Adidas AG | 368 | 22,809 |
Billabong International Ltd. | 3,400 | 26,193 |
Burberry Group PLC | 9,371 | 153,212 |
Coach, Inc. | 3,500 | 150,360 |
Compagnie Financiere Richemont SA "A" | 8,160 | 392,743 |
Deckers Outdoor Corp.* | 5,000 | 249,800 |
Luxottica Group SpA | 740 | 20,281 |
LVMH Moet Hennessy Louis Vuitton SA | 250 | 36,746 |
NIKE, Inc. "B" | 14,200 | 1,137,988 |
Swatch Group AG (Bearer) | 148 | 55,783 |
Yue Yuen Industrial (Holdings) Ltd. | 5,000 | 18,496 |
| 2,264,411 | |
Consumer Staples 5.3% | ||
Beverages 1.4% | ||
Anheuser-Busch InBev NV | 2,392 | 140,530 |
Asahi Breweries Ltd. | 2,700 | 54,107 |
C&C Group PLC | 57,638 | 253,232 |
Carlsberg AS "B" | 3,919 | 408,361 |
Central European Distribution Corp.* | 7,000 | 156,240 |
Coca-Cola Amatil Ltd. | 1,082 | 12,537 |
Coca-Cola Co. | 14,700 | 860,244 |
Diageo PLC | 23,092 | 397,920 |
Dr. Pepper Snapple Group, Inc. (b) | 66,300 | 2,354,976 |
Foster's Group Ltd. | 3,848 | 22,742 |
Hansen Natural Corp.* | 25,300 | 1,179,486 |
Heineken Holding NV | 583 | 25,530 |
Heineken NV | 1,202 | 62,481 |
Kirin Holdings Co., Ltd. | 6,000 | 85,173 |
PepsiCo, Inc. | 18,400 | 1,222,496 |
Pernod Ricard SA | 704 | 58,897 |
SABMiller PLC | 640 | 20,477 |
Sapporo Holdings Ltd. | 3,000 | 14,078 |
| 7,329,507 | |
Food & Staples Retailing 0.9% | ||
Aeon Co., Ltd. | 4,000 | 42,998 |
Alimentation Couche-Tard, Inc. "B" | 700 | 15,655 |
Carrefour SA | 8,391 | 451,919 |
Casino Guichard-Perrachon SA | 263 | 24,122 |
Colruyt SA | 54 | 14,273 |
Delhaize Group | 378 | 27,406 |
FamilyMart Co., Ltd. | 400 | 14,356 |
George Weston Ltd. | 300 | 23,020 |
Koninklijke Ahold NV | 26,147 | 352,615 |
Lawson, Inc. | 400 | 18,328 |
Loblaw Companies Ltd. | 500 | 19,812 |
Metro AG | 6,221 | 405,327 |
Metro, Inc. "A" | 600 | 26,032 |
Seven & I Holdings Co., Ltd. | 17,827 | 418,429 |
Shoppers Drug Mart Corp. | 1,000 | 38,867 |
SUPERVALU, Inc. | 104,100 | 1,200,273 |
Sysco Corp. | 22,100 | 630,292 |
Tesco PLC | 32,467 | 216,359 |
UNY Co., Ltd. | 1,800 | 14,280 |
Wal-Mart Stores, Inc. | 11,000 | 588,720 |
Wesfarmers Ltd. | 1,359 | 43,204 |
Whole Foods Market, Inc.* | 5,400 | 200,394 |
Woolworths Ltd. | 1,658 | 46,252 |
| 4,832,933 | |
Food Products 1.4% | ||
Ajinomoto Co., Inc. | 5,000 | 48,979 |
Bunge Ltd. | 13,800 | 816,408 |
Corn Products International, Inc. | 9,800 | 367,500 |
DANONE SA | 2,133 | 127,737 |
Darling International, Inc.* | 11,600 | 98,832 |
Dean Foods Co.* | 25,700 | 262,397 |
Diamond Foods, Inc. | 5,300 | 217,247 |
General Mills, Inc. | 8,300 | 303,282 |
Green Mountain Coffee Roasters, Inc.* (b) | 5,450 | 169,985 |
Indofood CBP Sukses Makmur TBK PT* | 79,500 | 48,056 |
Kikkoman Corp. | 1,000 | 11,053 |
MEIJI Holdings Co., Ltd. | 400 | 18,852 |
Nestle SA (Registered) | 21,447 | 1,143,044 |
Nippon Meat Packers, Inc. | 1,000 | 12,266 |
Nisshin Seifun Group, Inc. | 1,000 | 13,167 |
Nissin Foods Holdings Co., Ltd. | 400 | 14,458 |
Saputo, Inc. | 600 | 20,480 |
Suedzucker AG | 1,156 | 25,862 |
SunOpta, Inc.* | 35,900 | 218,631 |
The J.M. Smucker Co. | 28,300 | 1,712,999 |
Toyo Suisan Kaisha Ltd. | 1,000 | 20,637 |
Tyson Foods, Inc. "A" | 95,700 | 1,533,114 |
Unilever NV (CVA) | 8,405 | 251,826 |
Unilever PLC | 740 | 21,441 |
Viterra, Inc.* | 1,300 | 11,346 |
Yakult Honsha Co., Ltd. | 600 | 18,553 |
Yamazaki Baking Co., Ltd. | 1,000 | 12,201 |
| 7,520,353 | |
Household Products 1.1% | ||
Church & Dwight Co., Inc. | 6,100 | 396,134 |
Colgate-Palmolive Co. | 35,250 | 2,709,315 |
Henkel AG & Co. KgaA | 1,751 | 79,295 |
Kimberly-Clark Corp. | 5,700 | 370,785 |
Procter & Gamble Co. | 39,600 | 2,374,812 |
Reckitt Benckiser Group PLC | 2,693 | 148,248 |
Unicharm Corp. | 900 | 36,266 |
| 6,114,855 | |
Personal Products 0.2% | ||
Avon Products, Inc. | 5,600 | 179,816 |
Beiersdorf AG | 1,780 | 109,258 |
Herbalife Ltd. | 5,000 | 301,750 |
Kao Corp. | 3,800 | 92,749 |
L'Oreal SA | 825 | 92,957 |
Shiseido Co., Ltd. | 2,000 | 44,977 |
| 821,507 | |
Tobacco 0.3% | ||
British American Tobacco PLC | 17,943 | 670,378 |
Imperial Tobacco Group PLC | 486 | 14,504 |
Japan Tobacco, Inc. | 29 | 96,708 |
Philip Morris International, Inc. | 17,800 | 997,156 |
| 1,778,746 | |
Energy 5.4% | ||
Energy Equipment & Services 1.1% | ||
Aker Solutions ASA | 1,400 | 20,316 |
AMEC PLC | 27,570 | 427,712 |
Cameron International Corp.* | 4,300 | 184,728 |
Dresser-Rand Group, Inc.* | 4,100 | 151,249 |
Exterran Holdings, Inc.* (b) | 17,700 | 401,967 |
John Wood Group PLC | 20,754 | 142,587 |
Lamprell PLC | 34,317 | 192,973 |
Nabors Industries Ltd.* | 17,200 | 310,632 |
National Oilwell Varco, Inc. | 23,900 | 1,062,833 |
Prosafe SE | 16,460 | 101,481 |
Rowan Companies, Inc.* (b) | 21,900 | 664,884 |
Saipem SpA | 8,331 | 334,459 |
SBM Offshore NV | 11,908 | 226,042 |
Schlumberger Ltd. | 13,450 | 828,655 |
Seadrill Ltd. | 2,200 | 63,782 |
Superior Energy Services, Inc.* | 24,400 | 651,236 |
Technip SA | 345 | 27,836 |
Tecnicas Reunidas SA | 2,124 | 113,123 |
Tenaris SA | 1,727 | 33,166 |
WorleyParsons Ltd. | 1,235 | 26,561 |
| 5,966,222 | |
Oil, Gas & Consumable Fuels 4.3% | ||
Alpha Natural Resources, Inc.* | 22,900 | 942,335 |
Anadarko Petroleum Corp. | 51,950 | 2,963,748 |
BG Group PLC | 2,225 | 39,124 |
BP PLC | 10,711 | 73,225 |
Canadian Natural Resources Ltd. | 800 | 27,672 |
Cenovus Energy, Inc. | 500 | 14,379 |
Chesapeake Energy Corp. | 45,200 | 1,023,780 |
Chevron Corp. | 58,600 | 4,749,530 |
Cimarex Energy Co. | 9,400 | 622,092 |
Cosmo Oil Co., Ltd. | 17,000 | 44,289 |
Enbridge, Inc. | 200 | 10,475 |
EnCana Corp. | 500 | 15,108 |
Eni SpA | 12,717 | 274,554 |
EOG Resources, Inc. | 7,400 | 687,978 |
EXCO Resources, Inc. | 5,600 | 83,272 |
ExxonMobil Corp. | 49,850 | 3,080,231 |
Idemitsu Kosan Co., Ltd. | 600 | 51,463 |
Imperial Oil Ltd. | 500 | 18,947 |
INPEX Corp. | 43 | 202,442 |
Japan Petroleum Exploration Co., Ltd. | 800 | 30,194 |
JX Holdings, Inc. | 39,900 | 231,838 |
Murphy Oil Corp. | 5,000 | 309,600 |
Northern Oil & Gas, Inc.* | 8,000 | 135,520 |
Occidental Petroleum Corp. | 14,700 | 1,151,010 |
Origin Energy Ltd. | 3,774 | 57,885 |
Repsol YPF SA | 8,442 | 217,892 |
Royal Dutch Shell PLC "A" | 25,493 | 767,803 |
Royal Dutch Shell PLC "B" | 1,205 | 35,177 |
Santos Ltd. | 3,663 | 45,413 |
Showa Shell Sekiyu KK | 5,500 | 42,036 |
Southwestern Energy Co.* | 11,100 | 371,184 |
Statoil ASA | 29,512 | 616,130 |
Suncor Energy, Inc. | 1,484 | 48,318 |
Talisman Energy, Inc. | 1,500 | 26,242 |
Teekay Corp. | 23,500 | 628,155 |
TonenGeneral Sekiyu KK | 7,000 | 64,844 |
Total SA | 11,486 | 592,441 |
TransCanada Corp. | 900 | 33,388 |
Ultra Petroleum Corp.* | 4,500 | 188,910 |
Valero Energy Corp. | 105,400 | 1,845,554 |
Woodside Petroleum Ltd. | 11,669 | 494,926 |
| 22,859,104 | |
Financials 8.6% | ||
Capital Markets 0.8% | ||
Affiliated Managers Group, Inc.* | 1,600 | 124,816 |
Ashmore Group PLC | 51,125 | 268,927 |
Charles Schwab Corp. | 29,700 | 412,830 |
Credit Suisse Group AG (Registered) | 930 | 39,830 |
Daiwa Securities Group, Inc. | 6,000 | 24,238 |
ICAP PLC | 15,133 | 102,772 |
Jefferies Group, Inc. (b) | 8,600 | 195,134 |
Lazard Ltd. "A" | 2,900 | 101,732 |
Morgan Stanley | 42,700 | 1,053,836 |
Nomura Holdings, Inc. | 6,500 | 31,520 |
Partners Group Holding AG | 1,600 | 265,206 |
T. Rowe Price Group, Inc. | 18,100 | 906,176 |
The Goldman Sachs Group, Inc. | 2,700 | 390,366 |
UBS AG (Registered)* | 2,823 | 48,016 |
Waddell & Reed Financial, Inc. "A" | 4,900 | 134,064 |
| 4,099,463 | |
Commercial Banks 2.8% | ||
Alpha Bank AE* | 3,379 | 21,108 |
Australia & New Zealand Banking Group Ltd. | 7,198 | 164,754 |
Banco Bilbao Vizcaya Argentaria SA | 2,201 | 29,807 |
Banco Santander SA | 26,369 | 334,088 |
Bank of Cyprus PCL (c) | 2,145 | 10,644 |
Bank of Cyprus PCL (c) | 1,010 | 5,078 |
Bank of Montreal | 200 | 11,562 |
Bank of Nova Scotia | 700 | 37,364 |
Barclays PLC | 3,017 | 14,167 |
BNP Paribas | 5,163 | 368,954 |
Canadian Imperial Bank of Commerce | 200 | 14,511 |
CapitalSource, Inc. | 162,700 | 868,818 |
CIT Group, Inc.* | 45,100 | 1,840,982 |
Commonwealth Bank of Australia | 655 | 32,397 |
Credit Agricole SA | 1,559 | 24,493 |
Dah Sing Banking Group Ltd. | 84,300 | 158,632 |
Danske Bank AS* | 4,831 | 116,464 |
DBS Group Holdings Ltd. | 3,000 | 32,098 |
Dexia SA* | 3,525 | 15,505 |
DnB NOR ASA | 29,402 | 400,860 |
EFG Eurobank Ergasias* | 2,303 | 13,807 |
Erste Group Bank AG | 1,418 | 56,867 |
Fifth Third Bancorp. | 147,500 | 1,774,425 |
HSBC Holdings PLC | 55,105 | 558,051 |
Huntington Bancshares, Inc. | 20,500 | 116,235 |
Intesa Sanpaolo | 12,220 | 39,803 |
KBC Groep NV* | 857 | 38,534 |
KeyCorp | 134,600 | 1,071,416 |
Lloyds Banking Group PLC* | 162,351 | 189,477 |
Mitsubishi UFJ Financial Group, Inc. | 21,800 | 101,750 |
Mizuho Financial Group, Inc. | 26,892 | 39,056 |
National Australia Bank Ltd. | 6,204 | 151,958 |
National Bank of Greece SA* | 4,171 | 40,590 |
Nordea Bank AB | 11,197 | 116,815 |
Oversea-Chinese Banking Corp., Ltd. | 6,000 | 40,347 |
Piraeus Bank SA* | 2,421 | 11,929 |
PNC Financial Services Group, Inc. | 15,700 | 814,987 |
Popular, Inc.* | 466,100 | 1,351,690 |
Prosperity Bancshares, Inc. | 3,900 | 126,633 |
Raiffeisen International Bank-Holding AG | 585 | 27,227 |
Resona Holdings, Inc. | 1,600 | 14,376 |
Royal Bank of Canada | 500 | 26,042 |
Sberbank | 76,285 | 211,168 |
Skandinaviska Enskilda Banken AB "A" | 40,796 | 303,033 |
Societe Generale | 6,914 | 400,287 |
Standard Chartered PLC | 740 | 21,264 |
Sumitomo Mitsui Financial Group, Inc. | 7,756 | 226,322 |
Sumitomo Trust & Banking Co., Ltd. | 4,000 | 20,070 |
SunTrust Banks, Inc. | 21,700 | 560,511 |
Svenska Handelsbanken AB "A" | 928 | 30,454 |
Swedbank AB "A"* | 17,015 | 236,263 |
Toronto-Dominion Bank | 300 | 21,708 |
UniCredit SpA | 60,852 | 155,828 |
United Overseas Bank Ltd. | 3,000 | 41,762 |
Wells Fargo & Co. | 48,000 | 1,206,240 |
Westpac Banking Corp. | 1,148 | 25,785 |
Wing Hang Bank Ltd. | 20,500 | 245,547 |
| 14,930,543 | |
Consumer Finance 0.8% | ||
American Express Co. | 9,200 | 386,676 |
Capital One Financial Corp. | 46,500 | 1,839,075 |
Cardtronics, Inc.* | 11,100 | 171,273 |
Discover Financial Services | 84,000 | 1,401,120 |
Kiatnakin Bank PCL (Foreign Registered) | 150,400 | 184,462 |
Magma Fincorp Ltd. | 49,640 | 85,202 |
ORIX Corp. | 260 | 19,914 |
| 4,087,722 | |
Diversified Financial Services 1.5% | ||
Bank of America Corp. | 101,100 | 1,325,421 |
Citigroup, Inc.* | 744,400 | 2,903,160 |
CME Group, Inc. "A" | 4,900 | 1,276,205 |
Deutsche Boerse AG | 224 | 14,959 |
Groupe Bruxelles Lambert SA | 500 | 41,628 |
Hellenic Exchanges SA | 8,100 | 57,683 |
Hong Kong Exchanges & Clearing Ltd. | 1,000 | 19,660 |
ING Groep NV (CVA)* | 62,042 | 640,749 |
IntercontinentalExchange, Inc.* | 3,250 | 340,340 |
Investor AB "B" | 985 | 19,986 |
JPMorgan Chase & Co. | 36,400 | 1,385,748 |
Pohjola Bank PLC "A" | 1,664 | 20,224 |
Singapore Exchange Ltd. | 2,000 | 13,742 |
| 8,059,505 | |
Insurance 2.1% | ||
Aegon NV* | 3,925 | 23,541 |
Ageas | 11,177 | 32,028 |
Allianz SE (Registered) | 4,296 | 484,981 |
Allied World Assurance Co. Holdings Ltd. | 19,100 | 1,080,869 |
American National Insurance Co. | 2,200 | 167,134 |
Aspen Insurance Holdings Ltd. | 17,700 | 535,956 |
Assicurazioni Generali SpA | 1,580 | 31,874 |
Assured Guaranty Ltd. | 51,800 | 886,298 |
AXA SA | 1,574 | 27,638 |
Berkshire Hathaway, Inc. "B"* | 15,000 | 1,240,200 |
Chubb Corp. | 15,100 | 860,549 |
CNA Financial Corp.* | 8,900 | 249,111 |
Dai-ichi Life Insurance Co., Ltd. | 19 | 22,946 |
Everest Re Group Ltd. | 9,600 | 830,112 |
Hartford Financial Services Group, Inc. | 33,500 | 768,825 |
Legal & General Group PLC | 146,727 | 239,043 |
MetLife, Inc. | 6,300 | 242,235 |
MS&AD Insurance Group Holdings, Inc. | 1,100 | 25,318 |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 294 | 40,742 |
Old Republic International Corp. | 19,600 | 271,460 |
Sampo Oyj "A" | 7,631 | 206,268 |
T&D Holdings, Inc. | 700 | 14,626 |
The Travelers Companies, Inc. | 32,400 | 1,688,040 |
Tokio Marine Holdings, Inc. | 1,100 | 29,734 |
Tryg AS | 339 | 20,358 |
Validus Holdings Ltd. | 16,500 | 434,940 |
Vienna Insurance Group AG | 402 | 21,621 |
Wesco Financial Corp. | 500 | 179,075 |
XL Group PLC | 31,100 | 673,626 |
Zurich Financial Services AG | 148 | 34,714 |
| 11,363,862 | |
Real Estate Investment Trusts 0.5% | ||
Hospitality Properties Trust (REIT) | 46,400 | 1,036,112 |
Rayonier, Inc. (REIT) | 28,200 | 1,413,384 |
Unibail-Rodamco SE (REIT) | 119 | 26,460 |
Westfield Group (REIT) (Units) | 1,301 | 15,417 |
| 2,491,373 | |
Real Estate Management & Development 0.1% | ||
CapitaLand Ltd. | 5,000 | 15,426 |
Cheung Kong (Holdings) Ltd. | 2,000 | 30,293 |
Hang Lung Properties Ltd. | 3,000 | 14,573 |
Immofinanz AG* | 8,098 | 30,240 |
K Wah International Holdings Ltd. | 335,639 | 132,963 |
Midland Holdings Ltd. | 310,000 | 286,821 |
Mitsubishi Estate Co., Ltd. | 3,000 | 48,914 |
Mitsui Fudosan Co., Ltd. | 1,000 | 16,867 |
Sun Hung Kai Properties Ltd. | 2,000 | 34,234 |
Swire Pacific Ltd. "A" | 1,000 | 13,742 |
| 624,073 | |
Health Care 7.1% | ||
Biotechnology 0.9% | ||
Abraxis BioScience* | 1,000 | 77,340 |
Amgen, Inc.* | 28,050 | 1,545,835 |
Celgene Corp.* (b) | 33,400 | 1,924,174 |
CSL Ltd. | 3,250 | 103,822 |
Gilead Sciences, Inc.* | 32,400 | 1,153,764 |
Metabolix, Inc.* | 6,600 | 83,028 |
| 4,887,963 | |
Health Care Equipment & Supplies 1.1% | ||
Accuray, Inc.* | 15,200 | 94,544 |
Alere, Inc.* | 17,000 | 525,810 |
Baxter International, Inc. | 6,900 | 329,199 |
Boston Scientific Corp.* | 47,200 | 289,336 |
CareFusion Corp.* | 23,800 | 591,192 |
Cochlear Ltd. | 525 | 35,675 |
Coloplast AS "B" | 150 | 17,893 |
Edwards Lifesciences Corp.* | 9,400 | 630,270 |
Essilor International SA | 1,042 | 71,728 |
Hill-Rom Holdings, Inc. | 5,100 | 183,039 |
Hospira, Inc.* | 10,500 | 598,605 |
Intuitive Surgical, Inc.* | 1,800 | 510,732 |
NxStage Medical, Inc.* (b) | 13,400 | 255,940 |
Olympus Corp. | 1,600 | 42,022 |
Smith & Nephew PLC | 2,990 | 27,279 |
Sysmex Corp. | 200 | 13,872 |
Terumo Corp. | 1,100 | 58,519 |
Thoratec Corp.* | 20,300 | 750,694 |
Varian Medical Systems, Inc.* | 7,400 | 447,700 |
Zimmer Holdings, Inc.* | 8,600 | 450,038 |
| 5,924,087 | |
Health Care Providers & Services 2.0% | ||
Aetna, Inc. | 12,100 | 382,481 |
Alfresa Holdings Corp. | 200 | 8,530 |
AmerisourceBergen Corp. | 31,200 | 956,592 |
Cardinal Health, Inc. | 49,300 | 1,628,872 |
DaVita, Inc.* | 2,300 | 158,769 |
Diagnosticos da America SA | 17,300 | 208,581 |
Express Scripts, Inc.* | 24,900 | 1,212,630 |
Fleury SA | 8,800 | 109,220 |
Fresenius Medical Care AG & Co. KgaA | 12,469 | 770,450 |
Health Net, Inc.* | 14,400 | 391,536 |
Humana, Inc.* | 31,400 | 1,577,536 |
Laboratory Corp. of America Holdings* | 1,300 | 101,959 |
McKesson Corp. | 24,300 | 1,501,254 |
Owens & Minor, Inc. | 5,850 | 166,491 |
Sonic Healthcare Ltd. | 3,257 | 34,674 |
Suzuken Co., Ltd. | 300 | 9,930 |
UnitedHealth Group, Inc. | 36,200 | 1,270,982 |
| 10,490,487 | |
Health Care Technology 0.1% | ||
M3, Inc. | 36 | 159,347 |
Merge Healthcare, Inc.* | 22,618 | 65,592 |
SXC Health Solutions Corp.* | 11,800 | 430,346 |
| 655,285 | |
Life Sciences Tools & Services 0.3% | ||
ICON PLC (ADR)* | 7,000 | 151,340 |
Life Technologies Corp.* | 4,700 | 219,443 |
Pharmaceutical Product Development, Inc. | 5,900 | 146,261 |
QIAGEN NV* | 10,200 | 182,471 |
Waters Corp.* | 11,400 | 806,892 |
| 1,506,407 | |
Pharmaceuticals 2.7% | ||
Abbott Laboratories | 8,550 | 446,652 |
Astellas Pharma, Inc. | 2,700 | 97,673 |
AstraZeneca PLC | 2,913 | 147,894 |
Bayer AG | 1,343 | 93,782 |
Bristol-Myers Squibb Co. | 29,200 | 791,612 |
Chugai Pharmaceutical Co., Ltd. | 1,500 | 27,610 |
Daiichi Sankyo Co., Ltd. | 4,100 | 83,499 |
Eisai Co., Ltd. | 1,500 | 52,512 |
Eli Lilly & Co. | 7,200 | 263,016 |
Endo Pharmaceuticals Holdings, Inc.* (b) | 12,900 | 428,796 |
Flamel Technologies SA (ADR)* | 22,361 | 161,894 |
Forest Laboratories, Inc.* | 60,300 | 1,865,079 |
GlaxoSmithKline PLC | 36,497 | 720,033 |
Hisamitsu Pharmaceutical Co., Inc. | 500 | 20,443 |
Johnson & Johnson | 62,700 | 3,884,892 |
King Pharmaceuticals, Inc.* | 178,300 | 1,775,868 |
Kyowa Hakko Kirin Co., Ltd. | 2,000 | 19,848 |
Merck & Co., Inc. | 14,609 | 537,757 |
Mitsubishi Tanabe Pharma Corp. | 1,000 | 16,292 |
Novartis AG (Registered) | 3,516 | 202,606 |
Novo Nordisk AS "B" | 1,420 | 140,550 |
Ono Pharmaceutical Co., Ltd. | 400 | 17,418 |
Pfizer, Inc. | 54,300 | 932,331 |
Questcor Pharmaceuticals, Inc.* (b) | 15,300 | 151,776 |
Roche Holding AG (Genusschein) | 1,299 | 177,366 |
Sanofi-Aventis | 11,668 | 778,623 |
Santen Pharmaceutical Co., Ltd. | 400 | 13,860 |
Shionogi & Co., Ltd. | 2,000 | 36,631 |
Shire PLC | 1,752 | 39,452 |
Taisho Pharmaceutical Co., Ltd. | 1,000 | 20,234 |
Takeda Pharmaceutical Co., Ltd. | 4,300 | 198,126 |
Tsumura & Co. | 400 | 12,439 |
VIVUS, Inc.* (b) | 12,300 | 82,287 |
| 14,238,851 | |
Industrials 5.7% | ||
Aerospace & Defense 0.9% | ||
BAE Systems PLC | 8,806 | 47,402 |
BE Aerospace, Inc.* | 6,500 | 197,015 |
Bombardier, Inc. "B" | 2,600 | 12,761 |
Finmeccanica SpA | 5,039 | 59,900 |
Honeywell International, Inc. | 6,100 | 268,034 |
L-3 Communications Holdings, Inc. | 2,000 | 144,540 |
Raytheon Co. | 22,700 | 1,037,617 |
Rockwell Collins, Inc. | 13,800 | 803,850 |
Rolls-Royce Group PLC* | 32,932 | 312,613 |
Singapore Technologies Engineering Ltd. | 6,000 | 15,353 |
TransDigm Group, Inc. | 9,300 | 577,065 |
United Technologies Corp. | 15,750 | 1,121,873 |
| 4,598,023 | |
Air Freight & Logistics 0.1% | ||
Deutsche Post AG (Registered) | 632 | 11,477 |
FedEx Corp. | 1,700 | 145,350 |
TNT NV | 1,419 | 38,181 |
United Parcel Service, Inc. "B" | 6,300 | 420,147 |
Yamato Holdings Co., Ltd. | 800 | 9,698 |
| 624,853 | |
Airlines 0.1% | ||
AMR Corp.* | 18,700 | 117,249 |
Cathay Pacific Airways Ltd. | 8,000 | 21,653 |
Delta Air Lines, Inc.* | 10,900 | 126,876 |
Qantas Airways Ltd.* | 7,928 | 21,380 |
Ryanair Holdings PLC (ADR) | 6,300 | 194,103 |
Singapore Airlines Ltd. | 2,793 | 34,641 |
Southwest Airlines Co. | 25,200 | 329,364 |
| 845,266 | |
Building Products 0.3% | ||
Armstrong World Industries, Inc.* | 18,600 | 772,086 |
Asahi Glass Co., Ltd. | 2,000 | 20,446 |
Assa Abloy AB "B" | 518 | 13,084 |
Compagnie de Saint-Gobain | 192 | 8,561 |
Daikin Industries Ltd. | 600 | 22,631 |
Geberit AG (Registered) | 86 | 15,328 |
Owens Corning, Inc.* | 33,300 | 853,479 |
| 1,705,615 | |
Commercial Services & Supplies 0.5% | ||
Babcock International Group PLC | 27,949 | 250,408 |
Brambles Ltd. | 6,450 | 39,190 |
Corrections Corp. of America* | 48,800 | 1,204,384 |
EnerNOC, Inc.* (b) | 4,300 | 135,063 |
Secom Co., Ltd. | 300 | 13,549 |
Serco Group PLC | 24,782 | 239,660 |
Stericycle, Inc.* | 11,250 | 781,650 |
| 2,663,904 | |
Construction & Engineering 0.2% | ||
ACS, Actividades de Construccion y Servicios SA | 833 | 41,651 |
Aecom Technology Corp.* | 7,100 | 172,246 |
Bouygues SA | 261 | 11,212 |
Chicago Bridge & Iron Co. NV (NY Registered Shares)* | 7,300 | 178,485 |
Ferrovial SA | 3,747 | 35,103 |
Koninklijke Boskalis Westminster NV | 256 | 10,751 |
Leighton Holdings Ltd. | 482 | 15,403 |
Shui On Construction & Materials Ltd. | 100,000 | 123,348 |
Skanska AB "B" | 1,094 | 20,102 |
SNC-Lavalin Group, Inc. | 300 | 15,337 |
Vinci SA | 5,967 | 299,768 |
| 923,406 | |
Electrical Equipment 0.5% | ||
ABB Ltd. (Registered)* | 4,290 | 90,521 |
AMETEK, Inc. | 25,850 | 1,234,854 |
Gamesa Corp. Tecnologica SA* | 1,601 | 11,197 |
Mitsubishi Electric Corp. | 4,000 | 34,501 |
Nidec Corp. | 3,100 | 276,287 |
Prysmian SpA | 9,034 | 165,361 |
Roper Industries, Inc. | 15,500 | 1,010,290 |
Schneider Electric SA | 341 | 43,327 |
Sumitomo Electric Industries Ltd. | 2,100 | 25,674 |
Vestas Wind Systems AS* | 1,513 | 56,954 |
| 2,948,966 | |
Industrial Conglomerates 0.9% | ||
3M Co. | 16,700 | 1,448,057 |
Carlisle Companies, Inc. | 52,900 | 1,584,355 |
Fraser & Neave Ltd. | 4,000 | 19,804 |
General Electric Co. | 47,900 | 778,375 |
Hankyu Hanshin Holdings, Inc. | 3,000 | 14,423 |
Hutchison Whampoa Ltd. | 10,000 | 93,097 |
Keppel Corp., Ltd. | 4,000 | 27,359 |
Koninklijke (Royal) Philips Electronics NV | 12,642 | 398,503 |
Orkla ASA | 11,063 | 102,030 |
SembCorp Industries Ltd. | 4,000 | 13,252 |
Siemens AG (Registered) | 3,943 | 417,034 |
Smiths Group PLC | 609 | 11,678 |
| 4,907,967 | |
Machinery 1.3% | ||
AB SKF "B" | 681 | 15,679 |
Alfa Laval AB | 7,388 | 129,650 |
Atlas Copco AB "A" | 1,696 | 32,800 |
Atlas Copco AB "B" | 800 | 14,085 |
Austal Ltd. | 62,474 | 148,016 |
CNH Global NV* | 10,000 | 366,400 |
Cummins, Inc. | 1,500 | 135,870 |
Deere & Co. | 9,500 | 662,910 |
EVA Precision Industrial Holdings Ltd. | 406,000 | 238,398 |
FANUC Ltd. | 4,607 | 584,303 |
Harsco Corp. | 11,200 | 275,296 |
Ingersoll-Rand PLC | 6,500 | 232,115 |
Joy Global, Inc. | 3,400 | 239,088 |
Komatsu Ltd. | 25,333 | 589,809 |
Kone Oyj "B" | 1,642 | 84,907 |
Kubota Corp. | 3,000 | 27,533 |
MAN SE | 864 | 94,246 |
Metso Oyj | 1,218 | 55,956 |
Mitsubishi Heavy Industries Ltd. | 6,000 | 22,178 |
Navistar International Corp.* | 13,000 | 567,320 |
Oshkosh Corp.* | 11,700 | 321,750 |
Parker Hannifin Corp. | 14,550 | 1,019,373 |
Rational AG | 1,000 | 212,534 |
Rotork PLC | 6,862 | 185,764 |
Sandvik AB | 1,397 | 21,444 |
Scania AB "B" | 886 | 19,583 |
SembCorp Marine Ltd. | 4,000 | 11,977 |
Trinity Industries, Inc. | 20,400 | 454,308 |
Vallourec SA | 242 | 24,081 |
Volvo AB "B"* | 2,327 | 34,208 |
Wartsila Corp. | 770 | 50,285 |
Zardoya Otis SA | 1,051 | 18,829 |
| 6,890,695 | |
Marine 0.1% | ||
A P Moller-Maersk AS "A" | 4 | 32,332 |
A P Moller-Maersk AS "B" | 55 | 457,109 |
Kuehne & Nagel International AG (Registered) | 117 | 14,063 |
Mitsui OSK Lines Ltd. | 24,447 | 154,114 |
Orient Overseas International Ltd. | 2,000 | 15,957 |
| 673,575 | |
Professional Services 0.2% | ||
Brunel International NV | 3,533 | 110,356 |
Capita Group PLC | 2,570 | 31,762 |
Experian PLC | 2,837 | 30,900 |
FTI Consulting, Inc.* | 6,000 | 208,140 |
Michael Page International PLC | 29,270 | 211,986 |
Randstad Holding NV* | 592 | 26,916 |
SGS SA (Registered) | 163 | 263,579 |
| 883,639 | |
Road & Rail 0.3% | ||
Asciano Group* | 14,929 | 23,810 |
Canadian National Railway Co. | 1,100 | 70,347 |
Canadian Pacific Railway Ltd. | 300 | 18,328 |
Central Japan Railway Co. | 3 | 22,066 |
ComfortDelGro Corp., Ltd. | 11,000 | 12,705 |
DSV AS | 2,312 | 47,094 |
East Japan Railway Co. | 500 | 30,219 |
MTR Corp., Ltd. | 11,500 | 43,514 |
Norfolk Southern Corp. | 21,700 | 1,291,367 |
Northgate PLC* | 26,121 | 89,006 |
| 1,648,456 | |
Trading Companies & Distributors 0.2% | ||
Bunzl PLC | 1,151 | 13,736 |
Itochu Corp. | 3,000 | 27,528 |
Marubeni Corp. | 4,000 | 22,670 |
MISUMI Group, Inc. | 10,600 | 222,649 |
Mitsubishi Corp. | 19,144 | 454,320 |
Mitsui & Co., Ltd. | 3,000 | 44,637 |
Noble Group Ltd. | 13,182 | 18,949 |
Sumitomo Corp. | 2,600 | 33,595 |
Wolseley PLC* | 505 | 12,714 |
| 850,798 | |
Transportation Infrastructure 0.1% | ||
Abertis Infraestructuras SA | 2,461 | 45,895 |
Atlantia SpA | 2,665 | 55,298 |
Intoll Group (Units) | 15,029 | 21,694 |
Koninklijke Vopak NV | 5,464 | 261,091 |
Transurban Group (Units) | 5,178 | 24,897 |
| 408,875 | |
Information Technology 9.4% | ||
Communications Equipment 1.2% | ||
Alcatel-Lucent* | 14,122 | 47,712 |
Cisco Systems, Inc.* | 112,550 | 2,464,845 |
EchoStar Corp. "A"* | 9,100 | 173,628 |
F5 Networks, Inc.* | 2,600 | 269,906 |
Harris Corp. | 3,500 | 155,015 |
Juniper Networks, Inc.* | 13,800 | 418,830 |
Nokia Oyj | 12,320 | 123,887 |
QUALCOMM, Inc. | 42,900 | 1,935,648 |
Research In Motion Ltd.* | 3,500 | 170,425 |
Sycamore Networks, Inc. | 4,800 | 155,568 |
Telefonaktiebolaget LM Ericsson "B" | 18,096 | 198,791 |
| 6,114,255 | |
Computers & Peripherals 2.0% | ||
Apple, Inc.* | 22,650 | 6,426,938 |
EMC Corp.* | 54,950 | 1,116,035 |
Fujitsu Ltd. | 4,000 | 28,143 |
Hewlett-Packard Co. | 31,400 | 1,320,998 |
NEC Corp. | 5,000 | 13,297 |
NetApp, Inc.* | 400 | 19,916 |
SanDisk Corp.* | 16,000 | 586,400 |
Seagate Technology PLC* | 11,900 | 140,182 |
Toshiba Corp. | 10,000 | 48,511 |
Western Digital Corp.* | 42,100 | 1,195,219 |
| 10,895,639 | |
Electronic Equipment, Instruments & Components 1.0% | ||
AVX Corp. | 37,100 | 512,722 |
Corning, Inc. | 114,700 | 2,096,716 |
Fujifilm Holdings Corp. | 1,000 | 33,209 |
Hitachi Ltd. | 9,000 | 39,390 |
Hoya Corp. | 1,100 | 26,883 |
Itron, Inc.* | 4,000 | 244,920 |
Jabil Circuit, Inc. | 13,300 | 191,653 |
Keyence Corp. | 100 | 21,809 |
Kingboard Chemical Holdings Ltd. | 40,000 | 202,455 |
Kyocera Corp. | 400 | 38,000 |
Murata Manufacturing Co., Ltd. | 500 | 26,359 |
TDK Corp. | 400 | 22,380 |
Tech Data Corp.* | 10,100 | 407,030 |
Venture Corp., Ltd. | 34,000 | 254,117 |
Vishay Intertechnology, Inc.* | 102,100 | 988,328 |
Vishay Precision Group, Inc.* | 3,100 | 48,391 |
| 5,154,362 | |
Internet Software & Services 1.5% | ||
Akamai Technologies, Inc.* | 24,600 | 1,234,428 |
AOL, Inc.* | 28,900 | 715,275 |
eBay, Inc.* | 6,200 | 151,280 |
Google, Inc. "A"* | 4,800 | 2,523,792 |
IAC/InterActiveCorp.* | 91,100 | 2,393,197 |
Internet Initiative Japan, Inc. | 61 | 161,459 |
Kakaku.com, Inc. | 31 | 179,752 |
Meetic | 3,294 | 104,182 |
NIC, Inc. | 15,600 | 129,324 |
Open Text Corp.* | 700 | 33,030 |
United Internet AG (Registered) | 12,000 | 194,047 |
Yahoo Japan Corp. | 29 | 10,032 |
| 7,829,798 | |
IT Services 1.3% | ||
Accenture PLC "A" | 12,000 | 509,880 |
Atos Origin SA* | 2,374 | 107,630 |
Cap Gemini SA | 10,813 | 543,403 |
CGI Group, Inc. "A"* | 2,500 | 37,637 |
Cognizant Technology Solutions Corp. "A"* | 1,200 | 77,364 |
Computer Sciences Corp. | 10,900 | 501,400 |
hiSoft Technology International Ltd. (ADR)* | 9,500 | 233,605 |
iGATE Corp. | 9,700 | 175,958 |
International Business Machines Corp. | 22,950 | 3,078,513 |
MasterCard, Inc. "A" | 1,400 | 313,600 |
NTT Data Corp. | 4 | 12,677 |
Telvent GIT SA* | 6,000 | 135,720 |
Teradata Corp.* | 4,600 | 177,376 |
Visa, Inc. "A" | 13,100 | 972,806 |
| 6,877,569 | |
Office Electronics 0.1% | ||
Canon, Inc. | 13,617 | 636,744 |
Konica Minolta Holdings, Inc. | 2,000 | 19,506 |
Ricoh Co., Ltd. | 2,000 | 28,288 |
| 684,538 | |
Semiconductors & Semiconductor Equipment 0.7% | ||
Altera Corp. | 14,000 | 422,240 |
ARM Holdings PLC | 51,599 | 321,642 |
ASML Holding NV | 4,571 | 137,058 |
FSI International, Inc.* | 29,500 | 78,470 |
Infineon Technologies AG* | 2,624 | 18,227 |
Intel Corp. | 65,200 | 1,253,796 |
Lam Research Corp.* | 2,900 | 121,365 |
Micron Technology, Inc.* | 184,000 | 1,326,640 |
Renewable Energy Corp. ASA* | 10,000 | 33,924 |
ROHM Co., Ltd. | 400 | 24,736 |
STMicroelectronics NV | 3,445 | 26,444 |
SunPower Corp. "A"* (b) | 10,700 | 154,080 |
Tokyo Electron Ltd. | 500 | 25,152 |
| 3,943,774 | |
Software 1.6% | ||
Autodesk, Inc.* | 9,600 | 306,912 |
Autonomy Corp. PLC* | 2,045 | 58,289 |
Check Point Software Technologies Ltd.* | 12,800 | 472,704 |
ChinaCache International Holdings Ltd. (ADR)* | 386 | 5,365 |
Concur Technologies, Inc.* | 15,700 | 776,208 |
Dassault Systemes SA | 246 | 18,125 |
McAfee, Inc.* | 2,600 | 122,876 |
Microsoft Corp. | 136,250 | 3,336,763 |
Nintendo Co., Ltd. | 675 | 168,692 |
Norkom Group PLC* | 40,608 | 52,191 |
Oracle Corp. | 60,000 | 1,611,000 |
Rovi Corp.* | 3,500 | 176,435 |
SAP AG | 7,414 | 367,260 |
Solera Holdings, Inc. | 14,600 | 644,736 |
The Sage Group PLC | 10,040 | 43,622 |
TiVo, Inc.* | 10,200 | 92,412 |
VanceInfo Technologies, Inc. (ADR)* | 8,700 | 281,358 |
| 8,534,948 | |
Materials 2.8% | ||
Chemicals 1.2% | ||
Agrium, Inc. | 200 | 15,006 |
Air Liquide SA | 3,575 | 437,403 |
Akzo Nobel NV | 4,888 | 302,400 |
Asahi Kasei Corp. | 6,000 | 33,139 |
Ashland, Inc. | 5,500 | 268,235 |
BASF SE | 5,427 | 342,875 |
Cytec Industries, Inc. (b) | 12,000 | 676,560 |
Givaudan SA (Registered) | 35 | 35,783 |
JSR Corp. | 1,100 | 18,778 |
Koninklijke DSM NV | 792 | 40,634 |
Kuraray Co., Ltd. | 2,000 | 25,314 |
Linde AG | 3,839 | 500,772 |
Lubrizol Corp. | 9,000 | 953,730 |
Mitsubishi Chemical Holdings Corp. | 6,000 | 30,541 |
Nitto Denko Corp. | 800 | 31,375 |
Potash Corp. of Saskatchewan, Inc. | 300 | 43,041 |
Shin-Etsu Chemical Co., Ltd. | 9,398 | 458,904 |
Showa Denko KK | 7,000 | 13,452 |
Sika AG | 16 | 29,537 |
Solvay SA | 600 | 64,067 |
Sumitomo Chemical Co., Ltd. | 8,000 | 35,156 |
Syngenta AG (Registered) | 380 | 94,496 |
The Mosaic Co. | 24,150 | 1,419,054 |
Toray Industries, Inc. | 7,000 | 38,993 |
Umicore | 1,093 | 47,280 |
Yara International ASA | 2,857 | 129,339 |
| 6,085,864 | |
Construction Materials 0.1% | ||
CRH PLC (c) | 7,856 | 129,257 |
CRH PLC (c) | 4,398 | 72,490 |
Holcim Ltd. (Registered) | 1,031 | 66,278 |
Lafarge SA | 682 | 39,141 |
| 307,166 | |
Containers & Packaging 0.2% | ||
FP Corp. | 2,000 | 108,384 |
Owens-Illinois, Inc.* | 37,600 | 1,055,056 |
| 1,163,440 | |
Metals & Mining 1.1% | ||
Anglo American PLC | 1,333 | 53,044 |
ArcelorMittal | 2,152 | 71,223 |
Barrick Gold Corp. | 1,000 | 46,214 |
BHP Billiton Ltd. | 14,723 | 561,340 |
BHP Billiton PLC | 1,447 | 46,203 |
Boliden AB | 2,779 | 42,193 |
Cliffs Natural Resources, Inc. | 2,800 | 178,976 |
Freeport-McMoRan Copper & Gold, Inc. | 28,700 | 2,450,693 |
Goldcorp, Inc. | 800 | 34,756 |
IAMGOLD Corp. | 1,200 | 21,250 |
JFE Holdings, Inc. | 2,000 | 61,327 |
Kobe Steel Ltd. | 15,000 | 35,299 |
Lynas Corp., Ltd.* | 176,043 | 232,276 |
Mitsubishi Materials Corp.* | 10,000 | 28,831 |
Newcrest Mining Ltd. | 1,450 | 55,598 |
Nippon Steel Corp. | 17,000 | 57,962 |
Norsk Hydro ASA | 13,165 | 79,559 |
Northam Platinum Ltd. (b) | 16,522 | 108,950 |
Outokumpu Oyj | 2,125 | 42,307 |
Randgold Resources Ltd. (ADR) | 2,000 | 202,920 |
Rautaruukki Oyj | 915 | 18,926 |
Rio Tinto Ltd. | 286 | 21,223 |
Rio Tinto PLC | 11,112 | 652,487 |
SSAB AB "A" | 1,534 | 24,488 |
SSAB AB "B" | 1,129 | 15,878 |
Sumitomo Metal Industries Ltd. | 17,000 | 43,082 |
Sumitomo Metal Mining Co., Ltd. | 3,000 | 45,923 |
Teck Resources Ltd. "B" | 224 | 9,213 |
Thompson Creek Metals Co., Inc.* | 10,500 | 113,190 |
ThyssenKrupp AG | 969 | 31,647 |
Xstrata PLC | 30,040 | 576,854 |
Yamana Gold, Inc. | 2,200 | 25,081 |
| 5,988,913 | |
Paper & Forest Products 0.2% | ||
Domtar Corp. | 5,600 | 361,648 |
Holmen AB "B" | 1,025 | 31,643 |
International Paper Co. | 6,500 | 141,375 |
Nippon Paper Group, Inc. | 400 | 10,024 |
Oji Paper Co., Ltd. | 6,000 | 26,557 |
Schweitzer-Mauduit International, Inc. | 5,100 | 297,381 |
Stora Enso Oyj "R" | 5,712 | 56,640 |
Svenska Cellulosa AB "B" | 5,441 | 82,881 |
UPM-Kymmene Oyj | 5,203 | 89,290 |
| 1,097,439 | |
Telecommunication Services 2.7% | ||
Diversified Telecommunication Services 2.0% | ||
AT&T, Inc. | 129,200 | 3,695,120 |
BCE, Inc. | 1,400 | 45,555 |
Belgacom SA | 5,092 | 198,776 |
BT Group PLC | 23,665 | 52,080 |
Deutsche Telekom AG (Registered) | 30,315 | 413,953 |
France Telecom SA | 26,968 | 583,531 |
Iliad SA | 262 | 27,338 |
Inmarsat PLC | 2,213 | 23,079 |
Koninklijke (Royal) KPN NV | 57,147 | 884,641 |
Nippon Telegraph & Telephone Corp. | 4,300 | 187,302 |
Singapore Telecommunications Ltd. | 61,000 | 145,562 |
Swisscom AG (Registered) | 1,051 | 424,291 |
Tele2 AB "B" | 1,647 | 34,594 |
Telecom Italia SpA | 201,816 | 281,705 |
Telecom Italia SpA (RSP) | 129,411 | 146,115 |
Telefonica SA | 27,620 | 685,193 |
Telenor ASA | 9,300 | 145,800 |
TeliaSonera AB | 7,950 | 64,292 |
Telstra Corp., Ltd. | 55,286 | 140,008 |
Telus Corp. | 700 | 29,670 |
Verizon Communications, Inc. | 70,900 | 2,310,631 |
| 10,519,236 | |
Wireless Telecommunication Services 0.7% | ||
American Tower Corp. "A"* | 13,500 | 692,010 |
Clearwire Corp. "A"* (b) | 17,800 | 144,002 |
KDDI Corp. | 25 | 119,814 |
Millicom International Cellular SA (SDR) | 413 | 39,420 |
NTT DoCoMo, Inc. | 429 | 716,467 |
Rogers Communications, Inc. "B" | 1,900 | 71,114 |
Softbank Corp. | 7,100 | 232,666 |
Sprint Nextel Corp.* | 201,600 | 933,408 |
Vodafone Group PLC | 424,557 | 1,050,976 |
| 3,999,877 | |
Utilities 1.9% | ||
Electric Utilities 1.4% | ||
Chubu Electric Power Co., Inc. | 3,500 | 86,542 |
Chugoku Electric Power Co., Inc. | 1,900 | 37,486 |
CLP Holdings Ltd. | 8,000 | 63,824 |
Duke Energy Corp. | 113,000 | 2,001,230 |
E.ON AG | 5,555 | 163,503 |
Edison International | 21,200 | 729,068 |
EDP — Energias de Portugal SA | 30,599 | 104,800 |
Electricite de France | 521 | 22,488 |
Enel SpA | 17,985 | 96,009 |
Fortis, Inc. | 2,100 | 65,190 |
Fortum Oyj | 8,289 | 217,118 |
Hokkaido Electric Power Co., Inc. | 900 | 17,927 |
Hokuriku Electric Power Co. | 1,200 | 27,411 |
HongKong Electric Holdings Ltd. | 5,500 | 33,398 |
Iberdrola SA | 12,942 | 99,731 |
Kansai Electric Power Co., Inc. | 4,000 | 97,159 |
Kyushu Electric Power Co., Inc. | 2,200 | 50,256 |
Progress Energy, Inc. | 40,900 | 1,816,778 |
Red Electrica Corporacion SA | 545 | 25,666 |
Scottish & Southern Energy PLC | 1,761 | 30,942 |
Shikoku Electric Power Co., Inc. | 1,200 | 34,446 |
Southern Co. | 31,100 | 1,158,164 |
Terna — Rete Elettrica Nationale SpA | 4,601 | 19,565 |
Tohoku Electric Power Co., Inc. | 2,500 | 55,312 |
Tokyo Electric Power Co., Inc. | 6,300 | 153,710 |
| 7,207,723 | |
Gas Utilities 0.0% | ||
Hong Kong & China Gas Co., Ltd. | 18,590 | 47,010 |
Osaka Gas Co., Ltd. | 12,000 | 43,290 |
Snam Rete Gas SpA | 3,419 | 17,330 |
Toho Gas Co., Ltd. | 3,000 | 14,842 |
Tokyo Gas Co., Ltd. | 14,000 | 63,560 |
| 186,032 | |
Independent Power Producers & Energy Traders 0.3% | ||
EDP Renovaveis SA* | 6,031 | 34,157 |
Electric Power Development Co., Ltd. | 500 | 15,034 |
International Power PLC | 3,510 | 21,419 |
NRG Energy, Inc.* | 79,559 | 1,656,418 |
TransAlta Corp. | 3,300 | 70,433 |
| 1,797,461 | |
Multi-Utilities 0.2% | ||
Ameren Corp. | 10,500 | 298,200 |
Canadian Utilities Ltd. "A" | 1,300 | 62,997 |
Centrica PLC | 9,355 | 47,564 |
Consolidated Edison, Inc. | 7,600 | 366,472 |
GDF Suez | 2,695 | 96,779 |
National Grid PLC | 6,356 | 53,954 |
RWE AG | 583 | 39,326 |
Veolia Environnement | 1,180 | 31,100 |
| 996,392 | |
Total Common Stocks (Cost $263,537,694) | 294,759,941 | |
| ||
Preferred Stocks 0.0% | ||
Consumer Discretionary 0.0% | ||
Porsche Automobil Holding SE | 286 | 14,188 |
Volkswagen AG | 193 | 23,331 |
| 37,519 | |
Consumer Staples 0.0% | ||
Henkel AG & Co. KGaA | 2,686 | 144,474 |
Total Preferred Stocks (Cost $137,965) | 181,993 | |
| ||
Rights 0.0% | ||
Consumer Discretionary 0.0% | ||
Compagnie Generale des Etablissements Michelin, Expiration Date 10/13/2010* | 157 | 438 |
Financials 0.0% | ||
Bank of Cyprus PCL, Expiration Date 10/21/2010* | 3,155 | 2,089 |
National Bank of Greece SA, Expiration Date 10/11/2010* | 8,342 | 6,441 |
| 8,530 | |
Total Rights (Cost $0) | 8,968 | |
| ||
Warrants 0.0% | ||
Consumer Discretionary 0.0% | ||
Reader's Digest Association, Inc., Expiration Date 2/19/2014* | 80 | 3 |
Financials 0.0% | ||
Henderson Land Development Co., Ltd., Expiration Date 6/1/2011* | 200 | 57 |
Mediobanca SpA, Expiration Date 3/18/2011* | 451 | 15 |
| 72 | |
Information Technology 0.0% | ||
Kingboard Chemical Holdings Ltd., Expiration Date 10/31/2012* | 5,800 | 3,618 |
Total Warrants (Cost $0) | 3,693 |
|
| Principal Amount ($) (a) | Value ($) | |
|
|
| ||
Corporate Bonds 9.5% | ||||
Consumer Discretionary 1.0% | ||||
Advance Auto Parts, Inc., 5.75%, 5/1/2020 |
| 305,000 | 328,959 | |
AMC Entertainment, Inc., 8.0%, 3/1/2014 |
| 70,000 | 70,612 | |
American Achievement Corp., 144A, 8.25%, 4/1/2012 |
| 20,000 | 19,925 | |
Ameristar Casinos, Inc., 9.25%, 6/1/2014 |
| 30,000 | 32,025 | |
Asbury Automotive Group, Inc.: | ||||
| 7.625%, 3/15/2017 |
| 45,000 | 43,875 |
| 8.0%, 3/15/2014 |
| 20,000 | 20,200 |
Ashtead Holdings PLC, 144A, 8.625%, 8/1/2015 |
| 135,000 | 139,050 | |
Avis Budget Car Rental LLC, 9.625%, 3/15/2018 |
| 25,000 | 26,437 | |
Brunswick Corp., 144A, 11.25%, 11/1/2016 |
| 20,000 | 23,050 | |
Cablevision Systems Corp.: | ||||
| 7.75%, 4/15/2018 |
| 10,000 | 10,575 |
| 8.0%, 4/15/2020 |
| 10,000 | 10,763 |
CanWest MediaWorks LP, 144A, 9.25%, 8/1/2015** |
| 35,000 | 6,300 | |
Carrols Corp., 9.0%, 1/15/2013 |
| 25,000 | 25,188 | |
CBS Corp., 8.875%, 5/15/2019 |
| 470,000 | 612,671 | |
CCO Holdings LLC: | ||||
| 144A, 7.875%, 4/30/2018 |
| 20,000 | 20,750 |
| 144A, 8.125%, 4/30/2020 |
| 15,000 | 15,900 |
Cequel Communications Holdings I LLC, 144A, 8.625%, 11/15/2017 |
| 110,000 | 116,050 | |
Clear Channel Worldwide Holdings, Inc.: | ||||
| Series A, 9.25%, 12/15/2017 |
| 10,000 | 10,600 |
| Series B, 9.25%, 12/15/2017 |
| 10,000 | 10,675 |
Cooper-Standard Automotive, Inc., 144A, 8.5%, 5/1/2018 |
| 15,000 | 15,563 | |
DirecTV Holdings LLC, 7.625%, 5/15/2016 |
| 100,000 | 111,500 | |
DISH DBS Corp.: | ||||
| 6.625%, 10/1/2014 |
| 65,000 | 67,925 |
| 7.125%, 2/1/2016 |
| 50,000 | 52,562 |
Fontainebleau Las Vegas Holdings LLC, 144A, 11.0%, 6/15/2015** |
| 40,000 | 6 | |
Ford Motor Co., 7.45%, 7/16/2031 |
| 35,000 | 36,487 | |
Goodyear Tire & Rubber Co., 10.5%, 5/15/2016 |
| 20,000 | 22,650 | |
Great Canadian Gaming Corp., 144A, 7.25%, 2/15/2015 |
| 40,000 | 40,650 | |
Group 1 Automotive, Inc., 144A, 3.0%, 3/15/2020 |
| 30,000 | 28,500 | |
Harrah's Operating Co., Inc.: | ||||
| 11.25%, 6/1/2017 |
| 30,000 | 32,850 |
| 144A, 12.75%, 4/15/2018 |
| 25,000 | 23,313 |
Lear Corp.: | ||||
| 7.875%, 3/15/2018 |
| 20,000 | 21,200 |
| 8.125%, 3/15/2020 |
| 20,000 | 21,375 |
Limited Brands, Inc., 7.0%, 5/1/2020 |
| 10,000 | 10,800 | |
MGM Resorts International, 144A, 9.0%, 3/15/2020 |
| 85,000 | 89,462 | |
Michaels Stores, Inc., Step-up Coupon, 0% to 11/1/2011, 13.0% to 11/1/2016 |
| 15,000 | 14,438 | |
News America, Inc., 7.85%, 3/1/2039 |
| 415,000 | 529,956 | |
Norcraft Holdings LP, 9.75%, 9/1/2012 |
| 57,000 | 53,437 | |
Penn National Gaming, Inc., 8.75%, 8/15/2019 |
| 15,000 | 15,938 | |
Penske Automotive Group, Inc., 7.75%, 12/15/2016 |
| 90,000 | 87,862 | |
Phillips-Van Heusen Corp., 7.375%, 5/15/2020 |
| 15,000 | 15,806 | |
Sabre Holdings Corp., 8.35%, 3/15/2016 |
| 85,000 | 86,700 | |
Sears Holdings Corp., 144A, 6.625%, 10/15/2018 (d) |
| 30,000 | 30,000 | |
Seminole Indian Tribe of Florida, 144A, 7.804%, 10/1/2020 |
| 40,000 | 36,391 | |
Sirius XM Radio, Inc., 144A, 8.75%, 4/1/2015 |
| 30,000 | 31,875 | |
Sonic Automotive, Inc., Series B, 9.0%, 3/15/2018 |
| 50,000 | 51,875 | |
Standard Pacific Corp.: | ||||
| 8.375%, 5/15/2018 |
| 10,000 | 10,000 |
| 10.75%, 9/15/2016 |
| 40,000 | 43,600 |
TCI Communications, Inc., 8.75%, 8/1/2015 |
| 543,000 | 683,463 | |
Time Warner Cable, Inc., 6.75%, 7/1/2018 |
| 490,000 | 584,392 | |
Travelport LLC, 4.922%***, 9/1/2014 |
| 35,000 | 32,550 | |
United Components, Inc., 9.375%, 6/15/2013 |
| 5,000 | 5,088 | |
UPC Holding BV, 144A, 8.0%, 11/1/2016 | EUR | 100,000 | 140,415 | |
Viacom, Inc.: | ||||
| 6.75%, 10/5/2037 |
| 170,000 | 198,161 |
| 6.875%, 4/30/2036 |
| 320,000 | 375,675 |
Videotron Ltd., 9.125%, 4/15/2018 |
| 15,000 | 16,875 | |
| 5,162,945 | |||
Consumer Staples 0.3% | ||||
Alliance One International, Inc., 10.0%, 7/15/2016 |
| 10,000 | 10,825 | |
B&G Foods, Inc., 7.625%, 1/15/2018 |
| 15,000 | 15,619 | |
Central Garden & Pet Co., 8.25%, 3/1/2018 |
| 20,000 | 20,425 | |
Constellation Brands, Inc., 7.25%, 5/15/2017 |
| 100,000 | 106,625 | |
CVS Caremark Corp., 6.302%, 6/1/2037 |
| 751,000 | 694,675 | |
Delhaize America LLC, 9.0%, 4/15/2031 |
| 255,000 | 360,385 | |
Dole Food Co., Inc., 144A, 8.0%, 10/1/2016 |
| 20,000 | 20,925 | |
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020 |
| 45,000 | 41,625 | |
Reddy Ice Corp., 11.25%, 3/15/2015 |
| 15,000 | 15,338 | |
Rite Aid Corp., 7.5%, 3/1/2017 |
| 30,000 | 27,637 | |
Smithfield Foods, Inc.: | ||||
| 7.75%, 7/1/2017 |
| 60,000 | 60,825 |
| 144A, 10.0%, 7/15/2014 |
| 45,000 | 51,750 |
SUPERVALU, Inc., 8.0%, 5/1/2016 |
| 115,000 | 115,862 | |
TreeHouse Foods, Inc., 7.75%, 3/1/2018 |
| 15,000 | 16,125 | |
| 1,558,641 | |||
Energy 1.1% | ||||
Atlas Energy Operating Co., LLC, 10.75%, 2/1/2018 |
| 80,000 | 88,600 | |
Baker Hughes, Inc., 5.125%, 9/15/2040 |
| 35,000 | 36,452 | |
Belden & Blake Corp., 8.75%, 7/15/2012 |
| 205,000 | 200,900 | |
Boardwalk Pipelines LP, 5.75%, 9/15/2019 |
| 310,000 | 343,805 | |
Bristow Group, Inc., 7.5%, 9/15/2017 |
| 35,000 | 35,875 | |
Chaparral Energy, Inc., 8.5%, 12/1/2015 |
| 115,000 | 111,837 | |
Chesapeake Energy Corp.: | ||||
| 6.875%, 11/15/2020 |
| 40,000 | 42,400 |
| 7.25%, 12/15/2018 |
| 50,000 | 53,875 |
Coffeyville Resources LLC, 144A, 9.0%, 4/1/2015 |
| 45,000 | 47,475 | |
Colorado Interstate Gas Co., 6.8%, 11/15/2015 |
| 20,000 | 23,568 | |
Conoco, Inc., 6.95%, 4/15/2029 |
| 260,000 | 334,102 | |
CONSOL Energy, Inc.: | ||||
| 144A, 8.0%, 4/1/2017 |
| 55,000 | 59,538 |
| 144A, 8.25%, 4/1/2020 |
| 35,000 | 38,238 |
Continental Resources, Inc.: | ||||
| 144A, 7.375%, 10/1/2020 |
| 15,000 | 15,825 |
| 8.25%, 10/1/2019 |
| 10,000 | 10,950 |
Crosstex Energy LP, 8.875%, 2/15/2018 |
| 30,000 | 31,425 | |
Dynegy Holdings, Inc., 7.75%, 6/1/2019 |
| 30,000 | 20,550 | |
El Paso Corp.: | ||||
| 7.25%, 6/1/2018 |
| 30,000 | 32,335 |
| 9.625%, 5/15/2012 |
| 34,000 | 36,449 |
El Paso Pipeline Partners Operating Co., LLC, 6.5%, 4/1/2020 |
| 80,000 | 86,362 | |
Energy Transfer Partners LP, 6.125%, 2/15/2017 |
| 305,000 | 338,357 | |
EXCO Resources, Inc., 7.25%, 1/15/2011 |
| 60,000 | 60,075 | |
Global Geophysical Services, Inc., 144A, 10.5%, 5/1/2017 |
| 65,000 | 66,138 | |
Hess Corp., 5.6%, 2/15/2041 |
| 140,000 | 146,076 | |
Holly Corp., 9.875%, 6/15/2017 |
| 35,000 | 37,056 | |
Holly Energy Partners LP, 144A, 8.25%, 3/15/2018 |
| 30,000 | 31,275 | |
KCS Energy, Inc., 7.125%, 4/1/2012 |
| 155,000 | 155,387 | |
Kinder Morgan Energy Partners LP, 6.0%, 2/1/2017 |
| 180,000 | 203,042 | |
Linn Energy LLC: | ||||
| 144A, 8.625%, 4/15/2020 |
| 25,000 | 26,500 |
| 11.75%, 5/15/2017 |
| 50,000 | 57,375 |
Mariner Energy, Inc.: | ||||
| 7.5%, 4/15/2013 |
| 35,000 | 36,269 |
| 8.0%, 5/15/2017 |
| 25,000 | 27,500 |
Midcontinent Express Pipeline LLC, 144A, 6.7%, 9/15/2019 |
| 220,000 | 241,377 | |
Newfield Exploration Co., 7.125%, 5/15/2018 |
| 60,000 | 64,050 | |
Niska Gas Storage US LLC, 144A, 8.875%, 3/15/2018 |
| 30,000 | 32,100 | |
Noble Holding International Ltd., 4.9%, 8/1/2020 |
| 310,000 | 333,322 | |
OPTI Canada, Inc.: | ||||
| 7.875%, 12/15/2014 |
| 80,000 | 60,200 |
| 8.25%, 12/15/2014 |
| 35,000 | 26,600 |
Petro-Canada, 6.05%, 5/15/2018 |
| 295,000 | 343,435 | |
Petrohawk Energy Corp., 7.875%, 6/1/2015 |
| 20,000 | 20,950 | |
Plains Exploration & Production Co.: | ||||
| 7.0%, 3/15/2017 |
| 40,000 | 41,000 |
| 7.625%, 6/1/2018 |
| 70,000 | 73,500 |
| 8.625%, 10/15/2019 |
| 10,000 | 10,925 |
Pride International, Inc., 6.875%, 8/15/2020 |
| 265,000 | 288,519 | |
Regency Energy Partners LP, 8.375%, 12/15/2013 |
| 50,000 | 52,125 | |
Rowan Companies, Inc., 5.0%, 9/1/2017 |
| 290,000 | 299,604 | |
Sabine Pass LNG LP, 7.25%, 11/30/2013 |
| 100,000 | 96,500 | |
Southwestern Energy Co., 7.5%, 2/1/2018 |
| 25,000 | 28,250 | |
Stone Energy Corp.: | ||||
| 6.75%, 12/15/2014 |
| 50,000 | 46,000 |
| 8.625%, 2/1/2017 |
| 35,000 | 34,388 |
TransCanada PipeLines Ltd., 3.8%, 10/1/2020 |
| 340,000 | 347,468 | |
Williams Partners LP, 7.25%, 2/1/2017 |
| 265,000 | 315,655 | |
XTO Energy, Inc., 6.5%, 12/15/2018 |
| 255,000 | 324,718 | |
| 5,916,297 | |||
Financials 3.6% | ||||
AgriBank FCB, 9.125%, 7/15/2019 |
| 500,000 | 620,167 | |
Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015 |
| 70,000 | 62,388 | |
Ally Financial, Inc.: | ||||
| 6.875%, 9/15/2011 |
| 186,000 | 191,812 |
| 7.0%, 2/1/2012 |
| 95,000 | 98,206 |
| 144A, 8.0%, 3/15/2020 |
| 40,000 | 43,700 |
| 8.0%, 11/1/2031 |
| 20,000 | 21,450 |
| 144A, 8.3%, 2/12/2015 |
| 20,000 | 21,800 |
Antero Resources Finance Corp., 9.375%, 12/1/2017 |
| 20,000 | 21,250 | |
ANZ National International Ltd.: | ||||
| 144A, 3.125%, 8/10/2015 |
| 285,000 | 288,557 |
| 144A, 6.2%, 7/19/2013 |
| 100,000 | 111,138 |
Ashton Woods USA LLC, 144A, Step-up Coupon, 0% to 6/30/2012, 11.0% to 6/30/2015 |
| 52,000 | 26,000 | |
Bank of America Corp.: | ||||
| 5.625%, 7/1/2020 |
| 395,000 | 417,396 |
| Series L, 7.375%, 5/15/2014 |
| 30,000 | 34,481 |
BP Capital Markets PLC: | ||||
| 3.125%, 10/1/2015 |
| 285,000 | 286,497 |
| 4.5%, 10/1/2020 |
| 285,000 | 291,445 |
BPCE SA, 144A, 2.375%, 10/4/2013 (d) |
| 550,000 | 549,252 | |
Buffalo Thunder Development Authority, 144A, 9.375%, 12/15/2014** |
| 20,000 | 5,200 | |
Caisse Centrale Desjardins du Quebec, 144A, 2.65%, 9/16/2015 |
| 340,000 | 344,624 | |
Calpine Construction Finance Co., LP, 144A, 8.0%, 6/1/2016 |
| 45,000 | 48,150 | |
Case New Holland, Inc., 7.75%, 9/1/2013 |
| 25,000 | 27,156 | |
CIT Group, Inc., 7.0%, 5/1/2017 |
| 110,000 | 107,662 | |
Citigroup, Inc.: | ||||
| 6.0%, 12/13/2013 |
| 570,000 | 624,939 |
| 6.01%, 1/15/2015 |
| 1,025,000 | 1,126,884 |
Discover Financial Services, 10.25%, 7/15/2019 |
| 432,000 | 553,426 | |
DuPont Fabros Technology LP, (REIT), 8.5%, 12/15/2017 |
| 35,000 | 37,538 | |
E*TRADE Financial Corp.: | ||||
| 7.375%, 9/15/2013 |
| 100,000 | 97,750 |
| 12.5%, 11/30/2017 (PIK) |
| 21,000 | 23,940 |
ENEL Finance International SA: | ||||
| 144A, 6.0%, 10/7/2039 |
| 100,000 | 103,392 |
| 144A, 6.25%, 9/15/2017 |
| 160,000 | 181,460 |
Erac USA Finance Co., 144A, 5.25%, 10/1/2020 |
| 770,000 | 822,432 | |
Express LLC, 8.75%, 3/1/2018 |
| 25,000 | 26,375 | |
Farmers Exchange Capital, 144A, 7.2%, 7/15/2048 |
| 760,000 | 727,957 | |
FCE Bank PLC, 9.375%, 1/17/2014 | EUR | 50,000 | 75,831 | |
Ford Motor Credit Co., LLC: | ||||
| 7.25%, 10/25/2011 |
| 290,000 | 304,422 |
| 9.875%, 8/10/2011 |
| 120,000 | 127,100 |
FPL Group Capital, Inc., 2.6%, 9/1/2015 |
| 290,000 | 292,170 | |
General Electric Capital Corp.: | ||||
| 4.375%, 9/16/2020 |
| 550,000 | 552,037 |
| Series A, 6.875%, 1/10/2039 |
| 105,000 | 120,581 |
Health Care REIT, Inc., (REIT), 6.125%, 4/15/2020 |
| 280,000 | 299,759 | |
Hexion US Finance Corp., 8.875%, 2/1/2018 |
| 50,000 | 49,000 | |
HSBC Bank USA NA, 4.875%, 8/24/2020 |
| 250,000 | 260,750 | |
HSBC USA, Inc., 5.0%, 9/27/2020 |
| 205,000 | 204,843 | |
Hyundai Capital America, 144A, 3.75%, 4/6/2016 (d) |
| 170,000 | 170,280 | |
International Lease Finance Corp.: | ||||
| 144A, 8.625%, 9/15/2015 |
| 20,000 | 21,400 |
| 144A, 8.75%, 3/15/2017 |
| 40,000 | 42,900 |
iPayment, Inc., 9.75%, 5/15/2014 |
| 40,000 | 36,500 | |
JPMorgan Chase & Co.: | ||||
| 3.4%, 6/24/2015 |
| 290,000 | 301,054 |
| 4.4%, 7/22/2020 |
| 35,000 | 35,844 |
| 6.3%, 4/23/2019 |
| 385,000 | 446,161 |
Merrill Lynch & Co., Inc., 6.875%, 4/25/2018 |
| 375,000 | 420,636 | |
Moody's Corp., 5.5%, 9/1/2020 |
| 335,000 | 345,644 | |
Morgan Stanley: | ||||
| 4.75%, 4/1/2014 |
| 125,000 | 130,546 |
| Series F, 6.0%, 4/28/2015 |
| 200,000 | 219,887 |
| Series F, 6.625%, 4/1/2018 |
| 290,000 | 321,510 |
National Australia Bank Ltd., 144A, 2.75%, 9/28/2015 |
| 475,000 | 477,046 | |
National Money Mart Co., 10.375%, 12/15/2016 |
| 65,000 | 69,225 | |
Nationwide Mutual Insurance Co., 144A, 9.375%, 8/15/2039 |
| 311,000 | 367,250 | |
Nielsen Finance LLC: | ||||
| Step-up Coupon, 0% to 8/1/2011, 12.5% to 8/1/2016 |
| 40,000 | 40,050 |
| 144A, 7.75%, 10/15/2018 (d) |
| 10,000 | 9,927 |
Nuveen Investments, Inc., 10.5%, 11/15/2015 |
| 30,000 | 29,813 | |
Orascom Telecom Finance SCA, 144A, 7.875%, 2/8/2014 |
| 100,000 | 96,750 | |
Penn Mutual Life Insurance Co., 144A, 6.65%, 6/15/2034 |
| 240,000 | 217,555 | |
Pinnacle Foods Finance LLC: | ||||
| 9.25%, 4/1/2015 |
| 30,000 | 31,200 |
| 144A, 9.25%, 4/1/2015 |
| 30,000 | 31,200 |
PPL Capital Funding, Inc., Series A, 6.7%, 3/30/2067 |
| 470,000 | 446,500 | |
Rainbow National Services LLC, 144A, 10.375%, 9/1/2014 |
| 5,000 | 5,200 | |
Raymond James Financial, Inc., 8.6%, 8/15/2019 |
| 220,000 | 263,591 | |
RenRe North America Holdings, Inc., 5.75%, 3/15/2020 |
| 375,000 | 389,743 | |
Reynolds Group Issuer, Inc., 144A, 8.5%, 5/15/2018 |
| 100,000 | 97,750 | |
Rio Tinto Finance (USA) Ltd., 6.5%, 7/15/2018 |
| 575,000 | 693,400 | |
Shell International Finance BV, 3.1%, 6/28/2015 |
| 325,000 | 342,152 | |
SLM Corp., 8.0%, 3/25/2020 |
| 10,000 | 9,923 | |
Sprint Capital Corp., 8.375%, 3/15/2012 |
| 115,000 | 123,050 | |
Susser Holdings LLC, 8.5%, 5/15/2016 |
| 15,000 | 15,600 | |
Sydney Airport Finance Co. Pty Ltd., 144A, 5.125%, 2/22/2021 (d) |
| 295,000 | 294,711 | |
The Goldman Sachs Group, Inc.: | ||||
| 3.7%, 8/1/2015 |
| 200,000 | 204,622 |
| 6.0%, 6/15/2020 |
| 305,000 | 335,466 |
| 7.5%, 2/15/2019 |
| 110,000 | 130,873 |
Total Capital SA, 3.0%, 6/24/2015 |
| 335,000 | 351,445 | |
Tropicana Entertainment LLC, 9.625%, 12/15/2014** |
| 105,000 | 221 | |
UCI Holdco, Inc., 9.25%***, 12/15/2013 (PIK) |
| 63,449 | 61,546 | |
Vale Overseas Ltd., 6.875%, 11/10/2039 |
| 145,000 | 166,164 | |
Virgin Media Finance PLC, Series 1, 9.5%, 8/15/2016 |
| 100,000 | 113,000 | |
Virgin Media Secured Finance PLC, 6.5%, 1/15/2018 |
| 195,000 | 205,725 | |
Wells Fargo & Co.: | ||||
| Series I, 3.75%, 10/1/2014 |
| 336,000 | 356,038 |
| 5.625%, 12/11/2017 |
| 150,000 | 170,848 |
Westpac Banking Corp., 3.0%, 8/4/2015 |
| 270,000 | 275,767 | |
Wind Acquisition Holdings Finance SA, 144A, 12.25%, 7/15/2017 (PIK) | EUR | 3,572 | 5,186 | |
WMG Acquisition Corp., 9.5%, 6/15/2016 |
| 30,000 | 32,100 | |
| 19,183,916 | |||
Health Care 0.3% | ||||
Amgen, Inc., Zero Coupon, 3/1/2032 |
| 315,000 | 243,731 | |
Boston Scientific Corp., 6.0%, 1/15/2020 |
| 430,000 | 458,612 | |
Community Health Systems, Inc., 8.875%, 7/15/2015 |
| 230,000 | 244,375 | |
HCA, Inc.: | ||||
| 8.5%, 4/15/2019 |
| 105,000 | 117,075 |
| 9.125%, 11/15/2014 |
| 90,000 | 94,837 |
| 9.25%, 11/15/2016 |
| 200,000 | 216,500 |
| 9.625%, 11/15/2016 (PIK) |
| 68,000 | 73,780 |
IASIS Healthcare LLC, 8.75%, 6/15/2014 |
| 70,000 | 71,575 | |
Quest Diagnostics, Inc., 6.95%, 7/1/2037 |
| 225,000 | 258,226 | |
The Cooper Companies, Inc., 7.125%, 2/15/2015 |
| 75,000 | 75,750 | |
Vanguard Health Holding Co. II, LLC, 8.0%, 2/1/2018 |
| 20,000 | 20,300 | |
| 1,874,761 | |||
Industrials 0.3% | ||||
Acco Brands Corp., 10.625%, 3/15/2015 |
| 10,000 | 11,175 | |
Actuant Corp., 6.875%, 6/15/2017 |
| 25,000 | 25,500 | |
ARAMARK Corp., 8.5%, 2/1/2015 |
| 15,000 | 15,600 | |
ArvinMeritor, Inc., 10.625%, 3/15/2018 |
| 30,000 | 33,225 | |
BE Aerospace, Inc., 8.5%, 7/1/2018 |
| 70,000 | 76,300 | |
Belden, Inc., 7.0%, 3/15/2017 |
| 30,000 | 30,075 | |
Bombardier, Inc., 144A, 7.75%, 3/15/2020 |
| 30,000 | 32,400 | |
Cenveo Corp.: | ||||
| 8.875%, 2/1/2018 |
| 50,000 | 49,437 |
| 144A, 10.5%, 8/15/2016 |
| 35,000 | 35,788 |
Clean Harbors, Inc., 7.625%, 8/15/2016 |
| 18,000 | 18,720 | |
Corrections Corp. of America, 7.75%, 6/1/2017 |
| 10,000 | 10,750 | |
Delta Air Lines, Inc., 144A, 9.5%, 9/15/2014 |
| 9,000 | 9,765 | |
EDP Finance BV, 144A, 6.0%, 2/2/2018 |
| 165,000 | 169,734 | |
Esco Corp., 144A, 4.167%***, 12/15/2013 |
| 35,000 | 32,025 | |
Garda World Security Corp., 144A, 9.75%, 3/15/2017 |
| 30,000 | 31,950 | |
Great Lakes Dredge & Dock Co., 7.75%, 12/15/2013 |
| 30,000 | 30,150 | |
K. Hovnanian Enterprises, Inc., 8.875%, 4/1/2012 |
| 30,000 | 28,800 | |
Kansas City Southern de Mexico SA de CV: | ||||
| 7.375%, 6/1/2014 |
| 60,000 | 62,100 |
| 7.625%, 12/1/2013 |
| 210,000 | 217,350 |
| 144A, 8.0%, 2/1/2018 |
| 60,000 | 64,500 |
Kansas City Southern Railway Co., 8.0%, 6/1/2015 |
| 65,000 | 69,956 | |
Mobile Mini, Inc., 9.75%, 8/1/2014 |
| 40,000 | 41,800 | |
Navios Maritime Holdings, Inc., 9.5%, 12/15/2014 |
| 60,000 | 61,200 | |
Oshkosh Corp.: | ||||
| 8.25%, 3/1/2017 |
| 10,000 | 10,750 |
| 8.5%, 3/1/2020 |
| 10,000 | 10,825 |
Owens Corning, Inc., 9.0%, 6/15/2019 |
| 40,000 | 47,316 | |
Ply Gem Industries, Inc., 13.125%, 7/15/2014 |
| 40,000 | 40,750 | |
RBS Global, Inc. & Rexnord Corp., 8.5%, 5/1/2018 |
| 60,000 | 60,975 | |
Sitel LLC, 144A, 11.5%, 4/1/2018 |
| 50,000 | 40,000 | |
Spirit AeroSystems, Inc., 7.5%, 10/1/2017 |
| 20,000 | 20,650 | |
Titan International, Inc., 8.0%, 1/15/2012 |
| 130,000 | 139,750 | |
TransDigm, Inc., 7.75%, 7/15/2014 |
| 20,000 | 20,225 | |
USG Corp., 144A, 9.75%, 8/1/2014 |
| 20,000 | 20,850 | |
| 1,570,391 | |||
Information Technology 0.6% | ||||
Affiliated Computer Services, Inc., 5.2%, 6/1/2015 |
| 800,000 | 870,214 | |
Alcatel-Lucent USA, Inc., 6.45%, 3/15/2029 |
| 45,000 | 32,738 | |
Amkor Technology, Inc., 144A, 7.375%, 5/1/2018 |
| 20,000 | 20,250 | |
Aspect Software, Inc., 144A, 10.625%, 5/15/2017 |
| 30,000 | 31,163 | |
Brocade Communications Systems, Inc., 6.625%, 1/15/2018 |
| 500,000 | 520,000 | |
Equinix, Inc., 8.125%, 3/1/2018 |
| 65,000 | 69,388 | |
First Data Corp., 9.875%, 9/24/2015 |
| 30,000 | 24,525 | |
Freescale Semiconductor, Inc., 144A, 9.25%, 4/15/2018 |
| 130,000 | 135,200 | |
Ingram Micro, Inc., 5.25%, 9/1/2017 |
| 300,000 | 310,735 | |
Jabil Circuit, Inc., 7.75%, 7/15/2016 |
| 10,000 | 10,963 | |
L-3 Communications Corp.: | ||||
| 5.875%, 1/15/2015 |
| 85,000 | 86,912 |
| Series B, 6.375%, 10/15/2015 |
| 60,000 | 61,875 |
MasTec, Inc., 7.625%, 2/1/2017 |
| 50,000 | 49,875 | |
Microsoft Corp., 3.0%, 10/1/2020 |
| 340,000 | 339,124 | |
Seagate HDD Cayman, 144A, 6.875%, 5/1/2020 |
| 10,000 | 9,775 | |
Seagate Technology International, 144A, 10.0%, 5/1/2014 |
| 300,000 | 354,000 | |
SunGard Data Systems, Inc., 10.25%, 8/15/2015 |
| 135,000 | 142,087 | |
| 3,068,824 | |||
Materials 0.7% | ||||
Airgas, Inc., 144A, 7.125%, 10/1/2018 |
| 415,000 | 457,537 | |
Appleton Papers, Inc., 144A, 11.25%, 12/15/2015 |
| 20,000 | 14,800 | |
Ashland, Inc., 9.125%, 6/1/2017 |
| 60,000 | 68,700 | |
Ball Corp.: | ||||
| 7.125%, 9/1/2016 |
| 10,000 | 10,800 |
| 7.375%, 9/1/2019 |
| 10,000 | 10,875 |
Berry Plastics Corp., 9.5%, 5/15/2018 |
| 30,000 | 28,200 | |
Boise Paper Holdings LLC, 8.0%, 4/1/2020 |
| 15,000 | 15,525 | |
CF Industries, Inc., 6.875%, 5/1/2018 |
| 15,000 | 16,144 | |
Chevron Phillips Chemical Co., LLC, 144A, 8.25%, 6/15/2019 |
| 285,000 | 360,700 | |
Clondalkin Acquisition BV, 144A, 2.292%***, 12/15/2013 |
| 75,000 | 67,875 | |
CPG International I, Inc., 10.5%, 7/1/2013 |
| 60,000 | 60,600 | |
Crown Americas LLC, 7.625%, 5/15/2017 |
| 10,000 | 10,800 | |
Domtar Corp., 10.75%, 6/1/2017 |
| 30,000 | 37,350 | |
Dow Chemical Co., 8.55%, 5/15/2019 |
| 30,000 | 37,881 | |
Essar Steel Algoma, Inc., 144A, 9.375%, 3/15/2015 |
| 120,000 | 120,600 | |
Exopack Holding Corp., 11.25%, 2/1/2014 |
| 130,000 | 132,925 | |
Georgia-Pacific LLC, 144A, 7.125%, 1/15/2017 |
| 35,000 | 37,056 | |
Graphic Packaging International, Inc., 9.5%, 6/15/2017 |
| 65,000 | 69,225 | |
International Paper Co., 7.95%, 6/15/2018 |
| 675,000 | 818,606 | |
Lyondell Chemical Co., 144A, 8.0%, 11/1/2017 |
| 100,000 | 109,250 | |
Millar Western Forest Products Ltd., 7.75%, 11/15/2013 |
| 15,000 | 13,388 | |
NewMarket Corp., 7.125%, 12/15/2016 |
| 80,000 | 79,200 | |
Novelis, Inc., 11.5%, 2/15/2015 |
| 30,000 | 34,275 | |
Owens-Brockway Glass Container, Inc., 7.375%, 5/15/2016 |
| 85,000 | 91,481 | |
Rohm & Haas Co., 6.0%, 9/15/2017 |
| 480,000 | 535,899 | |
Silgan Holdings, Inc., 7.25%, 8/15/2016 |
| 30,000 | 31,838 | |
Solo Cup Co., 10.5%, 11/1/2013 |
| 70,000 | 72,450 | |
United States Steel Corp., 7.375%, 4/1/2020 |
| 40,000 | 41,700 | |
Viskase Companies, Inc.: | ||||
| 144A, 9.875%, 1/15/2018 |
| 25,000 | 25,500 |
| 144A, 9.875%, 1/15/2018 |
| 55,000 | 56,100 |
Wolverine Tube, Inc., 15.0%, 3/31/2012 (PIK) |
| 70,071 | 36,787 | |
| 3,504,067 | |||
Telecommunication Services 0.5% | ||||
Cincinnati Bell, Inc., 8.75%, 3/15/2018 |
| 95,000 | 92,625 | |
Cricket Communications, Inc.: | ||||
| 9.375%, 11/1/2014 |
| 110,000 | 113,850 |
| 10.0%, 7/15/2015 |
| 70,000 | 75,600 |
Crown Castle Towers LLC, 144A, 6.113%, 1/15/2020 |
| 455,000 | 502,652 | |
Digicel Group Ltd., 144A, 10.5%, 4/15/2018 |
| 100,000 | 109,750 | |
Digicel Ltd., 144A, 8.25%, 9/1/2017 |
| 100,000 | 105,000 | |
ERC Ireland Preferred Equity Ltd., 144A, 7.899%***, 2/15/2017 (PIK) | EUR | 63,348 | 12,946 | |
Frontier Communications Corp.: | ||||
| 6.25%, 1/15/2013 |
| 32,000 | 33,520 |
| 7.875%, 4/15/2015 |
| 10,000 | 10,800 |
| 8.25%, 4/15/2017 |
| 35,000 | 38,281 |
| 8.5%, 4/15/2020 |
| 45,000 | 49,669 |
| 8.75%, 4/15/2022 |
| 10,000 | 11,000 |
Intelsat Corp., 9.25%, 6/15/2016 |
| 260,000 | 277,225 | |
Intelsat Jackson Holdings SA, 11.25%, 6/15/2016 |
| 30,000 | 32,625 | |
iPCS, Inc., 2.591%***, 5/1/2013 |
| 15,000 | 14,250 | |
MetroPCS Wireless, Inc., 9.25%, 11/1/2014 |
| 110,000 | 115,225 | |
Nextel Communications, Inc., Series E, 6.875%, 10/31/2013 |
| 30,000 | 30,188 | |
Qwest Communications International, Inc.: | ||||
| 144A, 7.125%, 4/1/2018 |
| 30,000 | 31,500 |
| 8.0%, 10/1/2015 |
| 30,000 | 32,475 |
Qwest Corp.: | ||||
| 7.875%, 9/1/2011 |
| 90,000 | 95,287 |
| 8.375%, 5/1/2016 |
| 218,000 | 257,785 |
SBA Tower Trust, 144A, 5.101%, 4/15/2017 |
| 370,000 | 400,541 | |
Telesat Canada, 11.0%, 11/1/2015 |
| 110,000 | 124,300 | |
West Corp.: | ||||
| 144A, 8.625%, 10/1/2018 |
| 10,000 | 10,000 |
| 9.5%, 10/15/2014 |
| 35,000 | 36,619 |
Windstream Corp.: | ||||
| 7.0%, 3/15/2019 |
| 40,000 | 39,200 |
| 7.875%, 11/1/2017 |
| 65,000 | 67,763 |
| 8.625%, 8/1/2016 |
| 10,000 | 10,575 |
| 2,731,251 | |||
Utilities 1.1% | ||||
AES Corp.: | ||||
| 8.0%, 6/1/2020 |
| 40,000 | 43,400 |
| 144A, 8.75%, 5/15/2013 |
| 109,000 | 110,635 |
Ameren Corp., 8.875%, 5/15/2014 |
| 350,000 | 405,453 | |
Appalachian Power Co., Series L, 5.8%, 10/1/2035 |
| 320,000 | 337,986 | |
Dominion Resources, Inc., Series 06-B, 6.3%, 9/30/2066 |
| 260,000 | 245,700 | |
FirstEnergy Solutions Corp., 6.05%, 8/15/2021 |
| 170,000 | 181,616 | |
Florida Gas Transmission Co., 144A, 5.45%, 7/15/2020 |
| 305,000 | 332,231 | |
Iberdrola USA, Inc., 6.75%, 6/15/2012 |
| 970,000 | 1,050,355 | |
Integrys Energy Group, Inc., 6.11%, 12/1/2066 |
| 605,000 | 556,600 | |
IPALCO Enterprises, Inc., 144A, 7.25%, 4/1/2016 |
| 35,000 | 37,625 | |
Jersey Central Power & Light Co., 7.35%, 2/1/2019 |
| 220,000 | 273,181 | |
Mirant Americas Generation LLC, 8.3%, 5/1/2011 |
| 90,000 | 92,362 | |
Mirant North America LLC, 7.375%, 12/31/2013 |
| 25,000 | 25,750 | |
NRG Energy, Inc.: | ||||
| 7.25%, 2/1/2014 |
| 210,000 | 215,512 |
| 7.375%, 2/1/2016 |
| 70,000 | 72,012 |
| 7.375%, 1/15/2017 |
| 95,000 | 97,375 |
NV Energy, Inc.: | ||||
| 6.75%, 8/15/2017 |
| 40,000 | 41,172 |
| 8.625%, 3/15/2014 |
| 15,000 | 15,431 |
Oncor Electric Delivery Co., 144A, 5.25%, 9/30/2040 |
| 235,000 | 239,364 | |
Petronas Global Sukuk Ltd., 144A, 4.25%, 8/12/2014 |
| 125,000 | 132,102 | |
Public Service Co. of New Mexico, 7.95%, 5/15/2018 |
| 325,000 | 358,710 | |
RRI Energy, Inc., 7.875%, 6/15/2017 |
| 15,000 | 13,988 | |
Sierra Pacific Power Co., Series M, 6.0%, 5/15/2016 |
| 355,000 | 414,459 | |
Suburban Propane Partners LP, 7.375%, 3/15/2020 |
| 100,000 | 106,250 | |
Texas Competitive Electric Holdings Co., LLC, Series A, 10.25%, 11/1/2015 |
| 75,000 | 49,125 | |
Western Power Distribution Holdings Ltd., 144A, 7.25%, 12/15/2017 |
| 170,000 | 188,879 | |
Wisconsin Energy Corp., Series A, 6.25%, 5/15/2067 |
| 194,000 | 185,270 | |
| 5,822,543 | |||
Total Corporate Bonds (Cost $47,772,171) | 50,393,636 | |||
| ||||
Asset-Backed 1.1% | ||||
Automobile Receivables 0.6% | ||||
Ally Master Owner Trust: | ||||
| "A", Series 2010-4, 1.327%***, 8/15/2017 |
| 600,000 | 598,150 |
| "A", Series 2010-1, 144A, 2.007%***, 1/15/2015 |
| 300,000 | 306,103 |
| "A", Series 2010-3, 144A, 2.88%, 4/15/2015 |
| 300,000 | 309,529 |
| "A", Series 2010-2, 144A, 4.25%, 4/15/2017 |
| 300,000 | 326,038 |
CPS Auto Trust, "A", Series 2010-A, 144A, 2.89%, 3/15/2016 |
| 575,000 | 574,963 | |
Ford Credit Auto Owner Trust, "C", Series 2010-B, 2.77%, 5/15/2016 |
| 400,000 | 407,700 | |
Ford Credit Floorplan Master Owner Trust: | ||||
| "A1", Series 2010-5, 1.5%, 9/15/2015 (d) |
| 300,000 | 299,946 |
| "A1", Series 2010-3, 144A, 4.2%, 2/15/2017 |
| 202,000 | 219,460 |
Navistar Financial Corp. Owner Trust, "B", Series 2010-A, 144A, 4.17%, 10/20/2014 |
| 100,000 | 102,143 | |
| 3,144,032 | |||
Credit Card Receivables 0.4% | ||||
Capital One Multi-Asset Execution Trust: | ||||
| "A11", Series 2006-A11, 0.347%***, 6/17/2019 |
| 200,000 | 193,076 |
| "B1", Series 2006-B1, 0.537%***, 1/15/2019 |
| 390,000 | 366,909 |
MBNA Credit Card Master Note Trust, "B1", Series 2004-B1, 4.45%, 8/15/2016 |
| 250,000 | 270,912 | |
Providian Master Note Trust, "C1", Series 2006-C1A, 144A, 0.807%***, 3/15/2015 |
| 300,000 | 299,082 | |
World Financial Network Credit Card Master Trust: | ||||
| "A", Series 2010-A, 3.96%, 4/15/2019 |
| 260,000 | 269,803 |
| "A", Series 2009-D, 4.66%, 5/15/2017 |
| 166,000 | 177,263 |
| "M", Series 2010-A, 5.2%, 4/15/2019 |
| 260,000 | 269,628 |
| 1,846,673 | |||
Home Equity Loans 0.0% | ||||
Credit-Based Asset Servicing & Securitization LLC, "AF3", Series 2005-CB4, 5.334%, 8/25/2035 |
| 175,000 | 178,710 | |
Miscellaneous 0.1% | ||||
Morgan Stanley Resecuritization Trust, "B", Series 2010-F, 144A, 0.507%***, 6/17/2013 |
| 375,000 | 369,503 | |
Tax Liens Securitization Trust, "1A2", Series 2010-1A, 144A, 2.0%, 4/15/2018 |
| 300,000 | 299,793 | |
| 669,296 | |||
Total Asset-Backed (Cost $5,768,219) | 5,838,711 | |||
| ||||
Mortgage-Backed Securities Pass-Throughs 2.6% | ||||
Federal Home Loan Mortgage Corp.: | ||||
| 4.5%, 11/1/2018 |
| 688,547 | 730,801 |
| 5.5%, 10/1/2023 |
| 468,554 | 502,469 |
| 6.0%, with various maturities from 1/1/2038 until 3/1/2038 |
| 523,424 | 564,674 |
| 6.5%, with various maturities from 1/1/2035 until 8/1/2038 |
| 1,020,849 | 1,130,955 |
Federal National Mortgage Association: | ||||
| 4.0%, 4/1/2039 (d) |
| 680,000 | 699,125 |
| 4.5%, with various maturities from 10/1/2033 until 10/1/2040 (d) |
| 1,140,135 | 1,194,907 |
| 5.0%, 7/1/2019 |
| 469,378 | 501,012 |
| 5.5%, with various maturities from 1/1/2020 until 3/1/2033 (d) |
| 3,284,388 | 3,541,013 |
| 6.0%, with various maturities from 4/1/2024 until 4/1/2039 |
| 3,164,831 | 3,426,692 |
| 6.5%, with various maturities from 5/1/2023 until 9/1/2034 (d) |
| 1,091,301 | 1,201,220 |
| 7.0%, 3/1/2037 |
| 384,436 | 428,638 |
Total Mortgage-Backed Securities Pass-Throughs (Cost $13,376,728) | 13,921,506 | |||
| ||||
Commercial Mortgage-Backed Securities 1.8% | ||||
Banc of America Commercial Mortgage, Inc., "ASB", Series 2008-1, 6.173%, 2/10/2051 |
| 550,000 | 610,704 | |
Bear Stearns Commercial Mortgage Securities, Inc.: | ||||
| "AAB", Series 2005-PWR7, 4.98%, 2/11/2041 |
| 261,807 | 277,238 |
| "A4", Series 2007-T26, 5.471%, 1/12/2045 |
| 350,000 | 383,054 |
| "A4", Series 2006-PW13, 5.54%, 9/11/2041 |
| 125,000 | 136,664 |
| "AM", Series 2006-PW13, 5.582%, 9/11/2041 |
| 150,000 | 148,515 |
| "A4", Series 2007-PW17, 5.694%, 6/11/2050 |
| 475,000 | 512,761 |
| "AAB", Series 2007-PW17, 5.703%, 6/11/2050 |
| 300,000 | 326,184 |
Citigroup Commercial Mortgage Trust: | ||||
| "A4", Series 2006-C5, 5.431%, 10/15/2049 |
| 390,000 | 421,663 |
| "AM", Series 2006-C5, 5.462%, 10/15/2049 |
| 130,000 | 129,754 |
| "A4", Series 2007-C6, 5.887%***, 12/10/2049 |
| 350,000 | 374,701 |
Citigroup/Deutsche Bank Commercial Mortgage Trust, "A4", Series 2007-CD5, 5.886%, 11/15/2044 |
| 430,000 | 464,781 | |
CW Capital Cobalt Ltd., "AAB", Series 2007-C2, 5.416%, 4/15/2047 |
| 125,000 | 133,782 | |
GE Capital Commercial Mortgage Corp., "C", Series 2001-1, 6.971%, 5/15/2033 |
| 110,000 | 112,297 | |
GS Mortgage Securities Corp. II, "F919", Series 2001-GL3A, 144A, 6.821%, 8/5/2018 |
| 225,000 | 234,368 | |
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
| "ASB", Series 2007-CB20, 5.688%, 2/12/2051 |
| 350,000 | 381,616 |
| "A4", Series 2007-CB20, 5.794%, 2/12/2051 |
| 520,000 | 559,473 |
| "A4", Series 2007-LD12, 5.882%, 2/15/2051 |
| 500,000 | 524,364 |
| "ASB", Series 2007-CB19, 5.915%***, 2/12/2049 |
| 1,280,000 | 1,386,920 |
| "A4", Series 2007-LD11, 6.006%***, 6/15/2049 |
| 310,000 | 320,311 |
Merrill Lynch/Countrywide Commercial Mortgage Trust, "ASB", Series 2007-7, 5.745%, 6/12/2050 |
| 700,000 | 748,870 | |
Morgan Stanley Capital I, "C", Series 2003-IQ5, 5.406%***, 4/15/2038 |
| 200,000 | 202,688 | |
Morgan Stanley Reremic Trust, "A4A", Series 2009-GG10, 144A, 6.002%***, 8/12/2045 |
| 200,000 | 218,782 | |
Wachovia Bank Commercial Mortgage Trust: | ||||
| "A4", Series 2006-C29, 5.308%, 11/15/2048 |
| 230,000 | 247,691 |
| "AM", Series 2006-C29, 5.339%, 11/15/2048 |
| 150,000 | 148,874 |
| "A4", Series 2004-C12, 5.484%***, 7/15/2041 |
| 430,000 | 468,198 |
| "APB", Series 2007-C32, 5.933%***, 6/15/2049 |
| 258,000 | 276,150 |
Total Commercial Mortgage-Backed Securities (Cost $8,529,487) | 9,750,403 | |||
| ||||
Collateralized Mortgage Obligations 6.6% | ||||
BCAP LLC Trust: | ||||
| "3A1", Series 2009-RR4, 144A, 5.34%***, 4/26/2037 |
| 397,463 | 399,326 |
| "A1", Series 2009-RR2, 144A, 5.44%***, 1/21/2038 |
| 442,868 | 447,527 |
Bear Stearns Adjustable Rate Mortgage Trust: | ||||
| "3A1", Series 2007-5, 5.81%***, 8/25/2047 |
| 925,758 | 790,630 |
| "22A1", Series 2007-4, 5.911%***, 6/25/2047 |
| 746,093 | 592,141 |
Chase Mortgage Finance Corp., "3A1", Series 2005-A1, 5.294%***, 12/25/2035 |
| 731,217 | 646,557 | |
Citigroup Mortgage Loan Trust, Inc.: | ||||
| "6A1", Series 2009-6, 144A, 0.506%***, 7/25/2036 |
| 265,203 | 240,429 |
| "7A1", Series 2009-5, 144A, 0.606%***, 7/25/2036 |
| 401,398 | 366,842 |
| "11A1", Series 2009-6, 144A, 0.606%***, 5/25/2037 |
| 297,133 | 268,994 |
| "4A1", Series 2009-6, 144A, 5.426%***, 4/25/2037 |
| 433,025 | 421,808 |
| "1A1", Series 2009-5, 144A, 5.581%***, 6/25/2037 |
| 225,049 | 228,960 |
Countrywide Alternative Loan Trust: | ||||
| "A2", Series 2003-21T1, 5.25%, 12/25/2033 |
| 377,798 | 382,683 |
| "A6", Series 2004-14T2, 5.5%, 8/25/2034 |
| 318,009 | 319,433 |
| "1A1", Series 2004-J1, 6.0%, 2/25/2034 |
| 72,315 | 75,504 |
Credit Suisse Mortgage Capital Certificates: | ||||
| "28A1", Series 2009-3R, 144A, 5.35%***, 8/27/2037 |
| 211,688 | 210,536 |
| "25A1", Series 2009-3R, 144A, 5.65%***, 7/27/2036 |
| 604,397 | 601,375 |
| "30A1", Series 2009-3R, 144A, 5.72%***, 7/27/2037 |
| 566,828 | 584,793 |
Federal Home Loan Mortgage Corp.: | ||||
| "AB", Series 3706, 3.5%, 7/15/2020 |
| 381,598 | 401,240 |
| "DW", Series 3722, 4.0%, 9/15/2030 |
| 490,000 | 519,480 |
| "KB", Series 3677, 4.5%, 5/15/2040 |
| 400,000 | 434,676 |
| "PC", Series 3715, 4.5%, 8/15/2040 |
| 310,000 | 335,304 |
| "NE", Series 2750, 5.0%, 4/15/2032 |
| 610,000 | 680,257 |
| "NE", Series 2751, 5.0%, 6/15/2032 |
| 240,000 | 259,183 |
| "YG", Series 2772, 5.0%, 7/15/2032 |
| 520,000 | 561,763 |
| "PG", Series 2728, 5.0%, 8/15/2032 |
| 590,000 | 635,188 |
| "PD", Series 2754, 5.0%, 11/15/2032 |
| 295,000 | 318,098 |
| "EG", Series 2836, 5.0%, 12/15/2032 |
| 542,000 | 588,132 |
| "PD", Series 2760, 5.0%, 12/15/2032 |
| 780,000 | 839,127 |
| "PD", Series 2844, 5.0%, 12/15/2032 |
| 580,000 | 629,374 |
| "NE", Series 2802, 5.0%, 2/15/2033 |
| 880,000 | 955,614 |
| "OE", Series 2840, 5.0%, 2/15/2033 |
| 412,000 | 444,360 |
| "PD", Series 2893, 5.0%, 2/15/2033 |
| 580,000 | 631,397 |
| "JE", Series 2931, 5.0%, 3/15/2033 |
| 285,000 | 310,298 |
| "PE", Series 2898, 5.0%, 5/15/2033 |
| 300,000 | 326,617 |
| "XD", Series 2941, 5.0%, 5/15/2033 |
| 902,000 | 979,871 |
| "PE", Series 2864, 5.0%, 6/15/2033 |
| 505,000 | 550,271 |
| "BG", Series 2869, 5.0%, 7/15/2033 |
| 315,000 | 341,945 |
| "CG", Series 2888, 5.0%, 8/15/2033 |
| 320,000 | 348,346 |
| "KE", Series 2934, 5.0%, 11/15/2033 |
| 350,000 | 379,831 |
| "ND", Series 3036, 5.0%, 5/15/2034 |
| 695,000 | 760,342 |
| "VG", Series 3659, 5.0%, 9/15/2034 |
| 305,000 | 339,580 |
| "BD", Series 3659, 5.0%, 1/15/2037 |
| 310,000 | 338,928 |
| "PD", Series 2904, 5.5%, 3/15/2033 |
| 425,000 | 474,456 |
| "XD", Series 2966, 5.5%, 9/15/2033 |
| 1,305,000 | 1,410,919 |
| "GA", Series 3523, 5.5%, 11/15/2035 |
| 275,221 | 298,408 |
| "HC", Series 3211, 6.0%, 11/15/2032 |
| 155,000 | 162,646 |
| "OD", Series 3162, 6.0%, 6/15/2035 |
| 285,000 | 314,973 |
Federal National Mortgage Association: | ||||
| "HD", Series 2010-87, 4.0%, 3/25/2025 |
| 445,377 | 473,596 |
| "WD", Series 2003-106, 4.5%, 9/25/2020 |
| 295,000 | 303,559 |
| "YD", Series 2005-94, 4.5%, 8/25/2033 |
| 1,445,000 | 1,553,956 |
| "LC", Series 2009-85, 4.5%, 10/25/2049 |
| 210,000 | 224,149 |
| "ME", Series 2005-14, 5.0%, 10/25/2033 |
| 600,000 | 651,934 |
| "ND", Series 2005-101, 5.0%, 6/25/2034 |
| 520,000 | 570,436 |
| "PC", Series 2009-86, 5.0%, 3/25/2037 |
| 910,000 | 1,014,122 |
| "MD", Series 2010-9, 5.0%, 2/25/2038 |
| 275,000 | 303,154 |
GMAC Mortgage Corp. Loan Trust, "4A1", Series 2005-AR6, 5.348%***, 11/19/2035 |
| 780,908 | 748,598 | |
Government National Mortgage Association, "EA", Series 2010-7, 5.0%, 6/16/2038 |
| 390,000 | 426,066 | |
GS Mortgage Securities Corp., "2A1", Series 2009-3R, 144A, 3.31%***, 7/25/2035 |
| 269,429 | 260,517 | |
Jefferies & Co., "1A1", Series 2009-R9, 144A, 5.747%***, 8/26/2046 |
| 402,332 | 407,320 | |
JPMorgan Mortgage Trust: | ||||
| "6A2", Series 2005-A8, 4.53%***, 11/25/2035 |
| 311,953 | 297,633 |
| "1A1", Series 2008-R2, 144A, 5.57%***, 7/27/2037 |
| 497,375 | 418,380 |
| "2A1" Series 2006-A5, 5.686%***, 8/25/2036 |
| 697,548 | 531,428 |
JPMorgan Reremic: | ||||
| "2A1", Series 2009-5, 144A, 5.168%***, 1/26/2037 |
| 462,995 | 443,496 |
| "A1", Series 2009-8, 144A, 5.387%***, 4/20/2036 |
| 401,034 | 407,097 |
| "18A1", Series 2009-7, 144A, 5.63%***, 11/27/2036 |
| 394,941 | 398,660 |
| "3A1", Series 2009-5, 144A, 5.723%***, 5/26/2037 |
| 311,183 | 316,597 |
| "5A1", Series 2009-7, 144A, 6.0%, 2/27/2037 |
| 377,847 | 384,501 |
Washington Mutual Mortgage Pass-Through Certificates Trust, "1A1", Series 2006-AR18, 5.168%***, 1/25/2037 |
| 908,580 | 702,250 | |
Wells Fargo Mortgage Backed Securities Trust, "2A5", Series 2006-AR2, 4.577%***, 3/25/2036 |
| 2,509,108 | 2,134,473 | |
Total Collateralized Mortgage Obligations (Cost $34,438,882) | 35,120,084 | |||
| ||||
Government & Agency Obligations 5.4% | ||||
Sovereign Bonds 2.6% | ||||
Federal Republic of Germany, 2.25%, 4/15/2013 | EUR | 351,899 | 510,606 | |
Government of Canada Real Return Bond, 4.0%, 12/1/2031 | CAD | 406,131 | 606,746 | |
Government of France: | ||||
| 1.0%, 7/25/2017 | EUR | 403,718 | 572,333 |
| 2.25%, 7/25/2020 | EUR | 910,296 | 1,398,812 |
| 3.15%, 7/25/2032 | EUR | 945,370 | 1,748,224 |
Government of Japan, Series 9, 1.1%, 9/10/2016 | JPY | 74,175,000 | 883,649 | |
Government of Sweden, Series 3105, 3.5%, 12/1/2015 | SEK | 4,750,000 | 967,991 | |
Republic of Italy, 2.1%, 9/15/2017 | EUR | 270,938 | 376,650 | |
United Kingdom Treasury-Inflation Linked Bonds: | ||||
| 1.125%, 11/22/2037 | GBP | 710,952 | 1,264,558 |
| 1.875%, 11/22/2022 | GBP | 913,447 | 1,652,541 |
| 2.0%, 1/26/2035 | GBP | 396,000 | 1,038,569 |
| 2.5%, 8/16/2013 | GBP | 200,000 | 871,878 |
| 2.5%, 7/26/2016 | GBP | 200,000 | 986,669 |
| 2.5%, 4/16/2020 | GBP | 158,000 | 793,050 |
| 13,672,276 | |||
US Government Sponsored Agency 0.1% | ||||
Tennessee Valley Authority, 4.625%, 9/15/2060 |
| 214,000 | 222,935 | |
US Treasury Obligations 2.7% | ||||
US Treasury Bond, 4.375%, 5/15/2040 |
| 3,064,000 | 3,441,263 | |
US Treasury Inflation-Indexed Bonds: | ||||
| 2.375%, 1/15/2025 |
| 1,387,884 | 1,595,958 |
| 3.625%, 4/15/2028 |
| 1,496,169 | 2,001,243 |
US Treasury Inflation-Indexed Notes: | ||||
| 1.875%, 7/15/2015 |
| 330,642 | 359,444 |
| 2.375%, 1/15/2017 |
| 1,216,181 | 1,370,865 |
| 2.5%, 7/15/2016 |
| 863,608 | 978,036 |
| 3.375%, 1/15/2012 |
| 957,668 | 1,002,859 |
US Treasury Notes: | ||||
| 0.375%, 9/30/2012 |
| 805,000 | 804,119 |
| 1.25%, 8/31/2015 |
| 1,138,000 | 1,137,645 |
| 3.5%, 5/15/2020 |
| 1,716,000 | 1,862,667 |
| 14,554,099 | |||
Total Government & Agency Obligations (Cost $26,596,950) | 28,449,310 | |||
| ||||
Municipal Bonds and Notes 0.6% | ||||
California, Bay Area Toll Authority, Toll Bridge Revenue, Build America Bonds, Series S1, 7.043%, 4/1/2050 |
| 265,000 | 290,398 | |
Chicago, IL, Transit Authority, Sales Tax Receipts Revenue, Build America Bonds, Series B, 6.2%, 12/1/2040 (e) |
| 365,000 | 372,001 | |
Georgia, Municipal Electric Authority, Build America Bonds, Plant Vogtle Units 3 & 4 Project, Series J, 6.637%, 4/1/2057 |
| 365,000 | 393,485 | |
Hammond, IN, Redevelopment Authority Lease Rent Revenue, Hammond Marina Project, 5.57%, 2/1/2014 (f) |
| 610,000 | 633,643 | |
Missouri, State Highways & Transit Commission, State Road Revenue, Build America Bonds, 5.445%, 5/1/2033 |
| 455,000 | 491,887 | |
New York, Metropolitan Transportation Authority, Dedicated Tax Fund, Build America Bonds, Metro Transit Authority, Series A2, 6.089%, 11/15/2040 |
| 270,000 | 297,553 | |
New York City, NY, Municipal Water Finance Authority, Water & Sewer Revenue, Build America Bonds, 5.44%, 6/15/2043 |
| 185,000 | 193,728 | |
Southern California, Public Power Authority, Power Project Revenue, Build America Bonds, 5.943%, 7/1/2040 |
| 370,000 | 385,218 | |
Total Municipal Bonds and Notes (Cost $2,885,000) | 3,057,913 | |||
| ||||
Preferred Security 0.0% | ||||
Materials | ||||
Hercules, Inc., 6.5%, 6/30/2029 (Cost $5,675) |
| 10,000 | 8,175 |
|
| Value ($) | ||
|
| |||
Other Investments 0.0% | ||||
AOT Bedding Super Holdings LLC* (Cost $2,000) | 2 | 2,000 |
|
| Value ($) | |
|
| ||
Exchange-Traded Funds 12.2% | |||
iShares Barclays Aggregate Bond Fund | 282,244 | 30,665,810 | |
iShares JPMorgan USD Emerging Markets Bond Fund | 41,440 | 4,614,344 | |
iShares Russell 2000 Value Index Fund | 175,205 | 10,845,189 | |
SPDR Barclays Capital International Treasury Bond* | 41,702 | 2,500,452 | |
Vanguard Emerging Markets | 355,279 | 16,129,667 | |
Total Exchange-Traded Funds (Cost $55,055,884) | 64,755,462 | ||
| |||
Securities Lending Collateral 1.4% | |||
Daily Assets Fund Institutional, 0.29% (g) (h) (Cost $7,605,784) | 7,605,784 | 7,605,784 | |
| |||
Cash Equivalents 2.8% | |||
Central Cash Management Fund, 0.21% (g) (Cost $14,783,969) | 14,783,969 | 14,783,969 |
| % of Net Assets | Value ($) |
|
| |
Total Investment Portfolio (Cost $480,496,408)+ | 99.3 | 528,641,548 |
Other Assets and Liabilities, Net | 0.7 | 3,957,523 |
Net Assets | 100.0 | 532,599,071 |
** Non-income producing security. Issuer has defaulted on the payment of principal or interest or has filed for bankruptcy. The following table represents bonds that are in default:
Securities | Coupon | Maturity Date | Principal Amount ($) | Acquisition Cost ($) | Value ($) | |
Buffalo Thunder Development Authority | 9.375% | 12/15/2014 | 20,000 | USD | 17,425 | 5,200 |
CanWest MediaWorks LP | 9.25% | 8/1/2015 | 35,000 | USD | 32,944 | 6,300 |
Fontainebleau Las Vegas Holdings LLC | 11.0% | 6/15/2015 | 40,000 | USD | 27,850 | 6 |
Tropicana Entertainment LLC | 9.625% | 12/15/2014 | 105,000 | USD | 54,144 | 221 |
|
|
|
| | 132,363 | 11,727 |
+ The cost for federal income tax purposes was $484,850,399. At September 30, 2010, net unrealized appreciation for all securities based on tax cost was $43,791,149. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $55,628,985 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $11,837,836.
(a) Principal amount stated in US dollars unless otherwise noted.
(b) All or a portion of these securities were on loan (see Notes to Financial Statements). The value of all securities loaned at September 30, 2010 amounted to $7,663,344, which is 1.4% of net assets.
(c) Securities with the same description are the same corporate entity but trade on different stock exchanges.
(d) When-issued or delayed delivery security included.
(e) Taxable issue.
(f) Bond is insured by this company:
Insurance Coverage | As a % of Total Investment Portfolio |
National Public Finance Guarantee Corp. | 0.1 |
Many insurers who have traditionally guaranteed payment of municipal issues have been downgraded by the major rating agencies.
(g) Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.(h) Represents collateral held in connection with securities lending. Income earned by the Fund is net of borrower rebates.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
ADR: American Depositary Receipt
CVA: Certificaten Van Aandelen
PIK: Denotes that all or a portion of income is paid in kind.
REIT: Real Estate Investment Trust
RSP: Risparmio (Convertible Savings Shares)
SDR: Swedish Depositary Receipt
SPDR: Standard & Poor's Depositary Receipt
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal Home Loan Mortgage Corp. and Federal National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in this investment portfolio.
At September 30, 2010, open futures contracts purchased were as follows:
Futures | Currency | Expiration Date | Contracts | Notional Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
10 Year Japanese Government Bond | JPY | 12/9/2010 | 14 | 24,052,228 | 394,106 |
10 Year US Treasury Note | USD | 12/21/2010 | 91 | 11,470,266 | 19,906 |
CAC 40 Index | EUR | 10/15/2010 | 212 | 10,722,236 | (119,216) |
DJ Euro Stoxx 50 Index | EUR | 12/17/2010 | 5 | 186,629 | (491) |
FTSE MIB Index | EUR | 12/17/2010 | 39 | 5,423,276 | (63,534) |
Hang Seng Index | HKD | 10/28/2010 | 4 | 575,549 | (567) |
IBEX 35 Index | EUR | 10/15/2010 | 8 | 1,138,423 | (30,482) |
NASDAQ E-Mini 100 Index | USD | 12/17/2010 | 80 | 3,192,800 | 126,000 |
Nikkei 225 Index | USD | 12/9/2010 | 2 | 94,450 | 300 |
Russell 2000 Mini Index | USD | 12/17/2010 | 8 | 539,600 | 21,040 |
S&P 500 E-Mini Index | USD | 12/17/2010 | 12 | 682,020 | 19,110 |
TOPIX Index | JPY | 12/10/2010 | 8 | 792,046 | 1,246 |
Total net unrealized appreciation | 367,418 |
At September 30, 2010, open futures contracts sold were as follows:
Futures | Currency | Expiration Date | Contracts | Notional Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
AEX Index | EUR | 10/15/2010 | 47 | 4,283,264 | 34,599 |
ASX SPI 200 Index | AUD | 12/16/2010 | 26 | 2,889,983 | 38,324 |
DAX Index | EUR | 12/17/2010 | 42 | 8,933,447 | 45,090 |
DJ Euro Stoxx 50 Index | EUR | 12/17/2010 | 25 | 933,145 | 19,426 |
Federal Republic of Germany Euro-Bund | EUR | 12/8/2010 | 271 | 48,555,609 | (391,607) |
FTSE 1000 Index | GBP | 12/17/2010 | 8 | 694,903 | 1,508 |
S&P 500 E-Mini Index | USD | 12/17/2010 | 156 | 8,866,260 | (159,900) |
S&P TSX 60 Index | CAD | 12/16/2010 | 23 | 3,186,782 | (36,482) |
Total net unrealized depreciation | (449,042) |
As of September 30, 2010, the Fund had the following open forward foreign currency exchange contracts:
Contracts to Deliver |
| In Exchange For |
| Settlement Date | Unrealized Appreciation ($) | Counterparty | ||
USD | 53,293 |
| NZD | 73,000 |
| 10/21/2010 | 175 | HSBC Bank USA |
USD | 16,277,534 |
| SEK | 116,609,000 |
| 10/21/2010 | 1,012,909 | HSBC Bank USA |
USD | 6,165,205 |
| JPY | 517,569,000 |
| 10/21/2010 | 35,854 | Morgan Stanley |
USD | 17,753,518 |
| CAD | 18,295,000 |
| 10/21/2010 | 19,265 | Morgan Stanley |
USD | 5,199,115 |
| AUD | 5,598,000 |
| 10/21/2010 | 197,468 | UBS AG |
USD | 6,593,141 |
| NOK | 40,412,000 |
| 10/21/2010 | 270,486 | UBS AG |
Total unrealized appreciation |
|
| 1,536,157 |
Contracts to Deliver |
| In Exchange For |
| Settlement Date | Unrealized Depreciation ($) | Counterparty | ||
GBP | 8,456,000 |
| USD | 13,043,972 |
| 10/21/2010 | (237,482) | Morgan Stanley |
CHF | 9,532,000 |
| USD | 9,412,183 |
| 10/21/2010 | (290,052) | HSBC Bank USA |
EUR | 18,592,000 |
| USD | 23,863,855 |
| 10/21/2010 | (1,477,661) | UBS AG. |
EUR | 171,400 |
| USD | 228,303 |
| 10/27/2010 | (4,760) | Citigroup, Inc. |
Total unrealized depreciation |
|
| (2,009,955) |
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 Note B 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 September 30, 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 (i) | ||||
Consumer Discretionary | $ 27,839,327 | $ 6,417,186 | $ 76 | $ 34,256,589 |
Consumer Staples | 21,578,496 | 6,915,823 | 48,056 | 28,542,375 |
Energy | 23,233,612 | 5,591,714 | — | 28,825,326 |
Financials | 36,757,567 | 8,907,519 | 57 | 45,665,143 |
Health Care | 33,249,977 | 4,453,103 | — | 37,703,080 |
Industrials | 21,527,117 | 9,046,921 | — | 30,574,038 |
Information Technology | 45,616,858 | 4,421,643 | — | 50,038,501 |
Materials | 8,313,379 | 6,329,443 | — | 14,642,822 |
Telecommunication Services | 7,921,510 | 6,597,603 | — | 14,519,113 |
Utilities | 8,224,950 | 1,962,658 | — | 10,187,608 |
Fixed Income Investments (i) | ||||
Corporate Bonds | — | 50,393,636 | — | 50,393,636 |
Asset Backed | — | 4,963,955 | 874,756 | 5,838,711 |
Mortgage-Backed Securities Pass-Throughs | — | 13,921,506 | — | 13,921,506 |
Commercial Mortgage-Backed Securities | — | 9,750,403 | — | 9,750,403 |
Collateralized Mortgage Obligations | — | 35,120,084 | — | 35,120,084 |
Government & Agency Obligations | — | 28,449,310 | — | 28,449,310 |
Municipal Bonds and Notes | — | 3,057,913 | — | 3,057,913 |
Preferred Securities | — | 8,175 | — | 8,175 |
Other Investments | — | — | 2,000 | 2,000 |
Exchange-Traded Funds | 64,755,462 | — | — | 64,755,462 |
Short-Term Investments (i) | 22,389,753 | — | — | 22,389,753 |
Derivatives (j) | — | 1,536,157 | — | 1,536,157 |
Total | $ 321,408,008 | $ 207,844,752 | $ 924,945 | $ 530,177,705 |
Liabilities |
|
|
|
|
Derivatives (i) | $ (81,624) | $ (2,009,955) | $ — | $ (2,091,579) |
Total | $ (81,624) | $ (2,009,955) | $ — | $ (2,091,579) |
There have been no significant transfers in and out of Level 1 and Level 2 fair value measurements during the period ended September 30, 2010.
(i) See Investment Portfolio for additional detailed categorizations.(j) 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 | Asset-Backed |
Balance as of March 31, 2010 | $ 710,312 | $ 23,400 | $ — |
Net realized gain (loss) | 191,081 | — | — |
Change in unrealized appreciation (depreciation) | (20,017) | — | 0 |
Amortization premium/discount | — | — | — |
Net purchases (sales) | (833,187) | — | 874,756 |
Transfers into Level 3 | — | — | — |
Transfers (out) of Level 3 | — | (23,400) (k) | — |
Balance as of September 30, 2010 | $ 48,189 | $ — | $ 874,756 |
Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2010 | $ (199) | $ — | $ 0 |
| Collateralized Mortgage Obligations | Other Investments | Total |
Balance as of March 31, 2010 | $ 436,967 | $ — | $ 1,170,679 |
Net realized gain (loss) | — | — | 191,081 |
Change in unrealized appreciation (depreciation) | — | — | (20,017) |
Amortization premium/discount | — | — | — |
Net purchases (sales) | — | 2,000 | 43,569 |
Transfers into Level 3 | — | — | — |
Transfers (out) of Level 3 | (436,967) (k) | — | (460,367) |
Balance as of September 30, 2010 | $ — | $ 2,000 | $ 924,945 |
Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2010 | $ — | $ 0 | $ (199) |
Transfers between price levels are recognized at the beginning of the reporting period.
(k) The investment was transferred from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs.The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities
as of September 30, 2010 (Unaudited) | |
Assets | |
Investments: Investments in securities, at value (cost $458,106,655) — including $7,663,344 of securities loaned | $ 506,251,795 |
Investment in Daily Assets Fund Institutional (cost $7,605,784)* | 7,605,784 |
Investment in Central Cash Management Fund (cost $14,783,969) | 14,783,969 |
Total investments, at value (cost $480,496,408) | 528,641,548 |
Cash | 1,088,600 |
Foreign currency, at value (cost $507,310) | 517,599 |
Deposit with brokers for open futures contracts | 5,786,190 |
Receivable for investments sold | 46,116,892 |
Receivable for when-issued and delayed delivery securities sold | 1,408,288 |
Receivable for Fund shares sold | 249 |
Dividends receivable | 300,415 |
Interest receivable | 1,318,333 |
Unrealized appreciation on open forward foreign currency exchange contracts | 1,536,157 |
Due from Advisor | 66,815 |
Foreign taxes recoverable | 69,293 |
Other assets | 25,454 |
Total assets | 586,875,833 |
Liabilities | |
Payable upon return of securities loaned | 7,605,784 |
Payable for investments purchased | 39,523,784 |
Payable for when-issued and delayed delivery securities purchased | 4,049,306 |
Payable for Fund shares redeemed | 259,439 |
Payable for daily variation margin on open futures contracts | 81,624 |
Unrealized depreciation on open forward foreign currency exchange contracts | 2,009,955 |
Accrued management fee | 146,528 |
Other accrued expenses and payables | 600,342 |
Total liabilities | 54,276,762 |
Net assets, at value | $ 532,599,071 |
The accompanying notes are an integral part of the financial statements.
Statement of Assets and Liabilities as of September 30, 2010 (Unaudited) (continued) | |
Net Assets Consist of | |
Accumulated distributions in excess of net investment income | (103,396) |
Net unrealized appreciation (depreciation) on: Investments | 48,145,140 |
Futures | (81,624) |
Foreign currency | (473,150) |
Accumulated net realized gain (loss) | (193,157,809) |
Paid-in capital | 678,269,910 |
Net assets, at value | $ 532,599,071 |
Net Asset Value | |
Class S Net Asset Value offering and redemption price per share ($3,237,891 ÷ 386,120 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized) | $ 8.39 |
Institutional Class Net Asset Value offering and redemption price per share ($529,361,180 ÷ 60,459,056 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized) | $ 8.76 |
The accompanying notes are an integral part of the financial statements.
for the six months ended September 30, 2010 (Unaudited) | |
Investment Income | |
Income: Dividends (net of foreign taxes withheld of $146,436) | $ 3,430,096 |
Interest | 4,109,019 |
Income distributions — Central Cash Management Fund | 25,885 |
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates | 19,205 |
Total income | 7,584,205 |
Expenses: Management fee | 1,593,330 |
Administration fee | 271,651 |
Services to shareholders | 416,080 |
Professional fees | 53,384 |
Trustees' fees and expenses | 10,062 |
Custodian fee | 175,289 |
Reports to shareholders | 32,852 |
Registration fees | 15,902 |
Other | 81,547 |
Total expenses before expense reductions | 2,650,097 |
Expense reductions | (1,143,442) |
Total expenses after expense reductions | 1,506,655 |
Net investment income | 6,077,550 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: Investments | 18,325,053 |
Futures | (1,915,597) |
Foreign currency | (2,394,962) |
| 14,014,494 |
Change in net unrealized appreciation (depreciation) on: Investments | (12,239,347) |
Futures | (167,983) |
Foreign currency | (1,008,550) |
| (13,415,880) |
Net gain (loss) | 598,614 |
Net increase (decrease) in net assets resulting from operations | $ 6,676,164 |
The accompanying notes are an integral part of the financial statements.
Statement of Changes in Net Assets
Increase (Decrease) in Net Assets | Six Months Ended September 30, 2010 (Unaudited) | Years Ended March 31, 2010 |
Operations: Net investment income | $ 6,077,550 | $ 13,022,136 |
Net realized gain (loss) | 14,014,494 | 16,925,966 |
Change in net unrealized appreciation (depreciation) | (13,415,880) | 128,458,139 |
Net increase (decrease) in net assets resulting from operations | 6,676,164 | 158,406,241 |
Distributions to shareholders from: Net investment income Class S | (63,952) | (64,952) |
Institutional Class | (11,385,741) | (12,350,184) |
Total distributions | (11,449,693) | (12,415,136) |
Fund share transactions: Proceeds from shares sold | 15,269,743 | 58,552,000 |
Reinvestment of distributions | 11,449,606 | 12,414,949 |
Cost of shares redeemed | (57,435,504) | (53,546,478) |
Net increase (decrease) in net assets from Fund share transactions | (30,716,155) | 17,420,471 |
Increase (decrease) in net assets | (35,489,684) | 163,411,576 |
Net assets at beginning of period | 568,088,755 | 404,677,179 |
Net assets at end of period (including accumulated distributions in excess of net investment income and undistributed net investment income of $103,396 and $5,268,747, respectively) | $ 532,599,071 | $ 568,088,755 |
The accompanying notes are an integral part of the financial statements.
Class S+ Years Ended March 31, | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per Share Data | ||||||
Net asset value, beginning of period | $ 8.45 | $ 6.23 | $ 9.79 | $ 11.85 | $ 11.30 | $ 10.62 |
Income (loss) from investment operations: Net investment incomeb | .09 | .19 | .26 | .29 | .33 | .22 |
Net realized and unrealized gain (loss) | .02 | 2.20 | (3.40) | (.30) | .80 | .70 |
Total from investment operations | .11 | 2.39 | (3.14) | (.01) | 1.13 | .92 |
Less distributions from: Net investment income | (.17) | (.17) | (.20) | (.42) | (.25) | (.24) |
Net realized gains | — | — | (.13) | (1.63) | (.33) | — |
Return of capital | — | — | (.09) | — | — | — |
Total distributions | (.17) | (.17) | (.42) | (2.05) | (.58) | (.24) |
Net asset value, end of period | $ 8.39 | $ 8.45 | $ 6.23 | $ 9.79 | $ 11.85 | $ 11.30 |
Total Return (%)c | 1.33** | 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 | 3 | 5 | 5 | 31 |
Ratio of expenses before expense reductions (%) | 1.07* | 1.07 | 1.08 | 1.05 | .93 | 1.41 |
Ratio of expenses after expense reductions (%) | .80* | .81 | .82 | .87 | .71 | 1.00 |
Ratio of net investment income (%) | 1.99* | 2.31 | 2.99 | 2.50 | 2.67 | 1.92 |
Portfolio turnover rate (%) | 110** | 209 | 242 | 264 | 175 | 108 |
+ On October 23, 2006, Investment Class was renamed Class S. a For the six months ended September 30, 2010 (Unaudited). b Based on average shares outstanding during the period. c Total return would have been lower had certain expenses not been reduced. * Annualized ** Not annualized |
Institutional Class Years Ended March 31, | 2010a | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per Share Data | ||||||
Net asset value, beginning of period | $ 8.82 | $ 6.51 | $ 10.22 | $ 12.29 | $ 11.74 | $ 11.04 |
Income (loss) from investment operations: Net investment incomeb | .10 | .21 | .28 | .32 | .34 | .27 |
Net realized and unrealized gain (loss) | .03 | 2.30 | (3.54) | (.29) | .85 | .74 |
Total from investment operations | .13 | 2.51 | (3.26) | .03 | 1.19 | 1.01 |
Less distributions from: Net investment income | (.19) | (.20) | (.23) | (.47) | (.31) | (.31) |
Net realized gains | — | — | (.13) | (1.63) | (.33) | — |
Return of capital | — | — | (.09) | — | — | — |
Total distributions | (.19) | (.20) | (.45) | (2.10) | (.64) | (.31) |
Net asset value, end of period | $ 8.76 | $ 8.82 | $ 6.51 | $ 10.22 | $ 12.29 | $ 11.74 |
Total Return (%)c | 1.49** | 38.76 | (32.84) | (.40) | 10.28 | 9.19 |
Ratios to Average Net Assets and Supplemental Data | ||||||
Net assets, end of period ($ millions) | 529 | 565 | 402 | 738 | 761 | 726 |
Ratio of expenses before expense reductions (%) | .98* | .96 | .98 | .89 | .89 | .91 |
Ratio of expenses after expense reductions (%) | .55* | .56 | .57 | .55 | .55 | .55 |
Ratio of net investment income (%) | 2.24* | 2.56 | 3.24 | 2.82 | 2.83 | 2.37 |
Portfolio turnover rate (%) | 110** | 209 | 242 | 264 | 175 | 108 |
a For the six months ended September 30, 2010 (Unaudited). b Based on average shares outstanding during the period. c Total return would have been lower had certain expenses not been reduced. * Annualized ** Not annualized |
Notes to Financial Statements (Unaudited)
A. Organization and Significant Accounting Policies
DWS Lifecycle Long Range Fund (the "Fund") is a diversified series of DWS Advisor Funds (the "Trust"), which is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company organized as a Massachusetts business trust.
The Fund offers two classes of shares: Institutional Class and Class S. Institutional Class shares are offered to a limited group of investors and are not subject to initial or contingent deferred sales charges. Institutional Class shares have lower ongoing expenses than Class S shares. Class S shares are not subject to initial or contingent deferred sales charges and are generally not available to new investors except under certain circumstances.
Investment income, realized and unrealized gains and losses, and certain fund-level expenses and expense reductions, if any, are borne pro rata on the basis of relative net assets by the holders of both classes of shares except that each class bears certain expenses unique to that class such as services to shareholders and certain other class specific expenses. Differences in class-level expenses may result in payment of different per share dividends by class. All shares of the Fund have equal rights with respect to voting subject to class-specific arrangements.
The Fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America, which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Fund in the preparation of its financial statements.
Security Valuation. Investments are stated at value determined as of the close of regular trading on the New York Stock Exchange on each day the exchange is open for trading.
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.
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 and are categorized as Level 1 securities. Securities or ETFs 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. For certain 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, a fair valuation model may be used. This fair valuation model takes into account comparisons to the valuation of American Depository Receipts (ADRs), exchange-traded funds, futures contracts and certain indices and these securities are categorized as Level 2.
Debt securities are valued by independent pricing services approved by the Fund's Board. If the pricing services are unable to provide valuations, securities are valued at the most recent bid quotation or evaluated price, as applicable, 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. These securities are generally categorized as Level 2.
Futures contracts are generally valued at the settlement prices established each day on the exchange on which they are traded and are categorized as Level 1.
Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and are categorized as Level 2.
Money market instruments purchased with an original or remaining maturity of sixty days or less, maturing at par, are valued at amortized cost, which approximates value, and are categorized as Level 2. Investments in open-end investment companies are valued at their net asset value each business day and are categorized as Level 1.
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 Board and are generally categorized as Level 3. In accordance with the Fund's valuation procedures, factors used in determining value may include, but are not limited to, the type of the security, the size of the holding, the initial cost of the security, the existence of any contractual restrictions on the security's disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies, quotations or evaluated prices from broker-dealers and/or pricing services, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company's 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 lends 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 value 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.
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 currency contracts, recognition of certain foreign currency gains (losses) as ordinary income (loss), futures contracts and certain securities sold at a loss. As a result net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, the Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of the Fund.
The tax character of current year distributions will be determined at the end of the current fiscal year.
Real Estate Investment Trusts. The Fund periodically recharacterizes distributions received from a Real Estate Investment Trust ("REIT") investment based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available timely from a REIT, the recharacterization will be estimated and a recharacterization will be made in the following year when such information becomes available. Distributions received from REITs in excess of income are recorded as either a reduction of cost of investments or realized gains. The Fund distinguishes between dividends on a tax basis and a financial reporting basis and only distributions in excess of tax basis earnings and profits are reported in the financial statements as a return of capital for tax reporting purposes.
Expenses. Expenses of the Trust arising in connection with a specific fund are allocated to that fund. Other Trust expenses which cannot be directly attributed to a fund are apportioned among the funds in the Trust.
Contingencies. In the normal course of business, the Fund may enter into contracts with service providers that contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet been made. However, based on experience, the Fund expects the risk of loss to be remote.
Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment 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. Derivative Instruments
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). For the six months ended September 30, 2010, the Fund used futures contracts to gain 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. For the six months ended September 30, 2010, as part of this strategy, the Fund used 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 September 30, 2010 is included in a table following the Fund's Investment Portfolio. For the six months ended September 30, 2010, the Fund invested in futures contracts with a total notional value generally indicative of a range from approximately $118,289,000 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. For the six months ended September 30, 2010, the Fund entered 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. On the settlement date of the forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed. 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 currency contracts as of September 30, 2010 is included in a table following the Fund's Investment Portfolio. For the six months ended September 30, 2010, the Fund invested in forward currency contracts with a total value generally indicative of a range from approximately $81,175,000 to $98,590,000.
The following tables summarize the value of the Fund's derivative instruments held as of September 30, 2010 and the related location in the accompanying Statement of Assets and Liabilities, presented by primary underlying risk exposure:
Asset Derivative | Forward Contracts |
Foreign Exchange Contracts (a) | $ 1,536,157 |
The above derivative is located in the following Statement of Assets and Liabilities account:
(a) Unrealized appreciation on open forward foreign currency exchange contractsLiability Derivatives | Forward Contracts | Futures Contracts | Total |
Foreign Exchange Contracts (a) | $ (2,009,955) | $ — | $ (2,009,955) |
Equity Contracts (b) | — | (104,029) | (104,029) |
Interest Rate Contracts (b) | — | 22,405 | 22,405 |
| $ (2,009,955) | $ (81,624) | $ (2,091,579) |
Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts:
(a) Unrealized depreciation on open forward foreign currency exchange contracts(b) Net unrealized appreciation (depreciation) on futures. Liability of Payable for daily variation margin on open futures contracts reflects unsettled variation margin.
Additionally, the amount of unrealized and realized gains and losses on derivative instruments recognized in Fund earnings during the six months ended September 30, 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) | $ (2,312,182) | $ — | $ (2,312,182) |
Equity Contracts (b) | — | (2,696,369) | (2,696,369) |
Interest Rate Contracts (b) | — | 780,772 | 780,772 |
| $ (2,312,182) | $ (1,915,597) | $ (4,227,779) |
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) | $ (1,016,944) | $ — | $ (1,016,944) |
Equity Contracts (b) | — | (91,389) | (91,389) |
Interest Rate Contracts (b) | — | (76,594) | (76,594) |
| $ (1,016,944) | $ (167,983) | $ (1,184,927) |
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
C. Purchases and Sales of Securities
During the six months ended September 30, 2010, purchases and sales of investment securities (excluding short-term investments and US Treasury obligations) aggregated $426,288,404 and $445,336,977, respectively. Purchases and sales of US Treasury obligations aggregated $134,853,820 and $145,458,570, respectively.
D. 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.
QS Investors, LLC ("QS Investors") acts as an investment subadvisor to the Fund. On August 1, 2010, members of the Advisor's Quantitative Strategies Group, including some members of the Fund's portfolio management team, separated from the Advisor and formed QS Investors as a separate investment advisory firm unaffiliated with the Advisor (the "Separation"). As an investment subadvisor to the Fund, QS Investors renders strategic asset allocation services and also manages a portion of the assets allocated to equities and the portion of assets allocated to the Fund's global tactical asset allocation overlay strategy. QS Investors is paid by the Advisor, not the Fund, for the services QS Investors provides to the Fund.
Pursuant to a written contract, Aberdeen Asset Management Inc. ("AAMI"), a direct, wholly owned subsidiary of Aberdeen Asset Management PLC, serves as subadvisor to the Fund with respect to a portion of the fixed income portion of the Fund's portfolio. AAMI is paid for its services by the Advisor from its fee as investment advisor to the Fund.
Under the Investment Management Agreement with the Advisor, the Fund pays a monthly management fee based on the Fund's average daily net assets, computed and accrued daily and payable monthly, at the following annual rates:
First $250 million of the Fund's average daily net assets | .600% |
Next $750 million of such net assets | .575% |
Over $1 billion of such net assets | .550% |
For the period from April 1, 2010 through July 31, 2011, 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 six months ended September 30, 2010, the Advisor waived a portion of its management fee pursuant to the Investment Management Agreement aggregating $733,611 and the amount charged aggregated $859,719, which was equivalent to an annualized effective rate of 0.32% of the Fund's average daily net assets.
In addition, for the six months ended September 30, 2010, the Advisor reimbursed $409,705 of sub-recordkeeping expenses for Institutional Class shares.
Administration Fee. Pursuant to an Administrative Services Agreement, DIMA provides most administrative services to the Fund. For all services provided under the Administrative Services Agreement, the Fund pays the Advisor an annual fee ("Administration Fee") of 0.10% of the Fund's average daily net assets, computed and accrued daily and payable monthly. For the six months ended September 30, 2010, the Administration Fee was $271,651, of which $43,301 is unpaid.
Service Provider Fees. DWS Investments Service Company ("DISC"), an affiliate of the Advisor, is the transfer agent, dividend-paying agent and shareholder service agent for the Fund. Pursuant to a sub-transfer agency agreement between DISC and DST Systems, Inc. ("DST"), DISC has delegated certain transfer agent, dividend-paying agent and shareholder service agent functions to DST. DISC compensates DST out of the shareholder servicing fee it receives from the Fund. For the six months ended September 30, 2010, the amounts charged to the Fund by DISC were as follows:
Services to Shareholders | Total Aggregated | Waived | Unpaid at September 30, 2010 |
Class S | $ 1,132 | $ — | $ 702 |
Institutional Class | 126 | 126 | — |
| $ 1,258 | $ 126 | $ 702 |
Typesetting and Filing Service Fees. Under an agreement with DIMA, DIMA is compensated for providing typesetting and certain regulatory filing services to the Fund. For the six months ended September 30, 2010, the amount charged to the Fund by DIMA included in the Statement of Operations under "reports to shareholders" aggregated $17,603, of which $6,593 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.
E. Concentration of Ownership
From time to time the Fund may have a concentration of several shareholder accounts holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Fund.
At September 30, 2010, one or more shareholder accounts held greater than 10% of the outstanding shares of the Fund. These shareholder accounts held approximately 72% and 26%, respectively, of the total shares outstanding of the Fund.
F. 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.
G. Share Transactions
The following table summarizes share and dollar activity in the Fund:
| Six Months Ended | Year Ended | ||
| Shares | Dollars | Shares | Dollars |
Shares sold | ||||
Class S | 34,351 | $ 284,364 | 36,496 | $ 291,553 |
Institutional Class | 1,744,840 | 14,985,379 | 7,264,240 | 58,260,447 |
|
| $ 15,269,743 |
| $ 58,552,000 |
Shares issued to shareholders in reinvestment of distributions | ||||
Class S | 7,818 | $ 63,865 | 8,377 | $ 64,932 |
Institutional Class | 1,334,623 | 11,385,741 | 1,513,220 | 12,350,017 |
|
| $ 11,449,606 |
| $ 12,414,949 |
Shares redeemed | ||||
Class S | (31,000) | $ (253,410) | (121,703) | $ (937,601) |
Institutional Class | (6,661,807) | (57,182,094) | (6,447,805) | (52,608,877) |
|
| $ (57,435,504) |
| $ (53,546,478) |
Net increase (decrease) | ||||
Class S | 11,169 | $ 94,819 | (76,830) | $ (581,116) |
Institutional Class | (3,582,344) | (30,810,974) | 2,329,655 | 18,001,587 |
|
| $ (30,716,155) |
| $ 17,420,471 |
A Special Meeting of the Shareholders (the "Meeting") of DWS Lifecycle Long Range Fund (the "Fund"), a series of DWS Advisor Funds, was held on July 28, 2010, at the offices of Deutsche Investment Management Americas Inc., 345 Park Avenue, New York, New York. At the Meeting, the following matters were voted upon by the shareholders (the resulting votes are presented below).
1. Approval of a Sub-Advisory Agreement between Deutsche Investment Americas Inc. and QS Investors, LLC with respect to the Fund.
Number of Votes: | ||
For | Against | Abstain |
44,083,569.298 | 0 | 5,111.877 |
2B. Approval of a Sub-Advisor Approval Policy for Non-Affiliated Sub-Advisors.
Number of Votes: | ||
For | Against | Abstain |
44,083,569.298 | 0 | 5,111.877 |
Investment Management Agreement Approval
The Board of Trustees, including the Independent Trustees, approved the renewal of your Fund's investment management agreement (the "Agreement") with Deutsche Investment Management Americas Inc. ("DWS") and sub-advisory agreements (the "Sub-Advisory Agreements" and together with the Agreement, the "Agreements") between DWS and Aberdeen Asset Management Inc. ("Aberdeen") and DWS and QS Investors, LLC ("QS Investors") in September 2010.
In terms of the process that the Board followed prior to approving the Agreements, shareholders should know that:
• In September 2010, all of the Fund's Trustees were independent of DWS and its affiliates.
• The Trustees meet frequently to discuss fund matters. Each year, the Trustees dedicate substantial time to contract review matters. Over the course of several months, the Board's Contract Committee, in coordination with the Board's Fixed Income and Quant Oversight Committee, reviewed comprehensive materials received from DWS, independent third parties and independent counsel. These materials included an analysis of the Fund's performance, fees and expenses, and profitability compiled by the Fund's independent fee consultant. The Board also received extensive information throughout the year regarding performance of the Fund.
• The Independent Trustees regularly meet privately with their independent counsel to discuss contract review and other matters. In addition, the Independent Trustees were also advised by the Fund's independent fee consultant in the course of their review of the Fund's contractual arrangements and considered a comprehensive report prepared by the independent fee consultant in connection with their deliberations (the "IFC Report").
• In connection with reviewing the Agreements, the Board also reviewed the terms of the Fund's distribution agreement, administrative services agreement, transfer agency agreement and other material service agreements.
• Based on its evaluation of the information provided, the Contract Committee presented its findings and recommendations to the Independent Trustees as a group. The Independent Trustees reviewed the Contract Committee's findings and recommendations and presented their recommendations to the full Board.
In connection with the contract review process, the Contract Committee and the Board considered the factors discussed below, among others. The Board also considered that DWS and its predecessors have managed the Fund since its inception, and the Board believes that a long-term relationship with a capable, conscientious advisor is in the best interests of the Fund. The Board considered, generally, that shareholders chose to invest or remain invested in the Fund knowing that DWS managed the Fund, and that the Agreement was approved by the Fund's shareholders. DWS is part of Deutsche Bank, a major global banking institution that is engaged in a wide range of financial services. The Board believes that there are significant advantages to being part of a global asset management business that offers a wide range of investing expertise and resources, including hundreds of portfolio managers and analysts with research capabilities in many countries throughout the world.
While shareholders may focus primarily on fund performance and fees, the Fund's Board considers these and many other factors, including the quality and integrity of DWS's, Aberdeen's and QS Investors' personnel and such other issues as back-office operations, fund valuations, and compliance policies and procedures. In addition, in connection with approving the continuation of the Fund's Sub-Advisory Agreement with QS Investors, the Board noted that it had engaged in a comprehensive review of the agreement in connection with its initial approval in May 2010. The Board also noted that the Sub-Advisory Agreement was approved by the Fund's shareholders in July 2010.
Nature, Quality and Extent of Services. The Board considered the terms of the Agreements, including the scope of advisory services provided under the Agreements. The Board noted that, under the Agreements, DWS and QS Investors provide the majority of portfolio management services to the Fund and that Aberdeen provides portfolio management services for the fixed income (not including high yield) portion of the Fund's portfolio only. The Board also noted that pursuant to a separate administrative services agreement, DWS provides administrative services to the Fund. The Board considered the experience and skills of senior management and investment personnel, the resources made available to such personnel, the ability of DWS to attract and retain high-quality personnel, and the organizational depth and stability of DWS. The Board reviewed the Fund's performance over short-term and long-term periods and compared those returns to various agreed-upon performance measures, including market indices and a peer universe compiled by the independent fee consultant using information supplied by Lipper Inc. ("Lipper"). The Board also noted that it has put into place a process of identifying "Focus Funds" (e.g., funds performing poorly relative to their benchmark or a peer universe compiled by Lipper), and receives more frequent reporting and information from DWS regarding such funds, along with DWS's remedial plans to address underperformance. The Board believes this process is an effective manner of identifying and addressing underperforming funds. Based on the information provided, the Board noted that for the one-, three- and five-year periods ended December 31, 2009, the Fund's performance (Institutional Class shares) was in the 2nd quartile, 4th quartile and 4th quartile, respectively, of the applicable Lipper universe (the 1st quartile being the best performers and the 4th quartile being the worst performers). The Board also observed that the Fund has outperformed its benchmark in the one-year period and has underperformed its benchmark in the three- and five-year periods ended December 31, 2009.
On the basis of this evaluation and the ongoing review of investment results by the Board, the Board concluded that the nature, quality and extent of services provided by DWS, Aberdeen and QS Investors historically have been and continue to be satisfactory.
Fees and Expenses. The Board considered the Fund's investment management fee schedule, sub-advisory fee schedule, operating expenses, and total expense ratios, and comparative information provided by Lipper and the independent fee consultant regarding investment management fee rates paid to other investment advisors by similar funds (1st quartile being the most favorable and 4th quartile being the least favorable). With respect to management fees paid to other investment advisors by similar funds, the Board noted that the contractual fee rates paid by the Fund, which include the 0.10% fee paid to DWS under the Fund's administrative services agreement, were higher than the median (3rd quartile) of the applicable Lipper peer group (based on Lipper data provided as of December 31, 2009). With respect to the sub-advisory fees paid to Aberdeen and QS Investors, the Board noted that the fees are paid by DWS out of its fee and not directly by the Fund. The Board noted that the Fund's Institutional Class shares total (net) operating expenses were expected to be lower than the median (2nd quartile) of the applicable Lipper expense universe (based on Lipper data provided as of December 31, 2009) ("Lipper Universe Expenses"). The Board also reviewed data comparing each share class's total (net) operating expenses to the applicable Lipper Universe Expenses. The Board considered the Fund's management fee rate as compared to fees charged by DWS and certain of its affiliates for comparable mutual funds and considered differences in fund and fee structures between the DWS Funds. The Board also considered how the Fund's total (net) operating expenses compared to the total (net) operating expenses of a more customized peer group selected by Lipper (based on factors as asset size). The Board also noted that the expense limitation agreed to by DWS helped to ensure that the Fund's total (net) operating expenses would remain competitive.
The information considered by the Board as part of its review of management fees included information regarding fees charged by DWS and its affiliates to similar institutional accounts and to similar funds offered primarily to European investors ("DWS Europe funds"), in each case as applicable. The Board observed that advisory fee rates for institutional accounts generally were lower than the management fees charged by similarly managed DWS US mutual funds ("DWS Funds"), but also took note of the differences in services provided to DWS Funds as compared to institutional accounts. In the case of DWS Europe funds, the Board observed that fee rates for DWS Europe funds generally were higher than for similarly managed DWS Funds, but noted that differences in the types of services provided to DWS Funds relative to DWS Europe funds made it difficult to compare such fees.
On the basis of the information provided, the Board concluded that management fees were reasonable and appropriate in light of the nature, quality and extent of services provided by DWS, Aberdeen and QS Investors.
Profitability. The Board reviewed detailed information regarding revenues received by DWS under the Agreement. The Board considered the estimated costs and pre-tax profits realized by DWS from advising the DWS Funds, as well as estimates of the pre-tax profits attributable to managing the Fund in particular. The Board also received information regarding the estimated enterprise-wide profitability of DWS and its affiliates with respect to all fund services in totality and by fund. The Board reviewed DWS's methodology in allocating its costs to the management of the Fund. Based on the information provided, the Board concluded that the pre-tax profits realized by DWS in connection with the management of the Fund were not unreasonable. The Board also reviewed information regarding the profitability of certain similar investment management firms. The Board noted that while information regarding the profitability of such firms is limited (and in some cases is not necessarily prepared on a comparable basis), DWS and its affiliates' overall profitability with respect to the DWS fund complex (after taking into account distribution and other services provided to the funds by DWS and its affiliates) was lower than the overall profitability levels of many comparable firms for which such data was available. The Board did not consider the profitability of the sub-advisors with respect to the Fund. The Board noted that DWS pays the sub-advisors' fee out of its management fee, and its understanding that the Fund's sub-advisory fee schedules were the product of an arm's length negotiation with DWS.
Economies of Scale. The Board considered whether there are economies of scale with respect to the management of the Fund and whether the Fund benefits from any economies of scale. The Board noted that the Fund's management fee schedule includes fee breakpoints. The Board concluded that the Fund's fee schedule represents an appropriate sharing between the Fund and DWS of such economies of scale as may exist in the management of the Fund at current asset levels.
Other Benefits to DWS, Aberdeen and QS Investors and Their Affiliates. The Board also considered the character and amount of other incidental benefits received by DWS, Aberdeen and QS Investors and their affiliates, including any fees received by DWS for administrative services provided to the Fund and any fees received by an affiliate of DWS for distribution services. The Board also considered benefits to DWS, Aberdeen and QS Investors related to brokerage and soft-dollar allocations, including allocating brokerage to pay for research generated by parties other than the executing broker dealers, which pertain primarily to funds investing in equity securities, along with the incidental public relations benefits to DWS, Aberdeen and QS Investors related to DWS Funds advertising and cross-selling opportunities among DWS products and services. The Board concluded that management fees were reasonable in light of these fallout benefits.
Compliance. The Board considered the significant attention and resources dedicated by DWS to documenting and enhancing its compliance processes in recent years. The Board noted in particular (i) the experience and seniority of both DWS's chief compliance officer and the Fund's chief compliance officer; (ii) the large number of DWS compliance personnel; and (iii) the substantial commitment of resources by DWS and its affiliates to compliance matters. The Board also considered the attention and resources dedicated by DWS to the oversight of each investment sub-advisor's compliance program and compliance with the applicable fund policies and procedures.
Based on all of the information considered and the conclusions reached, the Board unanimously determined that the continuation of the Agreements is in the best interests of the Fund. In making this determination the Board did not give particular weight to any single factor identified above. The Board considered these factors over the course of numerous meetings, certain of which were in executive session with only the Independent Trustees and their counsel present. It is possible that individual Trustees may have weighed these factors differently in reaching their individual decisions to approve the continuation of the Agreements.
New Sub-Advisory Agreement Approval
The Board of Trustees, including the Independent Trustees, unanimously approved the New Sub-Advisory Agreement (the "New Agreement") between Deutsche Investment Management Americas Inc. ("DWS") and QS Investors, LLC ("QS Investors") in May 2010.
In terms of the process that the Board followed prior to approving the New Agreement, shareholders should know that:
• In May 2010, all of the Fund's Trustees were independent of DWS and its affiliates.
• The Board engaged in a comprehensive review of the operational, financial and investment capabilities of QS Investors and the terms of the proposed Separation. As part of this review, the Board also reviewed and considered the terms of the New Agreement.
• To facilitate its review, the Board created several ad hoc subcommittees, each focused on different aspects of the Board's consideration of the Separation, and each comprised solely of Independent Trustees.
• The Board and its subcommittees conducted numerous meetings between January 2010 and May 2010 to review and discuss the Separation, including the New Agreement, and were assisted in this review by their independent legal counsel and fund counsel.
• In the course of its review, the Board requested and received substantial additional information.
• As part of its review process, the Board and its subcommittees met with various representatives of DWS and QS Investors, including key investment personnel and other members of senior management.
• The Board requested and evaluated all information that it deemed reasonably necessary to evaluate the New Agreement.
In connection with the approval of the New Agreement, the Board considered the factors described below, among others.
Continuity of Investment Management Services. In reviewing the New Agreement, the Board considered that it had renewed the investment management agreement between DWS and the Fund as part of the annual contract renewal process (the "Annual Review") in September 2009, at which time it had determined that such renewal was in the best interests of the Fund, given the nature, quality and extent of services provided by DWS (among other considerations). In considering the New Agreement, the Board noted that in light of the transition of the group within DWS responsible for day-to-day portfolio management of the Fund to a separate, unaffiliated firm (i.e., QS Investors), it was necessary to approve a sub-advisory agreement between DWS and QS Investors to secure continued access to these same personnel and services. The Board also considered that, despite the change in corporate identity of the portfolio management services provider and the fact that it would no longer be affiliated with DWS, the nature, quality and extent of services provided to the Fund are not expected to change under the New Agreement.
Fees and Expenses. The Board noted that it had concluded during the Annual Review that the overall investment management fees paid by the Fund are reasonable and appropriate in light of the nature, quality and extent of services provided. The Board considered that, under the New Agreement, QS Investors' sub-advisory fee would be paid by DWS out of its management fee and not directly by the Fund, and therefore there would be no change in the Fund's overall investment management fees under the New Agreement.
Profitability. The Board noted that it had considered the profitability of DWS during the Annual Review. The Board did not consider the profitability of QS Investors to be a material factor. In particular, the Board noted that QS Investors has not yet commenced operations, and that any projections of profitability are likely to be of limited value. The Board also noted that DWS would pay QS Investors' sub-advisory fee out of its management fee, and further noted that the sub-advisory fee arrangement with respect to the Fund was the product of an arm's length negotiation.
Other Benefits to QS Investors. The Board noted that it had considered fallout benefits to DWS during the Annual Review in its determination that management fees paid were reasonable. The Board also considered the character and amount of incidental benefits expected to be realized by QS Investors in light of the New Agreement, including the incidental public relations benefits to QS Investors related to DWS US mutual funds advertising and cross-selling opportunities among DWS products and services. The Board noted that QS Investors did not propose to implement a "soft dollar" program. The Board reaffirmed its determination from the Annual Review process that management fees paid were reasonable in light of fallout benefits to its investment advisory service providers.
Compliance. The Board considered QS Investors' proposed compliance program and resources. The Board also considered that DWS would oversee QS Investors' compliance program and its compliance with applicable Fund policies and procedures, and considered the attention and resources DWS would dedicate to that oversight. The Board also noted that it had considered DWS's compliance monitoring capabilities in connection with the Annual Review, at which time it had noted (i) the experience and seniority of both DWS's chief compliance officer and the Fund's chief compliance officer; (ii) the large number of DWS compliance personnel; and (iii) the substantial commitment of resources by DWS and its affiliates to compliance matters.
Based on all of the information considered and the conclusions reached, the Board unanimously determined that the terms of the New Agreement are fair and reasonable and that the approval of the New Agreement is in the best interests of the Fund. In reaching this conclusion, the Board did not give particular weight to any single factor identified above. It is possible that individual Trustees may have weighed these factors differently in reaching their individual decisions to approve the New Agreement.
Summary of Management Fee Evaluation by Independent Fee Consultant
October 3, 2010
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 2010, 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, 2008, and 2009.
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 have served in various leadership and financial oversight capacities with non-profit organizations.
Evaluation of Fees for each DWS Fund
My work focused primarily on evaluating, fund-by-fund, the fees charged to each of the 118 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 and Morningstar databases and drew on my industry knowledge and experience.
To facilitate evaluating this considerable body of information, I prepared for each Fund a document summarizing the key data elements in each area as well as additional analytics discussed below. This made it possible to consider each key data element in the context of the others.
In the course of contract renewal, DeAM agreed to implement a number of fee and expense adjustments requested by the Independent Directors which will favorably impact future fees and expenses, and my evaluation includes the effects of these changes.
Fees and Expenses Compared with Other Funds
The competitive fee and expense evaluation for each fund focused on two primary comparisons:
The Fund's contractual management fee (the advisory fee plus the administration fee where applicable) compared with those of a group of typically 12-15 funds in the same Lipper investment category (e.g. Large Capitalization Growth) having similar distribution arrangements and being of similar size.
The Fund's total expenses compared with a broader universe of funds from the same Lipper investment category and having similar distribution arrangements.
These two comparisons provide a view of not only the level of the fee compared with funds of similar scale but also the total expense the Fund bears for all the services it receives, in comparison with the investment choices available in the Fund's investment category and distribution channel. The principal figure-of-merit used in these comparisons was the subject Fund's percentile ranking against peers.
DeAM's Fees for Similar Services to Others
DeAM provided management fee schedules for all of its US domiciled fund and non-fund investment management accounts in any of the investment categories where there is a DWS Fund. These similar products included the other DWS Funds, non-fund pooled accounts, institutional accounts and sub-advisory accounts. Using this information, I calculated for each Fund the fee that would be charged to each similar product, at the subject Fund's asset level.
Evaluating information regarding non-fund products is difficult because there are varying levels of services required for different types of accounts, with mutual funds generally requiring considerably more regulatory and administrative types of service as well as having more frequent cash flows than other types of accounts. Also, while mutual fund fees for similar fund products can be expected to be similar, there will be some differences due to different pricing conditions in different distribution channels (e.g. retail funds versus those used in variable insurance products), differences in underlying investment processes and other factors.
Costs and Profit Margins
DeAM provided a detailed profitability analysis for each Fund. After making some adjustments so that the presentation would be more comparable to the available industry figures, I reviewed profit margins from investment management alone, from investment management plus other fund services (excluding distribution) provided to the Funds by DeAM (principally shareholder services), and DeAM profits from all sources, including distribution. A later section comments on overall profitability.
Economies of Scale
Economies of scale — an expected decline in management cost per dollar of fund assets as fund assets grow — are very rarely quantified and documented because of inherent difficulties in collecting and analyzing relevant data. However, in virtually every investment category that I reviewed, larger funds tend to have lower fees and lower total expenses than smaller funds. To see how each DWS Fund compares with this industry observation, I reviewed:
The trend in Fund assets over the last five years and the accompanying trend in total expenses. This shows if the Fund has grown and, if so, whether total expense (management fees as well as other expenses) have declined as a percent of assets.
Whether the Fund has break-points in its management fee schedule, the extent of the fee reduction built into the schedule and the asset levels where the breaks take effect, and in the case of a sub-advised Fund how the Fund's break-points compare with those of the sub-advisory fee schedule.
How the Fund's contractual fee schedule compares with trends in the industry data. To accomplish this, I constructed a chart showing how actual latest-fiscal-year contractual fees of the Fund and of other similar funds relate to average fund assets, with the subject Fund's contractual fee schedule superimposed.
Quality of Service — Performance
The quality-of-service evaluation focused on investment performance, which is the principal result of the investment management service. Each Fund's performance was reviewed over the past 1, 3, 5 and 10 years, as applicable, and compared with that of other funds in the same investment category and with a suitable market index.
In addition, I calculated and reviewed risk-adjusted returns relative to an index of similar mutual funds' returns and a suitable market index. The risk-adjusted returns analysis provides a way of determining the extent to which the Fund's return comparisons are mainly the product of investment value-added (or lack thereof) or alternatively taking considerably more or less risk than is typical in its investment category.
I also received and considered the history of portfolio manager changes for each Fund, as this provided an important context for evaluating the performance results.
Complex-Level Considerations
While this evaluation was conducted mainly at the individual fund level, there are some issues relating to the reasonableness of fees that can alternatively be considered across the whole fund complex:
I reviewed DeAM's profitability analysis for all DWS Funds, with a view toward determining if the allocation procedures used were reasonable and how profit levels compared with public data for other investment managers.
I considered whether DeAM and affiliates receive any significant ancillary or "fall-out" benefits that should be considered in interpreting the direct profitability results. These would be situations where serving as the investment manager of the Funds is beneficial to another part of the Deutsche Bank organization.
I considered how aggregated DWS Fund expenses had varied over the years, by asset class and in the context of trends in asset levels.
I reviewed the structure of the DeAM organization, trends in staffing levels, and information on compensation of investment management and other professionals compared with industry data.
Findings
Based on the process and analysis discussed above, which included reviewing a wide range of information from management and external data sources and considering among other factors the fees DeAM charges other clients, the fees charged by other fund managers, DeAM's costs and profits associated with managing the Funds, economies of scale, possible fall-out benefits, and the nature and quality of services provided, in my opinion the management fees charged the DWS Funds are reasonable.
Thomas H. Mack
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For More Information | The automated telephone system allows you to access personalized account information and obtain information on other DWS funds using either your voice or your telephone keypad. Certain account types within Class S also have the ability to purchase, exchange or redeem shares using this system. For more information, contact your financial advisor. You may also access our automated telephone system or speak with a DWS Investments representative by calling the appropriate number below: For shareholders of Institutional Class: (800) 621-1048For shareholders of Class S: (800) 728-3337 |
Web Site | www.dws-investments.com View your account transactions and balances, trade shares, monitor your asset allocation, and change your address, 24 hours a day.Obtain prospectuses and applications, blank forms, interactive worksheets, news about DWS funds, subscription to fund updates by e-mail, retirement planning information, and more. |
Written Correspondence | DWS Investments PO Box 219151Kansas City, MO 64121-9151 |
Proxy Voting | The fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 are available on our Web site — www.dws-investments.com (click on "proxy voting"at the bottom of the page) — or on the SEC's Web site — www.sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at (800) 621-1048. |
Principal Underwriter | If you have questions, comments or complaints, contact: DWS Investments Distributors, Inc. 222 South Riverside PlazaChicago, IL 60606-5808 (800) 621-1148 |
| Class S | Institutional Class |
Nasdaq Symbol | BTILX | BTAMX |
CUSIP Number | 23339E 517 | 23339E 525 |
Fund Number | 812 | 567 |
FACTS | What Does DWS Investments Do With Your Personal Information? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share can include: • Social Security number • Account balances • Purchase and transaction history • Bank account information • Contact information such as mailing address, e-mail address and telephone number |
How? | All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information, the reasons DWS Investments chooses to share and whether you can limit this sharing. |
Reasons we can share your personal information | Does DWS Investments share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders or legal investigations | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We do not share |
For our affiliates' everyday business purposes — information about your transactions and experiences | No | We do not share |
For our affiliates' everyday business purposes — information about your creditworthiness | No | We do not share |
For non-affiliates to market to you | No | We do not share |
Questions? | Call (800) 621-1048 or e-mail us at dws-investments.info@dws.com |
Who we are | |
Who is providing this notice? | DWS Investments Distributors, Inc.; Deutsche Investment Management Americas, Inc.; DeAM Investor Services, Inc.; DWS Trust Company; the DWS Funds |
What we do | |
How does DWS Investments protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
How does DWS Investments collect my personal information? | We collect your personal information, for example. When you: • open an account • give us your contact information • provide bank account information for ACH or wire transactions • tell us where to send money • seek advice about your investments |
Why can't I limit all sharing? | Federal law gives you the right to limit only • sharing for affiliates' everyday business purposes — information about your creditworthiness • affiliates from using your information to market to you • sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial or non-financial companies. Our affiliates include financial companies with the DWS or Deutsche Bank ("DB") name, such as DB AG Frankfurt and DB Alex Brown. |
Non-affiliates | Companies not related by common ownership or control. They can be financial and non-financial companies. Non-affiliates we share with include account service providers, service quality monitoring services, mailing service providers and verification services to help in the fight against money laundering and fraud. |
Joint marketing | A formal agreement between non-affiliated financial companies that together market financial products or services to you. DWS Investments does not jointly market. |
| Rev. 09/2010 |
Notes
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ITEM 2. | CODE OF ETHICS |
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| Not applicable. |
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ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT |
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| Not applicable |
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ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES |
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| Not applicable |
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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) Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
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| (b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
Form N-CSRS Item F
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | DWS Lifecycle Long Range Fund, a series of DWS Advisor Funds |
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By: | /s/Michael G. Clark Michael G. Clark President |
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Date: | November 30, 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.
By: | /s/Michael G. Clark Michael G. Clark President |
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Date: | November 30, 2010 |
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By: | /s/Paul Schubert Paul Schubert Chief Financial Officer and Treasurer |
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Date: | November 30, 2010 |